This paper extends the Markov-switching vector autoregressive models to accommodate both the typical lack of synchronicity that characterizes the real-time daily flow of macroeconomic information and economic indicators sampled at different frequencies. The results of the empirical application...

We show, in this study, that the U.S. public debt–GDP ratio was explosive in nature during the 1791–2009 sample period. The huge increase in U.S. debt during World War II is responsible for this result. Our findings differ profoundly from those generated by the standard unit root tests,...

This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency...

In this paper we examine the extent of international trade synchronization during periods of international trade collapses and US recessions. Using dynamic correlations based on monthly trade data for the G7 economies over the period 1961–2011, our results suggest rather idiosyncratic patterns...

This paper focuses on the effects of global factors on the saving–investment relationship. We prove that, if investments and savings are affected by idiosyncratic and global components, they must be cointegrated to obtain reliable estimates of the saving-retention coefficient. When global...

We argue that evidence on whether floating exchange rates facilitate external adjustment is contradictory because existing regime classifications do not adequately capture exchange rate flexibility relevant to external adjustment. Using a trade-weighted bilateral exchange rate volatility...

We find strong evidence that US common stocks have been a hedge against inflation in the long run, from the early 1950s. Adopting a two-regime threshold vector error-correction model, we find that the stock price and the goods price are co-integrated with unit elasticity, with stock return and...

It is well documented that the term structure of interest rates has predictive power for real economic growth. Applying the stepwise superior predictive ability test, we find that superior models contain both a short-term rate and a term spread.

We show that growth and unemployment forecasts submitted by individual FOMC members do not exhibit herding behavior, while the inflation forecasts show strong evidence of anti-herding. Interestingly, anti-herding is more important for non-voting members than for voters.

Based on a large international panel of surveyed GDP forecasts I analyze the frequency of forecast revisions and the factors that influence the likelihood of forecast revisions. I find that each month on average 40%–50% of forecasters revise their forecasts. In addition, I find that the...