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Giorgio Primiceri

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2013. "Household leveraging and deleveraging," Staff Reports 602, Federal Reserve Bank of New York.

    Mentioned in:

    1. Household leveraging and deleveraging
      by Christian Zimmermann in NEP-DGE blog on 2013-03-25 03:12:39

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Marco Del Negro & Giorgio E. Primiceri, 2015. "Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(4), pages 1342-1345.

    Mentioned in:

    1. > Econometrics > Time Series Models > VAR Models > Time Varying Parameters and Stochastic Volatility
    2. > Econometrics > Time Series Models > VAR Models
    3. > Econometrics > Time Series Models > VAR Models > Time Varying Parameters and Stochastic Volatility
  2. Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 821-852.

    Mentioned in:

    1. > Econometrics > Time Series Models > VAR Models > Time Varying Parameters and Stochastic Volatility
    2. > Econometrics > Time Series Models > VAR Models
    3. > Econometrics > Time Series Models > VAR Models > Time Varying Parameters and Stochastic Volatility
  3. Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2017. "Economic Predictions with Big Data: The Illusion Of Sparsity," CEPR Discussion Papers 12256, C.E.P.R. Discussion Papers.

    Mentioned in:

    1. > Econometrics > Big Data
  4. Justiniano, Alejandro & Primiceri, Giorgio E. & Tambalotti, Andrea, 2010. "Investment shocks and business cycles," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 132-145, March.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models
  5. Alejandro Justiniano & Giorgio E. Primiceri, 2008. "The Time-Varying Volatility of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 98(3), pages 604-641, June.

    Mentioned in:

    1. > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models
  6. Primiceri, Giorgio & Giannone, Domenico & Lenza, Michele, 2016. "Priors for the Long Run," CEPR Discussion Papers 11261, C.E.P.R. Discussion Papers.

    Mentioned in:

    1. > Econometrics > Time Series Models > VAR Models > Bayesian Vector autoregressions (BVARs)
  7. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2015. "Prior Selection for Vector Autoregressions," The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 436-451, May.

    Mentioned in:

    1. > Econometrics > Time Series Models > VAR Models > Bayesian Vector autoregressions (BVARs)

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Francisco J. Buera & Alexander Monge‐Naranjo & Giorgio E. Primiceri, 2011. "Learning the Wealth of Nations," Econometrica, Econometric Society, vol. 79(1), pages 1-45, January.

    Mentioned in:

    1. Learning the Wealth of Nations (ECTA 2011) in ReplicationWiki ()
  2. Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 821-852.

    Mentioned in:

    1. Time Varying Structural Vector Autoregressions and Monetary Policy (REStud 2005) in ReplicationWiki ()
  3. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2013. "Is There a Trade-Off between Inflation and Output Stabilization?," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(2), pages 1-31, April.

    Mentioned in:

    1. Is There a Trade-Off between Inflation and Output Stabilization? (AEJ:MA 2013) in ReplicationWiki ()
  4. Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2010. "Inflation-Gap Persistence in the US," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(1), pages 43-69, January.

    Mentioned in:

    1. Inflation-Gap Persistence in the US (AEJ:MA 2010) in ReplicationWiki ()
  5. Alejandro Justiniano & Giorgio E. Primiceri, 2008. "The Time-Varying Volatility of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 98(3), pages 604-641, June.

    Mentioned in:

    1. The Time-Varying Volatility of Macroeconomic Fluctuations (AER 2008) in ReplicationWiki ()

Working papers

  1. Giannone, Domenico & Primiceri, Giorgio, 2024. "The drivers of post-pandemic inflation," CEPR Discussion Papers 19377, C.E.P.R. Discussion Papers.

    Cited by:

    1. Stefan Hohberger, 2025. "Germany’s macroeconomic drivers during the pandemic and inflation surge," International Economics and Economic Policy, Springer, vol. 22(1), pages 1-49, February.
    2. Hale, Galina & Leer, John & Nechio, Fernanda, 2025. "Fiscal policy design and inflation: The COVID-19 pandemic experience," Santa Cruz Department of Economics, Working Paper Series qt9cc4c34z, Department of Economics, UC Santa Cruz.
    3. Alessandri, Piergiorgio & Gazzani, Andrea, 2025. "Natural gas and the macroeconomy: Not all energy shocks are alike," Journal of Monetary Economics, Elsevier, vol. 151(C).
    4. Anttonen, Jetro & Lehmus, Markku, 2025. "Geopolitical surprises and macroeconomic shocks: A tale of two events," Bank of Finland Research Discussion Papers 5/2025, Bank of Finland.
    5. Mavrodimitrakis, Christos, 2025. "The macroeconomic stabilisation and welfare implications of alternative strategic and fiscal regimes in a monetary union," The Quarterly Review of Economics and Finance, Elsevier, vol. 100(C).
    6. Zhu, Xiaoke & Yu, Xiaohua, 2025. "Food inflation and macroeconomic dynamics in the US: Evidence from an estimated DSGE model," Finance Research Letters, Elsevier, vol. 75(C).
    7. Ko, Dong Gyun, 2025. "Did the American Rescue Plan cause inflation? A synthetic control approach," Economic Modelling, Elsevier, vol. 143(C).

  2. Bilbiie, F. & Primiceri, G. E. & Tambalotti, A., 2022. "Inequality and Business Cycles," Cambridge Working Papers in Economics 2275, Faculty of Economics, University of Cambridge.

    Cited by:

    1. Cristiano Cantore & Edoardo Leonardi, 2025. "Monetary-Fiscal Interaction and the Liquidity of Government Debt," Papers 2501.17458, arXiv.org.
    2. Alice Albonico & Guido Ascari & Qazi Haque, 2020. "The (Ir)Relevance of Rule-of-Thumb Consumers for U.S. Business Cycle Fluctuations," Working Papers 453, University of Milano-Bicocca, Department of Economics, revised Oct 2022.
    3. Cristiano Cantore & Giovanni Di Bartolomeo & Francesco Saverio Gaudio, 2025. "The Unequal Costs of Pollution: Carbon Tax, Inequality, and Redistribution," Papers 2503.00142, arXiv.org.
    4. Zheng Gong, 2025. "When Does Household Heterogeneity Matter for Aggregate Fluctuations?," CRC TR 224 Discussion Paper Series crctr224_2025_624, University of Bonn and University of Mannheim, Germany.
    5. Dusan Stojanovic, 2023. "Quantitative Easing in the Euro Area: Implications for Income and Wealth Inequality," CERGE-EI Working Papers wp760, The Center for Economic Research and Graduate Education - Economics Institute, Prague.

  3. Primiceri, Giorgio & Lenza, Michele, 2020. "How to Estimate a VAR after March 2020," CEPR Discussion Papers 15245, C.E.P.R. Discussion Papers.

    Cited by:

    1. Giovanni Caggiano & Efrem Castelnuovo & Silvia Delrio & Richard Kima, 2020. "Financial Uncertainty and Real Activity: The Good, the Bad, and the Ugly," CESifo Working Paper Series 8426, CESifo.
    2. Cardani, Roberta & Pfeiffer, Philipp & Ratto, Marco & Vogel, Lukas, 2023. "The COVID-19 recession on both sides of the Atlantic: A model-based comparison," European Economic Review, Elsevier, vol. 158(C).
    3. Ha, Jongrim & Kose, M. Ayhan & Ohnsorge, Franziska, 2021. "Inflation During the Pandemic: What Happened? What is Next?," MPRA Paper 108677, University Library of Munich, Germany.
    4. Valentina Aprigliano & Alessandro Borin & Francesco Paolo Conteduca & Simone Emiliozzi & Marco Flaccadoro & Sabina Marchetti & Stefania Villa, 2021. "Forecasting Italian GDP growth with epidemiological data," Questioni di Economia e Finanza (Occasional Papers) 664, Bank of Italy, Economic Research and International Relations Area.
    5. Eo, Yunjong & Morley, James, 2023. "Does the Survey of Professional Forecasters help predict the shape of recessions in real time?," Economics Letters, Elsevier, vol. 233(C).
    6. Hall, Stephen G. & Tavlas, George S. & Wang, Yongli, 2023. "Drivers and spillover effects of inflation: The United States, the euro area, and the United Kingdom☆," Journal of International Money and Finance, Elsevier, vol. 131(C).
    7. James Mitchell & Martin Weale, 2021. "Censored Density Forecasts: Production and Evaluation," Working Papers 21-12R, Federal Reserve Bank of Cleveland, revised 16 Aug 2022.
    8. Sabina Marchetti & Alessandro Borin & Francesco Paolo Conteduca & Giuseppe Ilardi & Giorgio Guzzetta & Piero Poletti & Patrizio Pezzotti & Antonino Bella & Paola Stefanelli & Flavia Riccardo & Stefano, 2022. "An Epidemic Model for SARS-CoV-2 with Self-Adaptive Containment Measures," Questioni di Economia e Finanza (Occasional Papers) 681, Bank of Italy, Economic Research and International Relations Area.
    9. Flavia Corneli & Fabrizio Ferriani & Andrea Gazzani, 2023. "Macroeconomic news, the financial cycle and the commodity cycle: the Chinese footprint," Questioni di Economia e Finanza (Occasional Papers) 772, Bank of Italy, Economic Research and International Relations Area.
    10. Haque, Qazi & Magnusson, Leandro M., 2021. "Uncertainty shocks and inflation dynamics in the U.S," Economics Letters, Elsevier, vol. 202(C).
    11. Brianti, Marco & Gáti, Laura, 2023. "Information and communication technologies and medium-run fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
    12. Shovon Sengupta & Bhanu Pratap & Amit Pawar, 2025. "Non-linear Phillips Curve for India: Evidence from Explainable Machine Learning," Papers 2504.05350, arXiv.org.
    13. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2021. "Uncertainty and Monetary Policy during the Great Recession," Economics Working Papers 2021-05, Department of Economics and Business Economics, Aarhus University.
    14. Pedro Brinca & Joao B. Duarte & Miguel Faria-e-Castro, 2020. "Measuring Labor Supply and Demand Shocks during COVID-19," Working Papers 2020-011, Federal Reserve Bank of St. Louis, revised Jul 2021.
    15. Daniel Rees & Guofeng Sun, 2021. "The natural interest rate in China," BIS Working Papers 949, Bank for International Settlements.
    16. Kilian, Lutz & Nomikos, Nikos K. & Zhou, Xiaoqing, 2021. "Container trade and the U.S. recovery," CFS Working Paper Series 659, Center for Financial Studies (CFS).
    17. De Santis, Roberto A. & Van der Veken, Wouter, 2020. "Macroeconomic risks across the globe due to the Spanish Flu," Working Paper Series 2466, European Central Bank.
    18. Cross, Jamie L. & Hou, Chenghan & Koop, Gary & Poon, Aubrey, 2023. "Large stochastic volatility in mean VARs," Journal of Econometrics, Elsevier, vol. 236(1).
    19. Miescu, Mirela & Rossi, Raffaele, 2021. "COVID-19-induced shocks and uncertainty," European Economic Review, Elsevier, vol. 139(C).
    20. Martin Feldkircher & Florian Huber & Michael Pfarrhofer, 2021. "Measuring the effectiveness of US monetary policy during the COVID‐19 recession," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(3), pages 287-297, July.
    21. Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Working Papers 22-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    22. Serena Ng, 2021. "Modeling Macroeconomic Variations After COVID-19," Papers 2103.02732, arXiv.org, revised Jul 2021.
    23. Robert Lehmann & Sascha Möhrle, 2022. "Forecasting Regional Industrial Production with High-Frequency Electricity Consumption Data," CESifo Working Paper Series 9917, CESifo.
    24. Tsionas, Mike G. & Izzeldin, Marwan & Trapani, Lorenzo, 2022. "Estimation of large dimensional time varying VARs using copulas," European Economic Review, Elsevier, vol. 141(C).
    25. Filippo Ferroni & Jonas D. M. Fisher & Leonardo Melosi, 2022. "Usual Shocks in our Usual Models," Working Paper Series WP 2022-39, Federal Reserve Bank of Chicago.
    26. Berger, Tino & Morley, James & Wong, Benjamin, 2023. "Nowcasting the output gap," Journal of Econometrics, Elsevier, vol. 232(1), pages 18-34.
      • Tino Berger & James Morley & Benjamin Wong, 2020. "Nowcasting the Output Gap," CAMA Working Papers 2020-78, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    27. Marcellino, Massimiliano & Clark, Todd & Carriero, Andrea & Mertens, Elmar, 2021. "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," CEPR Discussion Papers 15964, C.E.P.R. Discussion Papers.
    28. Orkideh Gharehgozli & Sunhyung Lee, 2022. "Money Supply and Inflation after COVID-19," Economies, MDPI, vol. 10(5), pages 1-14, April.
    29. Nalban, Valeriu & Smădu, Andra, 2021. "Asymmetric effects of uncertainty shocks: Normal times and financial disruptions are different," Journal of Macroeconomics, Elsevier, vol. 69(C).
    30. Antolín-Díaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2024. "Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails," Journal of Econometrics, Elsevier, vol. 238(2).
    31. Daniele Valenti & Andrea Bastianin & Matteo Manera, 2022. "A weekly structural VAR model of the US crude oil market," Working Papers 2022.11, Fondazione Eni Enrico Mattei.
    32. Jannsen, Nils, 2020. "Zu den Auswirkungen der zweiten Corona-Welle auf die Konjunktur," Kiel Insight 2020.18, Kiel Institute for the World Economy (IfW Kiel).
    33. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    34. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    35. Wang, Li-Hui & Li, Fu-An, 2024. "Regulatory Effects of the Combinations of Aggregate and Structural Monetary Policy Instruments: an application of New Keynesian DSGE model to China," Economic Analysis and Policy, Elsevier, vol. 84(C), pages 1120-1143.
    36. Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2023. "Nowcasting in a pandemic using non-parametric mixed frequency VARs," Journal of Econometrics, Elsevier, vol. 232(1), pages 52-69.
    37. David Kohns & Arnab Bhattacharjee, 2020. "Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model," Papers 2011.00938, arXiv.org, revised May 2022.
    38. Vito Polito & Yunyi Zhang, 2021. "Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression," CESifo Working Paper Series 9395, CESifo.
    39. Kevin Moran & Dalibor Stevanovic & Adam Abdel Kader Touré, 2020. "Macroeconomic Uncertainty and the COVID-19 Pandemic: Measure and Impacts on the Canadian Economy," CIRANO Working Papers 2020s-47, CIRANO.
    40. Brand, Claus & Goy, Gavin W & Lemke, Wolfgang, 2020. "Natural rate chimera and bond pricing reality," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224546, Verein für Socialpolitik / German Economic Association.
    41. Larson, William D. & Sinclair, Tara M., 2022. "Nowcasting unemployment insurance claims in the time of COVID-19," International Journal of Forecasting, Elsevier, vol. 38(2), pages 635-647.
    42. Mariusz Kapuściński, 2022. "The short-term effects of changes in capital regulations in Poland," NBP Working Papers 350, Narodowy Bank Polski.
    43. Haderer, Michaela, 2022. "An Estimated DSGE Model of the Euro Area with Expectations about the Timing and Nature of Liftoff from the Lower Bound," Working Papers 2022-05, University of Sydney, School of Economics.
    44. Kerem Tuzcuoglu, 2023. "Risk Amplification Macro Model (RAMM)," Technical Reports 123, Bank of Canada.
    45. Paponpat Taveeapiradeecharoen & Popkarn Arwatchanakarn, 2025. "Forecasting Thai inflation from univariate Bayesian regression perspective," Papers 2505.05334, arXiv.org, revised May 2025.
    46. Evgenidis, Anastasios & Fasianos, Apostolos, 2023. "Modelling monetary policy’s impact on labour markets under Covid-19," Economics Letters, Elsevier, vol. 230(C).
    47. Frank Schorfheide & Dongho Song, 2024. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," International Journal of Central Banking, International Journal of Central Banking, vol. 20(4), pages 275-320, October.
    48. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Reconciled Estimates of Monthly GDP in the US," Working Papers 22-01, Federal Reserve Bank of Cleveland.
    49. Joshua C. C. Chan, 2022. "Comparing Stochastic Volatility Specifications for Large Bayesian VARs," Papers 2208.13255, arXiv.org.
    50. Hwee Kwan Chow & Keen Meng Choy, 2023. "Economic forecasting in a pandemic: some evidence from Singapore," Empirical Economics, Springer, vol. 64(5), pages 2105-2124, May.
    51. Prüser, Jan, 2021. "The horseshoe prior for time-varying parameter VARs and Monetary Policy," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
    52. De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?," LIDAM Discussion Papers LFIN 2021002, Université catholique de Louvain, Louvain Finance (LFIN).
    53. Maurin, Laurent & Andersson, Malin & Rusinova, Desislava, 2021. "Market finance as a spare tyre? Corporate investment and access to bank credit in Europe," EIB Working Papers 2021/09, European Investment Bank (EIB).
    54. Giovanni Melina & Stefania Villa, 2023. "Drivers of large recessions and monetary policy responses," Temi di discussione (Economic working papers) 1425, Bank of Italy, Economic Research and International Relations Area.
    55. Andrejs Zlobins, 2024. "On the time-varying effects of the ECB’s asset purchases," Empirical Economics, Springer, vol. 66(6), pages 2593-2623, June.
    56. Zhang, Bo & Nguyen, Bao H., 2020. "Real-time forecasting of the Australian macroeconomy using Bayesian VARs," Working Papers 2020-12, University of Tasmania, Tasmanian School of Business and Economics.
    57. Zeynep Kantur & Gülserim Özcan, 2022. "Dissecting Turkish inflation: theory, fact, and illusion," Economic Change and Restructuring, Springer, vol. 55(3), pages 1543-1553, August.
    58. Andrejs Zlobins, 2025. "Monetary Policy Transmission in the Euro Area: Is this Time Different? Chapter I: Lags and Strength," Working Papers 2025/01, Latvijas Banka.
    59. Palenzuela, Diego Rodriguez & Saiz, Lorena & Stoevsky, Grigor & Tóth, Máté & Warmedinger, Thomas & Grigoraș, Veaceslav, 2024. "The euro area business cycle and its drivers," Occasional Paper Series 354, European Central Bank.
    60. Ha, Jongrim & Kose, M. Ayhan & Ohnsorge, Franziska, 2022. "Global Stagflation," CEPR Discussion Papers 17381, C.E.P.R. Discussion Papers.
    61. Jens Klose & Peter Tillmann, 2022. "The Real and Financial Impact of COVID-19 Around the World," MAGKS Papers on Economics 202201, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    62. Cotter, John & Hallam, Mark & Yilmaz, Kamil, 2023. "Macro-financial spillovers," Journal of International Money and Finance, Elsevier, vol. 133(C).
    63. Andersson, Malin & Maurin, Laurent & Rusinova, Desislava, 2021. "Market finance as a spare tyre? Corporate investment and access to bank credit in Europe," Working Paper Series 2606, European Central Bank.
    64. Danilo Cascaldi-Garcia & Thiago Revil T. Ferreira & Domenico Giannone & Michele Modugno, 2021. "Back to the Present: Learning about the Euro Area through a Now-casting Model," International Finance Discussion Papers 1313, Board of Governors of the Federal Reserve System (U.S.).
    65. Nicholas Apergis & Emmanuel Apergis, 2025. "Uncertainty and inflation: The role of COVID-19 stabilisation policies-Evidence from OECD countries," International Economics and Economic Policy, Springer, vol. 22(1), pages 1-9, February.
    66. Liu, Ying & Wen, Long & Liu, Han & Song, Haiyan, 2024. "Predicting tourism recovery from COVID-19: A time-varying perspective," Economic Modelling, Elsevier, vol. 135(C).
    67. Shovon Sengupta & Tanujit Chakraborty & Sunny Kumar Singh, 2024. "Forecasting CPI inflation under economic policy and geopolitical uncertainties," Post-Print hal-05056934, HAL.
    68. Martínez-Hernández, Catalina, 2020. "Disentangling the effects of multidimensional monetary policy on inflation and inflation expectations in the euro area," Discussion Papers 2020/18, Free University Berlin, School of Business & Economics.
    69. Chan, Joshua C.C. & Poon, Aubrey & Zhu, Dan, 2023. "High-dimensional conditionally Gaussian state space models with missing data," Journal of Econometrics, Elsevier, vol. 236(1).
    70. Elijah Broadbent & Huberto M. Ennis & Tyler Pike & Horacio Sapriza, 2024. "Bank Lending Standards and the U.S. Economy," Working Paper 24-07, Federal Reserve Bank of Richmond.
    71. Andrejs Zlobins, 2022. "Into the Universe of Unconventional Monetary Policy: State-dependence, Interaction and Complementarities," Working Papers 2022/05, Latvijas Banka.
    72. Giovanni Pellegrino & Federico Ravenna & Gabriel Züllig, 2021. "The Impact of Pessimistic Expectations on the Effects of COVID‐19‐Induced Uncertainty in the Euro Area," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 841-869, August.
    73. Bobeica, Elena & Hartwig, Benny, 2023. "The COVID-19 shock and challenges for inflation modelling," International Journal of Forecasting, Elsevier, vol. 39(1), pages 519-539.
    74. Bańbura, Marta & Bobeica, Elena & Giammaria, Alessandro & Porqueddu, Mario & van Spronsen, Josha, 2025. "A new model to forecast energy inflation in the euro area," Working Paper Series 3062, European Central Bank.
    75. Ademmer, Martin & Boysen-Hogrefe, Jens & Fiedler, Salomon & Groll, Dominik & Jannsen, Nils & Kooths, Stefan & Meuchelböck, Saskia, 2020. "Deutsche Wirtschaft im Winter 2020 - Zweite Corona-Welle unterbricht Erholung [German Economy Winter 2020 - Second Covid wave interrupts recovery]," Kieler Konjunkturberichte 74, Kiel Institute for the World Economy (IfW Kiel).
    76. Jafet Baca, 2021. "Shock Symmetry and Business Cycle Synchronization: Is Monetary Unification Feasible among CAPADR Countries?," Papers 2112.02063, arXiv.org, revised Jan 2022.
    77. Barauskaitė, Kristina & Nguyen, Anh D.M. & Rousová, Linda & Cappiello, Lorenzo, 2022. "The impact of credit supply shocks in the euro area: market-based financing versus loans," Working Paper Series 2673, European Central Bank.
    78. Jannsen, Nils, 2023. "Der Lkw-Maut-Fahrleistungsindex: Ein nützlicher Frühindikator für die Industrieproduktion," Kiel Insight 2023.02, Kiel Institute for the World Economy (IfW Kiel).
    79. Gan-Ochir Doojav, 2023. "Macroeconomic Effects of Covid-19 in a Commodity-Exporting Economy: Evidence from Mongolia," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 59(5), pages 1323-1348, April.
    80. Erik Andres-Escayola & Juan Carlos Berganza & Rodolfo Campos & Luis Molina, 2021. "A BVAR toolkit to assess macrofinancial risks in Brazil and Mexico," Occasional Papers 2114, Banco de España.
    81. Marcelo A. T. Aragão, 2021. "Blurred Crystal Ball: investigating the forecasting challenges after a great exogenous shock," Working Papers Series 549, Central Bank of Brazil, Research Department.
    82. Aaron J. Amburgey, 2025. "How Election Shocks Impact Markets: Evidence from Sectoral Stock Prices," Papers 2504.02731, arXiv.org, revised Jun 2025.
    83. Kathryn Holston & Thomas Laubach & John C. Williams, 2023. "Measuring the Natural Rate of Interest after COVID-19," Staff Reports 1063, Federal Reserve Bank of New York.
    84. Metiu, Norbert & Prieto, Esteban, 2023. "Time-varying stock return correlation, news shocks, and business cycles," Discussion Papers 05/2023, Deutsche Bundesbank.
    85. Bobeica, Elena & Hartwig, Benny, 2021. "The COVID-19 shock and challenges for time series models," Working Paper Series 2558, European Central Bank.
    86. Dergiades, Theologos & Milas, Costas & Panagiotidis, Theodore, 2022. "Unemployment claims during COVID-19 and economic support measures in the U.S," Economic Modelling, Elsevier, vol. 113(C).
    87. Nadiia Shapovalenko, 2021. "A BVAR Model for Forecasting Ukrainian Inflation," IHEID Working Papers 05-2021, Economics Section, The Graduate Institute of International Studies.
    88. Somnath Chatterjee & Ching‐Wai (Jeremy) Chiu & Thibaut Duprey & Sinem Hacıoğlu‐Hoke, 2022. "Systemic Financial Stress and Macroeconomic Amplifications in the United Kingdom," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(2), pages 380-400, April.
    89. Montes-Galdón, Carlos & Paredes, Joan & Wolf, Elias, 2022. "Conditional density forecasting: a tempered importance sampling approach," Working Paper Series 2754, European Central Bank.
    90. Prüser, Jan & Blagov, Boris, 2022. "Improving inference and forecasting in VAR models using cross-sectional information," Ruhr Economic Papers 960, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    91. Cristea, R. G., 2020. "Can Alternative Data Improve the Accuracy of Dynamic Factor Model Nowcasts?," Cambridge Working Papers in Economics 20108, Faculty of Economics, University of Cambridge.
    92. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Modelling and Estimating Large Macroeconomic Shocks During the Pandemic," CREATES Research Papers 2021-08, Department of Economics and Business Economics, Aarhus University.
    93. Sun, Weihong & Liu, Ding, 2023. "Great moderation with Chinese characteristics: Uncovering the role of monetary policy," Economic Modelling, Elsevier, vol. 121(C).
    94. Ambrogio Cesa-Bianchi & Andrea Ferrero, 2021. "The transmission of Keynesian supply shocks," Bank of England working papers 934, Bank of England.
    95. Giovanni Caggiano & Efrem Castelnuovo, 2023. "Global financial uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 432-449, April.
    96. Andrejs Zlobins, 2023. "Is There a Portfolio Rebalancing Channel of QE in Latvia?," Working Papers 2023/05, Latvijas Banka.
    97. Paul Ho, 2021. "Forecasting in the Absence of Precedent," Working Paper 21-10, Federal Reserve Bank of Richmond.
    98. Rybacki, Jakub & Gniazdowski, Michał, 2021. "Macroeconomic Forecasting in Poland: Lessons From the COVID-19 Outbreak," MPRA Paper 107682, University Library of Munich, Germany.
    99. Anna Sznajderska & Alfred A. Haug, 2023. "Bayesian VARs of the U.S. economy before and during the pandemic," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 211-236, June.
    100. Brand, Claus & Obstbaum, Meri & Coenen, Günter & Sondermann, David & Lydon, Reamonn & Ajevskis, Viktors & Hammermann, Felix & Angino, Siria & Hernborg, Nils & Basso, Henrique & Hertweck, Matthias & Bi, 2021. "Employment and the conduct of monetary policy in the euro area," Occasional Paper Series 275, European Central Bank.
    101. Eraslan, Sercan & Schröder, Maximilian, 2023. "Nowcasting GDP with a pool of factor models and a fast estimation algorithm," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1460-1476.
    102. Canova, Fabio & Ferroni, Filippo, 2020. "A hitchhiker guide to empirical macro models," CEPR Discussion Papers 15446, C.E.P.R. Discussion Papers.
    103. Ademmer, Martin & Boysen-Hogrefe, Jens & Fiedler, Salomon & Groll, Dominik & Jannsen, Nils & Kooths, Stefan & Meuchelböck, Saskia, 2021. "Deutsche Wirtschaft im Frühjahr 2021 - Erholung vor zweitem Anlauf [German Economy Spring 2021 - Recovery ready for second take off]," Kieler Konjunkturberichte 77, Kiel Institute for the World Economy (IfW Kiel).
    104. Cardani, Roberta & Croitorov, Olga & Giovannini, Massimo & Pfeiffer, Philipp & Ratto, Marco & Vogel, Lukas, 2022. "The euro area’s pandemic recession: A DSGE-based interpretation," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
    105. Zhang, Wen, 2022. "China’s government spending and global inflation dynamics: The role of the oil price channel," Energy Economics, Elsevier, vol. 110(C).
    106. Karin Klieber, 2023. "Non-linear dimension reduction in factor-augmented vector autoregressions," Papers 2309.04821, arXiv.org.
    107. Jakub Rybacki & Michał Gniazdowski, 2023. "Macroeconomic forecasting in Poland: lessons from the external shocks," Bank i Kredyt, Narodowy Bank Polski, vol. 54(1), pages 45-64.
    108. Krišto Jakša & Kedžo Margareta Gardijan & Škrinjarić Tihana, 2024. "What Drives Property Insurance Demand in Croatia?," Zagreb International Review of Economics and Business, Sciendo, vol. 27(1), pages 155-176.
    109. Morley, James & Rodríguez-Palenzuela, Diego & Sun, Yiqiao & Wong, Benjamin, 2023. "Estimating the euro area output gap using multivariate information and addressing the COVID-19 pandemic," European Economic Review, Elsevier, vol. 153(C).
    110. Cardani, Roberta & Croitorov, Olga & Giovannini, Massimo & Pfeiffer, Philipp & Ratto, Marco & Vogel, Lukas, 2021. "The Euro Area's pandemic recession: A DSGE interpretation," JRC Working Papers in Economics and Finance 2021-10, Joint Research Centre, European Commission.
    111. Bank for International Settlements, 2021. "Changing patterns of capital flows," CGFS Papers, Bank for International Settlements, number 66.
    112. Boysen-Hogrefe, Jens & Groll, Dominik & Hoffmann, Timo & Jannsen, Nils & Kooths, Stefan & Sonnenberg, Nils & Stamer, Vincent, 2023. "Deutsche Wirtschaft im Frühjahr 2023: Konjunktur fängt sich, Auftriebskräfte eher gering [German economy in spring 2023: Economy is stabilizing but little momentum going forward]," Kieler Konjunkturberichte 101, Kiel Institute for the World Economy (IfW Kiel).
    113. Vladimir Arcabic & Frane Banic, 2021. "Characteristics of fiscal policy in Croatia: does it depend on the phase of the business cycle?," Public Sector Economics, Institute of Public Finance, vol. 45(4), pages 433-457.
    114. Luisa Corrado & Stefano Grassi & Aldo Paolillo, 2021. "Identifying Economic Shocks in a Rare Disaster Environment," CEIS Research Paper 517, Tor Vergata University, CEIS, revised 18 Jul 2024.
    115. Hankins, William B. & Cheng, Chak Hung Jack & Stone, Anna-Leigh, 2022. "The impact of uncertainty shocks on state-level employment," Journal of Macroeconomics, Elsevier, vol. 73(C).
    116. Dionysios Paliouras & Savvas Tsentidis & Theologos Dergiades, 2025. "Terrorism, tourism and growth: a panel VAR analysis," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 49(1), pages 70-94, March.
    117. Sánchez García, Javier & Galdeano Gómez, Emilio & Cruz Rambaud, Salvador, 2024. "Drivers of inflationary shocks and spillovers between Europe and the United States," Socio-Economic Planning Sciences, Elsevier, vol. 95(C).
    118. Boriss Siliverstovs, 2021. "Gauging the Effect of Influential Observations on Measures of Relative Forecast Accuracy in a Post-COVID-19 Era: Application to Nowcasting Euro Area GDP Growth," Working Papers 2021/01, Latvijas Banka.
    119. Eric Hillebrand & Jakob Mikkelsen & Lars Spreng & Giovanni Urga, 2020. "Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings," CREATES Research Papers 2020-19, Department of Economics and Business Economics, Aarhus University.
    120. Luigi Infante & Francesca Lilla & Francesco Vercelli, 2023. "The effects of the pandemic on households' financial savings: a Bayesian structural VAR analysis," Temi di discussione (Economic working papers) 1421, Bank of Italy, Economic Research and International Relations Area.
    121. Anton I. Votinov & Julia A. Polshchikova & Karen A. Nersisyan, 2025. "Macroeconomic Modeling in Post-pandemic Times," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 62-73, February.
    122. Marta Baltar Moreira Areosa & Wagner Piazza Gaglianone, 2023. "Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models," Working Papers Series 574, Central Bank of Brazil, Research Department.
    123. Andrejs Zlobins, 2021. "On the Time-varying Effects of the ECB's Asset Purchases," Working Papers 2021/02, Latvijas Banka.
    124. Ivan Aleksandrovich Kopytin & Nikolay Petrovich Pilnik & Ivan Pavlovich Stankevich, 2021. "Modelling Five Variables BVAR for Economic Policies and Growth in Azerbaijan, Kazakhstan and Russia: 2005 2020," International Journal of Energy Economics and Policy, Econjournals, vol. 11(5), pages 510-518.
    125. Danilo Cascaldi-Garcia, 2022. "Pandemic Priors," International Finance Discussion Papers 1352, Board of Governors of the Federal Reserve System (U.S.).
    126. Christian Estmann & Henrik Hansen & John Rand, 2021. "Fiscal policy responses to COVID-19 in Danida priority countries in Sub-Saharan Africa," DERG working paper series 21-09, University of Copenhagen. Department of Economics. Development Economics Research Group (DERG).
    127. Mario Di Serio & Matteo Fragetta & Emanuel Gasteiger & Giovanni Melina, 2024. "The Euro Area Government Spending Multiplier in Demand‐ and Supply‐Driven Recessions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(6), pages 1342-1372, December.
    128. Oussama Abi Younes & Sumru Altug, 2021. "The COVID-19 Shock: A Bayesian Approach," JRFM, MDPI, vol. 14(10), pages 1-15, October.
    129. Kunovac, Davor & Palenzuela, Diego Rodriguez & Sun, Yiqiao, 2022. "A new optimum currency area index for the euro area," Working Paper Series 2730, European Central Bank.
    130. Jens Klose & Peter Tillmann, 2023. "The stock market and NO2 emissions effects of COVID‐19 around the world," Economics and Politics, Wiley Blackwell, vol. 35(2), pages 556-594, July.
    131. Darracq Pariès, Matthieu & Notarpietro, Alessandro & Kilponen, Juha & Papadopoulou, Niki & Zimic, Srečko & Aldama, Pierre & Langenus, Geert & Alvarez, Luis Julian & Lemoine, Matthieu & Angelini, Elena, 2021. "Review of macroeconomic modelling in the Eurosystem: current practices and scope for improvement," Occasional Paper Series 267, European Central Bank.
    132. David Kohns & Galina Potjagailo, 2023. "Flexible Bayesian MIDAS: time‑variation, group‑shrinkage and sparsity," Bank of England working papers 1025, Bank of England.
    133. Klieber, Karin, 2024. "Non-linear dimension reduction in factor-augmented vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).
    134. Aquilante, Tommaso & Di Pace, Federico & Masolo, Riccardo M., 2022. "Exchange-rate and news: Evidence from the COVID pandemic," Economics Letters, Elsevier, vol. 213(C).
    135. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2020. "Measuring Uncertainty and Its Effects in the COVID-19 Era," Working Papers 20-32R, Federal Reserve Bank of Cleveland, revised 05 Jan 2022.
    136. Hartwig, Benny, 2022. "Bayesian VARs and prior calibration in times of COVID-19," Discussion Papers 52/2022, Deutsche Bundesbank.
    137. Brendan Berthold, 2024. "The macro-financial effects of Climate Policy Risk: evidence from Switzerland," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 160(1), pages 1-13, December.
    138. Thomas B Götz & Klemens Hauzenberger, 2021. "Large mixed-frequency VARs with a parsimonious time-varying parameter structure," The Econometrics Journal, Royal Economic Society, vol. 24(3), pages 442-461.
    139. Francisco Corona & Graciela Gonz'alez-Far'ias & Jes'us L'opez-P'erez, 2021. "A nowcasting approach to generate timely estimates of Mexican economic activity: An application to the period of COVID-19," Papers 2101.10383, arXiv.org.
    140. Emilio Blanco & Fiorella Dogliolo & Lorena Garegnani, 2022. "Nowcasting during the Pandemic: Lessons from Argentina," BCRA Working Paper Series 202299, Central Bank of Argentina, Economic Research Department.
    141. Finck, David & Hoffmann, Mathias & Hürtgen, Patrick, 2023. "On the empirical relevance of the exchange rate as a shock absorber at the zero lower bound," Discussion Papers 10/2023, Deutsche Bundesbank.
    142. Stéphane Lhuissier & Benoit Nguyen, 2021. "The Dynamic Effects of the ECB s Asset Purchases: a Survey-Based Identification," Working papers 806, Banque de France.
    143. Saeed Zaman, 2021. "A Unified Framework to Estimate Macroeconomic Stars," Working Papers 21-23R2, Federal Reserve Bank of Cleveland, revised 31 May 2024.
    144. Doojav, Gan-Ochir & Purevdorj, Munkhbayar & Batjargal, Anand, 2024. "The macroeconomic effects of exchange rate movements in a commodity-exporting developing economy," International Economics, Elsevier, vol. 177(C).

