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Elmar Mertens

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Andr? Kurmann & Elmar Mertens, 2014. "Stock Prices, News, and Economic Fluctuations: Comment," American Economic Review, American Economic Association, vol. 104(4), pages 1439-1445, April.

    Mentioned in:

    1. Stock Prices, News, and Economic Fluctuations: Comment (AER 2014) in ReplicationWiki ()

Working papers

  1. Thomas Lubik & Christian Matthes & Elmar Mertens, 2022. "Online Appendix to "Indeterminacy and Imperfect Information"," Online Appendices 20-377, Review of Economic Dynamics.

    Cited by:

    1. Giovanni Angelini & Marco M. Sorge, 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Working Papers wp1160, Dipartimento Scienze Economiche, Universita' di Bologna.
    2. Qazi Haque & Nicolas Groshenny & Mark Weder, 2019. "Do We Really Know that U.S. Monetary Policy was Destabilizing in the 1970s?," Economics Discussion / Working Papers 19-11, The University of Western Australia, Department of Economics.
    3. Jia, Chengcheng, 2023. "The informational effect of monetary policy and the case for policy commitment," European Economic Review, Elsevier, vol. 156(C).
    4. Paul Levine & Joseph Pearlman & Stephen Wright & Bo Yang, 2023. "Imperfect Information and Hidden Dynamics," School of Economics Discussion Papers 1223, School of Economics, University of Surrey.

  2. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Forecasting with Shadow-Rate VARs," Working Papers 21-09, Federal Reserve Bank of Cleveland.

    Cited by:

    1. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.

  3. Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd & Mertens, Elmar, 2021. "Measuring Uncertainty and Its Effects in the COVID-19 Era," CEPR Discussion Papers 15965, C.E.P.R. Discussion Papers.

    Cited by:

    1. Cross, Jamie L. & Hou, Chenghan & Koop, Gary & Poon, Aubrey, 2023. "Large stochastic volatility in mean VARs," Journal of Econometrics, Elsevier, vol. 236(1).
    2. Luis J. Álvarez & Florens Odendahl, 2022. "Data outliers and Bayesian VARs in the Euro Area," Working Papers 2239, Banco de España.
    3. Klieber, Karin, 2024. "Non-linear dimension reduction in factor-augmented vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).

  4. Marcellino, Massimiliano & Clark, Todd & Carriero, Andrea & Mertens, Elmar, 2021. "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," CEPR Discussion Papers 15964, C.E.P.R. Discussion Papers.

    Cited by:

