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On Bayesian filtering for Markov regime switching models
(Working paper;8/2024, Working paper, 2024)This paper presents a framework for empirical analysis of dynamic macroeconomic models using Bayesian filtering, with a specific focus on the state-space formulation of Dynamic Stochastic General Equilibrium (DSGE) models ... -
What drives the recent surge in inflation? The historical decomposition roller coaster
(Working paper;7/2024, Working paper, 2024)What drives the recent inflation surge? To answer this question, one must decompose inflation fluctuations into the contribution of structural shocks. We document how whimsical such a historical shock decomposition can be ... -
Cross-border bank flows, regional household credit booms and bank risk-taking
(Working paper;10/2024, Working paper, 2024)This paper provides novel micro-level evidence that cross-border bank flows are important for households’ access to credit not only in emerging markets but also in advanced economies. These foreign bank flows can drive ... -
The consumption expenditure response to unemployment: evidence from Norwegian households
(Working paper;6/2024, Working paper, 2024)We use detailed Norwegian administrative data to identify the income loss associated with the onset of unemployment and analyze the corresponding consumption expenditure response and the extent to which this response is ... -
The bias of the ECB inflation projections: a state-dependent analysis
(Working paper;11/2024, Working paper, 2024)We test for state-dependent bias in the European Central Bank’s inflation projections. We show that the ECB tends to underpredict when the observed inflation rate at the time of forecasting is higher than an estimated ...
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