This paper has adopted a Bayesian FAVAR approach to examine the monetary transmission mechanism in North Macedonia. The model is based on a broad data set that encompasses 140 monthly time series spanning between January 2010 and January 2019. In particular, the impact of policy on bank...

Accurate and robust long-term cash flow forecasting is crucial for computing the intrinsic value of stocks. Bayesian Hierarchical model (BH) takes advantage of massive information sharing across firms and across time to model firm level mean-reversion speed and offers a better forecast for...

The rough path-dependent volatility (RPDV) model (Parent 2022) effectively captures key empirical features that are characteristic of volatility dynamics, making it a suitable choice for volatility forecasting. However, its complex structure presents challenges when it comes to estimating the...

This paper advances the application of Bayesian graphical structural vector autoregressive (BGSVAR) models to address the problem of impulse response estimation in VAR-based systems. The BGSVAR is designed as a robust empirical framework for impulse response estimation using information from the...

We revisit time-variation in the Phillips curve, applying new Bayesian panel methods with breakpoints to US and European Union disaggregate data. Our approach allows us to accurately estimate both the number and timing of breaks in the Phillips curve. It further allows us to determine the...

The validation of the Probabilities of Default estimated by a rating system model is particularly challenging in the context of low default portfolios; for example, Sovereign portfolios tend to exhibit a very low number (often zero) of defaults, so that traditional hypothesis tests are...

We study Bayesian persuasion for a binary decision problem in the presence of a data broker intermediary, who can garble the information she receives to maximize her revenue. We derive several structural properties of the broker's optimal menu under her information constraint, including that...

This article examines the determinants of global uncertainty. In contrast to the instrumental approach, which assesses the effect of uncertainty on socio-economic conditions or the political-institutional environment, we adopt an intrinsic approach that focuses on the factors influencing the...

Using a Bayesian multilevel (‘mixed effects’) model on a large firm-level panel we are able to isolate the secular decline in investment demand and test for causes of it. Our firm-level regression shows that the investment slowdown is a long-standing feature across most firms in 21 advanced...