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This paper builds a mixed‐frequency panel data model for nowcasting economic variables across many countries. The model extends the mixed‐frequency panel vector autoregression (MF‐PVAR) to allow for heterogeneous coefficients and a multifactor error structure to model cross‐sectional dependence....
We examine the relationship between exchange rates and macroeconomic fundamentals using a two‐step maximum likelihood estimator through which we compute time‐varying factor loadings. Factors are obtained as principal components, extracted from vintage macro‐datasets that combine FRED‐MD and OECD...
This paper presents a macro‐finance model of the US economy and the spot and futures markets for oil. The performance of the model is greatly enhanced by using the Kalman filter to model latent variables representing the inflation asymptote, the real price of oil and the slope of the futures...
We revisit the US weekly economic index (WEI) put forth by Lewis, Mertens, Stock and Trivedi (2021). In a narrow sense, we replicate their main results with data gathered from its original sources. In a wide sense, we apply the methodology established in Wegmüller, Glocker and Guggia (2023) to...
This paper provides a framework for testing multiple null hypotheses simultaneously using experimental data in which simple random sampling is used to assign treatment status to units. Using general results from the multiple testing literature, we develop under weak assumptions a procedure that...
This paper undertakes both a narrow and wide replication of the estimation of a money demand function conducted by Ireland (American Economic Review, 2009). Using US data from 1980 to 2013, we show that the substantial increase in the money‐income ratio during the period of near‐zero interest...
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