We proxy Global Real Economic Activity with the cost of shipping 6 major commodities: crude oil, natural gas, coal, grain, container & airplane parcel. We show that the business cycle decomposition of this newly called BiB indicator tracks very well the business cycle inferred from the world...

In this paper we assess whether the relation between the corporate bond-yield spread and the real economy has been stable over time. Using quarterly US data from 1953Q1 to 2018Q2, we estimate Bayesian VAR models which allow for drifting parameters and/or stochastic volatility and conduct formal...

We propose a general class of multivariate fat-tailed distributions which includes the normal, t and Laplace distributions as special cases as well as their mixture. Full conditional posterior distributions for the Bayesian VAR-model are derived and used to construct a MCMC-sampler for the joint...