Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator...

Beta-sorted portfolios - portfolios comprised of assets with similar covariation to selected risk factors - are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to...

This paper studies the relationship between the business cycle and financial intermediation in the euro area. We establish stylized facts and study their stability during the global financial crisis and the European sovereign debt crisis. Long-term interest rates have been exceptionally high and...

This paper describes a weekly economic index (WEI) developed to track the rapid economic developments associated with the onset of and policy response to the novel coronavirus in the United States. The WEI is a weekly composite index of real economic activity, with eight of ten series available...

We estimate the macroeconomic benefits and international spillovers of an increase in competition using a general-equilibrium simulation model with nominal rigidities and monopolistic competition in product and labor markets. We draw three conclusions after calibrating the model to the euro area...

This paper considers the problem of forecasting real and financial macroeconomic variables across a large number of countries in the global economy. To this end, a global vector autoregressive (GVAR) model previously estimated over the 1979:Q1–2003:Q4 period by Dees, de Mauro, Pesaran, and...

We propose measures of financial market stress for forty-six countries and regions across the world. Our measures indicate that worldwide financial market stresses rose significantly in March following the widespread economic shutdowns in the wake of the COVID-19 pandemic. However, hardly...

This paper describes a weekly economic index (WEI) developed to track the rapid economic developments associated with the onset of and policy response to the novel coronavirus in the United States. The WEI, with its ten component series, tracks the overall economy. Comparing the contributions of...

A growing literature uses now widely available data on beliefs and expectations in the estimation of structural models. In this chapter, we review this literature, with an emphasis on models of individual and household behavior. We first show how expectations data have been used to relax strong...