We estimated a structural vector autoregressive (SVAR) model describing the links between a banking sector and a real economy. We proposed a new method to verify robustness of impulse-response functions in a SVAR model. This method applies permutations of the variable ordering in a structural...

In this paper, we develop a novel dataset of weekly economic conditions indices for the 50 U.S. states going back to 1987 based on mixed-frequency dynamic factor models with weekly, monthly, and quarterly variables that cover multiple dimensions of state economies. We show that there is...

In this paper, we develop a novel dataset of weekly economic conditions indices for the 50 U.S. states going back to 1987 based on mixed-frequency dynamic factor models with weekly, monthly, and quarterly variables that cover multiple dimensions of state economies. We show that there is...

We analyze dynamics of the permanent and transitory components of the U.S. economic activity and the stock market obtained by multivariate dynamic factor modeling. We capture asymmetries over the phases of economic and stock market trends and cycles using independent Markov-switching processes....

In the absence of more timely or accurate information, survey indicators of economic activity are closely watched by financial markets and policymakers alike. These include the Purchasing Managers' Indices (PMIs), which are widely regarded as important indicators of economic activity. PMIs are...

In this paper we show that findings of an apparently instable popularity function of U.S. presidents, as reported in the previous literature, are likely the consequence of the common use of linear estimation techniques. Employing Penalized Spline Smoothing in the context of Additive Mixed Models...

We use a fractionally cointegrated vector autoregressive model to examine the relationship between Canadian political support and macroeconomic conditions. This model is well suited for the analysis because it allows multiple fractional time series and admits simple asymptotic inference for the...

We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in the empirical literature on uncertainty: (i) Does...

While both Turkey and Poland weathered the 2008/2009 crisis relatively well compared to other countries in Central, Eastern and Southeastern Europe (CESEE), their macrofinancial indicators responded fairly strongly to the Federal Reserve System's tapering announcement in May 2013. Among other...

Investor sentiment is measured at both global and local levels as the common component of pricing errors investors make when valuing stocks. Investor sentiment and macroeconomic factors are jointly modelled within a hierarchical dynamic factor model allowing for time-varying parameters and...