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Assessing Macroeconomic Tail Risk
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Assessing Macroeconomic Tail Risk (2024)Assessing Macroeconomic Tail RiskLocal Projections and VARs Estimate the Same Impulse Responses (2021)Local Projections and VARs Es…Vulnerable Growth (2019)Vulnerable GrowthImpulse response estimation by smooth local projections (2019)Impulse response estimation b…Deconstructing Monetary Policy Surprises: The Role of Information Shocks (2018)Deconstructing Monetary Polic…The Transmission of Monetary Policy Shocks (2017)The Transmission of Monetary …Systemic risk and the macroeconomy: An empirical evaluation (2016)Systemic risk and the macroec…Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)Monetary Policy Surprises, Cr…Pushing on a string: US monetary policy is less powerful in recessions ∗ (2013)Pushing on a string: US monet…High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)High Frequency Identification…Credit Spreads and Business Cycle Fluctuations (2012)Credit Spreads and Business C…NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES (2011)NONLINEARITIES AND THE MACROE…The Time-Varying Volatility of Macroeconomic Fluctuations (2008)The Time-Varying Volatility o…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Estimation and Inference of Impulse Responses by Local Projections (2005)Estimation and Inference of I…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…What is an Oil Shock? (2000)What is an Oil Shock?Output Fluctuations in the United States: What Has Changed since the Early 1980's?Oil and the Macroeconomy since World War II (1983)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Facts and Fantasies about Commodity Futures (2006)The Economic Effects of Energy Price Shocks (2008)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Monetary Policy According to HANK (2018)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)The Dynamic Effects of Neutral and Investment‐Specific Technology Shocks (2006)Risk Matters: The Real Effects of Volatility Shocks (2011)Disaster Risk and Business Cycles (2012)Macroeconomics and Reality (1980)Discretion versus policy rules in practice (1993)Macroeconomic Shocks and Their Propagation (2016)Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data (2017)Measuring Geopolitical Risk (2022)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Credit Cycles (1997)The Employment Effects of Credit Market Disruptions: Firm-level Evidence from the 2008–9 Financial Crisis * (2013)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)U.S. Monetary Policy and the Global Financial Cycle (2020)Interest and Prices (2004)What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)A model of unconventional monetary policy (2010)Non-monetary news in central bank communication (2019)The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements (2021)Econometric policy evaluation: A critique (1976)Were There Regime Switches in U.S. Monetary Policy? (2006)Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2009)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Macroeconomic Nowcasting and Forecasting with Big Data (2018)Banking Crises Without Panics* (2020)How is machine learning useful for macroeconomic forecasting? (2022)
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References

  • 2005Estimation and Inference of Impulse Responses by Local Projections4,629 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 2012Credit Spreads and Business Cycle Fluctuations2,209 cited
  • 2000What is an Oil Shock?2,194 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2015Monetary Policy Surprises, Credit Costs, and Economic Activity1,480 cited
  • 2013High Frequency Identification of Monetary Non-Neutrality: The Information Effect1,410 cited
  • 2018Deconstructing Monetary Policy Surprises: The Role of Information Shocks981 cited
  • 2008The Time-Varying Volatility of Macroeconomic Fluctuations844 cited
  • 2019Vulnerable Growth779 cited
  • 2021Local Projections and VARs Estimate the Same Impulse Responses738 cited
  • 2016Systemic risk and the macroeconomy: An empirical evaluation559 cited
  • 2017The Transmission of Monetary Policy Shocks542 cited
  • 2011NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES475 cited
  • 2013Pushing on a string: US monetary policy is less powerful in recessions ∗452 cited

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2019
Impulse response estimation by smooth local projections
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