  4. Primiceri, Giorgio & Del Negro, Marco & Lenza, Michele & Tambalotti, Andrea, 2020. "What's up with the Phillips Curve?," CEPR Discussion Papers 14583, C.E.P.R. Discussion Papers.

    Cited by:

    1. Arai, Natsuki, 2023. "The FOMC’s new individual economic projections and macroeconomic theories," Journal of Banking & Finance, Elsevier, vol. 151(C).
    2. Daniele Siena & Riccardo Zago, 2021. "Job Polarization and the Flattening of the Price Phillips Curve," Working papers 819, Banque de France.
    3. Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Working Papers 22-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    4. Casoli, Chiara & Manera, Matteo & Valenti, Daniele, 2024. "Energy shocks in the Euro area: Disentangling the pass-through from oil and gas prices to inflation," Journal of International Money and Finance, Elsevier, vol. 147(C).
    5. Ginters Buss & Guido Traficante, 2025. "The Return of Inflation: Look-Through Policy Under Incomplete Information," Working Papers 2025/02, Latvijas Banka.
    6. Rodnyansky, Alexander & Van der Ghote, Alejandro & Wales, Daniel, 2022. "Product quality, measured inflation and monetary policy," Working Paper Series 2680, European Central Bank.
    7. Philippe Goulet Coulombe, 2020. "The Macroeconomy as a Random Forest," Papers 2006.12724, arXiv.org, revised Mar 2021.
    8. Crump, Richard K. & Eusepi, Stefano & Giannoni, Marc & Şahin, Ayşegül, 2024. "The unemployment–inflation trade-off revisited: The Phillips curve in COVID times," Journal of Monetary Economics, Elsevier, vol. 145(S).
    9. Ferrara, Laurent & Karadimitropoulou, Aikaterini & Triantafyllou, Athanasios, 2024. "Oil jump tail risk as a driver of inflation dynamics," Journal of Commodity Markets, Elsevier, vol. 36(C).
    10. Kristen Tauber & Willem Van Zandweghe, 2020. "A Growth-Augmented Phillips Curve," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2020(16), pages 1-6, July.
    11. Eser, Fabian & Karadi, Peter & Lane, Philip R. & Moretti, Laura & Osbat, Chiara, 2020. "The Phillips Curve at the ECB," Working Paper Series 2400, European Central Bank.
    12. Ignazio Visco, 2023. "Inflation Expectations and Monetary Policy in the Euro Area," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 51(2), pages 111-129, September.
    13. Martín Uribe, 2020. "Staggered Price Indexation," NBER Working Papers 27657, National Bureau of Economic Research, Inc.
    14. Benigno, Pierpaolo & Rossi, Lorenza, 2021. "Asymmetries in Monetary Policy," CEPR Discussion Papers 15944, C.E.P.R. Discussion Papers.
    15. Clayton, Christopher & Schaab, Andreas, 2022. "A Theory of Dynamic Inflation Targets," TSE Working Papers 22-1389, Toulouse School of Economics (TSE).
    16. Paternesi Meloni, Walter & Romaniello, Davide & Stirati, Antonella, 2022. "Inflation and the NAIRU: assessing the role of long-term unemployment as a cause of hysteresis," Economic Modelling, Elsevier, vol. 113(C).
    17. Brzozowski, Michał & Siwińska-Gorzelak, Joanna, 2024. "Did robots make wages less responsive to unemployment?," Technological Forecasting and Social Change, Elsevier, vol. 209(C).
    18. Brand, Claus & Obstbaum, Meri & Coenen, Günter & Sondermann, David & Lydon, Reamonn & Ajevskis, Viktors & Hammermann, Felix & Angino, Siria & Hernborg, Nils & Basso, Henrique & Hertweck, Matthias & Bi, 2021. "Employment and the conduct of monetary policy in the euro area," Occasional Paper Series 275, European Central Bank.
    19. Haschka, Rouven E., 2024. "Examining the New Keynesian Phillips Curve in the U.S.: Why has the relationship between inflation and unemployment weakened?," Research in Economics, Elsevier, vol. 78(4).
    20. Guirguis, Hany & Cwik, Kelly & DeMauro, Joseph & Suen, Michael, 2024. "Can the Phillips curve provide answers to current high inflation rates," Research in Economics, Elsevier, vol. 78(2).

  5. Primiceri, Giorgio & Justiniano, Alejandro & Tambalotti, Andrea, 2017. "The Mortgage Rate Conundrum," CEPR Discussion Papers 12265, C.E.P.R. Discussion Papers.

    Cited by:

    1. Silvio Contessi & Pierangelo De Pace & Massimo Guidolin, 2020. "Mildly Explosive Dynamics in U.S. Fixed Income Markets," Working Papers 667, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Atif Mian & Ludwig Straub & Amir Sufi, 2020. "Indebted Demand," CESifo Working Paper Series 8210, CESifo.
    3. Gadi Barlevy & Jonas Fisher, 2021. "Why were interest only mortgages so population during U.S. housing boom?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 205-224, July.
    4. van der Plaat, Mark, 2020. "Loan sales and the tyranny of tistance in U.S. residential mortgage lending," MPRA Paper 107519, University Library of Munich, Germany, revised 20 Apr 2021.
    5. Saroj Bhattarai & Felipe Schwartzman & Choongryul Yang, 2019. "The Persistent Employment Effects of the 2006-09 U.S. Housing Wealth Collapse," Working Paper 19-7, Federal Reserve Bank of Richmond.
    6. David Berger & Fabrice Tourre & Joseph Vavra & Konstantin Milbradt, 2019. "Mortgage Prepayment and Path-Dependent Effects of Monetary Policy," 2019 Meeting Papers 175, Society for Economic Dynamics.
    7. Adelino, Manuel & Schoar, Antoinette & Severino, Felipe, 2025. "Credit supply and house prices: Evidence from mortgage market segmentation," Journal of Financial Economics, Elsevier, vol. 163(C).
    8. Arthur Acolin & Xudong An & Susan M. Wachter, 2022. "Lending competition, regulation, and nontraditional mortgages," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(2), pages 340-365, June.
    9. Bäckman, Claes & Lutz, Chandler, 2025. "Mortgage innovation and house price booms," Journal of Urban Economics, Elsevier, vol. 145(C).
    10. Claes Bäckman & Natalia Khorunzhina, 2024. "Interest‐Only Mortgages And Consumption Growth: Evidence From A Mortgage Market Reform," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 65(2), pages 1049-1079, May.
    11. Bäckman, Claes & Lutz, Chandler, 2020. "The impact of interest-only loans on affordability," Regional Science and Urban Economics, Elsevier, vol. 80(C).
    12. David Finck & Joerg Schmidt & Peter Tillmann, 2018. "Mortgage Debt and Time-Varying Monetary Policy Transmission," MAGKS Papers on Economics 201809, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    13. William Diamond & Tim Landvoigt, 2019. "Credit Cycles with Market Based Household Leverage," 2019 Meeting Papers 162, Society for Economic Dynamics.
    14. Adam J. Levitin & Desen Lin & Susan M. Wachter, 2020. "Mortgage Risk Premiums during the Housing Bubble," The Journal of Real Estate Finance and Economics, Springer, vol. 60(4), pages 421-468, May.
    15. Helmut Herwartz & Christian Ochsner & Hannes Rohloff, 2021. "Global Credit Shocks and Real Economies," MAGKS Papers on Economics 202116, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    16. Lewis, Brittany Almquist, 2023. "Creditor rights, collateral reuse, and credit supply," Journal of Financial Economics, Elsevier, vol. 149(3), pages 451-472.
    17. Carlos Garriga & Aaron Hedlund, 2019. "Crises in the Housing Market: Causes, Consequences, and Policy Lessons," Working Papers 2019-33, Federal Reserve Bank of St. Louis.
    18. Bo Li, 2024. "Household Leverage Cycle Around the Great Recession," Papers 2407.01539, arXiv.org.
    19. James A Kahn & Benjamin S Kay, 2020. "The impact of credit risk mispricing on mortgage lending during the subprime boom," BIS Working Papers 875, Bank for International Settlements.
    20. Genevieve Nelson, 2025. "Securitization and House Price Growth," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 57, July.
    21. Paul, Pascal, 2020. "A macroeconomic model with occasional financial crises," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
    22. Collins C. Ngwakwe, 2024. "The Impact of Mortgage Rates on Mortgage Refinancing," International Journal of Economics and Financial Issues, Econjournals, vol. 14(2), pages 1-4, March.
    23. Nelson Lind, 2017. "Credit Regimes and the Seeds of Crisis," 2017 Meeting Papers 1474, Society for Economic Dynamics.
    24. Morris A Davis & William D Larson & Stephen D Oliner & Benjamin R Smith, 2023. "A Quarter Century of Mortgage Risk," Review of Finance, European Finance Association, vol. 27(2), pages 581-618.
    25. Bo Li, 2024. "Testing Business Cycle Theories: Evidence from the Great Recession," Papers 2403.04104, arXiv.org.
    26. James A. Kahn & Benjamin S. Kay, 2019. "The Impact of Credit Risk Mispricing on Mortgage Lending during the Subprime Boom," Finance and Economics Discussion Series 2019-046, Board of Governors of the Federal Reserve System (U.S.).
    27. Drechsler, Itamar & Savov, Alexi & Schnabl, Philipp, 2022. "How monetary policy shaped the housing boom," Journal of Financial Economics, Elsevier, vol. 144(3), pages 992-1021.
    28. Rohan Ganduri, 2023. "What drives screening incentives in nonbank mortgage originators?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(6), pages 1321-1355, November.

