We analyze the interaction between credit and asset prices in the transmission of shocks to the real economy. We estimate a Markov switching VAR for the euro area and the US, including additionally GDP, CPI and a short-term interest rate. We find evidence for two distinct states in both regions....

Modelling the growth rate of economic time series with a Markov switching process in their mean and/or their variance allows to take account of two facts that are often encountered in such series, namely that the periods in which each mean is prevailing differ in their duration and that the...

We analyze quarterly occupation-level data from the US Current Population Survey for 1976-2013. Based on common cyclical employment dynamics, we identify two clusters of occupations that roughly correspond to the widely discussed notion of "routine" and "non-routine" jobs. After decomposing the...

The interaction of macroeconomic variables may change as the nominal shortterm interest rates approaches zero. In this paper, we propose an empirical model capturing these changing dynamics with a time-varying parameter vector autoregressive process. State-dependent parameters are determined by...

We combine the factor augmented VAR framework with recently developed estimation and identification procedures for sparse dynamic factor models. Working with a sparse hierarchical prior distribution allows us to discriminate between zero and non-zero factor loadings. The non-zero loadings...

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...