How large are government spending and tax multipliers? The fiscal proxy- SVAR literature provides heterogenous estimates, depending on which proxies - fiscal or non-fiscal - are used to identify fiscal shocks. We reconcile the existing estimates via a flexible vector autoregressive model that...

Time-varying parameter VARs with stochastic volatility are routinely used for structural analysis and forecasting in settings involving a few macroeconomic variables. Applying these models to high-dimensional datasets has proved to be challenging due to intensive computations and...

Large Bayesian VARs with stochastic volatility are increasingly used in empirical macroeconomics. The key to make these highly parameterized VARs useful is the use of shrinkage priors. We develop a family of priors that captures the best features of two prominent classes of shrinkage priors:...

We replicate Stern (1993, Energy Economics), who argues and empirically demonstrates that it is necessary (i) to use quality-adjusted energy use and (ii) to include capital and labor as control variables in order to find Granger causality from energy use to GDP. Though we could not access the...

Since the birth of the natural rate hypothesis, the conventional notion that short-term output simply fluctuates around a relatively stable long-term trend became the norm in modern macroeconomics, including in the standard New Keynesian DSGE model. However, the global financial crisis (GFC) led...

This paper analyses the real-time nowcasting performance of machine learning algorithms estimated on New Zealand data. Using a large set of real-time quarterly macroeconomic indicators, we train a range of popular machine learning algorithms and nowcast real GDP growth for each quarter over the...

We introduce a new class of stochastic volatility models with autoregressive moving average (ARMA) innovations. The conditional mean process has a flexible form that can accommodate both a state space representation and a conventional dynamic regression. The ARMA component introduces serial...

This paper studies the causes and effects of portfolio flows in Malaysia. We use Structural Vector Autoregression (SVAR) and Autoregressive Distributed Lag (ARDL) models to analyse the interactions among portfolio flows, global and domestic macro and financial variables within a common empirical...

It is well known that different specification choices can give starkly different output gap estimates. To account for model uncertainty, we average estimates over a wide variety of popular specifications using stochastic model specification search. In particular, we consider three types of...