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...

The trend real interest rate plays an important role in monetary policy decision making. Many papers have estimated it. However, the uncertainty surrounding these estimates is substantial. In this paper, we construct a new measure of the trend real interest rate in a data-rich environment using...

The trend real interest rate is important for monetary policy decision making and understanding the secular decline in interest rates. Many papers have estimated it. However, the uncertainty surrounding these estimates is substantial. In this paper, using the US data, we construct a new measure...

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...

We introduce a mixed-frequency score-driven dynamic model for multiple time series where the score contributions from high-frequency variables are transformed by means of a mixed-data sampling weighting scheme. The resulting dynamic model delivers a flexible and easy-to-implement framework for...

We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...