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

Structural time series models are formulated in terms of components, such as trends,
seasonals and cycles, that have a direct interpretation. As well as providing a framework for …

The COVID-19 pandemic has led to enormous data movements that strongly affect
parameters and forecasts from standard Bayesian vector autoregressions (BVARs). To …

The trend in the world real interest rate for safe and liquid assets fluctuated close to 2% for
more than a century, but has dropped significantly over the past three decades. This decline …

Why are interest rates so low in the Unites States? We find that they are low primarily
because the premium for safety and liquidity has increased since the late 1990s, and to a …

An important problem in econometrics and marketing is to infer the causal impact that a
designed market intervention has exerted on an outcome metric over time. This paper …

This article describes a system for short term forecasting based on an ensemble prediction
that averages over different combinations of predictors. The system combines a structural …

Abstract The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a
comprehensive (Bayesian)(Panel) VAR toolbox for forecasting and policy analysis. BEAR is …

This new edition updates Durbin & Koopman's important text on the state space approach to
time series analysis. The distinguishing feature of state space time series models is that …

Macro-finance theory implies that trend inflation and the equilibrium real interest rate are
fundamental determinants of the yield curve. However, empirical models of the term …