Financial stability indicators can be grouped into financial stress indicators that reflect heightened spreads and market volatility, and financial vulnerability indicators that reflect credit and asset price imbalances. Based on a panel of euro area countries, we show that both types of...

We use a regression discontinuity design and difference-in-differences estimators to estimate the impact of a one-shot hiring subsidy for low-educated unemployed youths during the Great Recession recovery in Belgium. The subsidy increases job-finding in the private sector by 10 percentage points...

This paper proposes a novel semiparametric time-varying model for long-horizon predictive regressions in which the coefficients are allowed to change over time with unspecified functional forms. A linear projection method is employed to deal with the embedded endogeneity issue. We pursue an...

Machine learning and deep learning (DL)-based forecasting models have shown excellent predictive performances, but they require a large amount of data for model construction. Insufficient data can be augmented using generative adversarial networks (GANs), but these are not effective for...

In this paper, we propose the Fama-Macbeth (FM) regression with sparsity, which is named FM-LASSO. We impose a l2 penalty across time to make sure that the factors are sparse. The factors in our model are shrinked with consistency. If a factor is 0 once, then it is always 0. If a factor is not...

This study re-examines the effects of monetary policy using Japanese data and a new approach, the shift-share regressor and instrumental variables, which has not been used in previous vector autoregression analyses. We find that consumption and investment respond negatively to interest rates,...