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Money Growth and Inflation: A Quantile Sensitivity Approach
Then, the proposed framework is exploited to examine the distributional effects of money growth on the distributions of inflation and its disaggregate measures in the United States and the Euro area.
High-Dimensional Conditionally Gaussian State Space Models with Missing Data
A key insight underlying the proposed approach is that the joint distribution of the missing data conditional on the observed data is Gaussian.
Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP
Timely characterizations of risks in economic and financial systems play an essential role in both economic policy and private sector decisions.
Efficient Estimation of State-Space Mixed-Frequency VARs: A Precision-Based Approach
Results from these two empirical applications highlight the importance of incorporating high-frequency indicators in macroeconomic models.