    1. Cross, Jamie L. & Hou, Chenghan & Koop, Gary & Poon, Aubrey, 2023. "Large stochastic volatility in mean VARs," Journal of Econometrics, Elsevier, vol. 236(1).
    2. Knüppel, Malte & Krüger, Fabian & Pohle, Marc-Oliver, 2022. "Score-based calibration testing for multivariate forecast distributions," Discussion Papers 50/2022, Deutsche Bundesbank.
    3. Daniele Valenti & Andrea Bastianin & Matteo Manera, 2022. "A weekly structural VAR model of the US crude oil market," Working Papers 2022.11, Fondazione Eni Enrico Mattei.
    4. David Kohns & Arnab Bhattacharjee, 2020. "Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model," Papers 2011.00938, arXiv.org, revised May 2022.
    5. Davidson, Sharada Nia & Moccero, Diego Nicolas, 2024. "The nonlinear effects of banks’ vulnerability to capital depletion in euro area countries," Working Paper Series 2912, European Central Bank.
    6. Morão, Hugo, 2024. "An economic policy uncertainty index for Portugal," International Economics, Elsevier, vol. 178(C).
    7. Evgenidis, Anastasios & Fasianos, Apostolos, 2023. "Modelling monetary policy’s impact on labour markets under Covid-19," Economics Letters, Elsevier, vol. 230(C).
    8. Frank Schorfheide & Dongho Song, 2024. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," International Journal of Central Banking, International Journal of Central Banking, vol. 20(4), pages 275-320, October.
    9. Joshua C. C. Chan, 2022. "Comparing Stochastic Volatility Specifications for Large Bayesian VARs," Papers 2208.13255, arXiv.org.
    10. Hwee Kwan Chow & Keen Meng Choy, 2023. "Economic forecasting in a pandemic: some evidence from Singapore," Empirical Economics, Springer, vol. 64(5), pages 2105-2124, May.
    11. Prüser, Jan, 2021. "The horseshoe prior for time-varying parameter VARs and Monetary Policy," Journal of Economic Dynamics and Control, Elsevier, vol. 129(C).
    12. Bobeica, Elena & Hartwig, Benny, 2023. "The COVID-19 shock and challenges for inflation modelling," International Journal of Forecasting, Elsevier, vol. 39(1), pages 519-539.
    13. Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021. "Vector autoregression models with skewness and heavy tails," Papers 2105.11182, arXiv.org.
    14. Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2023. "Advances in Nowcasting Economic Activity: The Role of Heterogeneous Dynamics and Fat Tails," CEPR Discussion Papers 17800, C.E.P.R. Discussion Papers.
    15. Budnik, Katarzyna & Groß, Johannes & Vagliano, Gianluca & Dimitrov, Ivan & Lampe, Max & Panos, Jiri & Velasco, Sofia & Boucherie, Louis & Jančoková, Martina, 2023. "BEAST: A model for the assessment of system-wide risks and macroprudential policies," Working Paper Series 2855, European Central Bank.
    16. Luis J. Álvarez & Florens Odendahl, 2022. "Data outliers and Bayesian VARs in the Euro Area," Working Papers 2239, Banco de España.
    17. Budnik, Katarzyna & Ponte Marques, Aurea & Giglio, Carla & Grassi, Alberto & Durrani, Agha & Figueres, Juan Manuel & Konietschke, Paul & Le Grand, Catherine & Metzler, Julian & Población García, Franc, 2024. "Advancements in stress-testing methodologies for financial stability applications," Occasional Paper Series 348, European Central Bank.
    18. Kiss, Tamas & Nguyen, Hoang & Österholm, Pär, 2022. "Modelling Okun’s Law – Does non-Gaussianity Matter?," Working Papers 2022:1, Örebro University, School of Business.
    19. Serena Ng, 2021. "Modeling Macroeconomic Variations after Covid-19," NBER Working Papers 29060, National Bureau of Economic Research, Inc.
    20. Clark, Todd & Huber, Florian & Koop, Gary & Marcellino, Massimiliano & Pfarrhofer, Michael, 2022. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," CEPR Discussion Papers 17461, C.E.P.R. Discussion Papers.
    21. Bańbura, Marta & Belousova, Irina & Bodnár, Katalin & Tóth, Máté Barnabás, 2023. "Nowcasting employment in the euro area," Working Paper Series 2815, European Central Bank.