  6. Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2017. "Economic Predictions with Big Data: The Illusion Of Sparsity," CEPR Discussion Papers 12256, C.E.P.R. Discussion Papers.

    Cited by:

    1. Florian Eckert & Philipp Kronenberg & Heiner Mikosch & Stefan Neuwirth, 2025. "Tracking Economic Activity With Alternative High‐Frequency Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(3), pages 270-290, April.
    2. Cepni, Oguzhan & Clements, Michael P., 2024. "How local is the local inflation factor? Evidence from emerging European countries," International Journal of Forecasting, Elsevier, vol. 40(1), pages 160-183.
    3. Andrii Babii & Eric Ghysels & Jonas Striaukas, 2022. "Machine Learning Time Series Regressions With an Application to Nowcasting," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1094-1106, June.
    4. Kuppenheimer, Gregory & Shelly, Stuart & Strauss, Jack, 2023. "Can machine learning identify sector-level financial ratios that predict sector returns?," Finance Research Letters, Elsevier, vol. 57(C).
    5. Byron Botha & Rulof Burger & Kevin Kotze & Neil Rankin & Daan Steenkamp, 2022. "Big data forecasting of South African inflation," School of Economics Macroeconomic Discussion Paper Series 2022-03, School of Economics, University of Cape Town.
    6. Cyrille Lenoel & Garry Young, 2020. "Real-time turning point indicators: Review of current international practices," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-05, Economic Statistics Centre of Excellence (ESCoE).
    7. Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2019. "How is Machine Learning Useful for Macroeconomic Forecasting?," CIRANO Working Papers 2019s-22, CIRANO.
    8. Zhentong Lu & Kenichi Shimizu, 2025. "Estimating Discrete Choice Demand Models with Sparse Market-Product Shocks," Working Papers 2025-1, University of Alberta, Department of Economics.
    9. Barigozzi, Matteo & Massacci, Daniele, 2025. "Modelling large dimensional datasets with Markov switching factor models," Journal of Econometrics, Elsevier, vol. 247(C).
    10. Joshua C. C. Chan & Xuewen Yu, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Papers 2206.08438, arXiv.org.
    11. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2023. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 126151, London School of Economics and Political Science, LSE Library.
    12. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
    13. Maehashi, Kohei & Shintani, Mototsugu, 2020. "Macroeconomic forecasting using factor models and machine learning: an application to Japan," Journal of the Japanese and International Economies, Elsevier, vol. 58(C).
    14. Mike West, 2020. "Reply to Discussion of “Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions”," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(1), pages 41-44, February.
    15. Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2021. "Measurement of factor strength: Theory and practice," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 587-613, August.
    16. Matteo Barigozzi & Christian Brownlees, 2015. "Nets: Network Estimation for Time Series," Working Papers 723, Barcelona School of Economics.
    17. Achim Ahrens & Christian B. Hansen & Mark E. Schaffer & Thomas Wiemann, 2024. "Model Averaging and Double Machine Learning," Papers 2401.01645, arXiv.org, revised Sep 2024.
    18. Galbraith, John W. & Zinde-Walsh, Victoria, 2020. "Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects," Journal of Econometrics, Elsevier, vol. 218(2), pages 609-632.
    19. Korobilis, Dimitris & Koop, Gary, 2020. "Bayesian dynamic variable selection in high dimensions," MPRA Paper 100164, University Library of Munich, Germany.
    20. David Kohns & Tibor Szendrei, 2021. "Decoupling Shrinkage and Selection for the Bayesian Quantile Regression," Papers 2107.08498, arXiv.org.
    21. Philippe Goulet Coulombe & Maximilian Goebel & Karin Klieber, 2024. "Dual Interpretation of Machine Learning Forecasts," Papers 2412.13076, arXiv.org.
    22. Danilo Cascaldi-Garcia & Matteo Luciani & Michele Modugno, 2023. "Lessons from Nowcasting GDP across the World," International Finance Discussion Papers 1385, Board of Governors of the Federal Reserve System (U.S.).
    23. Beyhum, Jad & Striaukas, Jonas, 2024. "Testing for sparse idiosyncratic components in factor-augmented regression models," Journal of Econometrics, Elsevier, vol. 244(1).
    24. Lee, Ji Hyung & Shi, Zhentao & Gao, Zhan, 2022. "On LASSO for predictive regression," Journal of Econometrics, Elsevier, vol. 229(2), pages 322-349.
    25. Niko Hauzenberger & Florian Huber & Luca Onorante, 2021. "Combining shrinkage and sparsity in conjugate vector autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(3), pages 304-327, April.
    26. Ke-Li Xu & Junjie Guo, 2021. "A New Test for Multiple Predictive Regression," CAEPR Working Papers 2022-001 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    27. Achim Ahrens & Christian B. Hansen & Mark E. Schaffer & Thomas Wiemann, 2024. "ddml: Double/debiased machine learning in Stata," Stata Journal, StataCorp LLC, vol. 24(1), pages 3-45, March.
    28. Smith, Simon C., 2021. "International stock return predictability," International Review of Financial Analysis, Elsevier, vol. 78(C).
    29. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
    30. Laurent Ferrara & Anna Simoni, 2020. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," EconomiX Working Papers 2020-11, University of Paris Nanterre, EconomiX.
    31. Bakalli, Gaetan & Guerrier, Stéphane & Scaillet, Olivier, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Journal of Econometrics, Elsevier, vol. 237(2).
    32. Matteo Mogliani & Anna Simoni, 2020. "Bayesian MIDAS penalized regressions: Estimation, selection, and prediction," Post-Print hal-03089878, HAL.
    33. Hyungsik Roger Moon & Frank Schorfheide & Boyuan Zhang, 2023. "Bayesian Estimation of Panel Models under Potentially Sparse Heterogeneity," PIER Working Paper Archive 23-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    34. Daniel Borup & Bent Jesper Christensen & Nicolaj N. Mühlbach & Mikkel S. Nielsen, 2020. "Targeting predictors in random forest regression," CREATES Research Papers 2020-03, Department of Economics and Business Economics, Aarhus University.
    35. Alena Skolkova, 2023. "Instrumental Variable Estimation with Many Instruments Using Elastic-Net IV," CERGE-EI Working Papers wp759, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    36. David Kohns & Arnab Bhattacharjee, 2020. "Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model," Papers 2011.00938, arXiv.org, revised May 2022.
    37. Gonzalo, Jesús & Pitarakis, Jean-Yves, 2024. "Out-of-sample predictability in predictive regressions with many predictor candidates," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1166-1178.
    38. Woloszko, Nicolas, 2024. "Nowcasting with panels and alternative data: The OECD weekly tracker," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1302-1335.
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    46. Francis X. Diebold & Minchul Shin & Boyuan Zhang, 2021. "On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates," Working Papers 21-06, Federal Reserve Bank of Philadelphia.
    47. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2018. "Economic predictions with big data: the illusion of sparsity," Staff Reports 847, Federal Reserve Bank of New York.
    48. Ba Chu & Shafiullah Qureshi, 2021. "Comparing Out-of-Sample Performance of Machine Learning Methods to Forecast U.S. GDP Growth," Carleton Economic Papers 21-12, Carleton University, Department of Economics.
    49. Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
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    52. Joseph, Andreas & Potjagailo, Galina & Chakraborty, Chiranjit & Kapetanios, George, 2024. "Forecasting UK inflation bottom up," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1521-1538.
    53. Antonio Marsi, 2023. "Predicting European stock returns using machine learning," SN Business & Economics, Springer, vol. 3(7), pages 1-25, July.
    54. Mckenzie,David J. & Sansone,Dario & Mckenzie,David J. & Sansone,Dario, 2017. "Man vs. machine in predicting successful entrepreneurs : evidence from a business plan competition in Nigeria," Policy Research Working Paper Series 8271, The World Bank.
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    57. Simon Beyeler & Sylvia Kaufmann, 2021. "Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 989-1012, November.
    58. Anastasios Evgenidis & Anastasios G. Malliaris, 2022. "Monetary policy, financial shocks and economic activity," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 429-456, August.
    59. Georges, Christophre & Pereira, Javier, 2021. "Market stability with machine learning agents," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
    60. Faridoon Khan & Hasnain Iftikhar & Imran Khan & Paulo Canas Rodrigues & Abdulmajeed Atiah Alharbi & Jeza Allohibi, 2025. "A Hybrid Vector Autoregressive Model for Accurate Macroeconomic Forecasting: An Application to the U.S. Economy," Mathematics, MDPI, vol. 13(11), pages 1-16, May.
    61. Joao Vitor Matos Goncalves & Michel Alexandre & Gilberto Tadeu Lima, 2023. "ARIMA and LSTM: A Comparative Analysis of Financial Time Series Forecasting," Working Papers, Department of Economics 2023_13, University of São Paulo (FEA-USP).
    62. Azqueta-Gavaldon, Andres & Hirschbühl, Dominik & Onorante, Luca & Saiz, Lorena, 2020. "Nowcasting business cycle turning points with stock networks and machine learning," Working Paper Series 2494, European Central Bank.
    63. Bai, Yu & Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2022. "Macroeconomic Forecasting in a Multi-country Context," CEPR Discussion Papers 16994, C.E.P.R. Discussion Papers.
    64. Krampe, J. & Paparoditis, E. & Trenkler, C., 2023. "Structural inference in sparse high-dimensional vector autoregressions," Journal of Econometrics, Elsevier, vol. 234(1), pages 276-300.
    65. Pellegrino, Filippo, 2025. "Selecting time-series hyperparameters with the artificial jackknife," Computational Statistics & Data Analysis, Elsevier, vol. 209(C).
    66. Jack Jewson & Li Li & Laura Battaglia & Stephen Hansen & David Rossell & Piotr Zwiernik, 2022. "Graphical model inference with external network data," CeMMAP working papers 20/22, Institute for Fiscal Studies.
    67. Thomas Despois & Catherine Doz, 2022. "Identifying and interpreting the factors in factor models via sparsity : Different approaches," Working Papers halshs-03626503, HAL.
    68. Jan Prüser & Florian Huber, 2024. "Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(2), pages 269-291, March.
    69. Jonas Krampe & Luca Margaritella, 2024. "Decomposing Global Bank Network Connectedness: What is Common, Idiosyncratic and When?," Papers 2402.02482, arXiv.org, revised Mar 2025.
    70. Arnaud Dufays & Zhuo Li & Jeroen V.K. Rombouts & Yong Song, 2021. "Sparse change‐point VAR models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(6), pages 703-727, September.
    71. Thomas Despois & Catherine Doz, 2022. "Identifying and interpreting the factors in factor models via sparsity : Different approaches," PSE Working Papers halshs-03626503, HAL.
    72. Alexandre Belloni & Mingli Chen & Oscar Hernan Madrid Padilla & Zixuan & Wang, 2019. "High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing," Papers 1912.02151, arXiv.org, revised Aug 2022.
    73. Thomas Despois & Catherine Doz, 2023. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 533-555, June.
    74. Luis Gruber & Gregor Kastner, 2022. "Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!," Papers 2206.04902, arXiv.org, revised Feb 2025.
    75. Matteo Iacopini & Luca Rossini, 2019. "Bayesian nonparametric graphical models for time-varying parameters VAR," Papers 1906.02140, arXiv.org.
    76. Daniele Bianchi & Kenichiro McAlinn, 2018. "Large-Scale Dynamic Predictive Regressions," Papers 1803.06738, arXiv.org.
    77. Huber, Florian & Onorante, Luca & Pfarrhofer, Michael, 2024. "Forecasting euro area inflation using a huge panel of survey expectations," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1042-1054.
    78. Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2022. "Asymptotic properties of the weighted-average least squares (WALS) estimator," EIEF Working Papers Series 2203, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2022.
    79. Yuan Liao & Xinjie Ma & Andreas Neuhierl & Zhentao Shi, 2023. "Economic Forecasts Using Many Noises," Papers 2312.05593, arXiv.org, revised Dec 2023.
    80. Barbarino, Alessandro & Bura, Efstathia, 2024. "Forecasting Near-equivalence of Linear Dimension Reduction Methods in Large Panels of Macro-variables," Econometrics and Statistics, Elsevier, vol. 31(C), pages 1-18.
    81. Smith, Simon C. & Timmermann, Allan & Zhu, Yinchu, 2019. "Variable selection in panel models with breaks," Journal of Econometrics, Elsevier, vol. 212(1), pages 323-344.
    82. Mekelburg, Erik & Strauss, Jack, 2024. "Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data," Journal of Empirical Finance, Elsevier, vol. 79(C).
    83. Zheng, Tingguo & Fan, Xinyue & Jin, Wei & Fang, Kuangnan, 2024. "Words or numbers? Macroeconomic nowcasting with textual and macroeconomic data," International Journal of Forecasting, Elsevier, vol. 40(2), pages 746-761.
    84. Mykola Babiak & Jozef Barunik, 2020. "Deep Learning, Predictability, and Optimal Portfolio Returns," CERGE-EI Working Papers wp677, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    85. Zhan Gao & Ji Hyung Lee & Ziwei Mei & Zhentao Shi, 2024. "Econometric Inference for High Dimensional Predictive Regressions," Papers 2409.10030, arXiv.org, revised Nov 2024.
    86. He, Yi & Jaidee, Sombut & Gao, Jiti, 2023. "Most powerful test against a sequence of high dimensional local alternatives," Journal of Econometrics, Elsevier, vol. 234(1), pages 151-177.
    87. Julian Ashwin & Eleni Kalamara & Lorena Saiz, 2024. "Nowcasting Euro area GDP with news sentiment: A tale of two crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 887-905, August.
    88. Shi, Zhentao & Huang, Jingyi, 2023. "Forward-selected panel data approach for program evaluation," Journal of Econometrics, Elsevier, vol. 234(2), pages 512-535.
    89. Wang, Chuyu & Zhang, Guanglong, 2025. "In the shadows of opacity: Firm information quality and latent factor model performance," International Review of Financial Analysis, Elsevier, vol. 100(C).
    90. Yong Cai & Santiago Camara & Nicholas Capel, 2021. "It's not always about the money, sometimes it's about sending a message: Evidence of Informational Content in Monetary Policy Announcements," Papers 2111.06365, arXiv.org.
    91. Yi He & Sombut Jaidee & Jiti Gao, 2020. "Most Powerful Test against High Dimensional Free Alternatives," Monash Econometrics and Business Statistics Working Papers 13/20, Monash University, Department of Econometrics and Business Statistics.
    92. Atin Aboutorabi & Ga'etan de Rassenfosse, 2024. "Nowcasting R&D Expenditures: A Machine Learning Approach," Papers 2407.11765, arXiv.org.
    93. Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022. "Variational inference for large Bayesian vector autoregressions," Papers 2202.12644, arXiv.org, revised Jun 2023.
    94. Nicolas Woloszko, 2020. "Tracking activity in real time with Google Trends," OECD Economics Department Working Papers 1634, OECD Publishing.
    95. Bryan Kelly & Semyon Malamud & Kangying Zhou, 2024. "The Virtue of Complexity in Return Prediction," Journal of Finance, American Finance Association, vol. 79(1), pages 459-503, February.
    96. Archanskaia, Elizaveta & Canton, Erik & Hobza, Alexandr & Nikolov, Plamen & Simons, Wouter, 2023. "The asymmetric impact of COVID-19: A novel approach to quantifying financial distress across industries," European Economic Review, Elsevier, vol. 158(C).
    97. Alena Skolkova, 2023. "Model Averaging with Ridge Regularization," CERGE-EI Working Papers wp758, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    98. David Kohns & Galina Potjagailo, 2023. "Flexible Bayesian MIDAS: time‑variation, group‑shrinkage and sparsity," Bank of England working papers 1025, Bank of England.
    99. Fang, Yi & Chen, Yuzhi & Ren, Hang, 2023. "A factor pricing model based on machine learning algorithm," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 280-297.
    100. Simone Tonini & Francesca Chiaromonte & Alessandro Giovannelli, 2022. "On the impact of serial dependence on penalized regression methods," LEM Papers Series 2022/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

  7. Primiceri, Giorgio & Giannone, Domenico & Lenza, Michele, 2016. "Priors for the Long Run," CEPR Discussion Papers 11261, C.E.P.R. Discussion Papers.

    Cited by:

    1. Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2019. "Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed Since the Crisis?," International Journal of Central Banking, International Journal of Central Banking, vol. 15(5), pages 137-173, December.
    2. Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," SciencePo Working papers Main hal-03403269, HAL.
    3. Tallman, Ellis W. & Zaman, Saeed, 2020. "Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy," International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
    4. Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," Journal of Econometrics, Elsevier, vol. 236(1).
    5. Žymantas Budrys & Mario Porqueddu & Andrej Sokol, 2024. "Striking a Bargain: Narrative Identification of Wage Bargaining Shocks," Bank of Lithuania Working Paper Series 121, Bank of Lithuania.
    6. Marek Jarocinski & Albert Marcet, 2015. "Priors about Observables in Vector Autoregressions," Working Papers 684, Barcelona School of Economics.
    7. Nooman Rebei & Rashid Sbia, 2021. "Transitory and permanent shocks in the global market for crude oil," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 1047-1064, November.
    8. Petrella, Ivan & Delle Monache, Davide & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," CEPR Discussion Papers 14107, C.E.P.R. Discussion Papers.
    9. Ganics, Gergely & Odendahl, Florens, 2021. "Bayesian VAR forecasts, survey information, and structural change in the euro area," International Journal of Forecasting, Elsevier, vol. 37(2), pages 971-999.
    10. Richard K. Crump & Stefano Eusepi & Domenico Giannone & Eric Qian & Argia M. Sbordone, 2021. "A Large Bayesian VAR of the United States Economy," Staff Reports 976, Federal Reserve Bank of New York.
    11. Rosa Drift & Jan Haan & Peter Boelhouwer, 2024. "Forecasting House Prices through Credit Conditions: A Bayesian Approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3381-3405, December.
    12. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2016. "Large Vector Autoregressions with Stochastic Volatility and Flexible Priors," Working Papers (Old Series) 1617, Federal Reserve Bank of Cleveland.
    13. Hauzenberger, Niko & Pfarrhofer, Michael & Rossini, Luca, 2025. "Sparse time-varying parameter VECMs with an application to modeling electricity prices," International Journal of Forecasting, Elsevier, vol. 41(1), pages 361-376.
    14. Warne, Anders, 2023. "DSGE model forecasting: rational expectations vs. adaptive learning," Working Paper Series 2768, European Central Bank.
    15. Jef Boeckx & Leonardo Iania & Joris Wauters, 2024. "Macroeconomic drivers of inflation expectations and inflation risk premia," Working Paper Research 446, National Bank of Belgium.
    16. Amaze Lusompa, 2021. "Local Projections, Autocorrelation, and Efficiency," Research Working Paper RWP 21-01, Federal Reserve Bank of Kansas City.
    17. Drago Bergholt & Francesco Furlanetto & Nicolò Maffei-Faccioli, 2022. "The Decline of the Labor Share: New Empirical Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 14(3), pages 163-198, July.
    18. Francesco Bianchi & Giovanni Nicolò & Dongho Song, 2023. "Inflation and Real Activity over the Business Cycle," NBER Working Papers 31075, National Bureau of Economic Research, Inc.
    19. George Kapetanios & Massimiliano Marcellino & Fabrizio Venditti, 2017. "Large time-varying parameter VARs: a non-parametric approach," Temi di discussione (Economic working papers) 1122, Bank of Italy, Economic Research and International Relations Area.
    20. Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021. "Nowcasting with Large Bayesian Vector Autoregressions," CEPR Discussion Papers 15854, C.E.P.R. Discussion Papers.
    21. Florian Huber & Gary Koop, 2023. "Subspace shrinkage in conjugate Bayesian vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 556-576, June.
    22. Ning Zhang & Haisheng Li, 2024. "Bayesian Vector Autoregression Analysis of Chinese Coal-Fired Thermal Power Plants," Sustainability, MDPI, vol. 16(19), pages 1-16, September.
    23. Dimitrios P. Louzis, 2019. "Steady‐state modeling and macroeconomic forecasting quality," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 285-314, March.
    24. Loria, Francesca & Matthes, Christian & Wang, Mu-Chun, 2022. "Economic theories and macroeconomic reality," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 105-117.
    25. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2019. "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors," Journal of Econometrics, Elsevier, vol. 212(1), pages 137-154.
    26. Paci, Lucia & Consonni, Guido, 2020. "Structural learning of contemporaneous dependencies in graphical VAR models," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
    27. Andrle, Michal & Plašil, Miroslav, 2018. "Econometrics with system priors," Economics Letters, Elsevier, vol. 172(C), pages 134-137.
    28. Angelini, Elena & Lalik, Magdalena & Lenza, Michele & Paredes, Joan, 2019. "Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1658-1668.
    29. Kurt Graden Lunsford & Kenneth D. West, 2024. "An Empirical Evaluation of Some Long-Horizon Macroeconomic Forecasts," Working Papers 24-20, Federal Reserve Bank of Cleveland.
    30. Bjarni G. Einarsson, 2024. "Online Monitoring of Policy Optimality," Economics wp95, Department of Economics, Central bank of Iceland.
    31. Felix Kapfhammer & Vegard H. Larsen & Leif Anders Thorsrud, 2020. "Climate Risk and Commodity Currencies," Working Papers No 10/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    32. Ciobotaru, Corina & Mazza, Christian, 2022. "Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds," Journal of Multivariate Analysis, Elsevier, vol. 190(C).
    33. Korobilis, Dimitris, 2016. "Prior selection for panel vector autoregressions," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 110-120.
    34. Peter McAdam & Anders Warne, 2024. "Density forecast combinations: The real‐time dimension," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1153-1172, August.
    35. Marcela De Castro-Valderrama & Santiago Forero-Alvarado & Nicolas Moreno-Arias & Sara Naranjo-Saldarriaga, 2022. "Unravelling the Narratives Behind Macroeconomic Forecasts," IHEID Working Papers 18-2022, Economics Section, The Graduate Institute of International Studies.
    36. Wang,Dieter & Andree,Bo Pieter Johannes & Chamorro Elizondo,Andres Fernando & Spencer,Phoebe Girouard, 2020. "Stochastic Modeling of Food Insecurity," Policy Research Working Paper Series 9413, The World Bank.
    37. Paul Ho, 2019. "Global Robust Bayesian Analysis in Large Models," 2019 Meeting Papers 390, Society for Economic Dynamics.
    38. Michele Lenza & Giorgio E. Primiceri, 2022. "How to estimate a vector autoregression after March 2020," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 688-699, June.
    39. Philippe Goulet Coulombe & Maximilian Gobel, 2020. "Arctic Amplification of Anthropogenic Forcing: A Vector Autoregressive Analysis," Papers 2005.02535, arXiv.org, revised Mar 2021.
    40. Marta Baltar Moreira Areosa & Wagner Piazza Gaglianone, 2023. "Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models," Working Papers Series 574, Central Bank of Brazil, Research Department.
    41. Lieb, Lenard & Smeekes, Stephan, 2017. "Inference for Impulse Responses under Model Uncertainty," Research Memorandum 022, Maastricht University, Graduate School of Business and Economics (GSBE).
    42. Wang, Dieter & Andrée, Bo Pieter Johannes & Chamorro, Andres Fernando & Spencer, Phoebe Girouard, 2022. "Transitions into and out of food insecurity: A probabilistic approach with panel data evidence from 15 countries," World Development, Elsevier, vol. 159(C).
    43. Karau, Sören, 2020. "Buried in the vaults of central banks: Monetary gold hoarding and the slide into the Great Depression," Discussion Papers 63/2020, Deutsche Bundesbank.
    44. Prüser, Jan, 2023. "Data-based priors for vector error correction models," International Journal of Forecasting, Elsevier, vol. 39(1), pages 209-227.
    45. George ANTON, 2022. "The importance of demand, uncertainty and monetary policy shocks from the euro area for the Romanian economy," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(631), S), pages 25-38, Summer.
    46. David Kohns & Galina Potjagailo, 2023. "Flexible Bayesian MIDAS: time‑variation, group‑shrinkage and sparsity," Bank of England working papers 1025, Bank of England.
    47. Hartwig, Benny, 2022. "Bayesian VARs and prior calibration in times of COVID-19," Discussion Papers 52/2022, Deutsche Bundesbank.

