We propose a method to adjust for data outliers in Bayesian Vector Autoregressions (BVARs), which allows for different outlier magnitudes across variables and rescales the reduced form error terms. We use the method to document several facts about the effect of outliers on estimation and...

What are the main narratives among the public regarding the future course of the Colombian economy, and how do they compare to those of the Central Bank of Colombia? Macroeconomic forecasts collected through surveys mainly assess observable variables; therefore, they offer little understanding...

We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a...

We provide a toolkit for efficient online estimation of heterogeneous agent (HA) New Keynesian (NK) models based on Sequential Monte Carlo methods. We use this toolkit to compare the out-of-sample forecasting accuracy of a prominent HANK model, Bayer et al. (2022), to that of the representative...

We propose a mixed‑frequency regression prediction approach that models a time‑varying trend, stochastic volatility and fat tails in the variable of interest. The coefficients of high‑frequency indicators are regularised via a shrinkage prior that accounts for the grouping structure and...

We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a...

We propose an unobserved components model with stochastic volatility and structural shocks to explore the relevant factors that influence trend inflation in the USA. Using structural shocks that incorporate a broad set of information for the US economy, we find that four structural shocks have...