The downward trend in the amount of Arctic sea ice has a wide range of environmental and economic consequences including important effects on the pace and intensity of global climate change. Based on several decades of satellite data, we provide statistical forecasts of Arctic sea ice extent...

The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed,...

We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of models to the canonical representation of the three-factor arbitrage-free affine model. Our...

We estimate a model that summarizes the yield curve using latent factors (specifically, level, slope, and curvature) and also includes observable macroeconomic variables (specifically, real activity, inflation, and the monetary policy instrument). Our goal is to provide a characterization of the...

In the first half of this century, special attention was given to two features of the business cycle: (1) the comovement of many individual economic series and (2) the different behavior of the economy during expansions and contractions. Both of these attributes were ignored in many subsequent...

Rapidly diminishing Arctic summer sea ice is a strong signal of the pace of global climate change. We provide point, interval, and density forecasts for four measures of Arctic sea ice: area, extent, thickness, and volume. Importantly, we enforce the joint constraint that these measures must...

We develop an algorithm to construct approximate decision rules that are piecewise-linear and continuous for DSGE models with an occasionally binding constraint. The functional form of the decision rules allows us to derive a conditionally optimal particle filter (COPF) for the evaluation of the...

We develop a structural VAR in which an occasionally-binding constraint generates censoring of one of the dependent variables. Once the censoring mechanism is triggered, we allow some of the coefficients for the remaining variables to change. We show that a necessary condition for a unique...

This paper proposes a structural approach to measuring the effects of electoral accountability. We estimate a political agency model with imperfect information in order to identify and quantify discipline and selection effects, using data on U.S. governors for 1982-2012. We find that the...

We solve the stochastic neoclassical growth model, the workhorse of modern macroeconomics, using C++11, Fortran 2008, Java, Julia, Python, Matlab, Mathematica, and R. We implement the same algorithm, value function iteration with grid search, in each of the languages. We report the execution...