In this paper, we develop an effective approach to model linear non-Gaussian causal relationships among a composite set of major US macroeconomic factors. The proposed approach first models the linear relationships of the factors using the Vector Autoregression (VAR) model, then the casual relationships are discovered using the linear non-Gaussian Structural Equation Modeling (SEM) method. One ...

Dynamic latent factors estimated from panels of macroeconomic indicators are used to predict future NBER recession dates. Three monthly macro factors are considered: (1) a bond and exchange rates factor extracted from 22 financial time series; (2) a stock market factor extracted from 4 stock market indicators; (3) a real factor extracted from 4 macroeconomic time series. Three main results emer...

BACKGROUND Health is a complex phenomenon that can be studied from different approaches. Despite a growing research in the areas of Social Determinants of Health (SDH) and health equity, effects of macroeconomic policies on the social aspect of health are unknown in developing countries. This study aimed to determine the effect of macroeconomic policies on increasing of the social-health inequa...

models aim to generate precisely that distribution, often through simulation, so that a bank may, among other things, set the level of capital it needs to hold to withstand losses to a certain degree of confidence, i.e. a tail region in the loss distribution. Most credit portfolio models link the portfolio loss distribution to states of the world; they differ in how specifically they are linked...

IMPERFECT competition is a pervasive part of modern industrial economies, where high levels of concentration in product markets often coexist with unionised labour markets. Most standard macroeconomic models, however, assume that markets are perfectly competitive. This paper provides a simple framework in which we are able to explore some of the implications of imperfect competition for the mac...

I ssues relating to fi nancial stability have always been part of the macroeconomics curriculum, but they have often been presented as mainly of historical interest, or primarily of relevance to emerging markets. However, the recent fi nancial crisis has made it plain that even in economies like the United States, signifi cant disruptions of fi nancial intermediation remain a possibility. Under...

We study price setting in a variable macroeconomic environment using a unique data set from the Brazilian CPI index of Fundação Getulio Vargas. Our primary data consist of a panel of individual prices for goods and services covering 100% of the CPI for the 1996-2008 period. During this period a number of important events produced substantial macroeconomic variability in Brazil: two emerging mar...

In this essay I argue that modern macroeconomic theory has fallen behind the practice of central banking. After briefly summarizing the current state of macro theory, I focus on what strikes me as the two most important developments in monetary policy in the last two decades – inflation targeting and dealing with financial crises. My analysis rejects the claims made by several authors to the ef...

Level vector autoregressive (VAR) models are used extensively in empirical macroeconomic research. However, estimated level VAR models may contain explosive roots, which is at odds with the widespread consensus among macroeconomists that roots are at most unity. This paper investigates the frequency of explosive roots in estimated level VAR models in the presence of stationary and nonstationary...