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Time Variation in Macro-Financial Linkages (replication data)
We analyze the contribution of credit spread, house and stock price shocks to the US economy based on a time-varying parameter vector autoregressive model. We find that the... -
Optimal Portfolio Choice Under Decision‐Based Model Combinations (replication...
We propose a density combination approach featuring combination weights that depend on the past forecast performance of the individual models entering the combination through a... -
Noncausal Bayesian Vector Autoregression (replication data)
We consider Bayesian analysis of the noncausal vector autoregressive model that is capable of capturing nonlinearities and effects of missing variables. Specifically, we devise... -
Mismatch Shocks and Unemployment During the Great Recession (replication data)
We investigate the macroeconomic consequences of fluctuations in the effectiveness of the labor market matching process with a focus on the Great Recession. We conduct our... -
Demographics and Business Cycle Volatility: A Spurious Relationship? (replica...
This paper replicates the estimation results of three studies on the impact of the age composition of the labor force on business cycle volatility and investigates whether they... -
Forecasting with Global Vector Autoregressive Models: a Bayesian Approach (re...
This paper develops a Bayesian variant of global vector autoregressive (B-GVAR) models to forecast an international set of macroeconomic and financial variables. We propose a... -
Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Pan...
The proposed panel Markov-switching VAR model accommodates changes in low and high data frequencies and incorporates endogenous time-varying transition matrices of... -
Bubbles and Crises: The Role of House Prices and Credit (replication data)
This paper utilizes quarterly panel data for 20 OECD countries over the period 1975:Q1-2014:Q2 to explore the importance of house prices and credit in affecting the likelihood...
