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Nonlinearities in macroeconomic tail risk through the lens of big data quanti...
Modeling and predicting extreme movements in GDP is notoriously difficult and the selection of appropriate covariates and/or possible forms of nonlinearities are key in... -
Forecasting and stress testing with quantile vector autoregression (replicati...
Replication materials for "Forecasting and stress testing with quantile vector autoregression" by S. Chavleishvili and S. Manganelli, Journal of Applied Econometrics, 2023,... -
Heterogeneity and dynamics in network models (replication data)
Description of dataset (from Datastream, Bloomberg and BIS) corresponding to the paper "Heterogeneity and Dynamics in Network Models" by Enzo D'Innocenzo, Andre Lucas, Anne... -
Heterogeneous responses to corporate marginal tax rates: Evidence from small ...
Do small and large firms respond differently to tax cuts? Using new narrative measures of the exogenous variation in corporate marginal tax rates and a unique dataset of U.S.... -
Identifying exchange rate effects and spillovers of U.S. monetary policy shoc...
We propose a novel econometric approach to estimating time-varying policy effects using external instruments in the presence of time-varying instrument relevance in a... -
Exchange rates and macroeconomic fundamentals (replication data)
We examine the relationship between exchange rates and macroeconomic fundamentals using a two-step maximum likelihood estimator through which we compute time-varying factor... -
US Weekly Economic Index: Replication and extension (replication data)
Replication materials for "US Weekly Economic Index: Replication and extension", by Philipp Wegmueller and Christian Glocker, Journal of Applied Econometrics, forthcoming. -
Oil prices uncertainty, endogenous regime switching, and inflation anchoring ...
Data and code to replicate the results in "Oil prices uncertainty, endogenous regime switching, and inflation anchoring" -
Understanding trend inflation through the lens of the goods and services sect...
We distinguish between the goods and services sectors in an unobserved components model of U.S. inflation. We find that prior to the early 1990s, both sectors contributed to... -
Subspace shrinkage in conjugate Bayesian vector autoregressions (replication ...
For the empirical exercise we use quarterly macroeconomic data for the US, obtained from the FRED-QD database (https://research.stlouisfed.org/econ/mccracken/fred-databases/).... -
Global Financial Uncertainty (replication data)
Giovanni Caggiano and Efrem Castelnuovo's "Global Financial Uncertainty" dataset. It contains: i) the monthly volatility data used to estimate our global, region, and...
