We propose a nonparametric framework for estimating the extremal index that captures the persistence of extreme observations. The framework provides unified and simple procedures for verifying the well-known local dependence condition D(ᵈ) (un), which characterizes the extremal index yet is...

Forecasts that minimize mean squared forecast error (MSE) often exhibit excessive volatility, limiting their practical applicability. We address this accuracy smoothness trade-off by introducing a Multivariate Smooth Sign Accuracy (M-SSA) framework, which extracts smoothed components from...

Modern analysis of the welfare effects of monetary policy is based on moneyless models and therefore ignores the effect of inflation on the efficiency of transactions. A justification for this strategy is that these welfare effects are quantitatively very small, as argued by Ireland (2009). We...

This paper examines the private returns to education in the context of heterogeneous labour markets, using Peru as a case study. While education is widely considered a key driver of individual earnings and economic growth, its actual returns may be constrained by structural features of labour...

Using high-frequency data, the paper analyzes the link between public infrastructure investment and private corporate investment in India for the decade ending 2023-24. We adopt the ARDL model to investigate the existence of cointegration and find strong evidence of the crowding-in of private...

Modern analysis of the welfare effects of monetary policy is based on moneyless models and therefore ignores the effect of inflation on the efficiency of transactions. A justification for this strategy is that these welfare effects are quantitatively very small, as argued by Ireland (2009). We...