  8. Tambalotti, Andrea & Primiceri, Giorgio & Justiniano, Alejandro, 2016. "A Simple Model of Subprime Borrowers and Credit Growth," CEPR Discussion Papers 11083, C.E.P.R. Discussion Papers.

    Cited by:

    1. Sapci, Ayse & Vu, Nam T., 2022. "Housing Wealth Reallocation Between Subprime And Prime Borrowers During Recessions," Macroeconomic Dynamics, Cambridge University Press, vol. 26(7), pages 1775-1805, October.
    2. Albanesi, Stefania & De Giorgi, Giacomo & Nosal, Jaromir, 2017. "Credit Growth and the Financial Crisis: A New Narrative," CEPR Discussion Papers 12230, C.E.P.R. Discussion Papers.
    3. Xavier Freixas & David Perez-Reyna, 2018. "The Gilded Bubble Buffer," Working papers 3, Red Investigadores de Economía.
    4. Leung, Charles Ka Yui, 2022. "Housing and Macroeconomics," MPRA Paper 115500, University Library of Munich, Germany.
    5. Jakučionytė, Eglė & Singh, Swapnil, 2022. "Bowling alone, buying alone: The decline of co-borrowers in the US mortgage market," Journal of Housing Economics, Elsevier, vol. 58(PB).
    6. Martino N. Ricci & Patrizio Tirelli, 2017. "Subprime mortgages and banking in a DSGE model," Discussion Papers in Economics economics:201709, Griffith University, Department of Accounting, Finance and Economics.
    7. Robin G. Newberger & Maude Toussaint-Comeau, 2017. "Minority-Owned Banks and Their Primary Local Market Areas," Economic Perspectives, Federal Reserve Bank of Chicago, issue 4, pages 1-31.
    8. Shirota, Toyoichiro, 2018. "What is the major source of business cycles: Spillovers from land prices, investment shocks, or anything else?," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 138-149.
    9. Abd Samad, Khairunnisa & Mohd Daud, Siti Nurazira & Mohd Dali, Nuradli Ridzwan Shah, 2020. "Early Warning Indicators for Systemic Banking Crises: Household Debt and Property Prices," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 54(1), pages 121-134.
    10. Flannery, Mark J. & Lin, Leming & Wang, Luxi, 2022. "Housing booms and bank growth," Journal of Financial Intermediation, Elsevier, vol. 52(C).

  9. Tambalotti, Andrea & Primiceri, Giorgio & Justiniano, Alejandro, 2015. "Credit Supply and the Housing Boom," CEPR Discussion Papers 10358, C.E.P.R. Discussion Papers.

    Cited by:

    1. Yuanyuan Qu & Aza Azlina Md Kassim, 2023. "The Impact of Economic Policy Uncertainty on Investment in Real Estate Corporations Based on Sustainable Development: The Mediating Role of House Prices," Sustainability, MDPI, vol. 15(21), pages 1-17, October.
    2. Joe Cho Yiu Ng, 2021. "International Macroeconomic Aspect of Housing," GRU Working Paper Series GRU_2021_014, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    3. Elmer Sánchez León, 2016. "Mortgage Credit: Lending and Borrowing Constraints in a DSGE Framework," IHEID Working Papers 15-2016, Economics Section, The Graduate Institute of International Studies.
    4. Atif Mian & Amir Sufi, 2018. "Finance and Business Cycles: The Credit-Driven Household Demand Channel," Journal of Economic Perspectives, American Economic Association, vol. 32(3), pages 31-58, Summer.
    5. Leonardo Melosi & Giorgio Primiceri & Andrea Tambalotti, 2021. "Introduction to the Special Issue in Memory of Alejandro Justiniano," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 1-3, July.
    6. Carozzi, Felipe & Hilber, Christian A.L. & Yu, Xiaolun, 2024. "On the economic impacts of mortgage credit expansion policies: Evidence from help to buy," Journal of Urban Economics, Elsevier, vol. 139(C).
    7. Patrick A. Pintus & Yi Wen & Xiaochuan Xing, 2022. "The Inverted Leading Indicator Property and Redistribution Effect of the Interest Rate," AMSE Working Papers 2208, Aix-Marseille School of Economics, France.
    8. Philippe Martin & Thomas Philippon, 2017. "Inspecting the Mechanism: Leverage and the Great Recession in the Eurozone," American Economic Review, American Economic Association, vol. 107(7), pages 1904-1937, July.
    9. Pierpaolo Benigno & Gauti B. Eggertsson & Federica Romei, 2020. "Dynamic Debt Deleveraging and Optimal Monetary Policy," American Economic Journal: Macroeconomics, American Economic Association, vol. 12(2), pages 310-350, April.
    10. Elmer Sánchez León, 2018. "Mortgage Credit: Lending and Borrowing Constraints in a DSGE Model," Working Papers 125, Peruvian Economic Association.
    11. Pacicco, Fausto & Serati, Massimiliano & Venegoni, Andrea, 2022. "The Euro Area credit crunch conundrum: Was it demand or supply driven?," Economic Modelling, Elsevier, vol. 106(C).
    12. Franjo, Luis, 2018. "International interest rates, the current account and housing markets," Economic Modelling, Elsevier, vol. 75(C), pages 268-280.
    13. Salomón García, 2022. "Mortgage securitization and information frictions in general equilibrium," Working Papers 2221, Banco de España.
    14. Cengiz Tunc, 2020. "The Effect of Credit Supply on House Prices: Evidence From Turkey," Housing Policy Debate, Taylor & Francis Journals, vol. 30(2), pages 228-242, March.
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  10. Tambalotti, Andrea & Primiceri, Giorgio & Justiniano, Alejandro, 2013. "Household Leveraging and Deleveraging," CEPR Discussion Papers 9671, C.E.P.R. Discussion Papers.

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    1. KLEIN, Mathias & POLATTIMUR, Hamza & WINKLER, Roland, 2020. "Fiscal spending multipliers over the household leverage cycle," Working Papers 2020007, University of Antwerp, Faculty of Business and Economics.
    2. Hui Chen & Michael Michaux & Nikolai Roussanov, 2020. "Houses as ATMs: Mortgage Refinancing and Macroeconomic Uncertainty," Journal of Finance, American Finance Association, vol. 75(1), pages 323-375, February.
    3. Jieying Li & Xin Zhang, 2018. "House Prices, Home Equity, and Personal Debt Composition," 2018 Meeting Papers 661, Society for Economic Dynamics.
    4. Yi Wen & Xiaochuan Xing & Patrick Pintus, 2016. "Interest Rate Dynamics, Variable-Rate Loans, and the Business Cycle," 2016 Meeting Papers 293, Society for Economic Dynamics.
    5. Daisuke Ikeda & Toan Phan & Timothy Sablik, 2020. "Asset Bubbles and Global Imbalances," Richmond Fed Economic Brief, Federal Reserve Bank of Richmond, vol. 20, pages 1-4, January.
    6. Leonardo Melosi & Giorgio Primiceri & Andrea Tambalotti, 2021. "Introduction to the Special Issue in Memory of Alejandro Justiniano," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 1-3, July.
    7. Patrick A. Pintus & Yi Wen & Xiaochuan Xing, 2022. "The Inverted Leading Indicator Property and Redistribution Effect of the Interest Rate," AMSE Working Papers 2208, Aix-Marseille School of Economics, France.
    8. Bhattarai, Saroj & Schwartzman, Felipe & Yang, Choongryul, 2021. "Local scars of the US housing crisis," Journal of Monetary Economics, Elsevier, vol. 119(C), pages 40-57.
    9. Luca Fornaro & Federica Romei, 2018. "The paradox of global thrift," Working Papers 1845, Banco de España.
    10. Patrick A. Pintus & Jacek Suda, 2013. "Learning Financial Shocks and the Great Recession," AMSE Working Papers 1333, Aix-Marseille School of Economics, France, revised 05 Jun 2013.
    11. Franjo, Luis, 2018. "International interest rates, the current account and housing markets," Economic Modelling, Elsevier, vol. 75(C), pages 268-280.
    12. Salomón García, 2022. "Mortgage securitization and information frictions in general equilibrium," Working Papers 2221, Banco de España.
    13. Punzi, Maria Teresa & Rabitsch, Katrin, 2017. "Effectiveness of macroprudential policies under borrower heterogeneity," Department of Economics Working Paper Series 253, WU Vienna University of Economics and Business.
    14. Francesco Ferrante, 2015. "Risky Mortgages, Bank Leverage and Credit Policy," Finance and Economics Discussion Series 2015-110, Board of Governors of the Federal Reserve System (U.S.).
    15. Christian Bayer & Benjamin Born & Ralph Luetticke, 2020. "Shocks, Frictions, and Inequality in US Business Cycles," CESifo Working Paper Series 8085, CESifo.
    16. Saleem Bahaj & Angus Foulis & Gabor Pinter, 2020. "Home Values and Firm Behavior," American Economic Review, American Economic Association, vol. 110(7), pages 2225-2270, July.
    17. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2013. "The Effects of the Saving and Banking Glut on the U.S. Economy," NBER Chapters, in: NBER International Seminar on Macroeconomics 2013, pages 52-67, National Bureau of Economic Research, Inc.
    18. Andrea Ferrero, 2012. "House price booms, current account deficits, and low interest rates," Staff Reports 541, Federal Reserve Bank of New York.
    19. Mayer, Eric & Maas, Daniel & Rüth, Sebastian, 2016. "Current Account Dynamics and the Housing Cycle in Spain," VfS Annual Conference 2016 (Augsburg): Demographic Change 145824, Verein für Socialpolitik / German Economic Association.
    20. Benigno, Pierpaolo & Nistico, Salvatore, 2013. "Safe Assets, Liquidity and Monetary Policy," CEPR Discussion Papers 9767, C.E.P.R. Discussion Papers.
    21. Zhang, Min & Zhang, Yahong, 2022. "Monetary stimulus policy in China: The bank credit channel," China Economic Review, Elsevier, vol. 74(C).
    22. Callum Jones, 2018. "Household Leverage and the Recession," 2018 Meeting Papers 933, Society for Economic Dynamics.
    23. Pierre Mabille, 2019. "Aggregate Precautionary Savings Motives," 2019 Meeting Papers 344, Society for Economic Dynamics.
    24. Sandra Gomes, 2011. "Housing Market Dynamics: Any News?," Working Papers w201121, Banco de Portugal, Economics and Research Department.
    25. Aicha Kharazi, 2022. "Macroeconomic Effects of Collateral Requirements and Financial Shocks," BEMPS - Bozen Economics & Management Paper Series BEMPS93, Faculty of Economics and Management at the Free University of Bozen.
    26. Shuguang Xiao & Xinglin Lai & Jiamin Peng, 2021. "China's Easily Overlooked Monetary Transmission Mechanism: Monetary Reservoir," Papers 2111.15327, arXiv.org, revised Mar 2022.
    27. Jørgensen, Peter Lihn, 2023. "The global savings glut and the housing boom," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    28. Javier Andres & Oscar Arce & Dominik Thaler & Carlos Thomas, 2020. "When Fiscal Consolidation Meets Private Deleveraging," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 214-233, July.
    29. Eleonora Granziera & Sharon Kozicki, 2012. "House Price Dynamics: Fundamentals and Expectations," Staff Working Papers 12-12, Bank of Canada.
    30. Cardaci, Alberto, 2018. "Inequality, household debt and financial instability: An agent-based perspective," Journal of Economic Behavior & Organization, Elsevier, vol. 149(C), pages 434-458.
    31. Cyril Couaillier & Valerio Scalone, 2020. "How does Financial Vulnerability amplify Housing and Credit Shocks?," Working papers 763, Banque de France.
    32. Marco Maffezzoli & Tommaso Monacelli, 2015. "Deleverage and Financial Fragility," Working Papers 546, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    33. Huo, Zhen, 2016. "Financial Frictions, Asset Prices, and the Great Recession," CEPR Discussion Papers 11544, C.E.P.R. Discussion Papers.
    34. Zhou, Jing, 2022. "Collateral quality and house prices," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
    35. McCollum, Meagan N. & Lee, Hong & Pace, R. Kelley, 2015. "Deleveraging and mortgage curtailment," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 60-75.
    36. Ekaterina Pirozhkova & Nicola Viegi, 2024. "The bank lending channel of monetary policy transmission in South Africa," Working Papers 11072, South African Reserve Bank.
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    38. Tano Santos & Pietro Veronesi, 2016. "Leverage," NBER Working Papers 22905, National Bureau of Economic Research, Inc.
    39. Alonso, Cristian, 2018. "Hard vs. soft financial constraints: Implications for the effects of a credit crunch," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 198-223.
    40. García, Concepción González, 2025. "Fiscal consolidation in heavily indebted economies," Journal of Economic Dynamics and Control, Elsevier, vol. 173(C).
    41. Patrick Fève & Alban Moura & Olivier Pierrard, 2019. "Shadow banking and the Great Recession: Evidence from an estimated DSGE model," BCL working papers 125, Central Bank of Luxembourg.
    42. Arito Ono & Hirofumi Uchida & Gregory Udell & Iichiro Uesugi, 2014. "Lending Pro-Cyclicality and Macro-Prudential Policy: Evidence from Japanese LTV Ratios," Working Papers e070, Tokyo Center for Economic Research.
    43. Luca Guerrieri & Matteo Iacoviello, 2012. "Collateral Constraints and Macroeconomic Asymmetries," 2012 Meeting Papers 1024, Society for Economic Dynamics.
    44. Michal Brzoza-Brzezina, 2014. "Financial Frictions and Macroprudential Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 10(2), pages 249-261, June.
    45. Bruno Albuquerque, 2019. "One Size Fits All? Monetary Policy and Asymmetric Household Debt Cycles in U.S. States," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(5), pages 1309-1353, August.
    46. Carlos Carvalho & Nilda Pasca & Laura Souza & Eduardo Zilberman, 2019. "Macroeconomic Effects of Credit Deepening in Latin America," Working Papers Central Bank of Chile 828, Central Bank of Chile.
    47. Batini, Nicoletta & Melina, Giovanni & Villa, Stefania, 2019. "Fiscal buffers, private debt, and recession: The good, the bad and the ugly," Journal of Macroeconomics, Elsevier, vol. 62(C).
    48. Maas, Daniel & Mayer, Eric & Rüth, Sebastian, 2015. "Current account dynamics and the housing boom and bust cycle in Spain," W.E.P. - Würzburg Economic Papers 94, University of Würzburg, Department of Economics.
    49. Chen, Jiaqian & Finocchiaro, Daria & Lindé, Jesper & Walentin, Karl, 2020. "The costs of macroprudential deleveraging in a liquidity trap," Working Paper Series 389, Sveriges Riksbank (Central Bank of Sweden).
    50. Hintermaier, Thomas & Koeniger, Winfried, 2015. "Household debt and crises of confidence," CFS Working Paper Series 519, Center for Financial Studies (CFS).
    51. Kärkkäinen, Samu & Nyholm, Juho, 2021. "Economic effects of a debt-to-income constraint in Finland: Evidence from Aino 3.0 model," BoF Economics Review 1/2021, Bank of Finland.
    52. Muñoz, Manuel A., 2020. "Macroprudential policy and the role of institutional investors in housing markets," Working Paper Series 2454, European Central Bank.
    53. Marcin Kolasa, 2021. "Equilibrium Foreign Currency Mortgages," IMF Working Papers 2021/084, International Monetary Fund.
    54. Colin C. Caines, 2016. "Can Learning Explain Boom-Bust Cycles In Asset Prices? An Application to the US Housing Boom," International Finance Discussion Papers 1181, Board of Governors of the Federal Reserve System (U.S.).
    55. Pintus, P. A. & Suda, J., 2013. "Learning Leverage Shocks and the Great Recession," Working papers 440, Banque de France.
    56. in 't Veld, Jan & Kollmann, Robert & Pataracchia, Beatrice & Ratto, Marco & Roeger, Werner, 2014. "International capital flows and the boom-bust cycle in Spain," Journal of International Money and Finance, Elsevier, vol. 48(PB), pages 314-335.
    57. Paolo Gelain & Kevin J. Lansing & Gisle J. Natvik, 2018. "Explaining the Boom–Bust Cycle in the U.S. Housing Market: A Reverse‐Engineering Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(8), pages 1751-1783, December.
    58. Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz, 2014. "Identification of financial factors in economic fluctuations," KOF Working papers 14-364, KOF Swiss Economic Institute, ETH Zurich.
    59. Tommaso Trani, 2012. "Country Portfolios with Heterogeneous Pledgeability," IHEID Working Papers 02-2012, Economics Section, The Graduate Institute of International Studies, revised 12 Feb 2012.
    60. Dominik Menno & Tommaso Oliviero, 2014. "Financial Intermediation, House Prices and the Welfare Effects of the U.S. Great Recession," CSEF Working Papers 373, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 04 Oct 2016.
    61. Lambertini, Luisa & Nuguer, Victoria & Uysal, Pinar, 2017. "Mortgage default in an estimated model of the U.S. housing market," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 171-201.
    62. Sami Alpanda & Sarah Zubairy, 2013. "Housing and Tax Policy," Staff Working Papers 13-33, Bank of Canada.
    63. Huang, Bihong & Punzi, Maria Teresa & Wu, Yu, 2021. "Do banks price environmental transition risks? Evidence from a quasi-natural experiment in China," Journal of Corporate Finance, Elsevier, vol. 69(C).
    64. Surico, Paolo & Cloyne, James & Ferreira, Clodomiro, 2015. "Monetary Policy when Households have Debt: New Evidence on the Transmission Mechanism," CEPR Discussion Papers 11023, C.E.P.R. Discussion Papers.
    65. Saleem Bahaj & Angus Foulis & Gabor Pinter, 2016. "The Residential Collateral Channel," Discussion Papers 1607, Centre for Macroeconomics (CFM), revised Jun 2016.
    66. Dominik Menno & Tommaso Oliviero, 2013. "Financial Intermediation, House Prices, and the Distributive Effects of the U.S. Great Recession," Economics Working Papers ECO2013/05, European University Institute.
    67. Kukk, Merike, 2016. "How did household indebtedness hamper consumption during the recession? Evidence from micro data," Journal of Comparative Economics, Elsevier, vol. 44(3), pages 764-786.
    68. Leo Kaas & Patrick A. Pintus & Simon Ray, 2014. "Land Collateral and Labor Market Dynamics in France," Working Paper Series of the Department of Economics, University of Konstanz 2014-18, Department of Economics, University of Konstanz.
    69. John Carter Braxton & Edward S. Knotek, 2014. "Consumer Debt Dynamics: Follow the Increasers," Working Papers (Old Series) 1401, Federal Reserve Bank of Cleveland.
    70. Malin Gardberg & Lorenzo Pozzi, 2022. "Aggregate consumption and wealth in the long run: The impact of financial liberalization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 161-186, January.
    71. Hashmat Khan & Jean-François Rouillard, 2016. "Household Borrowing Constraints and Residential Investment Dynamics," Carleton Economic Papers 16-07, Carleton University, Department of Economics.
    72. Song Joonhyuk & Ryu Doojin, 2021. "Houses as Collateral and Household Debt Deleveraging in Korea," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 15(1), pages 3-27, January.
    73. Jensen, Henrik & Santoro, Emiliano & Ravn, Søren Hove, 2015. "Changing Credit Limits, Changing Business Cycles," CEPR Discussion Papers 10462, C.E.P.R. Discussion Papers.
    74. Philippon, Thomas & Midrigan, Virgiliu, 2016. "Household Leverage and the Recession," CEPR Discussion Papers 11407, C.E.P.R. Discussion Papers.
    75. Corina Boar & Denis Gorea & Virgiliu Midrigan, 2022. "Liquidity Constraints in the U.S. Housing Market," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(3), pages 1120-1154.
    76. Petra Gerlach-Kristen & Rossana Merola, 2019. "Consumption and credit constraints: a model and evidence from Ireland," Empirical Economics, Springer, vol. 57(2), pages 475-503, August.
    77. Andrea Ferrero & Richard Harrison & Benjamin Nelson, 2024. "House Price Dynamics, Optimal LTV Limits and the Liquidity Trap," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 91(2), pages 940-971.
    78. William Gatt, 2022. "MEDSEA-FIN: an estimated DSGE model with housing and financial frictions for Malta," CBM Working Papers WP/05/2022, Central Bank of Malta.
    79. Alpanda, Sami & Zubairy, Sarah, 2017. "Addressing household indebtedness: Monetary, fiscal or macroprudential policy?," European Economic Review, Elsevier, vol. 92(C), pages 47-73.
    80. Ravn, Søren Hove, 2016. "Endogenous credit standards and aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 89-111.
    81. Rathke, Alexander & Streicher, Sina & Sturm, Jan-Egbert, 2022. "How similar are country- and sector-responses to common shocks within the euro area?," Journal of International Money and Finance, Elsevier, vol. 120(C).
    82. Gauti B. Eggertsson & Ragnar E. Juelsrud & Lawrence H. Summers & Ella Getz Wold, 2019. "Negative nominal interest rates and the bank lending channel," Working Paper 2019/4, Norges Bank.
    83. Jonathan Zinman, 2013. "Consumer Credit: Too Much or Too Little (or Just Right)?," NBER Working Papers 19682, National Bureau of Economic Research, Inc.
    84. Marcus Ingholt, 2018. "LTV vs. DTI Constraints: When Did They Bind, and How Do They Interact?," 2018 Meeting Papers 866, Society for Economic Dynamics.
    85. Claudio Battiati, 2017. "R&D, growth, and macroprudential policy in an economy undergoing boom-bust cycles," Bank of Lithuania Working Paper Series 48, Bank of Lithuania.
    86. Cristina Badarau & Florence Huart & Ibrahima Sangaré, 2021. "Households saving and financial spillovers in the Euro area," Bulletin of Economic Research, Wiley Blackwell, vol. 73(4), pages 660-687, October.
    87. Jensen, Henrik & Ravn, Søren Hove & Santoro, Emiliano, 2019. "Kinks and Gains from Credit Cycles," CEPR Discussion Papers 13795, C.E.P.R. Discussion Papers.
    88. David Berger & Veronica Guerrieri & Guido Lorenzoni & Joseph Vavra, 2018. "House Prices and Consumer Spending," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(3), pages 1502-1542.
    89. Huang, Bihong & Punzi, Maria Teresa & Wu, Yu, 2022. "Environmental regulation and financial stability: Evidence from Chinese manufacturing firms," Journal of Banking & Finance, Elsevier, vol. 136(C).
    90. Daniel O. Beltran & Mohammad R. Jahan-Parvar & Fiona A. Paine, 2021. "Optimizing Credit Gaps for Predicting Financial Crises: Modelling Choices and Tradeoffs," International Finance Discussion Papers 1307, Board of Governors of the Federal Reserve System (U.S.).
    91. Dimitrios Asteriou & Konstantinos Spanos, 2022. "Credit to private sector, household debt and economic growth: An empirical investigation of EU countries," Economics and Business Letters, Oviedo University Press, vol. 11(4), pages 34-142.
    92. Manuel Adelino & William B. McCartney & Antoinette Schoar, 2020. "The Role of Government and Private Institutions in Credit Cycles in the U.S. Mortgage Market," NBER Working Papers 27499, National Bureau of Economic Research, Inc.
    93. Turdaliev, Nurlan & Zhang, Yahong, 2019. "Household debt, macroprudential rules, and monetary policy," Economic Modelling, Elsevier, vol. 77(C), pages 234-252.
    94. Bihong Huang & Maria Teresa Punzi & Yu Wu, 2019. "Do Banks Price Environmental Risk? Evidence from a Quasi Natural Experiment in the People’s Republic of China," ADBI Working Papers 974, Asian Development Bank Institute.
    95. Christoph Basten & Catherine Koch, 2016. "The causal effect of house prices on mortgage demand and mortgage supply: evidence from Switzerland," BIS Working Papers 555, Bank for International Settlements.
    96. Zhang, Dongyang & Guo, Rui, 2020. "The consumption response to household leverage in China: The role of investment at household level," International Review of Financial Analysis, Elsevier, vol. 71(C).
    97. Yoo, Jinhyuk, 2017. "Capital injection to banks versus debt relief to households," IMFS Working Paper Series 111, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    98. Gauti B. Eggertsson & Ragnar E. Juelsrud & Ella Getz Wold, 2017. "Are Negative Nominal Interest Rates Expansionary?," NBER Working Papers 24039, National Bureau of Economic Research, Inc.
    99. Andrea Ferrero & Richard Harrison & Ben Nelson, 2018. "Concerted efforts? Monetary policy and macro-prudential tools," Bank of England working papers 727, Bank of England.
    100. Andrés, Javier & Arce, Óscar & Thomas, Carlos, 2017. "Structural reforms in a debt overhang," Journal of Monetary Economics, Elsevier, vol. 88(C), pages 15-34.
    101. Genevieve Nelson, 2025. "Securitization and House Price Growth," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 57, July.
    102. Manuel Adelino & W. Ben McCartney & Antoinette Schoar, 2020. "The Role of Government and Private Institutions in Credit Cycles in the U.S. Mortgage Market," Working Papers 20-40, Federal Reserve Bank of Philadelphia.
    103. Punzi, Maria Teresa, 2024. "The role of macroprudential policies under carbon pricing," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 858-875.
    104. Carvalho, Carlos & Pasca, Nilda & Souza, Laura & Zilberman, Eduardo, 2019. "Macroeconomic Macroeconomic Effects of Credit Deepening in Latin America," Working Papers 2019-013, Banco Central de Reserva del Perú.
    105. Yahong Zhang, 2015. "Household Debt, Financial Intermediation, and Monetary Policy," Working Papers 1504, University of Windsor, Department of Economics.
    106. Maria Teresa Punzi, 2024. "The Role of Macroprudential Policies under Carbon Pricing," Working and Discussion Papers WP 4/2024, Research Department, National Bank of Slovakia.
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    108. Hamed Ghiaie, 2018. "Shadow Bank run, Housing and Credit Market: The Story of a Recession," THEMA Working Papers 2018-01, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    109. Patrick A. Pintus & Yi Wen & Xiaochuan Xing, 2015. "Interest Rate Dynamics, Variable-Rate Loan Contracts, and the Business Cycle," Working Papers 2015-32, Federal Reserve Bank of St. Louis.
    110. Turdaliev, Nurlan & Zhang, Yahong, 2023. "Mortgage risk and bank runs," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 315-343.
    111. Rüdiger Bachmann & Sebastian Rüth, 2017. "Systematic Monetary Policy And The Macroeconomic Effects Of Shifts In Loan-To-Value Ratios," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 17/934, Ghent University, Faculty of Economics and Business Administration.
    112. Andreas Fuster & Basit Zafar, 2021. "The Sensitivity of Housing Demand to Financing Conditions: Evidence from a Survey," American Economic Journal: Economic Policy, American Economic Association, vol. 13(1), pages 231-265, February.
    113. Yin Germaschewski, 2022. "House price, credit supply, and government policy in China," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(2), pages 971-1026, May.
    114. Smets, Frank & Villa, Stefania, 2016. "Slow recoveries: Any role for corporate leverage?," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 54-85.
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    116. Guerrieri, V. & Uhlig, H., 2016. "Housing and Credit Markets," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1427-1496, Elsevier.
    117. Gauti B. Eggertsson & Sergey K. Egiev, 2024. "Liquidity Traps: A Unified Theory of the Great Depression and Great Recession," NBER Working Papers 33195, National Bureau of Economic Research, Inc.
    118. Jensen, Henrik & Ravn, Søren Hove & Santoro, Emiliano, 2016. "Deepening Contractions and Collateral Constraints," CEPR Discussion Papers 11166, C.E.P.R. Discussion Papers.
    119. Gete, Pedro, 2020. "Expectations and the housing boom and bust. An open economy view," Journal of Housing Economics, Elsevier, vol. 49(C).
    120. Marzinotto, Benedicta, 2022. "Euro area current account imbalances: A tale of two financial liberalizations," Journal of International Money and Finance, Elsevier, vol. 120(C).
    121. Wei, Huaying & Guo, Rui & Sun, Honghao & Wang, Nan, 2021. "Household leverage and education expenditure: the role of household investment," Finance Research Letters, Elsevier, vol. 38(C).
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    123. Xie, Fusheng & Yang, Xiaozhong & Cai, Wanhuan, 2024. "House prices, financing mode and economic growth," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    124. Bian, Timothy Yang & Gete, Pedro, 2015. "What drives housing dynamics in China? A sign restrictions VAR approach," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 96-112.
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    127. Leo Michelis & Ugochi T. Emenogu, 2019. "Financial Frictions, Durable Goods and Monetary Policy," Working Papers 075, Toronto Metropolitan University, Department of Economics.
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    130. Christoph Basten & Cathérine Koch, 2014. "The causal effect of house prices on mortgage demand and mortgage supply," ECON - Working Papers 140, Department of Economics - University of Zurich.
    131. Michael Ellington & Chris Florackis & Costas Milas, 2016. "Liquidity Shocks and Real GDP Growth: Evidence from a Bayesian Time-varying Parameter VAR," Working Paper series 16-28, Rimini Centre for Economic Analysis.
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  11. Marco Del Negro & Giorgio E. Primiceri, 2013. "Time-Varying Structural Vector Autoregressions and Monetary Policy: a Corrigendum," Staff Reports 619, Federal Reserve Bank of New York.

