We estimate shadow rates (Black (1995); Wu and Xia (2016)) using forward rates on US Treasuries and forecasts of short term interest rates from the Blue Chip Financial Survey. We estimate a suite of alternative models with different numbers of factors, with and without forecast data, and...

Görtz et al. (2022) estimate the effects of innovations to future total factor productivity (TFP) on financial markets. In a Bayesian vector autoregression, they identify a TFP news shock as one that explains the largest share of 40-quarter ahead forecast error variance (FEV) of TFP. Their...