Using a novel approach to model regime switching with dynamic feedback and interactions, we extract latent mean and volatility factors in oil price changes. We illustrate how the volatility factor constitutes a useful measure of oil market risk (or oil price uncertainty) for policy makers and...

Using a novel approach to model regime switching with dynamic feedback and inter-actions, we extract latent mean and volatility factors in oil price changes. We illustrate how the volatility factor constitutes a useful measure of oil market risk (or oil price uncertainty) for policy makers and...

We study the effect of oil news shocks on U.S. aggregate and industry-level stock returns. Using a Proxy-VAR and a sample from January 1973 to December 2019, we find no significant effect on aggregate stock price index on impact, but a persistent and significant drop at longer horizons. An...

Do state-dependent local projections asymptotically recover the population responses of macroeconomic aggregates to structural shocks? The answer to this question depends on how the state of the economy is determined and on the magnitude of the shocks. When the state is exogenous, the local...

Using a rich dataset of Chinese firms, we investigate the effect of industrial policies on resource misallocation. Our difference-in-difference model estimates provide evidence that government policies increased the dispersion of revenue productivity across firms in four-digit industries...

Many empirical studies estimate impulse response functions that depend on the state of the economy. Most of these studies rely on a variant of the local projection (LP) approach to estimate the state-dependent impulse response functions. Despite its widespread application, the asymptotic...