In this paper, we propose a method for jointly estimating indexes of economic and financial conditions by exploiting the intertemporal link between their cyclical behavior. This method combines a dynamic factor model for the joint modeling of economic and financial variables with mixed...

In this paper, we study the evolution of inflation expectations for two key emerging economies, Brazil and Turkey, using a reduced form model in a state-space framework, where the level of inflation is modeled explicitly. We match the survey-based inflation expectations and inflation targets set...

This study examines the effects of price adjustments in the tobacco sector on inflation in Turkey. The findings show that the taxes on tobacco products increase inflation in the short-term. However, the effect is rather limited, a 16 basis points increase in inflation if the current 65.25%...

The COVID-19 crisis can turn into the biggest emerging market (EM) crisis ever. EMs observed the financial shock first, with the tightening global financial conditions. They will soon experience the full wrath of the perfect storm with possibly much larger spill-back effects for the global...

This paper extends the canonical model of epidemiology, the SIRD model, to allow for time-varying parameters for real-time measurement and prediction of the trajectory of the Covid-19 pandemic. Time variation in model parameters is captured using the generalized autoregressive score modeling...

Central bank credibility is critical for the effectiveness of monetary policy. The measures of credibility that are based on the changes in actual inflation rate do not perform very well in environments of chronic inflation. We design an alternative measure that allows us to track the evolution...

We provide a methodology that efficiently combines the statistical models of nowcasting with the survey information for improving the (density) nowcasting of US real GDP. Specifically, we use the conventional dynamic factor model together with a stochastic volatility component as the baseline...

Despite the mounting costs of the pandemic at the global scale, the country-specific costs were rather heterogenous. National performances varied depending on the restrictive measures adopted, institutional strength, as well as adherence to stringency measures. We illustrate that obedience and...

COVID-19 pandemic had a devastating effect on both lives and livelihoods in 2020. The arrival of effective vaccines can be a major game changer. However, vaccines are in short supply as of early 2021 and most of them are reserved for the advanced economies. We show that the global GDP loss of...