Large-dimensional dynamic factor models and dynamic stochastic general equilibrium models, both widely used in empirical macroeconomics, deal with singular stochastic vectors, i.e., vectors of dimension r which are driven by a q-dimensional white noise, with q r. The present paper studies...

This paper describes an algorithm to compute the distribution of conditional forecasts,i.e. projections of a set of variables of interest on future paths of some othervariables, in dynamic systems. The algorithm is based on Kalman filtering methods andis computationally viable for large vector...

At a time when debt-to-GDP ratios are closely monitored in the Euro area, thispaper generates a set of stylized facts about sovereign debt and yields. First, Ipresent a new dataset on outstanding debt securities and yields for six EA countries(Belgium, Finland, France, Germany, Italy and Spain)...

We define rank-based estimators (R-estimators) for semiparametric time series models in whichthe conditional location and scale depend on a Euclidean parameter, while the innovation density isan infinite-dimensional nuisance. Applications include linear and nonlinear models, featuring...

Standard macro models cannot explain why real exchange rates are volatile anddisconnected from macro aggregates. Recent research argues that models with persistentgrowth rate shocks and recursive preferences can solve that puzzle. I show that this resultis highly sensitive to the structure of...

We explore the implications of an increase in clean technology spillovers between developedand developing countries. We build a 2-stage 2-country game of abatements in whichplayers are linked with technology spillovers. We show that, within a non-cooperative framework,the response of clean...