We propose a new empirical framework to estimate sectoral uncertainty from data-rich environments. We jointly decompose the conditional variance of economic time series i[...]

Bank capital requirements are based on book values, which are slow to reflect losses. In this article, we develop a dynamic model of banks to study the interaction of reg[...]

Supplementary data for peer-reviewed article published in the Journal of the European Economic Association. Paper posted online May 12, 2023. When citing this dataset, pl[...]

How did funding structures—the source, instrument, currency, and counterparty location of financing—relate to the financial stress experienced in different countries and [...]

A resolution of the missing deflation puzzle is proposed. Our resolution stresses the importance of nonlinearities in price- and wage-setting when the economy is exposed [...]

The data and programs replicate tables and figures from "A policy model to analyze macroprudential regulations and monetary policy", by Alpanda, Cateau and Meh. Please se[...]

We illustrate how financial market data are informative about the interactions between monetary and fiscal policy. Federal funds futures are private contracts that reflec[...]

We present a two-country model featuring risky lending and cross-border interbank market frictions. We find that (i) the strength of the financial accelerator, when appli[...]

We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Across most sectors, equity prices decr[...]

This paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield curves and the violation of the expectations hypothe[...]