    Cited by:

    1. Michael T. Belongia & Peter N. Ireland, 2012. "A "Working" Solution to the Question of Nominal GDP Targeting," Boston College Working Papers in Economics 802, Boston College Department of Economics, revised 04 Jan 2013.
    2. Ellington, Michael & Milas, Costas, 2021. "On the economic impact of aggregate liquidity shocks: The case of the UK," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 737-752.
    3. James M. Nason & Ellis W. Tallman, 2012. "Business cycles and financial crises: the roles of credit supply and demand shocks," Working Papers 12-24, Federal Reserve Bank of Philadelphia.
    4. Farmer, Roger E.A. & Nicolò, Giovanni, 2018. "Keynesian economics without the Phillips curve," Journal of Economic Dynamics and Control, Elsevier, vol. 89(C), pages 137-150.
    5. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2017. "Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168111, Verein für Socialpolitik / German Economic Association.
    6. Leu, Shawn C.-Y. & Robertson, Mari L., 2021. "Mortgage credit volumes and monetary policy after the Great Recession," Economic Modelling, Elsevier, vol. 94(C), pages 483-500.
    7. Mehmet Balcilar & David Roubaud & Muhammad Shahbaz, 2019. "The Impact of Energy Market Uncertainty Shocks on Energy Transition in Europe," The Energy Journal, , vol. 40(1_suppl), pages 55-80, June.
    8. Ioannis Chatziantoniou & David Gabauer, 2019. "EMU-Risk Synchronisation and Financial Fragility Through the Prism of Dynamic Connectedness," Working Papers in Economics & Finance 2019-07, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    9. Wensheng Kang & Ronald A. Ratti & Joaquin L. Vespignani, 2017. "Global Commodity Prices and Global Stock Volatility Shocks: Effects across Countries," Globalization Institute Working Papers 311, Federal Reserve Bank of Dallas.
    10. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
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    1637. Xin-Zhou Qi & Zhong Ning & Meng Qin, 2022. "Economic policy uncertainty, investor sentiment and financial stability—an empirical study based on the time varying parameter-vector autoregression model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(3), pages 779-799, July.
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    1640. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2020. "Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions," JRFM, MDPI, vol. 13(4), pages 1-23, April.
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    1643. Yingman Wang & Yubin Huangfu, 2024. "The Impact of Pig Futures on the Price Transmission in the Pig Industry Chain during Market Shocks," Agriculture, MDPI, vol. 14(8), pages 1-18, August.
    1644. Nima Nonejad, 2019. "Has the 2008 financial crisis and its aftermath changed the impact of inflation on inflation uncertainty in member states of the european monetary union?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(2), pages 246-276, May.
    1645. Todd E. Clark & Taisuke Nakata, 2008. "Has the behavior of inflation and long-term inflation expectations changed?," Economic Review, Federal Reserve Bank of Kansas City, vol. 93(Q I), pages 17-50.
    1646. Andrejs Zlobins, 2020. "ZLB and Beyond: Real and Financial Effects of Low and Negative Interest Rates in the Euro Area," Working Papers 2020/06, Latvijas Banka.
    1647. Zareifard, Hamid & Rue, Håvard & Khaledi, Majid Jafari & Lindgren, Finn, 2016. "A skew Gaussian decomposable graphical model," Journal of Multivariate Analysis, Elsevier, vol. 145(C), pages 58-72.
    1648. Ute Volz & Martin Mandler & Michael Scharnagl, 2016. "Heterogeneity in Euro Area Monetary Policy Transmission: Results from a large Multi-Country BVAR," EcoMod2016 9609, EcoMod.
    1649. Yunlu He & Bin Wang, 2024. "The natural rate of interest of Hong Kong," Pacific Economic Review, Wiley Blackwell, vol. 29(1), pages 44-54, February.
    1650. Ambrogio Cesa-Bianchi & Emilio Fernandez-Corugedo, 2014. "Uncertainty in a model with credit frictions," Bank of England working papers 496, Bank of England.
    1651. Warapong Wongwachara & Bovonvich Jindarak & Nuwat Nookhwun & Sophon Tunyavetchakit & Chutipha Klungjaturavet, 2018. "Integrating Monetary Policy and Financial Stability: A New Framework," PIER Discussion Papers 100, Puey Ungphakorn Institute for Economic Research.
    1652. Dario Caldara & Chiara Scotti & Molin Zhong, 2021. "Macroeconomic and Financial Risks: A Tale of Mean and Volatility," International Finance Discussion Papers 1326, Board of Governors of the Federal Reserve System (U.S.).
    1653. Jushuang Qin & Menglu Ma & Jiabin Shi & Shurui Ma & Baoguo Wu & Xiaohui Su, 2023. "The Time-Lag Effect of Climate Factors on the Forest Enhanced Vegetation Index for Subtropical Humid Areas in China," IJERPH, MDPI, vol. 20(1), pages 1-18, January.
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    1657. William Gatt & Germano Ruisi, 2022. "The spillover of euro area shocks to the Maltese economy," CBM Working Papers WP/03/2022, Central Bank of Malta.
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  12. Tambalotti, Andrea & Primiceri, Giorgio & Justiniano, Alejandro, 2013. "The Effects of the Saving and Banking Glut on the U.S. Economy," CEPR Discussion Papers 9729, C.E.P.R. Discussion Papers.

    Cited by:

    1. Elmer Sánchez León, 2016. "Mortgage Credit: Lending and Borrowing Constraints in a DSGE Framework," IHEID Working Papers 15-2016, Economics Section, The Graduate Institute of International Studies.
    2. Elmer Sánchez León, 2018. "Mortgage Credit: Lending and Borrowing Constraints in a DSGE Model," Working Papers 125, Peruvian Economic Association.
    3. in 't Veld, Jan & Kollmann, Robert & Pataracchia, Beatrice & Ratto, Marco & Roeger, Werner, 2014. "International capital flows and the boom-bust cycle in Spain," Journal of International Money and Finance, Elsevier, vol. 48(PB), pages 314-335.
    4. Michele Fratianni & Federico Giri, 2015. "The Tale of Two Great Crises," Mo.Fi.R. Working Papers 117, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.

  13. Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2012. "Prior Selection for Vector Autoregressions," CEPR Discussion Papers 8755, C.E.P.R. Discussion Papers.

    Cited by:

    1. Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2019. "Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed Since the Crisis?," International Journal of Central Banking, International Journal of Central Banking, vol. 15(5), pages 137-173, December.
    2. Gregor Bäurle & Daniel Kaufmann, 2014. "Exchange rate and price dynamics in a small open economy - the role of the zero lower bound and monetary policy regimes," Working Papers 2014-10, Swiss National Bank.
    3. Mike Tsionas & Marwan Izzeldin & Lorenzo Trapani, 2019. "Bayesian estimation of large dimensional time varying VARs using copulas," Papers 1912.12527, arXiv.org.
    4. Michal Franta & Jozef Barunik & Roman Horvath & Katerina Smidkova, 2011. "Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests," Working Papers 2011/10, Czech National Bank, Research and Statistics Department.
    5. Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," SciencePo Working papers Main hal-03403269, HAL.
    6. Leonardo Nogueira Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers Series 581, Central Bank of Brazil, Research Department.
    7. Jonas E. Arias & Juan F. Rubio‐Ramírez & Daniel F. Waggoner, 2025. "Uniform Priors for Impulse Responses," Econometrica, Econometric Society, vol. 93(2), pages 695-718, March.
    8. Tomas Konecny & Oxana Babecka-Kucharcukova, 2016. "Credit Spreads and the Links between the Financial and Real Sectors in a Small Open Economy: The Case of the Czech Republic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 302-321, August.
    9. Yvonne Adema & Kees Folmer & Gerrit Hugo Heuvelen & Sonny Kuijpers & Rob Luginbuhl & Bas Scheer, 2020. "Unemployment Forecasts: Room for Improvement?," De Economist, Springer, vol. 168(3), pages 403-417, September.
    10. Huber, Florian, 2016. "Density forecasting using Bayesian global vector autoregressions with stochastic volatility," International Journal of Forecasting, Elsevier, vol. 32(3), pages 818-837.
    11. Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2019. "How is Machine Learning Useful for Macroeconomic Forecasting?," CIRANO Working Papers 2019s-22, CIRANO.
    12. Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2020. "Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 934-943, September.
    13. Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019. "Forecasting with a Panel Tobit Model," CAEPR Working Papers 2019-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    14. Anders Warne & Günter Coenen & Kai Christoffel, 2017. "Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 103-119, January.
    15. Garik A. Petrosyan & Narek N. Karapetyan & Andranik A. Margaryan & Aleksei N. Sokolov & Irina I. Yakovleva & Anton I. Votinov, 2024. "Bayesian Approach to Forecasting Aggregate Taxes of the Republic of Armenia," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 51-67, June.
    16. Mackowiak, Bartosz & Jarocinski, Marek, 2013. "Granger-Causal-Priority and Choice of Variables in Vector Autoregressions," CEPR Discussion Papers 9686, C.E.P.R. Discussion Papers.
    17. Oriol Gonzalez-Casasus & Frank Schorfheide, 2025. "Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs," PIER Working Paper Archive 25-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    18. Igan, Deniz & Kabundi, Alain & De Simone, Francisco Nadal & Tamirisa, Natalia, 2017. "Monetary policy and balance sheets," Journal of Policy Modeling, Elsevier, vol. 39(1), pages 169-184.
    19. Zhentong Lu & Kenichi Shimizu, 2025. "Estimating Discrete Choice Demand Models with Sparse Market-Product Shocks," Working Papers 2025-1, University of Alberta, Department of Economics.
    20. Dedola, Luca & Rivolta, Giulia & Stracca, Livio, 2017. "If the Fed sneezes, who catches a cold?," Working Paper Series 2050, European Central Bank.
    21. Andrei Dubovik & Adam Elbourne & Bram Hendriks & Mark Kattenberg, 2022. "Forecasting World Trade Using Big Data and Machine Learning Techniques," CPB Discussion Paper 441, CPB Netherlands Bureau for Economic Policy Analysis.
    22. Berg, Tim O. & Henzel, Steffen R., 2015. "Point and density forecasts for the euro area using Bayesian VARs," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1067-1095.
    23. Jeffrey R. Campbell & Filippo Ferroni & Jonas D. M. Fisher & Leonardo Melosi, 2019. "The Macroeconomic Effects of the 2018 Bipartisan Budget Act," Economic Perspectives, Federal Reserve Bank of Chicago, issue 2, pages 2-12.
    24. Francesco Bianchi & Giada Bianchi & Dongho Song, 2020. "The Long-Term Impact of the COVID-19 Unemployment Shock on Life Expectancy and Mortality Rates," NBER Working Papers 28304, National Bureau of Economic Research, Inc.
    25. Gary Koop & Stuart McIntyre & James Mitchell, 2018. "UK Regional Nowcasting using a Mixed Frequency Vector Autoregressive Model," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-07, Economic Statistics Centre of Excellence (ESCoE).
    26. Minsu Chang & Xiaohong Chen & Frank Schorfheide, 2021. "Heterogeneity and Aggregate Fluctuations," Cowles Foundation Discussion Papers 2289, Cowles Foundation for Research in Economics, Yale University.
    27. Michal Franta, 2012. "Macroeconomic Effects of Fiscal Policy in the Czech Republic: Evidence Based on Various Identification Approaches in a VAR Framework," Working Papers 2012/13, Czech National Bank, Research and Statistics Department.
    28. Zhang, Wen, 2020. "Political incentives and local government spending multiplier: Evidence for Chinese provinces (1978–2016)," Economic Modelling, Elsevier, vol. 87(C), pages 59-71.
    29. Mortaza OJAGHLOU & Begum KAYA SOZTANACI, 2022. "Interest Rate Pass-Through and Monetary Transmission Mechanism in Turkey," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 10(1), pages 46-54.
    30. Joshua C. C. Chan & Xuewen Yu, 2022. "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Papers 2206.08438, arXiv.org.
    31. Sebastian Ankargren & Mårten Bjellerup & Hovick Shahnazarian, 2017. "The importance of the financial system for the real economy," Empirical Economics, Springer, vol. 53(4), pages 1553-1586, December.
    32. Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2020. "Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 124-136, January.
    33. William Chen & Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What’s Up with the Phillips Curve?," Liberty Street Economics 20200918a, Federal Reserve Bank of New York.
    34. Tallman, Ellis W. & Zaman, Saeed, 2020. "Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy," International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
    35. Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2016. "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1371-1391, November.
    36. Kaufmann, Daniel & Bäurle, Gregor, 2013. "Exchange Rate and Price Dynamics at the Zero Lower Bound," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79872, Verein für Socialpolitik / German Economic Association.
    37. Michele Lenza & Jiri Slacalek, 2024. "How does monetary policy affect income and wealth inequality? Evidence from quantitative easing in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 746-765, August.
    38. Niko Hauzenberger & Florian Huber & Massimiliano Marcellino & Nico Petz, 2021. "Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty," Papers 2112.01995, arXiv.org, revised Nov 2022.
    39. Ricardo Nunes & Ali Ozdagli & Jenny Tang, 2022. "Interest Rate Surprises: A Tale of Two Shocks," Working Papers 2213, Federal Reserve Bank of Dallas.
    40. Andrew Haldane & Matt Roberts-Sklar & Tomasz Wieladek & Chris Young, 2016. "QE: The Story so far," Bank of England working papers 624, Bank of England.
    41. Gianluca Cubadda & Marco Mazzali, 2024. "The vector error correction index model: representation, estimation and identification," The Econometrics Journal, Royal Economic Society, vol. 27(1), pages 126-150.
    42. Cristiana Belu Manescu & Ine Van Robays, 2016. "Forecasting the Brent Oil Price: Addressing Time-Variation in Forecast Performance," CESifo Working Paper Series 6242, CESifo.
    43. Gary Koop & Dimitris Korobilis, 2018. "Forecasting with High-Dimensional Panel VARs," Working Paper series 18-20, Rimini Centre for Economic Analysis.
    44. Doron Avramov & Si Cheng & Lior Metzker & Stefan Voigt, 2023. "Integrating Factor Models," Journal of Finance, American Finance Association, vol. 78(3), pages 1593-1646, June.
    45. Francesca Monti, 2015. "Can a data-rich environment help identify the sources of model misspecification?," Discussion Papers 1505, Centre for Macroeconomics (CFM).
    46. Carlo Altavilla & Domenico Giannone, 2014. "The effectiveness of non-standard monetary policy measures: evidence from survey data," Working Papers CASMEF 1406, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    47. Florian Huber & Gregor Kastner & Martin Feldkircher, 2016. "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models," Papers 1607.04532, arXiv.org, revised Jul 2018.
    48. Koop, Gary & Korobilis, Dimitris & Pettenuzzo, Davide, 2019. "Bayesian compressed vector autoregressions," Journal of Econometrics, Elsevier, vol. 210(1), pages 135-154.
    49. Scott Brave & R. Andrew Butters & Alejandro Justiniano, 2016. "Forecasting Economic Activity with Mixed Frequency Bayesian VARs," Working Paper Series WP-2016-5, Federal Reserve Bank of Chicago.
    50. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
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    Cited by:

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    45. Sebastian Calónico & Rafael Di Tella & Juan Cruz Lopez del Valle, 2023. "The Political Economy of a “Miracle Cure”: The Case of Nebulized Ibuprofen and its Diffusion in Argentina," NBER Working Papers 31781, National Bureau of Economic Research, Inc.
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    48. Daron Acemoglu & Nicolás Ajzenman & Cevat Giray Aksoy & Martin Fiszbein & Carlos A. Molina, 2021. "(Successful) Democracies Breed Their Own Support," NBER Working Papers 29167, National Bureau of Economic Research, Inc.
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    53. Tag, Mehmet Nasih, 2021. "Judicial institutions of property rights protection and foreign direct investment inflows," International Review of Law and Economics, Elsevier, vol. 65(C).
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    Cited by:

    1. Kaabia, Olfa & Abid, Ilyes & Mkaouar, Farid, 2016. "The dark side of the black gold shock onto Europe: One stock's joy is another stock's sorrow," Economic Modelling, Elsevier, vol. 58(C), pages 642-654.

