This note puts forward a new modelling approach that includes both fractional integration and autoregressive processes in a unified framework. The proposed model is very general and includes other more standard approaches such as the AR(F)IMA models. Some Monte Carlo evidence shows that the...

Directed acyclic graphs (DAGs) provide a transparent framework for encoding causal structures and identifying causal effects. This paper demonstrates how DAGs help specify local projections (LPs) for estimating causal impulse responses. Examples illustrate how graphical rules can be used to...

Financial Conditions Indices (FCIs) are a widely used tool for assessing the broader monetary policy stance beyond the central bank's direct control. This paper presents a novel vector autoregressive (VAR) model that includes key macroeconomic variables and maps financial variables into a single...