This paper explores the various shapes the recoveries may exhibit within a Markov-Switching model. It relies on the bounce-back effects first analyzed by Kim, Morley and Piger (2005) and extends the methodology by proposing i) a more flexible bounce-back model, ii) explicit tests to select the...

The last review of the ECB’s monetary policy strategy in 2003 followed a period of predominantly upside risks to price stability. Experience following the 2008 financial crisis has focused renewed attention on the question of how monetary and fiscal policy should best interact, in particular...

We use textual analysis to measure the growing concern about climate issues and to assess its impact on stock prices in the United States. Using a dataset of 71,785 articles published in The Wall Street Journal from 2010 to 2019, we create several scores capturing media coverage of environmental...

This paper introduces a Markov-switching model in which transition probabilities depend on higher frequency indicators and their lags through polynomial weighting schemes. The MSV-MIDAS model is estimated via maximum likelihood (ML) methods. The estimation relies on a slightly modified version...