  17. Tambalotti, Andrea & Primiceri, Giorgio & Justiniano, Alejandro, 2009. "Investment Shocks and the Relative Price of Investment," CEPR Discussion Papers 7598, C.E.P.R. Discussion Papers.

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    1. Alexander Falter & Dennis Wesselbaum, 2018. "Correlated shocks in estimated DSGE models," Economics Bulletin, AccessEcon, vol. 38(4), pages 2026-2036.
    2. Nikolay Iskrev & Sandra Gomes & Caterina Mendicino, 2013. "Monetary policy shocks: We got news!," Working Papers w201307, Banco de Portugal, Economics and Research Department.
    3. Auray, Stéphane & Eyquem, Aurélien, 2019. "Episodes of war and peace in an estimated open economy model," Journal of Economic Dynamics and Control, Elsevier, vol. 105(C), pages 203-249.
    4. Tambalotti, Andrea & Primiceri, Giorgio & Justiniano, Alejandro, 2013. "Household Leveraging and Deleveraging," CEPR Discussion Papers 9671, C.E.P.R. Discussion Papers.
    5. Patrick Fève & Pablo Garcia Sanchez & Alban Moura & Olivier Pierrard, 2019. "Costly Default And Asymmetric Real Business Cycles," LIDAM Discussion Papers IRES 2019018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    6. Giovanni Ganelli & Juha Tervala, 2020. "Welfare Multiplier of Public Investment," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 68(2), pages 390-420, June.
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    50. Jordan Roulleau-Pasdeloup & Anastasia Zhutova, 2015. "Labor Market Policies and the "Missing Deflation" Puzzle: Lessons from Hoover Policies during the U.S Great Depression," Cahiers de Recherches Economiques du Département d'économie 15.05, Université de Lausanne, Faculté des HEC, Département d’économie.
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    317. Markus Kirchner & Rodrigo Tranamil, 2016. "Calvo Wages Vs. Search Frictions: a Horse Race in a DSGE Model of a Small Open Economy," Working Papers Central Bank of Chile 778, Central Bank of Chile.
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    324. Joshua Brault & Louis Phaneuf, 2021. "Higher Order Interest-Smoothing, Time-Varying Inflation Target and the Prospect of Indeterminacy," Working Papers 21-10, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
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  18. Giorgio Primiceri & Alejandro Justiniano, 2009. "Potential and natural output," 2009 Meeting Papers 25, Society for Economic Dynamics.

    Cited by:

    1. Jordan Roulleau-Pasdeloup & Anastasia Zhutova, 2015. "Labor Market Policies and the "Missing Deflation" Puzzle: Lessons from Hoover Policies during the U.S Great Depression," Cahiers de Recherches Economiques du Département d'économie 15.05, Université de Lausanne, Faculté des HEC, Département d’économie.
    2. Jordan Roulleau‐Pasdeloup & Anastasia Zhutova, 2022. "Labor Market Policies in a Deep Recession: Lessons from Hoover's Policies during the U.S. Great Depression," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 247-283, February.
    3. Sébastien Charles & Thomas Dallery & Jonathan Marie, 2018. "Some Thoughts and Proposals Concerning the Concept of Output Gap [Réflexions et suggestions autour du concept d’output gap]," Post-Print hal-02335667, HAL.
    4. Michael Kiley, 2010. "Output gaps," 2010 Meeting Papers 266, Society for Economic Dynamics.
    5. Andrew Binning & Hilde C. Bjørnland & Junior Maih, 2019. "Is Monetary Policy Always Effective? Incomplete Interest Rate Pass-through in a DSGE Model," Working Papers No 09/2019, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    6. Sharma, Saurabh & Behera, Harendra, 2022. "A dissection of Indian growth using a DSGE filter," Journal of Asian Economics, Elsevier, vol. 80(C).
    7. Tóth, Máté, 2021. "A multivariate unobserved components model to estimate potential output in the euro area: a production function based approach," Working Paper Series 2523, European Central Bank.

  19. Tambalotti, Andrea & Primiceri, Giorgio & Justiniano, Alejandro, 2008. "Investment Shocks and Business Cycles," CEPR Discussion Papers 6739, C.E.P.R. Discussion Papers.

    Cited by:

    1. Andrea Raffo, 2008. "Technology Shocks: Novel Implications for International Business Cycles," 2008 Meeting Papers 511, Society for Economic Dynamics.
    2. Nikolay Iskrev & Sandra Gomes & Caterina Mendicino, 2013. "Monetary policy shocks: We got news!," Working Papers w201307, Banco de Portugal, Economics and Research Department.
    3. Kumar, Abhishek & Mallick, Sushanta & Sinha, Apra, 2021. "Policy errors and business cycle fluctuations: Evidence from an emerging economy," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 176-198.
    4. Patrick F ve & Jean-Guillaume Sahuc, 2016. "In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area," Working papers 585, Banque de France.
    5. Patrick F?ve & Julien Matheron & Jean-Guillaume Sahuc, 2013. "A Pitfall with Estimated DSGE-Based Government Spending Multipliers," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(4), pages 141-178, October.
    6. Hess Chung & Jean-Philippe Laforte & David Reifschneider & John C. Williams, 2012. "Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44, pages 47-82, February.
    7. Patrick Fève & Pablo Garcia Sanchez & Alban Moura & Olivier Pierrard, 2019. "Costly Default And Asymmetric Real Business Cycles," LIDAM Discussion Papers IRES 2019018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    8. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
    9. Mr. Selim A Elekdag & Mr. Harun Alp, 2011. "The Role of Monetary Policy in Turkey During the Global Financial Crisis," IMF Working Papers 2011/150, International Monetary Fund.
    10. Weder, Mark & Doko Tchatokay, Firmin & Groshenny, Nicolas & Haque, Qazi, 2016. "Monetary Policy and Indeterminacy after the 2001 Slump," VfS Annual Conference 2016 (Augsburg): Demographic Change 145557, Verein für Socialpolitik / German Economic Association.
    11. Leonardo Nogueira Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers Series 581, Central Bank of Brazil, Research Department.
    12. Mumtaz, Haroon & Theodoridis, Konstantinos, 2017. "Common and country specific economic uncertainty," Journal of International Economics, Elsevier, vol. 105(C), pages 205-216.
    13. Saijo, Hikaru, 2017. "The uncertainty multiplier and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 1-25.
    14. Federico S. Mandelman & Pau Rabanal & Juan F. Rubio-Ramirez & Diego Vilán, 2010. "Investment-specific technology shocks and international business cycles: an empirical assessment," FRB Atlanta Working Paper 2010-03, Federal Reserve Bank of Atlanta.
    15. Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023. "The Long-Run Phillips Curve is ... a Curve," CAMA Working Papers 2023-37, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    16. Ajello, Andrea, 2010. "Financial intermediation, investment dynamics and business cycle fluctuations," MPRA Paper 32447, University Library of Munich, Germany, revised Mar 2011.
    17. Ríos-Rull, José-Víctor & Schorfheide, Frank & Fuentes-Albero, Cristina & Kryshko, Maxym & Santaeulàlia-Llopis, Raül, 2012. "Methods versus substance: Measuring the effects of technology shocks," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 826-846.
    18. Leonardo Melosi & Giorgio Primiceri & Andrea Tambalotti, 2021. "Introduction to the Special Issue in Memory of Alejandro Justiniano," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 1-3, July.
    19. Givens, Gregory E., 2011. "Unemployment insurance in a sticky-price model with worker moral hazard," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1192-1214, August.
    20. Di Caro, Paolo, 2014. "Testing and explaining economic resilience with an application to Italian regions," MPRA Paper 60298, University Library of Munich, Germany.
    21. Federico Di Pace & Christoph Gortz, 2021. "Monetary Policy, Sectoral Comovement and the Credit Channel," Discussion Papers 21-07, Department of Economics, University of Birmingham.
    22. Patrick A. Pintus & Yi Wen & Xiaochuan Xing, 2022. "The Inverted Leading Indicator Property and Redistribution Effect of the Interest Rate," AMSE Working Papers 2208, Aix-Marseille School of Economics, France.
    23. Robert Kollmann, 2013. "Global Banks, Financial Shocks, and International Business Cycles: Evidence from an Estimated Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 159-195, December.
    24. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95, July.
    25. Stephanie Schmitt-Grohe & Martin Uribe, 2008. "What's News in Business Cycles," NBER Working Papers 14215, National Bureau of Economic Research, Inc.
    26. Alejandro Justiniano, 2012. "Comment on "Structural and Cyclical Forces in the Labor Market during the Great Recession: Cross-Country Evidence"," NBER Chapters, in: NBER International Seminar on Macroeconomics 2012, pages 415-424, National Bureau of Economic Research, Inc.
    27. Mumtaz, Haroon & Theodoridis, Konstantinos, 2020. "Fiscal policy shocks and stock prices in the United States," European Economic Review, Elsevier, vol. 129(C).
    28. Ozge Akinci & Albert Queraltó, 2019. "Exchange Rate Dynamics and Monetary Spillovers with Imperfect Financial Markets," International Finance Discussion Papers 1254, Board of Governors of the Federal Reserve System (U.S.).
    29. Gregory Casey & Stephie Fried & Matthew Gibson, 2022. "Understanding Climate Damages: Consumption versus Investment," Department of Economics Working Papers 2022-01, Department of Economics, Williams College.
    30. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
    31. Sveen, Tommy, 2014. "Capital accumulation, sectoral heterogeneity and the Taylor principle," Journal of Economic Dynamics and Control, Elsevier, vol. 44(C), pages 20-28.
    32. David Coble & Sebastián Faúndez, 2015. "The Labor Wedge and Business Cycle in Chile," Working Papers Central Bank of Chile 758, Central Bank of Chile.
    33. Sala, Luca & Söderström, Ulf & Trigari, Antonella, 2012. "Structural and Cyclical Forces in the Labor Market During the Great Recession: Cross-Country Evidence," Working Paper Series 264, Sveriges Riksbank (Central Bank of Sweden).
    34. Kevin J. Lansing, 2011. "Asset pricing with concentrated ownership of capital," Working Paper Series 2011-07, Federal Reserve Bank of San Francisco.
    35. Inoue, Atsushi & Kuo, Chun-Hung & Rossi, Barbara, 2020. "Identifying the sources of model misspecification," Journal of Monetary Economics, Elsevier, vol. 110(C), pages 1-18.
    36. Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick & Meinerding, Christoph, 2016. "Investment-specific shocks, business cycles, and asset prices," SAFE Working Paper Series 129, Leibniz Institute for Financial Research SAFE.
    37. Christoph Görtz & John D. Tsoukalas, 2013. "Sector Specific News Shocks in Aggregate and Sectoral Fluctuations," CESifo Working Paper Series 4269, CESifo.
    38. Christian Bayer & Benjamin Born & Ralph Luetticke, 2020. "Shocks, Frictions, and Inequality in US Business Cycles," CESifo Working Paper Series 8085, CESifo.
    39. Marco Del Negro & Frank Schorfheide, 2009. "Monetary Policy Analysis with Potentially Misspecified Models," American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
    40. William Chen & Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What’s Up with the Phillips Curve?," Liberty Street Economics 20200918a, Federal Reserve Bank of New York.
    41. Roulleau-Pasdeloup, Jordan, 2023. "Analyzing Linear DSGE models: the Method of Undetermined Markov States," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
    42. Lawrence J. Christiano & Martin S. Eichenbaum & Mathias Trabandt, 2018. "On DSGE Models," Journal of Economic Perspectives, American Economic Association, vol. 32(3), pages 113-140, Summer.
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    6. Bańbura, Marta & Leiva-Leon, Danilo & Menz, Jan-Oliver, 2021. "Do inflation expectations improve model-based inflation forecasts?," Working Paper Series 2604, European Central Bank.
    7. Saroj Bhattarai & Jae Won Lee & Woong Yong Park, 2012. "Policy regimes, policy shifts, and U.S. business cycles," Globalization Institute Working Papers 109, Federal Reserve Bank of Dallas.
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    Cited by:

    1. Andrea Raffo, 2008. "Technology Shocks: Novel Implications for International Business Cycles," 2008 Meeting Papers 511, Society for Economic Dynamics.
    2. Guerron-Quintana, Pablo A., 2011. "The implications of inflation in an estimated new Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 947-962, June.
    3. Lin, Tsu-ting Tim, 2015. "Working capital requirement and the unemployment volatility puzzle," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 201-217.
    4. Qureshi, Irfan A., 2021. "The Role Of Money In Federal Reserve Policy," Macroeconomic Dynamics, Cambridge University Press, vol. 25(8), pages 2037-2057, December.
    5. Mattesini, Fabrizio & Nisticò, Salvatore, 2010. "Trend growth and optimal monetary policy," Journal of Macroeconomics, Elsevier, vol. 32(3), pages 797-815, September.
    6. Luca Guerrieri & Dale Henderson & Jinill Kim, 2014. "Modeling Investment‐Sector Efficiency Shocks: When Does Disaggregation Matter?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(3), pages 891-917, August.
    7. Lars-H. R. Siemers, 2024. "On the Hamilton-HP Filter Controversy: Evidence from German Business Cycles," MAGKS Papers on Economics 202421, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
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    446. Todd E. Clark & Francesco Ravazzolo, 2012. "The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility," Working Paper 2012/09, Norges Bank.
    447. Alin OPREANA & Simona VINEREAN, 2015. "Analysis of the Economic Research Context after the Outbreak of the Economic Crisis of 2007-2009," Expert Journal of Economics, Sprint Investify, vol. 3(1), pages 77-92.
    448. Stefano Eusepi & Bruce Preston, 2009. "Labor Supply Heterogeneity and Macroeconomic Co-movement," NBER Working Papers 15561, National Bureau of Economic Research, Inc.
    449. Shin Kimura & Tomoki Kitamura & Kunio Nakashima, 2023. "Investment risk-taking and benefit adequacy under automatic balancing mechanism in the Japanese public pension system," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-19, December.
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    452. Valeriu Nalban & Andra Smadu, 2022. "Uncertainty shocks and the monetary-macroprudential policy mix," Working Papers 739, DNB.
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    454. James Murray, 2008. "Regime Switching, Learning, and the Great Moderation," CAEPR Working Papers 2008-011, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    455. Paolo Gorgi & Siem Jan Koopman & Julia Schaumburg, 2021. "Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors," Tinbergen Institute Discussion Papers 21-056/III, Tinbergen Institute.
    456. Likai Chen & Ekaterina Smetanina & Wei Biao Wu, 2022. "Estimation of nonstationary nonparametric regression model with multiplicative structure [Income and wealth distribution in macroeconomics: A continuous-time approach]," The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 176-214.
    457. Gary D. Hansen, "undated". "Why Have Business Cycle Fluctuations Become Less Volatile? (with Andres Arias and Lee E. Ohanian)," UCLA Economics Online Papers 416, UCLA Department of Economics.
    458. Michele Cavallo & Anthony Landry, 2018. "Capital-Goods Imports and US Growth," Staff Working Papers 18-1, Bank of Canada.
    459. Benoit Mojon, 2007. "Monetary policy, output composition and the Great Moderation," Working Paper Series WP-07-07, Federal Reserve Bank of Chicago.
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    461. Valcarcel, Victor J. & Wohar, Mark E., 2013. "Changes in the oil price-inflation pass-through," Journal of Economics and Business, Elsevier, vol. 68(C), pages 24-42.
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  22. van Rens, Thijs & Primiceri, Giorgio, 2006. "Heterogenous Life-Cycle Profiles, Income Risk and Consumption Inequality," CEPR Discussion Papers 5881, C.E.P.R. Discussion Papers.

    Cited by:

    1. Yongsung Chang & Jay Hong & Marios Karabarbounis & Yicheng Wang & Tao Zhang, 2021. "Online Appendix to "Income Volatility and Portfolio Choices"," Online Appendices 20-409, Review of Economic Dynamics.
    2. Yingxu Kuang & Ted Englebrecht & Otis W. Gilley, 2011. "A Distributional Analysis of the FairTax Plan: Annual and Lifetime Income Considerations," Southern Economic Journal, John Wiley & Sons, vol. 78(2), pages 358-381, October.
    3. Pedro Albarrán & Raquel Carrasco & Maite Martínez-Granado, 2007. "Inequality for Wage Earners and Self-Employed: Evidence from Panel Data," Working Papers 0734, Banco de España.
    4. Wong, Arlene, 2014. "Population Aging and the Aggregate Effects of Monetary Policy," MPRA Paper 57096, University Library of Munich, Germany.
    5. Blundell, Richard & Pistaferri, Luigi & Saporta-Eksten, Itay, 2012. "Consumption Inequality and Family Labor Supply," CEPR Discussion Papers 9172, C.E.P.R. Discussion Papers.
    6. Arpita Chatterjee & James Morley & Aarti Singh, 2019. "Full Information Estimation of Household Income Risk and Consumption Insurance," Discussion Papers 2019-07, School of Economics, The University of New South Wales.
    7. De Giorgi, Giacomo & Gambetti, Luca & Naguib, Costanza, 2020. "Life-Cycle Inequality: Blacks And Whites Differentials In Life Expectancy, Savings, Income, And Consumption," CEPR Discussion Papers 15182, C.E.P.R. Discussion Papers.
    8. Edmund Crawley & Alexandros Theloudis, 2024. "Income Shocks and their Transmission into Consumption," Papers 2404.12214, arXiv.org.
    9. Tom Krebs & Moritz Kuhn & Mark L. J. Wright, 2011. "Human Capital Risk, Contract Enforcement, and the Macroeconomy," NBER Working Papers 17714, National Bureau of Economic Research, Inc.
    10. Julian Neira & Marek Kapicka, 2012. "Optimal Taxation in a Life-Cycle Economy with Endogenous Human Capital Formation," 2012 Meeting Papers 1164, Society for Economic Dynamics.
    11. Jonathan A. Parker & Annette Vissing-Jorgensen, 2009. "Who Bears Aggregate Fluctuations and How?," American Economic Review, American Economic Association, vol. 99(2), pages 399-405, May.
    12. Andreas Fagereng & Luigi Guiso & Luigi Pistaferri, 2016. "Back to Background Risk," EIEF Working Papers Series 1602, Einaudi Institute for Economics and Finance (EIEF), revised Jan 2016.
    13. Greg Kaplan & Giovanni L. Violante, 2010. "How Much Consumption Insurance beyond Self-Insurance?," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(4), pages 53-87, October.
    14. Yongsung Chang & Jay. H. Hong & Marios Karabarbounis & Yicheng Wang, 2020. "Income Volatility and Portfolio Choices," Working Paper Series no131, Institute of Economic Research, Seoul National University.
    15. Fatih Guvenen & Serdar Ozkan & Rocio Madera, 2024. "Consumption Dynamics and Welfare under Non-Gaussian Earnings Risk," CESifo Working Paper Series 11135, CESifo.
    16. Tony Smith & M. Fatih Guvenen, 2007. "Inferring Labor Income Risk from Economic Choices: An Indirect Inference Approach," 2007 Meeting Papers 1024, Society for Economic Dynamics.
    17. Richard M. H. Suen, 2011. "Concave Consumption Function and Precautionary Wealth Accumulation," Working papers 2011-23, University of Connecticut, Department of Economics.
    18. Karen Clay & Peter Juul Egedes & Casper Worm Hansen & Peter Sandholt Jensen, 2018. "Controlling Tuberculosis? Evidence from the Mother of all Community-Wide Health Experiments," Discussion Papers 18-03, University of Copenhagen. Department of Economics.
    19. Carlos Madeira & Basit Zafar, 2015. "Heterogeneous Inflation Expectations and Learning," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(5), pages 867-896, August.
    20. Shenghao Zhu & Alberto Bisin & Jess Benhabib, 2014. "The Wealth Distribution in Bewley Models with Investment Risk," 2014 Meeting Papers 617, Society for Economic Dynamics.
    21. Alexandros Theloudis, 2017. "Consumption inequality across heterogeneous families," Working Papers 451, ECINEQ, Society for the Study of Economic Inequality.
    22. Ozan Eksi, 2013. "Lower Volatility, Higher Inequality: Are They Related?," Working Papers 1303, TOBB University of Economics and Technology, Department of Economics.
    23. Fatih Guvenen & Fatih Karahan & Serdar Ozkan, 2018. "Consumption and Savings Under Non-Gaussian Income Risk," 2018 Meeting Papers 314, Society for Economic Dynamics.
    24. Tomas Havranek & Anna Sokolova, 2016. "Do Consumers Really Follow a Rule of Thumb? Three Thousand Estimates from 130 Studies Say "Probably Not"," HSE Working papers WP BRP 137/EC/2016, National Research University Higher School of Economics.
    25. Alvarez-Cuadrado, Francisco & Japaridze, Irakli, 2017. "Trickle-down consumption, financial deregulation, inequality, and indebtedness," Journal of Economic Behavior & Organization, Elsevier, vol. 134(C), pages 1-26.
    26. Czellar, Veronika & Garcia, René & Le Grand, François, 2025. "Uncovering asset market participation from household consumption and income," Journal of Econometrics, Elsevier, vol. 248(C).
    27. Mark Huggett & Gustavo Ventura & Amir Yaron, 2011. "Sources of Lifetime Inequality," American Economic Review, American Economic Association, vol. 101(7), pages 2923-2954, December.
    28. Estelle Dauchy & Francisco Navarro-Sanchez & Nathan Seegert, 2021. "Taxation and Inequality: Active and Passive Channels," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 42, pages 156-177, October.
    29. Pavel Koval & Andrey Polbin, 2020. "Evaluation of permanent and transitory shocks role in consumption and income dynamics in the Russian Federation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 6-29.
    30. Meghir, Costas & Pistaferri, Luigi, 2011. "Earnings, Consumption and Life Cycle Choices," Handbook of Labor Economics, in: O. Ashenfelter & D. Card (ed.), Handbook of Labor Economics, edition 1, volume 4, chapter 9, pages 773-854, Elsevier.
    31. Moritz Kuhn & Gašper Ploj, 2020. "Job Stability, Earnings Dynamics, and Life-Cycle Savings," CESifo Working Paper Series 8710, CESifo.
    32. Fatih Guvenen & Anthony Smith, 2013. "Inferring labor income risk and partial insurance from economic choices," Staff Report 485, Federal Reserve Bank of Minneapolis.
    33. Christian A. Stoltenberg & Swapnil Singh, 2020. "Consumption insurance with advance information," Quantitative Economics, Econometric Society, vol. 11(2), pages 671-711, May.
    34. Katja Kaufmann & Luigi Pistaferri, 2009. "Disentangling Insurance and Information in Intertemporal Consumption Choices," American Economic Review, American Economic Association, vol. 99(2), pages 387-392, May.
    35. Ozan Eksi, 2023. "Traces of the past in income inequality," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 21(4), pages 815-834, December.
    36. Sun, Gang, 2013. "Complete Markets Strikes Back: Revisiting Risk Sharing Tests under Discount Rate Heterogeneity," SIRE Discussion Papers 2013-96, Scottish Institute for Research in Economics (SIRE).
    37. Yang, Guanyi, 2018. "Endogenous Skills and Labor Income Inequality," MPRA Paper 89638, University Library of Munich, Germany.
    38. Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2010. "The Macroeconomic Implications of Rising Wage Inequality in the United States," Journal of Political Economy, University of Chicago Press, vol. 118(4), pages 681-722, August.
    39. Olga Gorbachev, 2011. "Did Household Consumption Become More Volatile?," American Economic Review, American Economic Association, vol. 101(5), pages 2248-2270, August.
    40. Zhu, Guozhong, 2013. "Age-specific rise of income and consumption inequality," Economics Discussion Papers 2013-21, Kiel Institute for the World Economy (IfW Kiel).
    41. Giacomo De Giorgi & Luca Gambetti & Costanza Naguib, 2023. "Life-Cycle Inequality: the Black and White Differential," Diskussionsschriften dp2301, Universitaet Bern, Departement Volkswirtschaft.
    42. Timothy J. Halliday, 2009. "Health Inequality over the Life-Cycle," Working Papers 2011-11R, University of Hawaii Economic Research Organization, University of Hawaii at Manoa, revised Jun 2011.
    43. Campos, Rodolfo G. & Reggio, Iliana & García-Píriz, Dionisio, 2012. "Micro vs. macro consumption data : the cyclical properties of the consumer expenditure survey," UC3M Working papers. Economics we1220, Universidad Carlos III de Madrid. Departamento de Economía.
    44. Andreas Fagereng & Luigi Guiso & Luigi Pistaferri, 2018. "Portfolio Choices, Firm Shocks, and Uninsurable Wage Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(1), pages 437-474.
    45. Le Wen & Krishna P. Paudel & Youhua Chen & Qinying He, 2021. "Urban segregation and consumption inequality: Does hukou conversion matter in China?," Review of Development Economics, Wiley Blackwell, vol. 25(4), pages 2298-2322, November.
    46. Botosaru, Irene, 2023. "Time-varying unobserved heterogeneity in earnings shocks," Journal of Econometrics, Elsevier, vol. 235(2), pages 1378-1393.
    47. Christian Friedrich, 2015. "Does Financial Integration Increase Welfare? Evidence from International Household-Level Data," Staff Working Papers 15-4, Bank of Canada.
    48. Etheridge, Ben, 2015. "A test of the household income process using consumption and wealth data," European Economic Review, Elsevier, vol. 78(C), pages 129-157.
    49. Benhabib, Jess & Bisin, Alberto & Zhu, Shenghao, 2015. "The wealth distribution in Bewley economies with capital income risk," Journal of Economic Theory, Elsevier, vol. 159(PA), pages 489-515.
    50. Attanasio, Orazio & Kovacs, Agnes & Molnar, Krisztina, 2017. "Euler Equations, Subjective Expectations and Income Shocks," Discussion Paper Series in Economics 5/2017, Norwegian School of Economics, Department of Economics.
    51. Swapnil Singh & Christian A. Stoltenbergz, 2018. "How Much Do Households Really Know About Their Future Income?," Bank of Lithuania Working Paper Series 55, Bank of Lithuania.
    52. Giacomo Giorgi & Luca Gambetti & Costanza Naguib, 2024. "The Black and white differential in income and consumption dynamics," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 22(4), pages 981-997, December.
    53. Carlos Madeira & Basit Zafar, 2012. "Heterogeneus Inflation Expectations Learning and Market Outcomes," Working Papers Central Bank of Chile 667, Central Bank of Chile.
    54. Gang Sun, 2015. "Complete Markets Strikes Back: Is the Reduced-form Measure of Consumption Insurance Reliable?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(4), pages 921-930, October.

