Dynamic factor models (DFM) and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels of macroeconomic and financial data can be captured by relatively few common...

Chapter 1 "Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model ": We take a standard New Keynesian business cycle model to a richer data set. When estimating dynamic stochastic general equilibrium (DSGE) models, the number of observable economic variables is usually kept small, and...

I study the evolution of aggregate volatility in the US during the postwar period by assessing the relative role played by financial shocks, technological progress, and changes in the financial system. Balance-sheet variables of firms have been characterized by greater volatility since the early...

I study the evolution of aggregate volatility in the US during the postwar period by assessing the relative role played by financial shocks, technological progress, and changes in the financial system. Balance-sheet variables of firms have been characterized by greater volatility since the early...

In this paper we compare the cyclical features implied by an RBC model with two technology shocks under several statistical specifications for the stochastic processes governing technological change. We conclude that while a trend-stationary model accounts better for the observed volatilities, a...

En este trabajo identificamos seis tipos de hogares en Estados Unidos en función de la composición de su balance financiero en el Panel Survey of Income Dynamics. Desde 1999 se observa una acusada disminución en la proporción de hogares ahorradores y un aumento en la proporción de hogares...