Discussion paper DP17265 When do state-dependent local projections work? Silvia Goncalves Ana Maria Herrera Lutz Kilian Elena Pesavento 28 Apr 2022 Local projection State-dependent impulse responses Threshold Identification Nonlinear var International Macroeconomics and Finance C22 C32 C51
Discussion paper DP17225 Three Common Factors Elena Andreou Patrick Gagliardini Eric Ghysels Mirco Rubin 15 Apr 2022 Testing common factors Portfolio sorting Factor zoo Financial Economics C22 C38 C53 C55 G10 G12
Discussion paper DP17162 Aggregate Skewness and the Business Cycle Martin Iseringhausen Ivan Petrella Konstantinos Theodoridis 30 Mar 2022 Business Cycles Asymmetry Principal component analysis Quantile regression Var Monetary Economics and Fluctuations C22 C38 E32
Discussion paper DP17134 Local Projections in Unstable Environments: How Effective is Fiscal Policy? Atsushi Inoue Barbara Rossi Yiru Wang 24 Mar 2022 Time variation Local projections Instability Path estimator Weighted average risk Fiscal policy Fiscal multiplier monetary policy Government spending Monetary Economics and Fluctuations C22 C26 C32 C36 C53
Discussion paper DP16728 International Evidence on Vaccines and the Mortality to Infections Ratio in the Pre-Omicron Era Joshua Aizenman Alex Cukierman Yothin Jinjarak Weining Xin 23 Feb 2022 Vaccines Mortality Infections Mortality/infection ratio Policy implications International Macroeconomics and Finance Public Economics I18 I12 H41 H51 C21 C22 D7
Discussion paper DP15923 SVARs With Occasionally-Binding Constraints Borağan Aruoba Marko Mlikota Frank Schorfheide Sergio Villalvazo 15 Mar 2021 Bayesian inference Effective lower bound Limited dependent variables Sequential monte carlo methods Structural vars Shadow rate Monetary Economics and Fluctuations C11 C22 C34 E32 E52
Discussion paper DP15787 Spillover Effects in International Business Cycles Gabriel Pérez-Quirós Máximo Camacho Matias Jose Pacce 9 Feb 2021 Spillovers Business cycle Mixed-frequency Monetary Economics and Fluctuations E32 C22 F42 F41
Discussion paper DP15545 The Role of the Prior in Estimating VAR Models with Sign Restrictions Atsushi Inoue Lutz Kilian 11 Dec 2020 Prior Posterior Impulse response Loss function Joint inference Absolute loss International Macroeconomics and Finance C22 C32 C52 E31 Q43
Discussion paper DP15403 A Comparison of Monthly Global Indicators for Forecasting Growth Christiane Baumeister Pierre Guerin 22 Oct 2020 Midas models Global economic conditions World gdp growth Nowcasting Forecasting Mixed frequency International Macroeconomics and Finance Monetary Economics and Fluctuations C22 C52 E37
Discussion paper DP14492 Growth-and-Risk Trade-off Maria Dolores Gadea Rivas Luc Laeven Gabriel Pérez-Quirós 14 Mar 2020 Business cycles Macroprudential policies Credit growth International Macroeconomics and Finance C22 E32 E61
Discussion paper DP14484 Real-Time Weakness of the Global Economy: A First Assessment of the Coronavirus Crisis Danilo Leiva-León Gabriel Pérez-Quirós Eyno Rots 12 Mar 2020 International business cycles Factor model Nonlinear Coronavirus International Macroeconomics and Finance E32 C22 E27
Discussion paper DP14456 Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence Barbara Rossi Tatevik Sekhposyan Lukas Hoesch 29 Feb 2020 monetary policy Information channel of monetary policy Instabilities Forecasting Monetary Economics and Fluctuations E52 E58 C11 C14 C22
