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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... -
On the Low-Frequency Relationship Between Public Deficits and Inflation (repl...
We estimate the low-frequency relationship between fiscal deficits and inflation and pay special attention to its potential time variation by estimating a time-varying vector... -
MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANA...
The mismatch between the timescale of DSGE (dynamic stochastic general equilibrium) models and the data used in their estimation translates into identification problems,... -
SEMIPARAMETRIC VECTOR MEM (replication data)
Financial time series are often non-negative-valued (volumes, trades, durations, realized volatility, daily range) and exhibit clustering. When joint dynamics is of interest,... -
Codependence in cointegrated autoregressive models (replication data)
This paper investigates codependent cycles, i.e., transitory components that react to common stimuli in a similar, although not necessarily synchronous fashion. Unlike previous... -
Exploring the international linkages of the euro area: a global VAR analysis ...
This paper presents a quarterly global model combining individual country vector error-correcting models in which the domestic variables are related to the country-specific... -
The transmission mechanism in a changing world (replication data)
The paper aims to identify those factors that cause changes in the speed and strength of the international transmission of output shocks from the USA to specified European...
