What are the effects of monetary policy on exchange rates? And have unconventional
monetary policies changed the way monetary policy is transmitted to international financial …

Research into predictive accuracy testing remains at the forefront of the forecasting field.
One reason for this is that rankings of predictive accuracy across alternative models, which …

In this article, we extract common factors from a cross-section of US macro-variables and
Treasury zero-coupon yields. We find that two macroeconomic factors have an important …

This paper studies Quasi Maximum Likelihood estimation of Dynamic Factor Models for
large panels of time series. Specifically, we consider the case in which the autocorrelation of …

This article shows entropic tilting to be a flexible and powerful tool for combining medium-
term forecasts from BVARs with short-term forecasts from other sources (nowcasts from …

This paper constructs hybrid forecasts that combine forecasts from vector autoregressive
(VAR) model (s) with both short-and long-term expectations from surveys. Specifically, we …

We propose a new approach to analyze economic shocks. Our new procedure identifies
economic shocks as exogenous shifts in a function; hence, we call them “functional shocks.” …

Even though commodity-pricing models have been successful in fitting the term structure of
futures prices and its dynamics, they do not generate accurate true distributions of spot …

In this paper, we formulate a statistical model of inflation that combines data on survey
expectations with the inflation target set by central banks. Our model produces inflation …

This survey looks at the literature on factor extraction in the context of Dynamic Factor
Models (DFMs) fitted to multivariate systems of economic and financial variables. Many of …