We propose a new framework for measuring uncertainty and its effects on the economy, based on a large VAR model with errors whose stochastic volatility is driven by two common unobservable factors, representing aggregate macroeconomic and financial uncertainty. The uncertainty measures can also...

We propose a new framework for measuring uncertainty and its effects on the economy, based on a large VAR model with errors whose stochastic volatility is driven by two common unobservable factors, representing aggregate macroeconomic and financial uncertainty. The uncertainty measures can also...

In this paper, we describe a computational implementation of the Synthetic difference-in-differences (SDID) estimator of Arkhangelsky et al. (2021) for Stata. Synthetic difference-in-differences can be used in a wide class of circumstances where treatment effects on some particular policy or...

In this paper, we describe a computational implementation of the Synthetic difference-in-differences (SDID) estimator of Arkhangelsky et al. (2021) for Stata. Synthetic difference-in-differences can be used in a wide class of circumstances where treatment effects on some particular policy or...

A growing literature estimates the macroeconomic effect of weather using variations in annual country-level averages of temperature and precipitation. However, averages may not reveal the effects of extreme events that occur at a higher time frequency or higher spatial resolution. To address...

We measure the effectiveness of policies in a mixed frequency spatial VAR (MF-SVAR) modeling framework, conditional on the spillover and diffusion effects of the global pandemic and unemployment. Specifically, we examine two aspects of policy effectiveness from a spatio-temporal perspective,...

Critics protest loudly against restrictions imposed by politicians during the COVID-19 pandemic in Germany: Mandatory masks, lockdowns, school and business closures. This paper examines (1) the extent to which these policies have indirectly contributed to limiting the number of COVID-19 cases...

We examine economic activity measured with firm performance indicators using the changes in intensity of night-time light in four Central Asia Regional Economic Cooperation economies: Azerbaijan, Georgia, Kazakhstan, and Mongolia. The empirical analysis is based on the World Bank Enterprise...

This study examines economic activity measured with firm performance indicators using the changes in intensity of night-time light in four CAREC economies: Azerbaijan, Georgia, Kazakhstan, and Mongolia. The empirical analysis is based on the World Bank Enterprise Survey (WBES) data for 2019 and...

In this paper, we investigate the effect of the U.S.--China trade war on stock markets from a financial contagion perspective, based on high-frequency financial data. Specifically, to account for risk contagion between the U.S. and China stock markets, we develop a novel jump-diffusion process....