situation poses to price stability. We propose to regard the central banker as a risk manager who aims to contain inflation … within pre-specified bounds. We develop formal tools of risk management that may be used to quantify and forecast the risks … of failing to attain that objective. We illustrate the use of these risk measures in practice. First, we show how to …

Motivated by policy statements of central bankers, we propose to regard the central banker as a risk manager who aims … of risk management that may be used to quantify the risks of failing to attain that objective. Risk measures inherently … assumption of quadratic symmetric preferences, while being congruent with a risk management model. We show how the parameters of …

As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and …-correction, cointegration and dynamic factor models, and has several conceptual advantages over standard ECM and FAVAR models. In particular, it … uses a larger dataset compared to the ECM and incorporates the long-run information lacking from the FAVAR because of the …

generalization of factor augmented VARs (FAVAR) considered by Bernanke, Boivin and Eliasz (2005) inter alia, which are specified in … to standard ECM and FAVAR models. The analysis is conducted primarily within an in-sample framework, although the out …

We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation …-varying FAVAR is estimated using a large quarterly dataset of US variables from 1972 to 2007, the results indicate some changes in … the factor dynamics, and more marked variation in the factors' shock volatility and their loading parameters. Forecasts …

responses in a FAVAR model is positively related to the strength of the error-correction mechanism and the cross … responses of several variables to the identified real shock. …

Since the 2008 global financial crisis, and after decades of relative neglect, the importance of the financial system …

We examine global dynamics under learning in New Keynesian models with price level targeting that is subject to the …

inflation shock when the policymaker acts with commitment. We first show that, in the simplest New Keynesian model, fiscal …