Factor-augmented VARs (FAVARs) have combined standard VARs with factor analysis to exploit large data sets in the study of monetary policy. FAVARs enjoy a number of advantages over VARs: they allow a better identification of the monetary policy shock; they can avoid the use of a single variable to proxy theoretical constructs, such as the output gap; they allow researchers to compute impulse re...

This paper investigates the assumption of homogeneous effects federal tax changes across U.S. states and identifies where why that may not be valid. More specifically, what determines transmission mechanism shocks at state level? How vital are states' fiscal structures, financial conditions, labor market rigidities, industry mix? Do these economic structural characteristics drive level differen...

Legal simplification may improve the quality of institutions in industrialised countries that developed over-complex legal systems. In theory, this type of regulatory reform promotes economic efficiency, leading to higher levels of productivity and output. In this paper we use a Panel Factor-Augmented VAR approach to measure the long-run impact of legal-simplification programmes in total factor...

Advanced Bayesian methods are employed in estimating dynamic stochastic general equilibrium (DSGE) models. Although policymakers and practitioners are particularly interested in DSGE models, these are typically too stylized to be taken directly to the data and often yield weak prediction results. Hybrid models can deal with some of the DSGE model misspeci…cations. Major advances in Bayesian est...

A parallel-in-time algorithm based on an augmented Lagrangian approach is proposed to solve four-dimensional variational (4D-Var) data assimilation problems. The assimilation window is divided into multiple sub-intervals that allows to parallelize cost function and gradient computations. Solution continuity equations across interval boundaries are added as constraints. The augmented Lagrangian ...

We analyze the evolution and drivers of inflation during pandemic likely trajectory in near-term using an event study around global recessions a factor-augmented vector auto-regression (FAVAR) model. report three main results. First, decline 2020 recession was most muted shortest-lived any five over past 50 years increase since May has been fastest. Second, from January-May four-fifths driven b...