In this paper we develop a general framework to analyze state space models with timevarying system matrices where time …

models containing news shocks. This paper shows how to formally evaluate the information content of observed variables with … respect to unobserved shocks in structural macroeconomic models. The proposed methodology is applied to two different real … business cycle models with news shocks. The contribution of asset prices is found to be relatively small. The methodology is …

This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA …) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural … shocks. This finding is robust to the changes in the sample period and in the models' specifications entertained in the paper …

countries and the euro area. To account for substantial modelling uncertainty, it estimates many vector error correction models … model averaging approach beats a battery of ambitious benchmark models, including BVARs, FAVARs, LASSO and Ridge regressions …

This paper looks at public and private sector wages interactions since the 1960s in the euro area, euro area countries … public and private sector wages over the business cycle; this finding is robust across methods and measures of wages and … quite general across countries. Second, we show evidence of long-run relationships between public and private sector wages …