  23. Giorgio E. Primiceri & Ernst Schaumburg & Andrea Tambalotti, 2006. "Intertemporal Disturbances," NBER Working Papers 12243, National Bureau of Economic Research, Inc.

    Cited by:

    1. Mateusz Machaj, 2016. "Can the Taylor Rule be a Good Guidance for Policy? The Case of 2001-2008 Real Estate Bubble," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(4), pages 381-395.
    2. Pablo Burriel & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2009. "MEDEA: A DSGE Model for the Spanish Economy," PIER Working Paper Archive 09-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    3. Givens, Gregory E., 2011. "Unemployment insurance in a sticky-price model with worker moral hazard," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1192-1214, August.
    4. Marco Del Negro & Frank Schorfheide, 2009. "Monetary Policy Analysis with Potentially Misspecified Models," American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
    5. Justiniano, Alejandro & Primiceri, Giorgio E. & Tambalotti, Andrea, 2010. "Investment shocks and business cycles," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 132-145, March.
    6. Alejandro Justiniano & Bruce Preston, 2006. "Can Structural Small Open Economy Models Account For The Influence Of Foreign Disturbances?," CAMA Working Papers 2006-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    7. He, Zhaochen, 2019. "Fear itself: How risk sensitive firms can give demand shocks bite," Economic Modelling, Elsevier, vol. 82(C), pages 437-452.
    8. Lakuma, Corti Paul & Mawejje, Joseph & Lwanga, Musa Mayanja & Munyambonera, Ezra, 2018. "The distributional impacts of fiscal consolidation in Uganda," Research Series 275660, Economic Policy Research Centre (EPRC).
    9. Guido Lorenzoni, 2006. "A Theory of Demand Shocks," NBER Working Papers 12477, National Bureau of Economic Research, Inc.
    10. Urban Jermann & Lukas Schmid & Joao Gomes, 2014. "Sticky Leverage," 2014 Meeting Papers 40, Society for Economic Dynamics.
    11. Arce, Óscar & Nuño, Galo & Thaler, Dominik & Thomas, Carlos, 2020. "A large central bank balance sheet? Floor vs corridor systems in a New Keynesian environment," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 350-367.
    12. Groshenny, Nicolas, 2013. "Monetary Policy, Inflation And Unemployment: In Defense Of The Federal Reserve," Macroeconomic Dynamics, Cambridge University Press, vol. 17(6), pages 1311-1329, September.
    13. Francesco Nucci & Marianna Riggi, 2015. "Labour force participation, wage rigidities, and inflation," DSS Empirical Economics and Econometrics Working Papers Series 2015/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    14. Alejandro Justiniano & Claudio Michelacci, 2011. "The Cyclical Behavior of Equilibrium Unemployment and Vacancies in the US and Europe," NBER Working Papers 17429, National Bureau of Economic Research, Inc.
    15. Diego A. Comin & Mark Gertler & Ana Maria Santacreu, 2009. "Technology Innovation and Diffusion as Sources of Output and Asset Price Fluctuations," NBER Working Papers 15029, National Bureau of Economic Research, Inc.
    16. Alejandro Justiniano & Claudio Michelacci, 2012. "The Cyclical Behavior of Equilibrium Unemployment and Vacancies in the United States and Europe," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 8(1), pages 169-235.
    17. Mr. Ruy Lama & Mr. Pau Rabanal, 2012. "Deciding to Enter a Monetary Union: TheRole of Trade and Financial Linkages," IMF Working Papers 2012/240, International Monetary Fund.
    18. Dia, Enzo & Jiang, Lunan & Menna, Lorenzo & Zhang, Lin, 2023. "Interest margins, lending rates and bank productivity among Chinese provinces," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 104-127.
    19. Craighead, William, 2016. "Hysteresis in a New Keynesian Model," MPRA Paper 70777, University Library of Munich, Germany.
    20. Andre Kurmann & Julien Champagne, 2010. "The Great Increase in Relative Volatility of Real Wages in the United States," 2010 Meeting Papers 674, Society for Economic Dynamics.
    21. Jordi Galí & Mark Gertler, 2007. "Macroeconomic modeling for monetary policy evaluation," Economics Working Papers 1039, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2007.
    22. Patrick Moran & Albert Queraltó, 2017. "Innovation, Productivity, and Monetary Policy," International Finance Discussion Papers 1217, Board of Governors of the Federal Reserve System (U.S.).
    23. Christopher M. Gunn, 2013. "Animal Spirits as an Engine of Boom-Busts and Throttle of Productivity Growth," Carleton Economic Papers 13-04, Carleton University, Department of Economics, revised 10 Apr 2015.
    24. Caraiani, Petre & Luik, Marc-André & Wesselbaum, Dennis, 2020. "Credit policy and asset price bubbles," Journal of Macroeconomics, Elsevier, vol. 65(C).
    25. Mark Gertler & Luca Sala & Antonella Trigari, 2008. "An Estimated Monetary DSGE Model with Unemployment and Staggered Nominal Wage Bargaining," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(8), pages 1713-1764, December.
    26. Vladimir Yankov & Egon Zakrajsek & Simon Gilchrist, 2009. "Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets," 2009 Meeting Papers 514, Society for Economic Dynamics.
    27. Martin Møller Andreasen, 2008. "Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model," CREATES Research Papers 2008-43, Department of Economics and Business Economics, Aarhus University.
    28. Andrew T. Foerster, 2011. "Financial crises, unconventional monetary policy exit strategies, and agents' expectations," Research Working Paper RWP 11-04, Federal Reserve Bank of Kansas City.
    29. Ruy Lama, 2011. "Accounting for Output Drops in Latin America," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(2), pages 295-316, April.
    30. Antonella Tutino, 2010. "Rationally inattentive macroeconomic wedges," Working Papers 1005, Federal Reserve Bank of Dallas.
    31. Vasco Curdia & Andrea Ferrero & Ging Cee Ng & Andrea Tambalotti, 2011. "Evaluating interest rate rules in an estimated DSGE model," Staff Reports 510, Federal Reserve Bank of New York.
    32. Benjamin Keen, 2009. "Output, Inflation, and Interest Rates in an Estimated Optimizing Model of Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 327-343, April.
    33. Edoardo Palombo, 2020. "Unconventional Monetary Policy, Leverage & Default Dynamics," Working Papers 910, Queen Mary University of London, School of Economics and Finance.
    34. Pauline Gandré, 2020. "Learning, house prices and macro-financial linkages," EconomiX Working Papers 2020-10, University of Paris Nanterre, EconomiX.
    35. Gertler, Mark & Karadi, Peter, 2011. "A model of unconventional monetary policy," Journal of Monetary Economics, Elsevier, vol. 58(1), pages 17-34, January.
    36. Rabanal, Pau & Tuesta, Vicente, 2010. "Euro-dollar real exchange rate dynamics in an estimated two-country model: An assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 780-797, April.
    37. Champagne, Julien & Kurmann, André, 2013. "The great increase in relative wage volatility in the United States," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 166-183.
    38. Lee, Hangyu & Kim, Tae Bong, 2023. "The effectiveness of labor market indicators for conducting monetary policy: Evidence from the Korean economy," Economic Modelling, Elsevier, vol. 118(C).
    39. Costa Junior, Celso José & Sampaio, Armando Vaz, 2014. "Tax Reduction Policies of the Productive Sector and Its Impacts on Brazilian Economy," Dynare Working Papers 36, CEPREMAP.

  24. Giorgio Primiceri, 2005. "Why Inflation Rose and Fell: Policymakers' Beliefs and US Postwar Stabilization Policy," NBER Working Papers 11147, National Bureau of Economic Research, Inc.

    Cited by:

    1. George W. Evans & Seppo Honkapohja & Kaushik Mitra, 2012. "Does Ricardian Equivalence Hold When Expectations Are Not Rational?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(7), pages 1259-1283, October.
    2. Joshua Brault & Louis Phaneuf, 2025. "What Drives Low and Stable Inflation?," Working Papers 25-02, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Feb 2025.
    3. Saijo, Hikaru, 2017. "The uncertainty multiplier and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 1-25.
    4. Matilde Bombardini & Bingjing Li & Francesco Trebbi, 2020. "Did U.S. Politicians Expect the China Shock?," NBER Working Papers 28073, National Bureau of Economic Research, Inc.
    5. Nelson Edward, 2005. "The Great Inflation of the Seventies: What Really Happened?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 5(1), pages 1-50, July.
    6. Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2023. "Perceptions about Monetary Policy," Working Paper Series 2023-31, Federal Reserve Bank of San Francisco.
    7. Carlos Capistrán-Carmona, 2005. "Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?," Computing in Economics and Finance 2005 127, Society for Computational Economics.
    8. Frank Schorfheide, 2003. "Learning and monetary policy shifts," FRB Atlanta Working Paper 2003-23, Federal Reserve Bank of Atlanta.
    9. Francesco Bianchi & Cosmin Ilut, 2014. "Monetary/Fiscal Policy Mix and Agents' Beliefs," NBER Working Papers 20194, National Bureau of Economic Research, Inc.
    10. Carl E. Walsh, 2022. "Inflation Surges and Monetary Policy," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 40, pages 39-66, November.
    11. Hack, Lukas & Istrefi, Klodiana & Meier, Matthias, 2023. "Identification of systematic monetary policy," Working Paper Series 2851, European Central Bank.
    12. Adam Hale Shapiro, "undated". "Decomposing Supply and Demand Driven Inflation," RBA Annual Conference Papers acp2023-03, Reserve Bank of Australia, revised Nov 2023.
    13. Milani, Fabio, 2008. "Learning, monetary policy rules, and macroeconomic stability," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3148-3165, October.
    14. Giorgio Primiceri & Andrea Tambalotti & Alejandro Justiniano, 2011. "Is there a trade-off between inflation and output stabilization?," 2011 Meeting Papers 280, Society for Economic Dynamics.
    15. George Monokroussos, 2011. "Dynamic Limited Dependent Variable Modeling and U.S. Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(2‐3), pages 519-534, March.
    16. Beechey, Meredith & Österholm, Pär, 2007. "The Rise and Fall of U.S. Inflation Persistence," Working Paper Series 2007:18, Uppsala University, Department of Economics.
    17. Klodiana Istrefi, 2019. "In Fed Watchers Eyes: Hawks, Doves and Monetary Policy," Working papers 725, Banque de France.
    18. Jaqueson K. Galimberti, 2021. "Initial beliefs uncertainty," CAMA Working Papers 2021-68, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    19. Andrew Atkeson & Patrick J. Kehoe, 2008. "On the need for a new approach to analyzing monetary policy," Working Papers 662, Federal Reserve Bank of Minneapolis.
    20. Francesca Rondina, 2015. "Policy Evaluation and Uncertainty About the Effects of Oil Prices on Economic Activity," Working Papers 522, Barcelona School of Economics.
    21. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
    22. Michele Berardi & Jaqueson K. Galimberti, 2015. "Empirical Calibration of Adaptive Learning," KOF Working papers 15-392, KOF Swiss Economic Institute, ETH Zurich.
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  25. Giorgio Primiceri & Thijs van Rens, 2002. "Inequality over the business cycle: Estimating income risk using micro-data on consumption," Economics Working Papers 943, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2004.

    Cited by:

    1. Joachim Zietz & Xiaolin Zhao, 2009. "The response of household incomes to stock price and GDP growth by income quantile," Applied Economics, Taylor & Francis Journals, vol. 41(12), pages 1501-1512.
    2. Pozzi, Lorenzo, 2010. "Idiosyncratic labour income risk and aggregate consumption: An unobserved component approach," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 169-184, March.
    3. Primiceri, Giorgio E. & van Rens, Thijs, 2009. "Heterogeneous life-cycle profiles, income risk and consumption inequality," Journal of Monetary Economics, Elsevier, vol. 56(1), pages 20-39, January.
    4. Storesletten, Kjetil & Violante, Giovanni & Heathcote, Jonathan, 2004. "The Cross-Sectional Implications of Rising Wage Inequality in the United States," CEPR Discussion Papers 4296, C.E.P.R. Discussion Papers.
    5. Lorenzo Pozzi, 2007. "Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach," Tinbergen Institute Discussion Papers 07-069/2, Tinbergen Institute.
    6. Walentin Karl, 2010. "Earnings Inequality and the Equity Premium," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-23, November.

  26. Carlo A. Favero & Marco Aiolfi & Giorgio Primiceri, "undated". "Recursive `thick´ modeling of excess returns and portfolio allocation," Working Papers 197, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

    Cited by:

    1. Hashem Pesaran & Paolo Zaffaroni & Banca d'Italia), 2004. "Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management," Money Macro and Finance (MMF) Research Group Conference 2004 101, Money Macro and Finance Research Group.
    2. Marco Aiolfi & Carlo Ambrogio Favero, "undated". "Model Uncertainty, Thick Modelling and the predictability of Stock Returns," Working Papers 221, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    3. Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo, 2009. "Model averaging in risk management with an application to futures markets," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 280-305, March.
    4. Dell'Aquila, Rosario & Ronchetti, Elvezio, 2006. "Stock and bond return predictability: the discrimination power of model selection criteria," Computational Statistics & Data Analysis, Elsevier, vol. 50(6), pages 1478-1495, March.
    5. Vanina Forget, 2012. "Doing well and doing good: a multi-dimensional puzzle," Working Papers hal-00672037, HAL.

Articles

  1. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2022. "The Mortgage Rate Conundrum," Journal of Political Economy, University of Chicago Press, vol. 130(1), pages 121-156.
    See citations under working paper version above.
  2. Michele Lenza & Giorgio E. Primiceri, 2022. "How to estimate a vector autoregression after March 2020," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 688-699, June.

    Cited by:

