Set identification in Bayesian vector autoregression (VARs) is becoming increasingly popular while facing recent criticism about potentially unwanted prior dominance and underrepresented bounds of the identified set. This can lead to biased inference even in large samples. Common estimation...

We compile a new monthly database for each Federal Reserve district between 1923-33 to analyze the national and regional nature of the monetary transmission mechanism around the Great Depression. We employ sign-identified structural VARs and narrative sign restrictions informed by...

We propose a novel identification strategy of imposing sign restrictions directly on the impulse responses of a large set of variables in a Bayesian factor-augmented vector autoregression. We conceptualize and formalize conditions under which every additional sign restriction imposed can be...

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...

Economic theories are often encoded in equilibrium models that cannot be directly estimated because they lack features that, while inessential to the theoretical mechanism that is central to the specific theory, would be essential to fit the data well. We propose an econometric approach that...

This paper estimates variants of a small-scale New Keynesian model using observations on inflation, inflation expectations and nominal interest rates. We ask whether those variables alone can tell us something about the time series properties of real marginal costs.

Economic theories are often encoded in equilibrium models that cannot be directly estimated because they lack features that, while inessential to the theoretical mechanism that is central to the specific theory, would be essential to fit the data well. We propose an econometric approach that...