Throughout history, governments and investors have relied on predictions of prices for a broad spectrum of commodities. Using time-series data covering 08/23/2013-04/15/2021, this study investigates the challenging problem of predicting scrap steel prices, which are issued daily for the...

This paper introduces a Bayesian Quantile Factor Augmented VAR (BQFAVAR) to examine the asymmetric effects of monetary policy throughout the business cycle. Monte Carlo experiments demonstrate that the model effectively captures non-linearities in impulse responses. Analysis of aggregate...

We study the application of approximate mean field variational inference algorithms to Bayesian panel VAR models in which an exchangeable prior is placed on the dynamic parameters and the residuals follow either a Gaussian or a Student-t distribution. This reduces the estimation time of possibly...

This paper presents a framework for empirical analysis of dynamic macroeconomic models using Bayesian Öltering, with a speciÖc focus on the state-space formulation of Dynamic Stochastic General Equilibrium (DSGE) models with multiple regimes. We outline the theoretical foundations of model...

What drives the recent inflation surge? To answer this question, one must decompose inflation fluctuations into the contribution of structural shocks. We document how whimsical such a historical shock decomposition can be in standard vector autoregressive (VAR) models. We show that the...

We provide a versatile nowcasting toolbox that supports three model classes (dynamic factor models, large Bayesian VAR, bridge equations) and offers methods to manage data selection and adjust for Covid-19 observations. The toolbox aims at simplifying two key tasks: creating new nowcasting...

Previous research on the globalization-welfare state nexus has typically been conducted within a linear monotonic framework, focusing on two primary hypotheses. The efficiency hypothesis predicts that globalization shrinks the welfare state's size. In contrast, the compensation hypothesis argues...