Benchmark finance and macroeconomic models appear to deliver conflicting estimates of the natural rate and bond risk premia. This natural rate puzzle applies not only in the U.S. but across many advanced economies. We use a unified no-arbitrage macro- finance model with two trend factors to...

This paper introduces an estimator for dynamic macroeconomic models where possibly the dynamics and the variables described therein are incomplete representations of a larger, unknown macroeconomic system. We call this estimator projection minimum distance (PMD) and show that it is consistent...

This paper provides three measures of the uncertainty associated to an impulse response path: (1) conditional confidence bands which isolate the uncertainty of individual response coefficients given the temporal path experienced up to that point; (2) response percentile bounds} which provide...

Poor identification of individual impulse response coefficients does not necessarily mean that an impulse response is imprecisely estimated. This paper introduces a three-pronged approach on how to communicate uncertainty of impulse response estimates: (1) withWald tests of joint significance; (2)...

A covariance-stationary vector of variables has a Wold representation whose coefficients can be semiparametrically estimated by local projections (Jordà, 2005). Substituting the Wold representations for variables in model expressions generates restrictions that can be used by the method of...

A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given confidence level requires construction of simultaneous confidence regions that adjust for any covariance between the elements...