    22. Danilo Cascaldi-Garcia, 2022. "Pandemic Priors," International Finance Discussion Papers 1352, Board of Governors of the Federal Reserve System (U.S.).
    23. Granados, Camilo & Parra-Amado, Daniel, 2024. "Estimating the output gap after COVID: How to address unprecedented macroeconomic variations," Economic Modelling, Elsevier, vol. 135(C).
    24. Morley, James & Palenzuela, Diego Rodriguez & Sun, Yiqiao & Wong, Benjamin, 2022. "Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic," Working Paper Series 2716, European Central Bank.
    25. Barend Abeln & Jan P.A.M. Jacobs, 2021. "COVID19 and Seasonal Adjustment," CIRANO Working Papers 2021s-05, CIRANO.
    26. Alanya-Beltran, Willy, 2022. "Unit roots in lower-bounded series with outliers," Economic Modelling, Elsevier, vol. 115(C).
    27. Saeed Zaman, 2021. "A Unified Framework to Estimate Macroeconomic Stars," Working Papers 21-23R2, Federal Reserve Bank of Cleveland, revised 31 May 2024.
    28. Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Working Papers 22-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    29. Nalban, Valeriu & Smădu, Andra, 2021. "Asymmetric effects of uncertainty shocks: Normal times and financial disruptions are different," Journal of Macroeconomics, Elsevier, vol. 69(C).
    30. Florian Huber, 2023. "Bayesian Nonlinear Regression using Sums of Simple Functions," Papers 2312.01881, arXiv.org.
    31. Vito Polito & Yunyi Zhang, 2021. "Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression," CESifo Working Paper Series 9395, CESifo.
    32. Liu, Ying & Wen, Long & Liu, Han & Song, Haiyan, 2024. "Predicting tourism recovery from COVID-19: A time-varying perspective," Economic Modelling, Elsevier, vol. 135(C).
    33. Chan, Joshua C.C. & Poon, Aubrey & Zhu, Dan, 2023. "High-dimensional conditionally Gaussian state space models with missing data," Journal of Econometrics, Elsevier, vol. 236(1).
    34. Barauskaitė, Kristina & Nguyen, Anh D.M. & Rousová, Linda & Cappiello, Lorenzo, 2022. "The impact of credit supply shocks in the euro area: market-based financing versus loans," Working Paper Series 2673, European Central Bank.
    35. Kohns, David & Bhattacharjee, Arnab, 2023. "Nowcasting growth using Google Trends data: A Bayesian Structural Time Series model," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1384-1412.
    36. Sun, Weihong & Liu, Ding, 2023. "Great moderation with Chinese characteristics: Uncovering the role of monetary policy," Economic Modelling, Elsevier, vol. 121(C).
    37. Eraslan, Sercan & Schröder, Maximilian, 2023. "Nowcasting GDP with a pool of factor models and a fast estimation algorithm," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1460-1476.
    38. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2021. "Forecasting with Shadow-Rate VARs," Working Papers 21-09, Federal Reserve Bank of Cleveland.
    39. Colunga L. Fernando & Torre Cepeda Leonardo, 2023. "Effects of Supply, Demand, and Labor Market Shocks in the Mexican Manufacturing Sector," Working Papers 2023-10, Banco de México.
    40. Mertens, Elmar, 2023. "Precision-based sampling for state space models that have no measurement error," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    41. Bańbura, Marta & Bobeica, Elena & Martínez Hernández, Catalina, 2023. "What drives core inflation? The role of supply shocks," Working Paper Series 2875, European Central Bank.
    42. Andrejs Zlobins, 2021. "On the Time-varying Effects of the ECB's Asset Purchases," Working Papers 2021/02, Latvijas Banka.
    43. Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Papers 2202.04146, arXiv.org, revised Oct 2024.
    44. Klieber, Karin, 2024. "Non-linear dimension reduction in factor-augmented vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).

