I explore whether time-series methods exploiting the long-run equilibrium properties of the housing market might have detected the disequilibrium in U.S. house prices which pre-dated the Great Recession as it was building up. Based on real-time data, I show that a VAR in levels identified as in...

Since World War II, permanent interest rate shocks have driven nearly all of the fluctuations of U.S. M1 velocity, which is cointegrated with the short rate, and most of the long-horizon variation in the velocity of M2-M1. Permanent velocity shocks specific to M2-M1, on the other hand, have...

All economists say that they want to take their model to the data. But with incomplete and highly imperfect data, doing so is difficult and requires carefully matching the assumptions of the model with the statistical properties of the data. The cointegrated VAR (CVAR) offers a way of doing so....

Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to Cochrane's (1994a) proposal to estimate the permanent...

Provides an analysis of dynamic modelling in econometrics by bridging the unit-root gap between structural and time series approaches and focusing on representation theorems of (co)integrated processes.The book also presents an analytical setting to guide the formulation and solution in closed...