We develop a new estimator of the number of factors in the approximate factor models. The
estimator works well even when the idiosyncratic terms are substantially correlated. It is …

We review the literature and examine the effects of shocks on bitcoin returns. We assess the
effects of factors such as stock market returns, exchange rates, gold and oil returns, FED's …

We develop a novel method for the identification of monetary policy shocks. By applying
natural language processing techniques to documents that Federal Reserve staff prepare in …

This paper is motivated by the recent interest in the use of Bayesian VARs for forecasting,
even in cases where the number of dependent variables is large. In such cases factor …

This paper explores if economic uncertainty alters the macroeconomic influence of monetary
policy. We use several measures of US economic uncertainty, and estimate their interaction …

Abstract The Global Vector Autoregressive (GVAR) approach has proven to be a very useful
approach to analyse interactions in the global macroeconomy and other data networks …

We analyze the evolution of the degree of global cyclical interdependence over the period
1960–2008. Using a dynamic factor model, we decompose macroeconomic fluctuations in …

This paper examines the interplay among bank liquidity creation (which incorporates all
bank on-and off-balance sheet activities), monetary policy, and financial crises. We find …

To identify disruptions in credit markets, research on the role of asset prices in economic
fluctuations has focused on the information content of various corporate credit spreads. We …

This paper studies the small estimated effects of monetary policy shocks from standard
VARs versus the large effects from the Romer and Romer (2004) approach. The differences …