Independent Component Analysis (ICA) is a statistical method that linearly transforms a random vector. Under the assumption that the observed data are mixtures of non-Gaussian and independent processes, ICA is able to recover the underlying components, but at scale and order indeterminacy. Its...

IV methods have become the leading approach to identify the effects of macroeconomic shocks. Conditions for identification generally involve all the shocks in the VAR even when only a subset of them is of interest. This paper provides more general conditions that only involve the shocks of...

This paper applies ARDL and Nonlinear ARDL models to long-term inflation targeting policy mechanisms in the United States and China to assess the impact of oil price dynamics and asymmetries on inflation expectations in the two countries, as well as the difference of this impact before and after...

This paper considers the macroeconomic effects of shocks with different persistence properties identified from surveys of expectations. Using a GARCH-in-Mean model for the US, we present persistence profiles to illustrate how news about events occurring over different time frames plays different...

We study dynamic portfolio choice in a calibrated equilibrium model where value and momentum anomalies arise because capital moves slowly from under- to over-performing market segments. Over short horizons, momentum's Sharpe ratio exceeds value's, the value-momentum correlation is negative, and...

In a context of high economic uncertainty, this paper aims to analyse the impacts of uncertainty on income and wealth inequality in the four largest economies of the euro area: Germany, France, Italy and Spain. This is the first study to evaluate this relationship in these countries and the...

I nflation forecast is one of the tools in targeting inflation by the central bank. The most important problem of previous models to forecast the inflation is that they could not provide a correct prediction over time. However, the central bank policymakers shall seek to create economic...

This paper introduces a flexible local projection that generalises the model by Jorda (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first...

The aims of this paper are as follows: To examine the dynamic effects of discretionary fiscal policy shocks on key macroeconomic variables in Sierra Leone. Also, to empirically investigate which fiscal policy tool is most efficient for short-run macroeconomic stabilization in Sierra Leone. These...

This paper introduces a new regime dependence of monetary policy due to information frictions: the effects of monetary policy shocks depend on the type of the fundamental macro shock in the economy. Specifically, output responses to monetary policy shocks are amplified relative to their...