This paper presents a quarterly global model combining individual country vector error‐
correcting models in which the domestic variables are related to the country‐specific foreign …

This paper explores the link between financial conditions and economic activity. We first
review existing measures, including both single indicators and composite financial …

Surveys do! We examine the forecasting power of four alternative methods of forecasting US
inflation out-of-sample: time-series ARIMA models; regressions using real activity measures …

This paper considers VAR models incorporating many time series that interact through a few
dynamic factors. Several econometric issues are addressed including estimation of the …

Monetary DSGE models are widely used because they fit the data well and they can be used
to address important monetary policy questions. We provide a selective review of these …

We forecast a single time series using many predictor variables with a new estimator called
the three-pass regression filter (3PRF). It is calculated in closed form and conveniently …

The last decade has seen a burst of micro price studies. Many studies analyze data
underlying national CPIs and PPIs. Others focus on more granular subnational grocery store …

This chapter discusses recent developments in inflation forecasting. We perform a horse-
race among a large set of traditional and recently developed forecasting methods, and …

In this paper we modify the expectation maximization algorithm in order to estimate the
parameters of the dynamic factor model on a dataset with an arbitrary pattern of missing …

We investigate the implications of changes in the structure of the US economy for monetary
policy effectiveness. Estimating a vector autoregression over the pre-and post-1980 periods …