  5. Thomas A. Lubik & Christian Matthes & Elmar Mertens, 2019. "Indeterminacy and Imperfect Information," Working Paper 19-17, Federal Reserve Bank of Richmond.

    Cited by:

    1. Sorge Marco M., 2020. "Computing sunspot solutions to rational expectations models with timing restrictions," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(2), pages 1-10, June.
    2. Giovanni Angelini & Marco M. Sorge, 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Working Papers wp1160, Dipartimento Scienze Economiche, Universita' di Bologna.
    3. Qazi Haque & Nicolas Groshenny & Mark Weder, 2019. "Do We Really Know that U.S. Monetary Policy was Destabilizing in the 1970s?," Economics Discussion / Working Papers 19-11, The University of Western Australia, Department of Economics.
    4. Paul Levine & Joseph Pearlman & Stephen Wright & Bo Yang, 2023. "Imperfect Information and Hidden Dynamics," School of Economics Discussion Papers 1223, School of Economics, University of Surrey.

  6. Benjamin K Johannsen & Elmar Mertens, 2018. "A time series model of interest rates with the effective lower bound," BIS Working Papers 715, Bank for International Settlements.

    Cited by:

    1. Breach, Tomas & D’Amico, Stefania & Orphanides, Athanasios, 2020. "The term structure and inflation uncertainty," Journal of Financial Economics, Elsevier, vol. 138(2), pages 388-414.
    2. Kathryn Holston & Thomas Laubach & John C. Williams, 2016. "Measuring the Natural Rate of Interest: International Trends and Determinants," Working Paper Series 2016-11, Federal Reserve Bank of San Francisco.
    3. Samuel Howorth & Domenico Lombardi & Pierre L. Siklos, 2019. "Together or Apart? Monetary Policy Divergences in the G4," Open Economies Review, Springer, vol. 30(2), pages 191-217, April.
    4. Taeyoung Doh, 2017. "Trend and Uncertainty in the Long-Term Real Interest Rate: Bayesian Exponential Tilting with Survey Data," Research Working Paper RWP 17-8, Federal Reserve Bank of Kansas City.
    5. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.
    6. Ascari, Guido & Bonomolo, Paolo & Haque, Qazi, 2024. "The Long-Run Phillips Curve is ... a Curve," CEPR Discussion Papers 19069, C.E.P.R. Discussion Papers.
    7. Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
    8. Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2014. "No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," CEPR Discussion Papers 9848, C.E.P.R. Discussion Papers.
    9. Callum Jones & Mariano Kulish & James Morley, 2022. "A Structural Measure of the Shadow Federal Funds Rate," Working Papers 170, Red Nacional de Investigadores en Economía (RedNIE).
    10. NAKAJIMA, Jouchi & SUDO, Nao & HOGEN, Yoshihiko & TAKIZUKA, Yasutaka, 2023. "On the estimation of the natural yield curve," Discussion Paper Series 753, Institute of Economic Research, Hitotsubashi University.
    11. Krustev, Georgi, 2019. "The natural rate of interest and the financial cycle," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 193-210.
    12. Reinhard Ellwanger, Stephen Snudden, 2021. "Predictability of Aggregated Time Series," LCERPA Working Papers bm0127, Laurier Centre for Economic Research and Policy Analysis.
    13. Claus, Edda & Claus, Iris & Krippner, Leo, 2018. "Asset market responses to conventional and unconventional monetary policy shocks in the United States," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 270-282.
    14. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2024. "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," The Review of Economics and Statistics, MIT Press, vol. 106(5), pages 1403-1417, September.
    15. Guihai Zhao, 2020. "Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields," Staff Working Papers 20-14, Bank of Canada.
    16. Zhang, Ren & Martínez-García, Enrique & Wynne, Mark A. & Grossman, Valerie, 2021. "Ties that bind: Estimating the natural rate of interest for small open economies," Journal of International Money and Finance, Elsevier, vol. 113(C).
