This paper analyzes the effects of macroeconomic shocks on prices and output at different levels of aggregation using a bottom up approach. We show how to generate firm level impulse responses by incorporating experimental settings into surveys and by exposing firm executives to treatment...

This paper studies the effects of a change in the Swiss franc/euro exchange rate floor, as introduced by the Swiss National Bank in September 2011 using a survey based impulse responses analysis. Survey based impulse responses incorporate experimental settings into representative firm surveys,...

In this work we present a new method for Quickest Change Detection (QCD) and Quickest Hub Discovery (QHD) in correlation structures that geometrically represents solutions from asymptotic Random Matrix theory (RMT) consistently, and allows to incorporate new distance metrics for both tests. We...

Instead of relying solely on data of a single time series it is possible to use information of parallel, similar time series to improve prediction quality. Our data set consists of microeconomic data of daily store deposits from a large number of different stores. We analyze how prediction...

The labour force surveys (LFSs) on all Eurostat countries underwent a substantial redesign in January 2021. To ensure coherent labour market time series for the main indicators in the Norwegian LFS, we model the impact of the redesign. We use a state-space model that takes explicit account of...

The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...

Changing time series properties of US inflation and economic activity are analyzed within a class of extended Phillips Curve (PC) models. First, the misspecification effects of mechanical removal of low frequency movements of these series on posterior inference of a basic PC model are analyzed...

Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended Phillips Curve (PC) models. It is shown that mechanical removal or modeling of simple low frequency movements in the data may yield poor predictive results...

This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural vector error-correction model, where the structural...

Monitoring and forecasting price developments in the euro area is essential in the light of the second pillar of the ECBu0092s monetary policy strategy. This study analyses whether the forecasting accuracy of forecasting aggregate euro area inflation can be improved by aggregating forecasts of...