This paper describes how we constructed a real-time database for the euro area covering more than 200 series regularly published in the European Central Bank Monthly Bulletin, as made available ahead of publication to the Governing Council members before their first meeting of the month. We...

This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...

This paper examines the impact of conventional and unconventional monetary policy on energy prices, using an event study with intraday data. Three measures for monetary policy surprises are used: 1) the surprise change to the current federal funds target rate, 2) the surprise component to the...

This paper analyses the informational role of the trading activity when jumps occur in the US Treasury market. As jumps mark the arrival of new information to the market, we explore the contribution of jumps in reducing the informational asymmetry. We identify jumps using a combination of jump...

We apply a recently proposed method to disentangle unobserved heterogeneity from risk in returns to education. We replicate the original study on US men and extend to US women, UK men and German men. Most original results are not robust. A college education cannot universally be considered an...

From time to time, economies undergo far-reaching structural changes. In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest test procedures for structural breaks....

In this Dissertation the empirical results of the multivariate analysis of investigation of the key drivers of Banks performance and comparative analysis of the Banking industry profitability in the UK and the USA in the years preceding, during, and after global financial crisis - from 2005 to...

In this paper, we empirically analyze the effect of the credit crisis of 2008 by adopting coexceedance as a contagion measure. We assess the effect of news of governmental intervention and the collapse of firms during the period from 2007 to 2009 on the coexceedance. Our approach involves...

In 1973-1974, the U.S. faced the so-called “Energy Crisis” due to the Arab oil embargo and a quadrupling of world crude oil prices by OPEC. This led the U.S. to use a “Price Control” policy in the domestic energy market. The effects of such policy are explored and well documented....

We estimate US household monthly elasticities of demand for some of the more popular organic fruits. To our knowledge, this is the first US-wide, multi-year analysis of price and income elasticities for various organic fruits. We calculate elasticities of demand for low-income, middle class, and...