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Should I stay or should I go? A latent threshold approach to large‐scale mixt...
We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the... -
Does global inflation help forecast inflation in industrialized countries? (r...
Ciccarelli and Mojon (CM; Review of Economics and Statistics, 2010, 92(3), 524-535) propose an inflation forecasting model incorporating a global inflation factor and show that... -
Tests of asset pricing with time‐varying factor loads (replication data)
This paper proposes an empirical asset pricing test based on the homogeneity of the factor risk premia across risky assets. Factor loadings are considered to be dynamic and... -
Mixed‐frequency models with moving‐average components (replication data)
Temporal aggregation in general introduces a moving-average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are... -
Monetary policy, housing rents, and inflation dynamics (replication data)
In this paper we study the effect of monetary policy shocks on housing rents. Our main finding is that, in contrast to house prices, housing rents increase in response to... -
The demand for season of birth (replication data)
We study the determinants of season of birth for married women aged 20-45 in the USA, using birth certificate and Census data. We also elicit the willingness to pay for season... -
Testing for time variation in the natural rate of interest (replication data)
This paper replicates in a wider sense the unobserved components model of Laubach and Williams (Review of Economics and Statistics, 2003, 85, 1063-1070) to estimate the natural... -
Heterogeneity in risk aversion and risk sharing regressions (replication data)
Heterogeneity in risk attitudes, if not properly accounted for, may induce a bias on the income coefficient of standard consumption insurance regressions. We show that,... -
The response of asset prices to monetary policy shocks: Stronger than thought...
Standard macroeconomic theory predicts rapid responses of asset prices to monetary policy shocks. Small-scale vector autoregressions (VARs), however, often find sluggish and...
