How much have the dynamics of US time series and in the particular the transmission of innovations to monetary policy instruments changed over the last century? The answers to these questions that this paper gives are "A lot." and "Probably less than you think.", respectively. We use vector...

How much have the dynamics of U.S. time series changed over the last century? Has the evolution of the Federal Reserve as an institution over the 100 years altered the transmission of monetary policy shocks? To tackle these questions, we build a multivariate time series model with time-varying...

How much have the dynamics of U.S. time series and in particular the transmission of innovations to monetary policy instruments changed over the last century? The answers to these questions that this paper gives are "a lot" and "probably less than you think," respectively. We use vector...

What drives macroeconomic tail risk? To answer this question, we borrow a definition of macroeconomic risk from Adrian et al. (2019) by studying (left-tail) percentiles of the forecast distribution of GDP growth. We use local projections (Jordà , 2005) to assess how this measure of risk moves...

What drives macroeconomic tail risk? To answer this question, we borrow a definition of macroeconomic risk from Adrian et al. (2019) by studying (left-tail) percentiles of the forecast distribution of GDP growth. We use local projections (Jordà , 2005) to assess how this measure of risk moves...

Real GDP and industrial production in the US feature substantial tail risk. While this fact is well documented, several questions remain unanswered. Is this asymmetry driven by a specific structural shock? No. We show that the 10th percentile of the predictive growth distributions responds about...