Intensive growth, structural change and expanding informality has characterized many developing and emerging economies in recent decades. Yet most empirical investigations into the relationship between structural change and productivity growth overlook informality. This paper includes the...

This paper studies the co-movement of global yield curve dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. Our data-driven approach is able to pin down the drivers of yield curve dynamics and produce plausible term premium estimates. We reveal the...

Using the nationally representative Indian household surveys collected by National Sample Survey Organization, we examine the welfare gaps across social groups for the entire distribution in 1983, 1993-94, 2004-05, and 2011-12. We use spatially adjusted per capita consumption expenditure as the...

Composite equity issuance (CEI) anomaly was one of well-known stock anomalies. Kent Daniel and Sheridan Titman in their 2006 paper, “Market Reaction to Tangible and Intangible Information”, broke down stock return into tangible and intangible return and argued that intangible return can...

The classical vector autoregressive model is a fundamental tool for multivariate time series analysis. However, it involves too many parameters when the number of time series and lag order are even moderately large. This paper proposes to rearrange the coefficient matrices of the model into a...

Inflation rates rose sharply in the Philippines during 2018. Understanding the demand and supply sources of inflation pressures is key to monetary policy response. Qualitatively, indicators have pointed to evidence of inflation pressures from both sides in 2018, with the supply factors, by and...

Evidence presented in Dasgupta et al. (2011) indicates that financial institutions can be net buyers or sellers of a stock over consecutive quarters, implying the existence of trends in a stock's institutional ownership. I investigate the relation between institutional ownership and returns...

Entry rates into self-employment increase during recessions and decrease during economic upswings. I show that this is mostly explained by the higher unemployment rate during a recession, together with the fact that at all times, unemployed persons have a relatively high propensity to become...

The Beveridge-Nelson decomposition based on autoregressive models produces estimates of the output gap that are strongly at odds with widely-held beliefs about transitory movements in economic activity. This is due to parameter estimates implying a high signal-to-noise ratio in terms of the...