Data, data, data…. Economists know their importance well, especially when it comes to
monitoring macroeconomic conditions—the basis for making informed economic and policy …

This chapter reviews Bayesian methods for inference and forecasting with VAR models.
Bayesian inference and, by extension, forecasting depends on numerical methods for …

This paper illustrates how to handle a sequence of extreme observations—such as those
recorded during the COVID‐19 pandemic—when estimating a vector autoregression, which …

We review the literature on the empirical characteristics of the global financial cycle and
associated stylized facts on international capital flows, asset prices, risk aversion, and …

We prove that local projections (LPs) and Vector Autoregressions (VARs) estimate the same
impulse responses. This nonparametric result only requires unrestricted lag structures. We …

US monetary policy shocks induce comovements in the international financial variables that
characterize the “Global Financial Cycle.” A single global factor that explains an important …

We analyse the impact of standard and non-standard monetary policy on bank profitability.
We use both proprietary and commercial data on individual euro area bank balance-sheets …

Commonly used instruments for the identification of monetary policy disturbances are likely
to combine the true policy shock with information about the state of the economy due to the …

The trend in the world real interest rate for safe and liquid assets fluctuated close to 2% for
more than a century, but has dropped significantly over the past three decades. This decline …

Why are interest rates so low in the Unites States? We find that they are low primarily
because the premium for safety and liquidity has increased since the late 1990s, and to a …