In this theoretical report, the identifiability property of a coincident index model is studied. As a result, characterization of the identifiability conditions solves a model specification problem, which was detected in the design of an earlier index for the Colombian economy.

This paper presents a new framework allowing strategic investors to generate yield curve projections contingent on expectations about future macroeconomic scenarios. By consistently linking the shape and location of yield curves to the state of the economy our method generates predictions for...

This paper challenges previous empirical evidence on output-inflation trade-off described in the hybrid New Keynesian Phillips curve. I estimate key coefficients of the hybrid gap-based New Keynesian Phillips curve, with both the forward- and backward-looking inflation components, in the Czech...

Mediation is a causal process that evolves over time. Thus, a study of mediation requires data collected throughout the process. However, most applications of mediation analysis use cross-sectional rather than longitudinal data. Another implicit assumption commonly made in longitudinal designs...

This discussion paper resulted in an article in the <I>Journal of the Royal Statistical Society Series A</I> (2008). Vol. 171, issue 1, pages 265-277.<P> Risk is at the center of many policy decisions in companies, governments and other institutions. The risk of road fatalities concerns local governments...</p></i>

This discussion paper resulted in an article in the <I>International Journal of Forecasting</I> (2014). Volume 30, pages 572-584.<P> We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis. Key economic variables are modeled jointly with...</p></i>

This paper investigates the relative role of price discovery between two long-term swap contracts that exchange between the U.S. dollar and the Japanese yen: cross-currency basis swap and FX (foreign exchange) swap. First, we show that these two swaps should be in a no-arbitrage relationship by...

Monitoring the behavior of potential output helps policymakers implement appropriate policies in response to an economic crisis. In the short-run, estimates of the output gap will guide the timing of implementation and withdrawal of stimulus measures. In the medium- to long-term, these estimates...

This paper describes a methodology to estimate the coefficients, to test specification hypotheses and to conduct policy exercises in multi-country VAR models with cross unit interdependencies, unit specific dynamics and time variations in the coefficients. The framework of analysis is Bayesian:...

With the aim of constructing predictive distributions for daily returns, we introduce a new Markov normal mixture model in which the components are themselves normal mixtures. We derive the restrictions on the autocovariances and linear representation of integer powers of the time series in...