We estimate a DSGE model with Preferences Over Safe Assets (POSA) on Euro Area macroeconomic data and interest rate … expectations measures. The model with POSA has much better empirical fit than the otherwise identical model without, especially … the model forecast of GDP and its components, with the best forecast delivered by the POSA model. Finally, with POSA, ECB …

This paper considers a time-varying vector error-correction model that allows for different time series behaviours (e … asymptotic properties for the model, and then propose estimation and inferential methods and theory for both short-run and long …

This paper extends the multivariate index autoregressive model by Reinsel (1983) to the case of cointegrated time … series of order (1, 1). In this new modelling, namely the Vector Error-Correction Index Model (VECIM), the first differences … fewer than the variables, the VECIM achieves a substantial dimension reduction w.r.t. the Vector Error Correction Model. We …