This paper studies the role of narratives for macroeconomic fluctuations. Microfounding narratives as directed acyclic graphs, we show how exposure to different narratives can affect expectations in an otherwise-standard macroeconomic framework. We identify such competing narratives in news...

We propose two tests for the equality of covariance matrices between two high-dimensional populations. One test is on the whole variance-covariance matrices, and the other is on offdiagonal sub-matrices which define the covariance between two non-overlapping segments of the high-dimensional...

We propose two tests for the equality of covariance matrices between two high-dimensional populations. One test is on the whole variance-covariance matrices, and the other is on offdiagonal sub-matrices which define the covariance between two non-overlapping segments of the high-dimensional...

This paper investigates the impact of the Kolmogorov-Sinai entropy on both the accuracy of probabilistic forecasts and the sluggishness of economic growth. It first posits the Gaussian process Zt (indexed by the Hurst exponent H) as the output of a reflexive dynamic input/output system governed...

In 2013, the Center for Financial Stability (CFS) initiated its Divisia monetary aggregates database, maintained within the CFS program called Advances in Monetary and Financial Measurement (AMFM), in accordance with Barnett (1980, 2012). The CFS is now making available Divisia monetary...

This paper revisits the discussion about the role that fundamentals play in asset prices using sovereign credit spread data. We augment the standard macroeconomic proxy set by text-based measures of country and global fundamentals from a database of Reuters news articles between 2007 and 2016....

This paper investigates the impact of the Kolmogorov-Sinai entropy on both the accuracy of probabilistic forecasts and the sluggishness of economic growth. It first posits the Gaussian process Zt (indexed by the Hurst exponent H) as the output of a reflexive dynamic input/output system governed...

We propose two tests for the equality of covariance matrices between two high-dimensional populations. One test is on the whole variance-covariance matrices, and the other is on offdiagonal sub-matrices which define the covariance between two non-overlapping segments of the high-dimensional...

This paper investigates the existence of arbitrage between index linked bonds and conventional bonds. The long-run equilibrium relationship among two French bonds yields (The OAT yields and OATi) is also studied empirically. In practice, the Johansen methodology is applied to estimate different...

In this paper we employ the news aggregator Google News to demonstrate a strong link between the volatility in the stock market and the amount of news available to market participants. The paper also highlights some other areas, in finance and elsewhere, where news aggregators could be useful.