This paper investigates the empirical specification of the Taylor Rule. Building on the New Keynesian paradigm, we derive a general nonlinear specification for the optimal policy rule that nests the standard linear Taylor Rule as a particular case. Using a novel semi-parametric modeling...

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency tick-data and is robust to market microstructure frictions. To localize volatility jumps, we design and analyze a nonparametric...

We provide a new perspective on disagreement in inflation expectations by examining the full probability distributions of UK consumer inflation forecasts based on an adaptive bootstrap multimodality test. Furthermore, we compare the inflation forecasts of the Bank of England's Monetary Policy...

This paper introduces a exible local projection that generalises the model by Jordà (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 application...

Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agents. To better capture the dynamics, this paper proposes a wide class of multivariate dynamic models with time —...

This paper challenges the assumption that the inflation process within the euro area is well-described by a linear Phillips curve and investigates in a nonparametric framework how inflation is sensitive to output growth. An asymmetric output-inflation trade-off is pointed out in the euro area at...