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Understanding the economic determinants of the severity of operational losses...
We investigate a novel database of 10,217 extreme operational losses from the Italian bank UniCredit. Our goal is to shed light on the dependence between the severity... -
How the baby boomers' retirement wave distorts model‐based output gap estimat...
This paper illustrates, based on an example, the importance of consistency between empirical measurement and the concept of variables in estimated macroeconomic models. Since... -
Dynamic factor model with infinite‐dimensional factor space: Forecasting (rep...
The paper compares the pseudo real-time forecasting performance of three dynamic factor models: (i) the standard principal component model introduced by Stock and Watson in... -
Bayesian model comparison for time‐varying parameter VARs with stochastic vol...
We develop importance sampling methods for computing two popular Bayesian model comparison criteria, namely, the marginal likelihood and the deviance information criterion (DIC)... -
Identifying contagion (replication data)
Identifying contagion effects during periods of financial crisis is known to be complicated by the changing volatility of asset returns during periods of stress. To untangle... -
Analyzing the Efficiency of County Road Production– Evidence from Eastern Ger...
This study analyzes the efficiency of the road production by local governments using data envelopment analysis. The production of roads is a costly public service, which makes... -
Data set for Roodman replication of Bleakley 2007
This dataset has no description
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Worker Personality: Another Skill Bias beyond Education in the Digital Age
We present empirical evidence suggesting that technological progress in the digital age will be biased not only with respect to skills acquired through education but... -
Should forecasters use real-time data to evaluate leading indicator models fo...
In this paper we investigate whether differences exist among forecasts using real-time or latest-available data to predict gross domestic product (GDP). We employ...
