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Estimating the Dynamics and Persistence of Financial Networks, with an Applic...
We propose a novel methodology for dynamic econometric modelling of large financial networks subject to persistence, structural changes and sparsity. We estimate bivariate... -
Dynamics of the federal funds target rate: a nonstationary discrete choice ap...
We apply a discrete choice approach to model the empirical behaviour of the Federal Reserve in changing the federal funds target rate, the benchmark of short-term market... -
Why were changes in the federal funds rate smaller in the 1990s? (replication...
We identify two major changes in the dynamics of the federal funds rate in the 1990s. We model the desired rate in a two-regime setting, one when the Fed makes no change and the...
