Non-performing loans (NPLs) rate is one of the main risks in commercial banks and is also a critical measure of the bank's financial performance and stability. Banks meet the growth rate of NPLs when the debtors are not able to meet their financial obligations in terms of repayment of loans....

We propose a long-term forecast model based on linear growth and mean reversion characteristics in the U.S. stock market. It can forecast future returns of the stock market, Treasury yield, and gold price. The “jubilee” name comes from its optimal trend-following window of 45 years. The...

Sign restrictions on impulse response functions are used in the literature to identify structural vector autoregressions and structural factor models. I extend the rank condition used for exclusion restrictions and provide a necessary and sufficient conditions for point identification for sign...

The analysis of the financial cycle and its interaction with the macroeconomy has become a central issue for the design of macroprudential policy since the 2007-08 financial crisis. This paper proposes the construction of financial cycle measures for the US based on a large data set of...

The analysis of the financial cycle and its interaction with the macroeconomy has become a central issue for the design of macroprudential policy since the 2007-08 financial crisis. This paper proposes the construction of financial cycle measures for the US based on a large data set of...

This chapter provides an overview of and user's guide to dynamic factor models (DFMs), their estimation, and their uses in empirical macroeconomics. It also surveys recent developments in methods for identifying and estimating SVARs, an area that has seen important developments over the past 15...

This short piece discusses the results of simple regression analysis using cross country data to determine the factors that have influenced fluctuations in real output during the covid-19 pandemic period. Focus is on explaining not only output growth from 2020 to the first half of 2021, but also...