This paper presents a novel dynamic factor model for non-stationary data. We begin by constructing a simple dynamic stochastic general equilibrium growth model and show that we can represent and estimate the model using a simple linear-Gaussian (Kalman) filter. Crucially, consistent estimation...

Are empirical measures of uncertainty informative about risks to future economic activity? I use quantile regression analysis and density predictions on United States data to show that the relationship between macroeconomic uncertainty and future GDP growth is nonlinear and asymmtric. The left...

The COVID-19 pandemic and associated policy responses triggered a historically large wave of capital reallocation between markets, asset classes, and industries. Using high-frequency country-level data, we examine if and how the number of infections, the stringency of the lockdown, and the...

The COVID-19 pandemic and associated policy responses triggered a historically large wave of capital reallocation between markets and asset classes. Using high-frequency country-level data, this paper examines if and how the number of COVID cases, the stringency of the lockdown, and the fiscal...

The COVID-19 pandemic and associated policy responses triggered a historically large wave of capital reallocation between markets and asset classes. Using high-frequency country-level data, this paper examines if and how the number of COVID cases, the stringency of the lockdown, and the fiscal...

Are empirical measures of uncertainty informative about risks to future economic activity? I use quantile regression analysis and density predictions on United States data to show that the relationship between macroeconomic uncertainty and future GDP growth is nonlinear and asymmtric. The left...