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Statistical identification in panel structural vector autoregressive models b...
This paper introduces a novel panel approach to structural vector autoregressive analysis. For identification, we impose independence of structural innovations at the pooled... -
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... -
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... -
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... -
The Estimation of Reaction Functions under Tax Competition
Most of the empirical literature on tax competition has been using panel models in which each country's tax rate responds to a weighted average of other countries' tax rates,...
