The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, the autoregressive distributed lag (ARDL) model, and alternative volatility models, including the...

This paper explores the link between the leverage of the US financial sector, of households and of non-financial businesses, and real activity. We document that leverage is negatively correlated with the future growth of real activity, and positively linked to the conditional volatility of...

This paper explores the link between the leverage of the US financial sector, of households and non-financial businesses, and real activity. We document that leverage is negatively correlated with the future growth of real activity, and positively linked to the conditional volatility of future...

Topographic finance is the study of surfaces to describe financial systems in multiple dimensions. The problem with finance and economics is to describe accurately what is actually governing price dynamics. The price dynamics are behavioral and do not exhibit a rational maximization of a utility...

Contemporaneous inference from economic data releases for policy and business decisions has become increasingly relevant in the high pace of the information age. The released data are typically filtered to eliminate seasonal patterns to reveal underlying trends and cycles. The nature of economic...

Global developments play an important role in domestic inflation rates. Previous literature has found that a substantial amount of the variation in a large set of national inflation rates can be explained by a single global factor. However, inflation volatility has been typically neglected,...

The dollar's dominance as the world's reserve currency was inaugurated at the 1944 Bretton Woods conference where the agreement was signed by the 44 wartime allies, but the dollar's hegemony was solidified in 1971 when US President Nixon cut the dollar's link to gold. True, the fixed exchange...

The COVID-19 pandemic has led to enormous movements in economic data that strongly affect parameters and forecasts obtained from standard VARs. One way to address these issues is to model extreme observations as random shifts in the stochastic volatility (SV) of VAR residuals. Specifically, we...

Firmly-anchored inflation expectations are widely viewed as playing a central role in the successful conduct of monetary policy. This paper presents estimates of trend inflation, based on information contained in survey expectations, the term structure of interest rates, and realized inflation...

We study the effects of dispersion of investors' beliefs and dispersion of belief changes on stock trading volume. Unlike most of the existing work on the subject, our paper focuses on how investors' disagreements on macroeconomic variables affect marketwide trading volume. These macro variables...