    17. Phurichai Rungcharoenkitkul & Fabian Winkler, 2022. "The Natural Rate of Interest Through a Hall of Mirrors," Finance and Economics Discussion Series 2022-010, Board of Governors of the Federal Reserve System (U.S.).
    18. Reuven Glick, 2019. "R* and the Global Economy," Working Paper Series 2019-18, Federal Reserve Bank of San Francisco.
    19. Marc Giannoni & Domenico Giannone & Andrea Tambalotti & Marco Del Negro, 2017. "Safety, Liquidity, and the Natural Rate of Interest," 2017 Meeting Papers 803, Society for Economic Dynamics.
    20. Luca Agnello & Vítor Castro & Ricardo M. Sousa, 2023. "Interest rate gaps in an uncertain global context: why “too” low (high) for “so” long?," Empirical Economics, Springer, vol. 64(2), pages 539-565, February.
    21. Fu, Bowen, 2023. "Measuring the trend real interest rate in a data-rich environment," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
    22. Richard H. Clarida, 2022. "The Federal Reserve's New Framework: Context and Consequences," Finance and Economics Discussion Series 2022-001, Board of Governors of the Federal Reserve System (U.S.).
    23. Saeed Zaman, 2021. "A Unified Framework to Estimate Macroeconomic Stars," Working Papers 21-23R2, Federal Reserve Bank of Cleveland, revised 31 May 2024.
    24. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    25. Jorge Fornero & Markus Kirchner & Carlos Molina, 2021. "Estimating Shadow Policy Rates in a Small Open Economy and the Role of Foreign Factors," Working Papers Central Bank of Chile 915, Central Bank of Chile.
    26. Emanuele Bacchiocchi & Toru Kitagawa, 2024. "SVARs with breaks: Identification and inference," Papers 2405.04973, arXiv.org.
    27. Enrique Martínez García, 2020. "Get the Lowdown: The International Side of the Fall in the U.S. Natural Rate of Interest," Globalization Institute Working Papers 403, Federal Reserve Bank of Dallas, revised 20 Feb 2021.
    28. Fernando M. Duarte & Benjamin K. Johannsen & Leonardo Melosi & Taisuke Nakata, 2020. "Strengthening the FOMC’s Framework in View of the Effective Lower Bound and Some Considerations Related to Time-Inconsistent Strategies," Finance and Economics Discussion Series 2020-067, Board of Governors of the Federal Reserve System (U.S.).
    29. Agnello, Luca & Castro, Vítor & Sousa, Ricardo M., 2022. "On the international co-movement of natural interest rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    30. Beechey, Meredith & Österholm, Pär & Poon, Aubrey, 2023. "Estimating the US trend short-term interest rate," Finance Research Letters, Elsevier, vol. 55(PA).
    31. Renée Fry-McKibbin & Kate McKinnon & Vance L Martin, 2022. "Measuring Global Interest Rate Comovements with Implications for Monetary Policy Interdependence," RBA Annual Conference Papers acp2022-07, Reserve Bank of Australia, revised Dec 2022.
    32. Rossi, Barbara, 2019. "Identifying and Estimating the Effects of Unconventional Monetary Policy: How to Do It And What Have We Learned?," CEPR Discussion Papers 14064, C.E.P.R. Discussion Papers.
    33. Mertens, Elmar, 2023. "Precision-based sampling for state space models that have no measurement error," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    34. Aditya Aladangady & Etienne Gagnon & Benjamin K. Johannsen & William B. Peterman, 2021. "Macroeconomic Implications of Inequality and Income Risk," Finance and Economics Discussion Series 2021-073, Board of Governors of the Federal Reserve System (U.S.).
    35. policy, Work stream on macroprudential & Albertazzi, Ugo & Martin, Alberto & Assouan, Emmanuelle & Tristani, Oreste & Galati, Gabriele & Vlassopoulos, Thomas, 2021. "The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area," Occasional Paper Series 272, European Central Bank.
    36. Reinhard Ellwanger, Stephen Snudden, Lenin Arango-Castillo, 2023. "Seize the Last Day: Period-End-Point Sampling for Forecasts of Temporally Aggregated Data," LCERPA Working Papers bm0142, Laurier Centre for Economic Research and Policy Analysis.

