Using frequency domain techniques to separate short and long run dynamics and decomposing inflation into its common and idiosyncratic components, we study the regime dependence of the inflation-RPV relation in Argentina and the USA. Under High inflation, strong long-run comovement between RPV...

In most instances, the dynamic response of monetary and other policies to shocks is infrequent and lumpy. The same holds for the microeconomic response of some of the most important economic variables, such as investment, labor demand, and prices. We show that the standard practice of estimating...

Estimates of the welfare costs of inflation based on Bailey's (1956) methodology are typically computed on the basis of aggregate money demand models. Yet, the behavior of money demand is likely to vary across sectors. As a result, the impact on welfare of changes in the inflation regime may...

This study introduces a comprehensive Google search volume based Bitcoin sentiment index (BSI) by following the methodology of Da, Engelberg, and Gao (2014). BSI is investigated for its association with Bitcoin returns, trade volume, volatility, and United States dollar exchange rates (USD)....

In this paper, I try to shed some new light on the puzzle why the Lucas critique, belived to be important by most economists, seems to have received very little empirical support. I use a real business cycle model to examine the properties of the super exogeneity test, which is used to detect...

In this paper, which is the third installment of the author´s trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin loans to retail clients. We describe the basic...

This paper evaluates the predictive out-of-sample forecasting properties of six different economic uncertainty variables for both growth in aggregate M2 and growth in household-sector M2 in the U.S. using data between 1971m1 and 2014m12. The core contention is that economic uncertainty improves...

In this paper we use a repeat-sales index methodology to construct US corporate bond price indices. Using several performance tests, we show that this methodology provides superior index estimates. In particular when assets trade at infrequent and irregular intervals the repeat-sales index is...

We introduce the concept of 'news entropy' to characterise the relationship between news coverage and the economy. Intuitively, news entropy decreases as the news focus on a smaller set of pressing topics. We observe that news entropy exhibits clear negative spikes close to important economic,...

Bank-created money, shadow-bank money, and Treasury bonds all satisfy investor's demand for a liquid transaction medium and safe store of value. We measure the quantity of these three forms of liquidity and their corresponding liquidity premium over a sample from 1926 to 2016. We empirically...