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Real-Time Measurement of Business Conditions
Business cycle Expansion Recession State space model Macroeconomic forecasting Dynamic factor model Contraction Turning point
2015/9/18
We construct a framework for measuring economic activity at high frequency, potentially in real time. We use a variety of stock and flow data observed at mixed frequencies (including very high frequen...
Real-Time Macroeconomic Monitoring:Real Activity,Inflation,and Interactions
Nowcasting Prices Wages Business cycle Expansion Contraction Recession Turning point State-space model Dynamic factor model
2015/9/18
We sketch a framework for monitoring macroeconomic activity in real-time andpush it in new directions. In particular, we focus not only on real activity, which has received most attention to date, but...
Comments on Temporal and Sectoral Aggregation of Seasonally Adjusted Time Series
Temporal Sectoral Aggregation
2015/8/5
Comments on Temporal and Sectoral Aggregation of Seasonally Adjusted Time Series.
Recent Changes in Macro Policy and Its Effects: Some Time Series Evidence
Macro Policy Series Evidence
2015/8/4
Recent Changes in Macro Policy and Its Effects: Some Time Series Evidence.
To honor Martin Feldstein抯 distinguished leadership and extraordinary
contributions to the National Bureau of Economic Research,
the Feldstein Lecture addresses an important question in applied econ...
Discussion of "The Cross Section and Time Series of Stock and Bond Returns" by Koijen, Lustig & Van Nieuwerburgh
Cross Section Stock and Bond Returns
2015/7/23
A￠ ne model in which:
ñ 3 priced factors explain the cross section of bond and stock returns:
level, CP, DP
ñ 2 factors explain the time variation in bond and stock returns:
CP, DP
Ambiguous Volatility, Possibility and Utility in Continuous Time
ambiguity uncertain volatility option pricing recursive utility stochastic differential utility G-expectation G-Brownian motion nonequivalent measures uncertain possibility quasisure analysis
2011/3/30
We formulate a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity or model uncertainty. The main novelty is in the range of model uncertainty th...
Evidence on Structural Instability in Macroeconomic Time Series Relations
Break tests Forecasting Recursive least squares Structural stability Time- varying parameter
2014/3/18
An experiment is performed to assess the prevalence of instability in univariate and bivariate macroeconomic time series relations and to ascertain whether various adaptive forecasting t...
The two most striking historical features of aggregate output are its sustained long run growth and its recurrent fluctuations around this growth path. Real per capita GNP, consu...