We consider a stochastic multiplicative-directional-distance-function-based formulation of the production technology in the presence of bad outputs. In contrast to the popular additive directional distance function, our approach preserves the highly desired scale invariance property of the...

Inflation expectations play a key role in determining future economic outcomes. The associated uncertainty provides a direct gauge of how well-anchored the inflation expectations are. We construct a model-based measure of inflation expectations uncertainty by augmenting a standard unobserved...

This paper investigates the underlying causes of suicide. In contrast to previous literature, we use data from the United States at the county level. Our primary methodology is a two-level Bayesian hierarchical model with spatially correlated random effects. Our results show that the significant...

This paper discusses estimation of US inflation volatility using time varying parameter models, in particular whether it should be modelled as a stationary or random walk stochastic process. Specifying inflation volatility as an unbounded process, as implied by the random walk, conflicts with...

This paper proposes a data-based measure of model performance to discriminate among competing asset pricing models of return predictability. I form a set of variance bounds on pricing kernels based on different systems for predicting asset returns. For a given asset pricing model, I define the...

I have assessed changes in the monetary policy stance in the euro area since its inception by applying a Bayesian time-varying parameter framework in conjunction with the Hamiltonian Monte Carlo algorithm. I find that the estimated policy response has varied considerably over time. Most of the...

This paper studies how well a search and matching model can describe aggregate Japanese labor market dynamics in a full information setting. We develop a discrete-time search and matching model with productivity and separation shocks and use it as a data-generating process for our empirical...

The paper aims to estimate the New Keynesian Phillips curve in the case of Romanian economy. The empirical model estimates simultaneously the potential output and the output gap; the natural rate of unemployment and the cyclical unemployment as an Okun Law type relationship; and the New Phillips...

We estimate a medium-scale model with and without rule-of-thumb consumers over the pre-Volcker and the Great Moderation periods, allowing for indeterminacy. Passive monetary policy and sunspot fluctuations characterize the pre-Volcker period for both models. The estimated fraction of...