Local Projections (LP) is a popular methodology for the estimation of Impulse Responses (IR). Compared to the traditional VAR approach, LP allow for more flexible IR estimation by imposing weaker assumptions on the dynamics of the data. The nonparametric nature of LP comes at an efficiency cost...

This paper introduces a flexible local projection that generalises the model by Jorda (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first...

The econometrics literature contains a variety of two-sided tests for unknown breakpoints in time-series models with one or more parameters. This paper derives an analogous one-sided test that takes into account the direction of the change for a single parameter. In particular, we propose a sup...

The specification of an optimizing model of the monetary transmission mechanism requires selecting a policy regime, commonly commitment or discretion. In this paper, we propose a new procedure for testing optimal monetary policy, relying on moment inequalities that nest commitment and discretion...

Identification via heteroskedasticity exploits differences in variances across regimes to identify parameters in simultaneous equations. I study weak identification in such models, which arises when variances change very little or the variances of multiple shocks change close to proportionally....

Monetary policy rule parameters are usually estimated at the mean of the interest rate distribution conditional on inflation and an output gap. This is an incomplete description of monetary policy reactions when the parameters are not uniform over the conditional distribution of the interest...

We provide an update on the impact the COVID-19 pandemic on the demand for cash and the use of methods of payment based on data from the Bank Note Distribution System and from consumer surveys conducted in April and August 2021. Our key findings are as follows: Cash in circulation remained high...

Consumer spending declined significantly during the recent COVID-19 pandemic. This negative shock likely reduced spending across all methods of payment (cash, debit, credit, etc.). As well, the mix of payment methods that consumers use could also be affected. This paper is a first step in...

This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...

We conduct a follow-up to Chen et al. (2020) and study demand for and use of cash after the containment measures imposed at the beginning of the COVID-19 pandemic were relaxed during the summer of 2020. We find that bank notes in circulation continued to rise in July due to ongoing cash...