This paper examines the correlation between uncertainty and real GDP growth. We use the volatility of real GDP growth from a VAR, stock market volatility, survey-based forecast dispersion, and the index from Jurado et al. (2015) as proxies for uncertainty. In each case, a stronger negative...

We use a dynamic hierarchical factor model to identify the national, regional, and local factors of the city-level housing price growth in China from 2005 to 2015. During the zero-lower-bound (ZLB) episode in the U.S., local factors account for 78% of variations in the month-on-month city-level...

In a market-based financial system, like that of the US, liquidity conditions best expressed in terms of change of broker-dealers balance sheet. To empirically address the issue, aggregated balance-sheet data of broker-dealers from the US flow-of-fund got incorporated into a Bayesian TVP-VAR...

Interest rate decisions by central banks are universally discussed in terms of Taylor rules, which describe policy rates as responding to inflation and some measure of the output gap. We show that an alternative specification of the monetary policy reaction function, in which the interest rate...

This paper proposes full-Bayes priors for time-varying parameter vector autoregressions (TVP-VARs) which are more robust and objective than existing choices proposed in the literature. We formulate the priors in a way that they allow for straightforward posterior computation, they require...

In this paper we assess the macroeconomic effects of two of the flagship unconventional monetary policies used by the Bank of England during the later stages of the global economic crisis: additional quantitative easing (QE) and the introduction of the Funding for Lending Scheme (FLS). We argue...

In this paper we estimate ideal points of Bank Presidents and Board Governors at the FOMC. We use stated preferences from FOMC transcripts and estimate a hierarchical spatial voting model. We find a clear difference between the average Board Governor and Bank President. We find little evidence...

We estimate a no-arbitrage model of the term structure of international interbank spreads, and attempt to disentangle credit and liquidity risk premium in the interbank market. We study the consistency of the spreads' movements across major currencies and assess the effectiveness of monetary...

This paper examines the importance of using nonlinear methods to account for the zero lower bound (ZLB) on the Fed's policy rate. We estimate three models with a particle filter: (1) a nonlinear model with a ZLB constraint; (2) a constrained linear model that imposes the constraint in the filter...

Using a panel of 24 OECD countries for the sample 1990-2019 and a standard macroeconomic framework, the paper tests the combined macroeconomic effects of climate change, environmental policies and technology. Overall, we find evidence of significant macroeconomic effects over the business cycle:...