    1. Cardani, Roberta & Pfeiffer, Philipp & Ratto, Marco & Vogel, Lukas, 2023. "The COVID-19 recession on both sides of the Atlantic: A model-based comparison," European Economic Review, Elsevier, vol. 158(C).
    2. Frangiamore, Francesco & Matarrese, Marco Maria, 2025. "Government spending multipliers and financial fragility in Italy," Economic Modelling, Elsevier, vol. 145(C).
    3. Eo, Yunjong & Morley, James, 2023. "Does the Survey of Professional Forecasters help predict the shape of recessions in real time?," Economics Letters, Elsevier, vol. 233(C).
    4. James Mitchell & Martin Weale, 2021. "Censored Density Forecasts: Production and Evaluation," Working Papers 21-12R, Federal Reserve Bank of Cleveland, revised 16 Aug 2022.
    5. Matteo Mogliani & Anna Simoni, 2024. "Bayesian Bi-level Sparse Group Regressions for Macroeconomic Density Forecasting," Papers 2404.02671, arXiv.org, revised Nov 2024.
    6. Maximilian Boeck & Michael Pfarrhofer, 2025. "Belief Shocks and Implications of Expectations About Growth‐at‐Risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(3), pages 341-348, April.
    7. Temel Taskin & Franz Ulrich Ruch, 2023. "Global Demand and Supply Sentiment: Evidence from Earnings Calls," Staff Working Papers 23-37, Bank of Canada.
    8. Bart Keijsers & Dick van Dijk, 2022. "Does economic uncertainty predict real activity in real-time?," Tinbergen Institute Discussion Papers 22-069/III, Tinbergen Institute, revised 01 Mar 2023.
    9. Robert Lehmann & Sascha Möhrle, 2022. "Forecasting Regional Industrial Production with High-Frequency Electricity Consumption Data," CESifo Working Paper Series 9917, CESifo.
    10. Demetrescu, Matei & Kruse-Becher, Robinson, 2025. "Is U.S. real output growth non-normal? A tale of time-varying location and scale," Journal of Economic Dynamics and Control, Elsevier, vol. 171(C).
    11. Aldasoro, Iñaki & Ferrari Minesso, Massimo & Gambacorta, Leonardo & Habib, Maurizio Michael & Cornelli, Giulio, 2024. "Stablecoins, money market funds and monetary policy," Working Paper Series 2987, European Central Bank.
    12. Banerjee, Joshua J., 2024. "Inflationary oil shocks, fiscal policy, and debt dynamics: New evidence from oil-importing OECD economies," Energy Economics, Elsevier, vol. 130(C).
    13. Alain Guay & Dalibor Stevanovic, 2025. "Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition," Working Papers 25-03, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Feb 2025.
    14. Banco de Mexico, 2025. "Monetary policy transmission in Mexico: an overview and banking channels insights using granular data," BIS Papers chapters, in: Bank for International Settlements (ed.), How can central banks take account of differences across households and firms for monetary policy?, volume 127, pages 195-224, Bank for International Settlements.
    15. Daniele Valenti & Andrea Bastianin & Matteo Manera, 2022. "A weekly structural VAR model of the US crude oil market," Working Papers 2022.11, Fondazione Eni Enrico Mattei.
    16. Matteo Barigozzi & Claudio Lissona & Matteo Luciani, 2024. "Measuring the Euro Area Output Gap," Finance and Economics Discussion Series 2024-099, Board of Governors of the Federal Reserve System (U.S.).
    17. Camilo Granados & Daniel Parra-Amado, 2023. "Estimating the Output Gap After COVID: How to Address Unprecedented Macroeconomic Variations," Borradores de Economia 1249, Banco de la Republica de Colombia.
    18. Tuzcuoglu, Kerem, 2024. "Nonlinear transmission of international financial stress," Economic Modelling, Elsevier, vol. 139(C).
    19. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    20. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    21. Ha, Jongrim & Kose, M. Ayhan & Ohnsorge, Franziska & Yilmazkuday, Hakan, 2023. "What Explains Global Inflation," CEPR Discussion Papers 18690, C.E.P.R. Discussion Papers.
    22. Alessandri, Piergiorgio & Gazzani, Andrea, 2025. "Natural gas and the macroeconomy: Not all energy shocks are alike," Journal of Monetary Economics, Elsevier, vol. 151(C).
    23. Forbes, Kristin & Ha, Jongrim & Kose, M. Ayhan, 2024. "Rate Cycles," CEPR Discussion Papers 19272, C.E.P.R. Discussion Papers.
    24. Luca Eduardo Fierro & Mario Martinoli, 2024. "An Empirical Inquiry into the Distributional Consequences of Energy Price Shocks," LEM Papers Series 2024/30, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    25. Lindblad, Annika & Gäddnäs, Niklas, 2024. "Forecasting unemployment in Finland: A flow approach," BoF Economics Review 7/2024, Bank of Finland.
    26. Christoph Kaufmann & Jaime Leyva & Manuela Storz, 2025. "Insurance corporations’ balance sheets, financial stability and monetary policy," Working Papers w202502, Banco de Portugal, Economics and Research Department.
    27. Güntner, Jochen & Reif, Magnus & Wolters, Maik H., 2024. "Sudden stop: Supply and demand shocks in the German natural gas market," IMFS Working Paper Series 206, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    28. Pagliari, Maria Sole, 2024. "Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies," European Economic Review, Elsevier, vol. 168(C).
    29. Kamber, Güneş & Morley, James & Wong, Benjamin, 2025. "Trend-cycle decomposition in the presence of large shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 173(C).
    30. Maximo Camacho & Salvador Ramallo & Manuel Ruiz, 2024. "A New Approach to Forecasting the Probability of Recessions after the COVID‐19 Pandemic," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 833-855, August.
    31. Marco Flaccadoro, 2024. "The recent weakness in the German manufacturing sector," Questioni di Economia e Finanza (Occasional Papers) 902, Bank of Italy, Economic Research and International Relations Area.
    32. Giovanni Melina & Stefania Villa, 2023. "Drivers of large recessions and monetary policy responses," Temi di discussione (Economic working papers) 1425, Bank of Italy, Economic Research and International Relations Area.
    33. Andrea Gazzani & Fabrizio Venditti & Giovanni Veronese, 2024. "Oil price shocks in real time," Temi di discussione (Economic working papers) 1448, Bank of Italy, Economic Research and International Relations Area.
    34. Thomas F. P. Wiesen & Paul M. Beaumont, 2024. "A joint impulse response function for vector autoregressive models," Empirical Economics, Springer, vol. 66(4), pages 1553-1585, April.
    35. Afonso S. Moura & Gergely Buda & Vasco M. Carvalho & Giancarlo Corsetti & João B. Duarte & Stephen Hansen & Álvaro Ortiz & Tomasa Rodrigo & José V. Rodríguez Mora & Guilherme Alves da Silva, 2025. "The Short Lags of Monetary Policy," Working Papers w202501, Banco de Portugal, Economics and Research Department.
    36. Goemans, Pascal, 2023. "The impact of public consumption and investment in the euro area during periods of high and normal uncertainty," Economic Modelling, Elsevier, vol. 126(C).
    37. Wen Zhang, 2024. "The evolving international effects of China's government spending," The World Economy, Wiley Blackwell, vol. 47(5), pages 1851-1869, May.
    38. Chan, Joshua C.C. & Poon, Aubrey & Zhu, Dan, 2023. "High-dimensional conditionally Gaussian state space models with missing data," Journal of Econometrics, Elsevier, vol. 236(1).
    39. Martin Ertl & Ines Fortin & Jaroslava Hlouskova & Sebastian P. Koch & Robert M. Kunst & Leopold Sögner, 2025. "Inflation forecasting in turbulent times," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 52(1), pages 5-37, February.
    40. De Graeve, Ferre & Mazzolini, Giulio, 2023. "The maturity composition of government debt: A comprehensive database," European Economic Review, Elsevier, vol. 154(C).
    41. Gorgi, Paolo & Koopman, Siem Jan & Schaumburg, Julia, 2024. "Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 244(2).
    42. Karau, Sören, 2024. "Relative monetary policy and exchange rates," Discussion Papers 40/2024, Deutsche Bundesbank.
    43. Kathryn Holston & Thomas Laubach & John C. Williams, 2023. "Measuring the Natural Rate of Interest after COVID-19," Staff Reports 1063, Federal Reserve Bank of New York.
    44. José R. Maria & Paulo Júlio, 2023. "Trends and cycles during the COVID-19 pandemic period," Working Papers w202311, Banco de Portugal, Economics and Research Department.
    45. Teresa Messner & Thomas Zörner, 2023. "Aggregate price pressures along the supply chain: a euro area perspective," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue Q4/22-Q1/, pages 21-32.
    46. Alexandre Kornelius & Jose Angelo Divino, 2024. "Renewable Energy Shocks and Business Cycle Dynamics with Application to Brazil," Working Papers Series 592, Central Bank of Brazil, Research Department.
    47. Adolfsen, Jakob Feveile & Ferrari Minesso, Massimo & Mork, Jente Esther & Van Robays, Ine, 2024. "Gas price shocks and euro area inflation," Journal of International Money and Finance, Elsevier, vol. 149(C).
    48. Almerud, Jakob & Krygier, Dominika & Lundvall , Henrik & Njie, Mambuna, 2024. "Measuring Riksbank Monetary Policy: Shocks and Macroeconomic Transmission," Working Paper Series 445, Sveriges Riksbank (Central Bank of Sweden).
    49. Barbaglia, Luca & Frattarolo, Lorenzo & Onorante, Luca & Pericoli, Filippo Maria & Ratto, Marco & Tiozzo Pezzoli, Luca, 2022. "Testing big data in a big crisis: Nowcasting under COVID-19," JRC Working Papers in Economics and Finance 2022-06, Joint Research Centre, European Commission.
    50. Byoung Hark Yoo, 2023. "Conditional Forecasting With a Bayesian Vector Autoregression: Working Paper 2023-08," Working Papers 59629, Congressional Budget Office.
    51. Sun, Weihong & Liu, Ding, 2023. "Great moderation with Chinese characteristics: Uncovering the role of monetary policy," Economic Modelling, Elsevier, vol. 121(C).
    52. Rodriguez, Gabriel & Castillo B., Paul & Calero, Roberto & Salcedo Cisneros, Rodrigo & Ataurima Arellano, Miguel, 2024. "Evolution of the exchange rate pass-through into prices in Peru: An empirical application using TVP-VAR-SV models," Journal of International Money and Finance, Elsevier, vol. 142(C).
    53. Philipp Wegmueller & Christian Glocker, 2024. "Capturing Swiss economic confidence," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 160(1), pages 1-17, December.
    54. Agostino Consolo & Filippos Petroulakis, 2022. "Did COVID-19 induce a reallocation wave?," Working Papers 295, Bank of Greece.
    55. Gabriele Fiorentini & Alessio Moneta & Francesca Papagni, 2024. "Identification of one independent shock in structural VARs," LEM Papers Series 2024/28, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    56. Herwartz, Helmut & Theilen, Bernd & Wang, Shu, 2024. "Unraveling the structural sources of oil production and their impact on CO2 emissions," Energy Economics, Elsevier, vol. 132(C).
    57. Cardani, Roberta & Croitorov, Olga & Giovannini, Massimo & Pfeiffer, Philipp & Ratto, Marco & Vogel, Lukas, 2022. "The euro area’s pandemic recession: A DSGE-based interpretation," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
    58. Lenza, Michele & Savoia, Ettore, 2024. "Do we need firm data to understand macroeconomic dynamics?," Working Paper Series 438, Sveriges Riksbank (Central Bank of Sweden).
    59. Matthew Read, 2024. "Sign Restrictions and Supply-demand Decompositions of Inflation," RBA Research Discussion Papers rdp2024-05, Reserve Bank of Australia.
    60. Morley, James & Rodríguez-Palenzuela, Diego & Sun, Yiqiao & Wong, Benjamin, 2023. "Estimating the euro area output gap using multivariate information and addressing the COVID-19 pandemic," European Economic Review, Elsevier, vol. 153(C).
    61. Benjamin Baker & Murat Üngör, 2025. "Effects of Quantitative Easing on Economic Sentiment: Evidence from Three Large Economies," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 67(1), pages 50-83, March.
    62. Pusateri, Nic, 2023. "Human capital heterogeneity of the unemployed and jobless recoveries," Journal of Macroeconomics, Elsevier, vol. 76(C).
    63. Durand, Luigi & Fornero, Jorge Alberto, 2024. "Estimating the output gap in times of COVID-19," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 5(4).
    64. Long Hai Vo & Kirsten Martinus & Brett Smith, 2023. "A Demand Systems Approach to Understanding Medium‐Term Post‐Pandemic Consumption Trends," Economic Papers, The Economic Society of Australia, vol. 42(2), pages 183-199, June.
    65. Fry-Mckibbin, Renée & Greenwood-Nimmo, Matthew & Kima, Richard & Volkov, Vladimir, 2025. "A three-sector structural VAR model for Australia," Journal of Economic Dynamics and Control, Elsevier, vol. 170(C).
    66. Huang, Yu-Fan & Liao, Wenting & Luo, Sui & Ma, Jun, 2024. "Financial conditions, macroeconomic uncertainty, and macroeconomic tail risks," Journal of Economic Dynamics and Control, Elsevier, vol. 163(C).
    67. Tino Berger & Lorenzo Pozzi, 2023. "Cyclical consumption," Tinbergen Institute Discussion Papers 23-064/VI, Tinbergen Institute.
    68. Alexander Cline & James A. Kahn & Robert W. Rich, 2025. "Is High Productivity Growth Returning?," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2025(01), pages 1-12, January.
    69. Andrea Carriero & Davide Pettenuzzo & Shubhranshu Shekhar, 2024. "Macroeconomic Forecasting with Large Language Models," Papers 2407.00890, arXiv.org, revised Mar 2025.
    70. Wei, Yanfeng & Qiu, Feng & An, Henry & Zhang, Xindon & Li, Changhong & Guo, Xiaoying, 2024. "Exogenous oil supply shocks and global agricultural commodity prices: The role of biofuels," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 394-414.
    71. Sarantis Tsiaplias, 2024. "Inflation as a 'bad', heuristics and aggregate shocks: New evidence on expectation formation," Melbourne Institute Working Paper Series wp2024n03, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    72. Margherita Bottero & Antonio M. Conti, 2023. "In the thick of it: an interim assessment of monetary policy transmission to credit conditions," Questioni di Economia e Finanza (Occasional Papers) 810, Bank of Italy, Economic Research and International Relations Area.
    73. von Schweinitz, Gregor, 2023. "The importance of credit demand for business cycle dynamics," IWH Discussion Papers 21/2023, Halle Institute for Economic Research (IWH).
    74. Mario Di Serio & Matteo Fragetta & Emanuel Gasteiger & Giovanni Melina, 2024. "The Euro Area Government Spending Multiplier in Demand‐ and Supply‐Driven Recessions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(6), pages 1342-1372, December.
    75. Alessandro Morico & Ovidijus Stauskas, 2025. "Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD Dataset," Papers 2504.08455, arXiv.org.
    76. David Kohns & Galina Potjagailo, 2023. "Flexible Bayesian MIDAS: time‑variation, group‑shrinkage and sparsity," Bank of England working papers 1025, Bank of England.
    77. Dimitris Korobilis, 2025. "Exploring Monetary Policy Shocks with Large-Scale Bayesian VARs," Papers 2505.06649, arXiv.org.
    78. Ciccarelli, Matteo & Darracq Pariès, Matthieu & Priftis, Romanos & Angelini, Elena & Bańbura, Marta & Bokan, Nikola & Fagan, Gabriel & Gumiel, José Emilio & Kornprobst, Antoine & Lalik, Magdalena & Mo, 2024. "ECB macroeconometric models for forecasting and policy analysis," Occasional Paper Series 344, European Central Bank.
    79. Anna Pajor & Justyna Wróblewska & Łukasz Kwiatkowski & Jacek Osiewalski, 2024. "Hybrid SV‐GARCH, t‐GARCH and Markov‐switching covariance structures in VEC models—Which is better from a predictive perspective?," International Statistical Review, International Statistical Institute, vol. 92(1), pages 62-86, April.
    80. Daniel Parra-Amado & Camilo Granados, 2025. "Output Gap Measurement after COVID for Colombia: Lessons from a Permanent-Transitory Approach," Borradores de Economia 1295, Banco de la Republica de Colombia.
    81. Fabrizio Iacone & Luca Rossini & Andrea Viselli, 2024. "Comparing predictive ability in presence of instability over a very short time," Papers 2405.11954, arXiv.org.
    82. Hartwig, Benny, 2022. "Bayesian VARs and prior calibration in times of COVID-19," Discussion Papers 52/2022, Deutsche Bundesbank.
    83. Luigi Infante & Francesca Lilla & Michela E. Pasetto, 2025. "Energy price shocks and their effects on the main macroeconomic variables: a Bayesian SVAR analysis," Questioni di Economia e Finanza (Occasional Papers) 926, Bank of Italy, Economic Research and International Relations Area.
    84. Berthold, Brendan, 2023. "The macroeconomic effects of uncertainty and risk aversion shocks," European Economic Review, Elsevier, vol. 154(C).
    85. Iania, Leonardo & Lyrio, Marco & Nersisyan, Liana, 2024. "Oil price shocks and bond risk premia: Evidence from a panel of 15 countries," Energy Economics, Elsevier, vol. 139(C).
    86. Di Serio, Mario, 2024. "Public debt determinants: A time-varying analysis of core and peripheral Euro area countries," Finance Research Letters, Elsevier, vol. 69(PA).
    87. Philipp Roderweis & Jamel Saadaoui & Francisco Serranito, 2023. "The Unintended Consequences of ECB’s Asset Purchases. How Excess Reserves Shape Bank Lending," Working Papers of BETA 2023-34, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    88. Aaron Amburgey & Michael W. McCracken, 2023. "Growth-at-Risk is Investment-at-Risk," Working Papers 2023-020, Federal Reserve Bank of St. Louis, revised 16 Aug 2024.

  3. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2021. "Economic Predictions With Big Data: The Illusion of Sparsity," Econometrica, Econometric Society, vol. 89(5), pages 2409-2437, September.
    See citations under working paper version above.
  4. Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What's Up with the Phillips Curve?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 51(1 (Spring), pages 301-373.
    See citations under working paper version above.
  5. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2019. "Credit Supply and the Housing Boom," Journal of Political Economy, University of Chicago Press, vol. 127(3), pages 1317-1350.
    See citations under working paper version above.
  6. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2019. "Priors for the Long Run," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 565-580, April.
    See citations under working paper version above.
  7. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2016. "A Simple Model of Subprime Borrowers and Credit Growth," American Economic Review, American Economic Association, vol. 106(5), pages 543-547, May.
    See citations under working paper version above.
  8. Alejandro Justiniano & Giorgio Primiceri & Andrea Tambalotti, 2015. "Household leveraging and deleveraging," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(1), pages 3-20, January.
    See citations under working paper version above.
  9. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2015. "Prior Selection for Vector Autoregressions," The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 436-451, May.
    See citations under working paper version above.
  10. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2013. "Is There a Trade-Off between Inflation and Output Stabilization?," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(2), pages 1-31, April.
    See citations under working paper version above.
  11. Alejandro Justiniano & Giorgio Primiceri & Andrea Tambalotti, 2011. "Investment Shocks and the Relative Price of Investment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 101-121, January.
    See citations under working paper version above.
  12. Francisco J. Buera & Alexander Monge‐Naranjo & Giorgio E. Primiceri, 2011. "Learning the Wealth of Nations," Econometrica, Econometric Society, vol. 79(1), pages 1-45, January.
    See citations under working paper version above.
  13. Justiniano, Alejandro & Primiceri, Giorgio E. & Tambalotti, Andrea, 2010. "Investment shocks and business cycles," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 132-145, March.
    See citations under working paper version above.
  14. Alejandro Justiniano & Giorgio E. Primiceri, 2010. "Measuring the equilibrium real interest rate," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 34(Q I), pages 14-27.

    Cited by:

    1. Enrico S. Levrero, 2019. "Estimates of the Natural Rate of Interest and the Stance of Monetary Policies: A Critical Assessment," Working Papers Series 88, Institute for New Economic Thinking.
    2. Groshenny, Nicolas, 2013. "Monetary Policy, Inflation And Unemployment: In Defense Of The Federal Reserve," Macroeconomic Dynamics, Cambridge University Press, vol. 17(6), pages 1311-1329, September.
    3. Kei Imakubo & Haruki Kojima & Jouchi Nakajima, 2015. "The natural yield curve: its concept and measurement," Bank of Japan Working Paper Series 15-E-5, Bank of Japan.
    4. James D. Hamilton & Ethan S. Harris & Jan Hatzius & Kenneth D. West, 2016. "The Equilibrium Real Funds Rate: Past, Present, and Future," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 660-707, November.
    5. Eunil Park & Ki Joon Kim & Sang Jib Kwon & Taeil Han & Wongi S. Na & Angel P. Del Pobil, 2017. "Economic Feasibility of Renewable Electricity Generation Systems for Local Government Office: Evaluation of the Jeju Special Self-Governing Province in South Korea," Sustainability, MDPI, vol. 9(1), pages 1-13, January.
    6. Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
    7. Kurt G. Lunsford & Kenneth D. West, 2018. "Some Evidence on Secular Drivers of U.S. Safe Real Rates," NBER Working Papers 25288, National Bureau of Economic Research, Inc.
    8. Mikkel Barslund & Lars Ludolph, 2019. "Could the decrease in Belgian government debt-servicing costs offset increased age-related expenditure?," Public Sector Economics, Institute of Public Finance, vol. 43(3), pages 225-246.
    9. Zarazúa Juárez, Carlos Alberto, 2023. "Understanding the natural rate of interest for a small open economy," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(3).
    10. Stefano Neri & Andrea Gerali, 2017. "Natural rates across the Atlantic," Temi di discussione (Economic working papers) 1140, Bank of Italy, Economic Research and International Relations Area.
    11. Agnello, Luca & Castro, Vítor & Sousa, Ricardo M., 2022. "On the international co-movement of natural interest rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    12. Umino, Shingo, 2014. "Real-time estimation of the equilibrium real interest rate: Evidence from Japan," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 17-32.
    13. Claudio Borio & Piti Disyatat & Mikael Juselius & Phurichai Rungcharoenkitkul, 2017. "Why so low for so long? A long-term view of real interest rates," BIS Working Papers 685, Bank for International Settlements.
    14. Daudignon, Sandra & Tristani, Oreste, 2023. "Monetary policy and the drifting natural rate of interest," Working Paper Series 2788, European Central Bank.
    15. Claudio Borio & Piti Disyatat & Phurichai Rungcharoenkitkul, 2019. "What anchors for the natural rate of interest?," BIS Working Papers 777, Bank for International Settlements.
    16. Luca Agnello & Vítor Castro & Ricardo M. Sousa, 2023. "Interest rate gaps in an uncertain global context: why “too” low (high) for “so” long?," Empirical Economics, Springer, vol. 64(2), pages 539-565, February.
    17. Lee C. Spector & Courtenay C. Stone, 2010. "Suspicious Estimates of Ex Ante Real Interest Rates: Evidence of Macroeconomic Malpractice?," Working Papers 201010, Ball State University, Department of Economics, revised Oct 2010.

  15. Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2010. "Inflation-Gap Persistence in the US," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(1), pages 43-69, January.
    See citations under working paper version above.
  16. Primiceri, Giorgio E. & van Rens, Thijs, 2009. "Heterogeneous life-cycle profiles, income risk and consumption inequality," Journal of Monetary Economics, Elsevier, vol. 56(1), pages 20-39, January.
    See citations under working paper version above.
  17. Alejandro Justiniano & Giorgio E. Primiceri, 2008. "The Time-Varying Volatility of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 98(3), pages 604-641, June.
    See citations under working paper version above.
  18. Giorgio E. Primiceri, 2006. "Financial innovations and macroeconomic volatility - comments," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.

    Cited by:

    1. Serdar Kabaca, 2011. "Labor Share Fluctuations in Emerging Markets: The Role of the Cost of Borrowing," Koç University-TUSIAD Economic Research Forum Working Papers 1122, Koc University-TUSIAD Economic Research Forum.

  19. Giorgio E. Primiceri, 2006. "Why Inflation Rose and Fell: Policy-Makers' Beliefs and U. S. Postwar Stabilization Policy," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 121(3), pages 867-901.
    See citations under working paper version above.
  20. Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 821-852.

    Cited by:

    1. Michael T. Belongia & Peter N. Ireland, 2012. "A "Working" Solution to the Question of Nominal GDP Targeting," Boston College Working Papers in Economics 802, Boston College Department of Economics, revised 04 Jan 2013.
    2. Ellington, Michael & Milas, Costas, 2021. "On the economic impact of aggregate liquidity shocks: The case of the UK," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 737-752.
    3. James M. Nason & Ellis W. Tallman, 2012. "Business cycles and financial crises: the roles of credit supply and demand shocks," Working Papers 12-24, Federal Reserve Bank of Philadelphia.
    4. Farmer, Roger E.A. & Nicolò, Giovanni, 2018. "Keynesian economics without the Phillips curve," Journal of Economic Dynamics and Control, Elsevier, vol. 89(C), pages 137-150.
    5. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2017. "Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168111, Verein für Socialpolitik / German Economic Association.
    6. Leu, Shawn C.-Y. & Robertson, Mari L., 2021. "Mortgage credit volumes and monetary policy after the Great Recession," Economic Modelling, Elsevier, vol. 94(C), pages 483-500.
    7. Mehmet Balcilar & David Roubaud & Muhammad Shahbaz, 2019. "The Impact of Energy Market Uncertainty Shocks on Energy Transition in Europe," The Energy Journal, , vol. 40(1_suppl), pages 55-80, June.
    8. Ioannis Chatziantoniou & David Gabauer, 2019. "EMU-Risk Synchronisation and Financial Fragility Through the Prism of Dynamic Connectedness," Working Papers in Economics & Finance 2019-07, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    9. Wensheng Kang & Ronald A. Ratti & Joaquin L. Vespignani, 2017. "Global Commodity Prices and Global Stock Volatility Shocks: Effects across Countries," Globalization Institute Working Papers 311, Federal Reserve Bank of Dallas.
    10. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
    11. Joshua C. C. Chan & Gary Koop & Simon M. Potter, 2016. "A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips Curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(3), pages 551-565, April.
    12. Joris de Wind, 2014. "Time variation in the dynamic effects of unanticipated changes in tax policy," CPB Discussion Paper 271, CPB Netherlands Bureau for Economic Policy Analysis.
    13. Stelios D. Bekiros & Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2016. "Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs," Open Access publications 10197/7323, School of Economics, University College Dublin.
    14. Peersman, Gert & Rüth, Sebastian K. & Van der Veken, Wouter, 2019. "The interplay between oil and food commodity prices: Has It changed over time?," Working Papers 0665, University of Heidelberg, Department of Economics.
    15. Brenda Guevara & Gabriel Rodríguez & Lorena Yamuca Salvatierra, 2024. "External Shocks and Economic Fluctuations in Peru: Empirical Evidence using Mixture Innovation TVP-VAR-SV Models," Documentos de Trabajo / Working Papers 2024-529, Departamento de Economía - Pontificia Universidad Católica del Perú.
    16. Hilde C. Bjørnland & Leif Anders Thorsrud & Ragnar Torvik, 2018. "Dutch Disease Dynamics Reconsidered," Working Papers No 4/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    17. Stockhammar, Pär & Österholm, Pär, 2016. "Do Inflation Expectations Granger Cause Inflation?," Working Papers 145, National Institute of Economic Research.
    18. Diego Ferreira & Andreza Aparecida Palma, 2018. "Inflation And Inflation Uncertainty In Latin America: A Time-Varying Stochastic Volatility In Mean Approach," Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting] 125, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    19. Liming Chen & Zhi Zhang & Ziqing Du & Lingling Deng, 2021. "Heterogeneous determinants of the exchange rate market in China with structural breaks," Applied Economics, Taylor & Francis Journals, vol. 53(59), pages 6839-6854, December.
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Software components

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Chapters

  1. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2013. "The Effects of the Saving and Banking Glut on the U.S. Economy," NBER Chapters, in: NBER International Seminar on Macroeconomics 2013, pages 52-67, National Bureau of Economic Research, Inc.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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