We present new methodology and a case study in use of a class of Bayesian predictive synthesis (BPS) models for multivariate time series forecasting. This extends the foundational BPS framework to the multivariate setting, ...

The agents in the economy use a plethora of high frequency information, including news media, to guide their actions and thereby shape aggregate economic fluctuations. Traditional nowcasting approches have to a relatively ...

In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such claims ...

Real Business Cycle (RBC) and Dynamic Stochastic General Equilibrium (DSGE) methods have become essential components of the macroeconomist’s toolkit. This literature review stresses recently developed techniques for ...

We analyze if the transmission of oil price shocks on the U.S. economy has changed with the shale oil boom. To do so, we put forward a framework that allows for spillovers between industries and learning by doing (LBD) ...

This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point and density forecasts of macroeconomic variables. In this analysis, we consider both Bayesian autoregressive ...

I construct a daily business cycle index based on quarterly GDP and textual information contained in a daily business newspaper. The newspaper data are decomposed into time series representing newspaper topics using a ...