While the efficiency of economic arrangements is the primary focus of economic research, we may ask whether the efficiency improvements that have been experienced in the developed economies have been accompanied by increased vulnerability of output to catastrophic events. In order to address...

This paper uses payments system data to study the impact on personal consumption expenditure, and therefore on economic activity, of occasional extreme events. The usual quarterly data supplied by central statistical agencies are of little use to policy makers for monitoring effects of...

Regression models sometimes contain a linear parametric part and a part obtained by reducing the dimension of a larger set of data. This paper considers properties of estimates of the interpretable parameters of the model, in a general setting in which a potentially unbounded set of other...

This paper applies new diagnostics to the Bank of England's pioneering density forecasts (fan charts). We compute their implicit probability forecast for annual rates of inflation and output growth that exceed a given threshold (in this case, the target inflation rate and 2.5% respectively.)...

Financial returns typically display heavy tails and some skewness, and conditional variance models with these features often outperform more limited models. The difference in performance may be especially important in estimating quantities that depend on tail features, including risk measures...

We describe and assess the usefulness of a newly-constructed database of electronic payments, comprised of debit and credit card transactions as well cheques that clear through the banking system, as indicators of current GDP growth. Apart from capturing a broad range of spending activity, these...

GARCH models and their variants are usually estimated using quasi-Maximum Likelihood (QML). Recent work has shown that by using estimates of quadratic variation, for example from the daily realized volatility, it is possible to estimate these models in a different way which incorporates the...

A probabilistic forecast is the estimated probability with which a future event will satisfy a specified criterion. One interesting feature of such forecasts is their calibration, or the match between predicted probabilities and actual outcome probabilities. Calibration has been evaluated in the...

We measure consumers' use of cash by harmonizing payment diary surveys from seven countries. The seven diary surveys were conducted in 2009 (Canada), 2010 (Australia), 2011 (Austria, France, Germany and the Netherlands), and 2012 (the United States). Our paper finds cross-country differences –...

We build a model of competition between strategic data intermediaries collecting consumer information that they sell to firms competing in a product market. Each intermediary has access to exclusive information on a group of consumers and competes with other intermediaries on a common group of...