We use a new approach to assess long-term fiscal developments. By analyzing the time varying behaviour of the two components of government spending and revenue responsiveness and persistence - we are able to infer about the sources of fiscal behaviour. Drawing on quarterly data we estimate...

We explore the macroeconomic impact of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a Bayesian time-varying parameter structural VAR. We identify a 'pure' spread shock which, leaving the short-term rate unchanged by construction,...

We jointly estimate the natural rate of interest, the natural rate of unemployment, expected inflation, and potential output for the Euro area, the United States, Sweden, Australia, and the United Kingdom. Particular attention is paid to time-variation in (i) the data-generation process for...

We use Bayesian time-varying parameters VARs with stochastic volatility to investigate changes in the marginal predictive content of the yield spread for output growth in the United States and the United Kingdom, since the Gold Standard era, and in the Eurozone, Canada, and Australia over the...