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Structural FECM: Cointegration in large‐scale structural FAVAR models (replic...
Starting from the dynamic factor model for nonstationary data we derive the factor-augmented error correction model (FECM) and its moving-average representation. The latter is... -
Credit Booms Gone Bust: Replication of Schularick and Taylor (AER 2012) (repl...
This paper replicates the results in Schularick and Taylor (American Economic Review 2012; 102(2): 1029-1061; ST hereafter). Specifically, I replicate ST's results in the narrow... -
Monetary Policy and Asset Prices: A Markov-Switching DSGE Approach (replicati...
This paper estimates a Markov-switching dynamic stochastic general equilibrium model by incorporating stock prices in monetary policy rules in order to identify the Federal... -
Modelling Inflation Volatility (replication data)
This paper discusses estimation of US inflation volatility using time-varying parameter models, in particular whether it should be modelled as a stationary or random walk... -
ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rat...
This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday... -
Forecast Rationality Tests in the Presence of Instabilities, with Application...
This paper proposes a framework to implement regression-based tests of predictive ability in unstable environments, including, in particular, forecast unbiasedness and... -
Monetary Policy and the Housing Market: A Structural Factor Analysis (replica...
This paper studies the role of the Federal Reserve's policy in the recent boom and bust of the housing market, and in the ensuing recession. By estimating a structural dynamic...
