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Reassessing the Predictive Power of the Yield Spread for Recessions in the Un...
Details of the Data and Code for this paper are in readme_cv.pdf. Abstract Rudebusch and Williams (2009, RW) predict recessions in the United States utilising a probit model... -
Peer desirability and academic achievement (replication data)
Replication materials for the paper “Peer desirability and academic achievement" by Adrian Mehic. It contains a readme file, one Excel document, and one Stata do file. -
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,... -
Oil prices in the real economy (replication data)
Replication materials for "Oil prices in the real economy", by Haicheng Shu and Peter Spencer, Journal of Applied Econometrics, forthcoming. -
The Federal Reserve’s output gap: The unreliability of real-time reliability ...
Data Set and Online Appendix for: Josefine Quast and Maik H. Wolters, "The Federal Reserve’s Output Gap: The Unreliability of Real-Time Reliability Tests", Journal of Applied... -
Fiscal targets: A guide to forecasters? (replication data)
We formulate and estimate empirical models for a selection of EU countries (Germany, France, Italy, Spain, Portugal and Ireland) to show that ex-ante government (consumption)... -
Is euro area lowflation here to stay? Insights from a time‐varying parameter ...
We build a time-varying parameter model that jointly explains the dynamics of euro area inflation and inflation expectations. Our goal is to explain the weak inflation during... -
Unobserved components with stochastic volatility: Simulation‐based estimation...
The unobserved components time series model with stochastic volatility has gained much interest in econometrics, especially for the purpose of modelling and forecasting... -
A factor‐augmented vector autoregressive (FAVAR) approach for monetary policy...
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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... -
Loan Supply Shocks and the Business Cycle (replication data)
This paper provides empirical evidence on the role played by loan supply shocks over the business cycle in the euro area, the UK and the USA from 1980 to 2011 by estimating... -
Forecasting Tail Risks (replication data)
This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial risks obtained using a large database of monthly US data... -
Reanalyzing Zero Returns to Education in Germany (replication data)
Pischke and von Wachter (Review of Economics and Statistics 2008; 90(3): 592-598) find zero earnings returns to compulsory schooling in the basic school track in Germany. We... -
The Contribution of Structural Break Models to Forecasting Macroeconomic Seri...
This paper compares the forecasting performance of models that have been proposed for forecasting in the presence of structural breaks. They differ in their treatment of the... -
POSTERIOR‐PREDICTIVE EVIDENCE ON US INFLATION USING EXTENDED NEW KEYNESIAN PH...
Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended New Keynesian Phillips curve (NKPC)...
