We propose a novel specification strategy using a SVAR identified with zero and sign-restrictions to uncover real-time financial shocks in an emerging market. By adding a foreign exogenous block and differentiating between local and US risk premia, we build on the literature that employs...

This paper studies the effects of Foreign Direct Investment (FDI) on aggregate productivity growth. To address this question, I use a Panel VAR whose estimator is System GMM for 134 countries and I divide those countries in High-, Middle- and Low-Income Countries for period 1990-2018. I find...

The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...

We employ a structural vector autoregression (SVAR) model to analyze how macro disturbances on inflation, global supply chain, and industry production influence the U.S. stock market returns. We find stock market returns are significantly negatively related to the risk premium shock and monetary...

We show that the design of fiscal policy does play a role in shaping the yield curve which has quantitative consequences for the cost of private and government financing. We combine government spending shock identification strategies from the fiscal macro literature with recent advancements in...

This study examines the contemporaneous return transmission mechanism across the G20 stock market returns employing a novel R2 connectedness framework which combines the network approach of Kenett et al. (2010, 2015) and the connectedness approach of Diebold and Yilmaz (2012, 2014). The employed...

Conditional forecasts, i.e. projections of a set of variables of interest on the future paths of some other variables, are used routinely by empirical macroeconomists in a number of applied settings. In spite of this, the existing algorithms used to generate conditional forecasts tend to be very...

This paper introduces non-linear dimension reduction in factor-augmented vector autoregressions to analyze the effects of different economic shocks. We argue that controlling for non-linearities between a large-dimensional dataset and the latent factors is particularly useful during turbulent...

We propose a novel specification strategy using a SVAR identified with zero and sign-restrictions to uncover real-time financial shocks in Chilean markets. We build on the literature that employs economically intuitive sign restrictions on the comovement of stocks and bonds to distinguish...

With the rapid increase in Chinese national strength and international influence, spillovers effects of China’s monetary policy have begun to emerge. This paper quantifies the spillovers and explores the transmission channels in a panel of 48 advanced and emerging economies. This paper uses a...