  7. Elmar Mertens & James M. Nason, 2018. "Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility," BIS Working Papers 713, Bank for International Settlements.

    Cited by:

    1. Joshy Easaw & Roberto Golinelli, 2022. "Professionals Inflation Forecasts: The Two Dimensions Of Forecaster Inattentiveness [“Sectoral and aggregate inflation dynamics in the euro area”]," Oxford Economic Papers, Oxford University Press, vol. 74(3), pages 701-720.
    2. Alberto Caruso & Laura Coroneo, 2023. "Does Real‐Time Macroeconomic Information Help to Predict Interest Rates?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2027-2059, December.
    3. Geraldine Dany-Knedlik & Juan Angel Garcia, 2018. "Monetary Policy and Inflation Dynamics in ASEAN Economies," IMF Working Papers 2018/147, International Monetary Fund.
    4. Mengheng Li & Siem Jan Koopman, 2021. "Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 614-627, August.
    5. Barbara Rossi & Atsushi Inoue & Yiru Wang, 2024. "Has the Phillips curve flattened?," French Stata Users' Group Meetings 2024 22, Stata Users Group.
    6. Todd E. Clark & Gergely Ganics & Elmar Mertens, 2024. "Constructing fan charts from the ragged edge of SPF forecasts," Working Papers 2429, Banco de España.
    7. Ascari, Guido & Fosso, Luca, 2024. "The international dimension of trend inflation," Journal of International Economics, Elsevier, vol. 148(C).
    8. Guido Ascari & Luca Fosso, 2021. "The Inflation Rate Disconnect Puzzle: On the International Component of Trend Inflation and the Flattening of the Phillips Curve," Working Paper 2021/17, Norges Bank.
    9. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
    10. Ascari, Guido & Bonomolo, Paolo & Haque, Qazi, 2024. "The Long-Run Phillips Curve is ... a Curve," CEPR Discussion Papers 19069, C.E.P.R. Discussion Papers.
    11. Diegel, Max, 2022. "Time-varying credibility, anchoring and the Fed's inflation target," Discussion Papers 2022/9, Free University Berlin, School of Business & Economics.
    12. Francesca Rondina, 2018. "Estimating unobservable inflation expectations in the New Keynesian Phillips Curve," Working Papers 1804E, University of Ottawa, Department of Economics.
    13. García, Juan Angel & Poon, Aubrey, 2019. "Inflation trends in Asia: implications for central banks," Working Paper Series 2338, European Central Bank.
    14. Arnoud Stevens & Joris Wauters, 2021. "Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 566-586, August.
    15. Chen, Ji & Yang, Xinglin & Liu, Xiliang, 2022. "Learning, disagreement and inflation forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    16. Ricardo Reis, 2020. "The People versus the Markets: A Parsimonious Model of Inflation Expectations," Discussion Papers 2033, Centre for Macroeconomics (CFM).
    17. Jmaes McNeil, 2020. "Monetary policy and the term structure of Inflation expectations with information frictions," Working Papers daleconwp2020-07, Dalhousie University, Department of Economics.
    18. Hur, Joonyoung, 2018. "Time-varying information rigidities and fluctuations in professional forecasters' disagreement," Economic Modelling, Elsevier, vol. 75(C), pages 117-131.
    19. Karlyn Mitchell & Douglas K. Pearce, 2017. "Direct Evidence on Sticky Information from the Revision Behavior of Professional Forecasters," Southern Economic Journal, John Wiley & Sons, vol. 84(2), pages 637-653, October.
    20. Bowen Fu, Ivan Mendieta-Muñoz, 2023. "Structural shocks and trend inflation," Working Paper Series, Department of Economics, University of Utah 2023_04, University of Utah, Department of Economics.
    21. Aristidou, Chrystalleni, 2018. "The meta-Phillips Curve: Modelling U.S. inflation in the presence of regime change," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 367-379.
    22. Meyer-Gohde, Alexander & Tzaawa-Krenzler, Mary, 2023. "Sticky information and the Taylor principle," IMFS Working Paper Series 189, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    23. Huw Dixon & Joshy Easaw & Saeed Heravi, 2020. "Forecasting inflation gap persistence: Do financial sector professionals differ from nonfinancial sector ones?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 461-474, July.
    24. Barrera, Carlos, 2022. "Les Prévisions des Prévisionnistes Professionnels? Perou, 2009-2017 [Professional Forecasters' Expectations? Peru, 2009-2017]," MPRA Paper 114420, University Library of Munich, Germany.
    25. Joshua C.C. Chan & Todd E. Clark & Gary Koop, 2018. "A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 5-53, February.
    26. Monica Jain, 2018. "Sluggish Forecasts," Staff Working Papers 18-39, Bank of Canada.

  8. Todd E Clark & Michael W McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," BIS Working Papers 667, Bank for International Settlements.

    Cited by:

