We propose a methodology for producing forecast densities for economic aggregates based on disaggregate evidence. Our ensemble predictive methodology utilizes a linear mixture of experts framework to combine the forecast densities from potentially many component models. Each component represents...

This paper studies the importance of intertemporal substitution in consumption for the cyclical co-movement of consumption, net worth and income. We can largely explain the empirical hump-shaped consumption response to a transitory wealth increase by allowing for time-varying returns in an...

This paper explores the role of demand from emerging and developed economies as drivers of the real price of oil. Using a method that allows us to identify and compare demand from different groups of countries across the world, we find that demand from emerging economies (most notably from Asian...

We estimate a Factor Augmented Vector autoregression (FAVAR) to identify idiosyncratic exchange rate shocks and examine the effects of these shocks on different sectors of the economy. We find that an unexpected shock to the exchange rate has significant effects on the tradable sector of the...

There is no consensus over the importance of “global forces” on inflation. This study explores the role of structural breaks in the inflation process, and their timing, whether it is common across countries, and the extent to which ‘global forces' are relevant. Three conclusions stand out....

We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world industrial production to simulate the effects of the jump in financial uncertainty observed in correspondence of the COVID-19 outbreak. We predict the cumulative loss in world...

This article investigates what determines the price dynamics of the main cereals: barley, maize, rice and wheat. Using an extensive dataset of monthly time series covering the years 1980 - 2019, we extract four different common factors explaining the dynamics of commodity prices, exchange rates,...

We explore the historical relationship between financial conditions and real economic growth for quarterly U.S. data from 1875 to 2017 with a flexible empirical copula modelling methodology. We compare specifications with both linear and non-linear dependence, and with both Gaussian and...

Contemporary structural models of the global market for crude oil treat storage demand as a composite of precautionary responses to uncertainty and speculative behavior, due to difficulties in jointly identifying these distinct demand components. This difficulty arises because the underlying...

The growing disintegration between the natural gas and oil prices, together with shale revolution and market financialization, lead to continued fundamental changes in the natural gas markets. To capture these structural changes, this paper considers a wide set of highly flexible time-varying...