Recent structural VAR studies of the monetary transmission mechanism have voiced concerns about the use of recursive identification schemes based on short-run exclusion restrictions. We trace out the effects on impulse propagation of informational constraints embodying classical Cholesky-timing...

We examine the spill-over effects of interest rate transmission of United States monetary policy to peripheral countries with various exchange rate regimes and capital control management policies. To do so, we propose a two-state continuous-time hidden Markov-switching panel data model using an...

We address the identification of low-frequency macroeconomic shocks, such as technology, in Structural Vector Autoregressions. Whilst identification issues with long-run restrictions are well documented, we demonstrate that the recent attempt to overcome said issues using the Max-Share approach...

We study dynamic portfolio choice in a calibrated equilibrium model where value and momentum anomalies arise because capital moves slowly from under- to over-performing market segments. Over short horizons, momentum's Sharpe ratio exceeds value's, the value-momentum correlation is negative, and...

We compare two approaches to using information about the signs of structural shocks at specific dates within a structural vector autoregression (SVAR): imposing ‘narrative restrictions’ (NR) on the shock signs in an otherwise set-identified SVAR; and casting the information about the shock...

This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced...

We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification. By allowing for rich dynamic interaction between the...

The COVID-19 pandemic triggered an extreme variation in many key macroeconomic indicators. This paper documents that multivariate t-distributed errors are better equipped to capture this variation than common stochastic volatility in a Bayesian VAR. Diagnostics indicate that the data prefers to...

This paper studies the extent to which increases in bank credit supply available for small and medium firms can foster formal employment in Mexico. We use a detailed dataset containing loan-level information for all loans extended by commercial banks to private firms in Mexico during the...

Conventional wisdom holds that unanticipated expansionary monetary policy shocks cause transient but persistent decreases in real and nominal interest rates. However a number of econometric studies argue that the evidence favors the opposite view, namely that these shocks actually raise, rather...