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

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

Central bank announcements simultaneously convey information about monetary policy and
the central bank's assessment of the economic outlook. This paper disentangles these two …

Using evidence from four major central banks, we decompose news conveyed by central-
bank communication into news about monetary policy (monetary news), as well as non …

Uncertainty about the future rises in recessions. But is uncertainty a source of business
cycles or an endogenous response to them, and does the type of uncertainty matter? We …

This chapter provides an overview of and user's guide to dynamic factor models (DFMs),
their estimation, and their uses in empirical macroeconomics. It also surveys recent …

We study how monetary policy in China influences banks' shadow banking activities. We
develop and estimate the endogenously switching monetary policy rule that is based on …

We study the causal effects and policy implications of global supply chain disruptions. We
construct a new index of supply chain disruptions from the mandatory automatic …

We identify structural vector autoregressions using narrative sign restrictions. Narrative sign
restrictions constrain the structural shocks and/or the historical decomposition around key …

Studies identifying oil shocks using structural vector autoregressions (VARs) reach different
conclusions on the relative importance of supply and demand factors in explaining oil …