The Fed's policy rule switches during the different phases of the business cycle. This finding is established using a dynamic mixture model to estimate regime-dependent Taylor-type rules on US quarterly data from 1960 to 2021. Instead of exogenously partitioning the data based on tenures of the...

The Fed's policy rule switches during the different phases of the business cycle. This finding is established using a dynamic mixture model to estimate regime-dependent Taylor-type rules on US quarterly data from 1960 to 2021. Instead of exogenously partitioning the data based on tenures of the...

A dynamic modelling for heavy-tailed cylindrical time series is developed by combining score-driven models with a generalised Pareto-type cylindrical distribution. The proposed specification extends existing cylindrical models by allowing location, scale, concentration, and crucially, the tail...

The real effects of monetary policy depend on price stickiness. Existing studies that measure aggregate stickiness using US consumer price index microdata hold the consumption basket fixed. This yields a lower level of stickiness in 2024 compared with 1978. We show instead that stickiness is...

Conventional VAR-based volatility spillover measures rely on homoskedasticity and single-Gaussian assumptions, limiting their ability to capture structural breaks and heterogeneous shocks during crises. This study develops a flexible framework to analyze volatility transmission in U.S. commodity...