By incorporating the Harvey accumulator into the large approximate dynamic factor framework of Doz et al. (2006), we are able to construct a coincident index of financial conditions from a large unbalanced panel of mixed frequency financial indicators. We relate our financial conditions index,...

Mixed frequency Bayesian vector autoregressions (MF-BVARs) allow forecasters to incorporate a large number of mixed frequency indicators into forecasts of economic activity. This paper evaluates the forecast performance of MF-BVARs relative to surveys of professional forecasters and investigates...

Monitoring financial stability requires an understanding of both how traditional and evolving financial markets relate to each other and how they relate to economic conditions. This article describes two new indexes of financial conditions that aim to quantify these relationships

By incorporating the Harvey accumulator into the large approximate dynamic factor framework of Doz et al. (2006), we are able to construct a coincident index of financial conditions from a large unbalanced panel of mixed frequency financial indicators. We relate our financial conditions index,...

Examining industrialized countries, the authors find that large deficits are not associated with higher inflation contemporaneously, nor are they associated with the emergence of higher inflation in subsequent years. This finding suggests that countries that can afford large deficits have built...

The authors present a model in which anticipated future tax cuts, like those promised during the 2000 U.S. presidential campaign, generate a contraction in economic activity with some of the atypical features observed during the 2001 recession (such as its relatively strong consumption and home...

We leverage an event-study research design focused on the seven costliest hurricanes to hit the US mainland since 2004 to identify the elasticity of unemployment insurance filings with respect to search intensity. Applying our elasticity estimate to the state-level Google Trends indexes for the...

[enter Abstract Body]The pass-through of local shocks to prices is important for trade adjustment, inequality, and tax policy. Standard pricing models assume that firms fully respond to local shocks, but recent research suggests that local prices may be insensitive to them, because national...

The use of mixed frequency data is now common in many applications, ranging from the analysis of high frequency financial time series to large cross-sections of macroeconomic time series. In this article, we show how state space methods can easily facilitate both estimation and inference in...

We document the influence of factor markets in determining the extent of the market, by appealing to the Mundell Hypothesis that trade in goods markets and factor markets are substitutes. We confirm this influence using the U.S. wholesale market for electric power. Although the Eastern, Western,...