    1. Kajal Lahiri & Huaming Peng & Xuguang Simon Sheng, 2021. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," Working Papers 2021-005, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    2. Li, Zheng & Zeng, Jingjing & Hensher, David A., 2023. "An efficient approach to structural breaks and the case of automobile gasoline consumption in Australia," Transportation Research Part A: Policy and Practice, Elsevier, vol. 169(C).
    3. Li, Zheng & Zhou, Bo & Hensher, David A., 2022. "Forecasting automobile gasoline demand in Australia using machine learning-based regression," Energy, Elsevier, vol. 239(PD).
    4. Oliver Grothe & Fabian Kachele & Fabian Kruger, 2022. "From point forecasts to multivariate probabilistic forecasts: The Schaake shuffle for day-ahead electricity price forecasting," Papers 2204.10154, arXiv.org.
    5. Efrem Castelnuovo, 2022. "Uncertainty Before and During COVID-19: A Survey," "Marco Fanno" Working Papers 0279, Dipartimento di Scienze Economiche "Marco Fanno".
    6. Knüppel, Malte & Schultefrankenfeld, Guido, 2018. "Assessing the uncertainty in central banks' inflation outlooks," Discussion Papers 56/2018, Deutsche Bundesbank.
    7. Ana Beatriz Galvão & James Mitchell, 2023. "Real‐Time Perceptions of Historical GDP Data Uncertainty," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 457-481, June.
    8. Patrick A. Adams & Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2020. "Forecasting Macroeconomic Risks," Staff Reports 914, Federal Reserve Bank of New York.
    9. Schick, Manuel, 2024. "Real-time Nowcasting Growth-at-Risk using the Survey of Professional Forecasters," Working Papers 0750, University of Heidelberg, Department of Economics.
    10. Galvão, Ana Beatriz & Garratt, Anthony & Mitchell, James, 2021. "Does judgment improve macroeconomic density forecasts?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1247-1260.
    11. Corradi, Valentina & Fosten, Jack & Gutknecht, Daniel, 2023. "Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk," Journal of Econometrics, Elsevier, vol. 236(2).
    12. Yoosoon Chang & Yong-gun Kim & Boreum Kwak & Joon Y. Park, 2024. "Using Density Forecast for Growth-at-Risk to Improve Mean Forecast of GDP Growth in Korea," CAEPR Working Papers 2024-005 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    13. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2024. "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," The Review of Economics and Statistics, MIT Press, vol. 106(5), pages 1403-1417, September.
    14. Reifschneider, David & Tulip, Peter, 2019. "Gauging the uncertainty of the economic outlook using historical forecasting errors: The Federal Reserve’s approach," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1564-1582.
    15. Grothe, Oliver & Kächele, Fabian & Krüger, Fabian, 2023. "From point forecasts to multivariate probabilistic forecasts: The Schaake shuffle for day-ahead electricity price forecasting," Energy Economics, Elsevier, vol. 120(C).
    16. Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2018. "Inflation, real economic growth and unemployment expectations: an empirical analysis based on the ECB survey of professional forecasters," Applied Economics, Taylor & Francis Journals, vol. 50(42), pages 4540-4555, September.
    17. Knüppel, Malte, 2014. "Forecast-error-based estimation of forecast uncertainty when the horizon is increased," Discussion Papers 40/2014, Deutsche Bundesbank.
    18. Dibiasi, Andreas & Sarferaz, Samad, 2023. "Measuring macroeconomic uncertainty: A cross-country analysis," European Economic Review, Elsevier, vol. 153(C).
    19. Barbara Rossi, 2019. "Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It and What Have We Learned?," Working Papers 1081, Barcelona School of Economics.
    20. Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023. "Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
    21. Fabian Kruger & Hendrik Plett, 2022. "Prediction intervals for economic fixed-event forecasts," Papers 2210.13562, arXiv.org, revised Mar 2024.
    22. Mirela Miescu, 2019. "Uncertainty shocks in emerging economies," Working Papers 277077821, Lancaster University Management School, Economics Department.
    23. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    24. Bas Scheer, 2022. "Addressing Unemployment Rate Forecast Errors in Relation to the Business Cycle," CPB Discussion Paper 434, CPB Netherlands Bureau for Economic Policy Analysis.
    25. Weiqi Zhang & Huong Ha & Hui Ting Evelyn Gay, 2020. "Analysts’ forecasts between last consensus and earning announcement date," Journal of Financial Reporting and Accounting, Emerald Group Publishing Limited, vol. 18(4), pages 779-793, November.
    26. Todd E. Clark & Gergely Ganics & Elmar Mertens, 2022. "What is the Predictive Value of SPF Point and Density Forecasts?," Working Papers 22-37, Federal Reserve Bank of Cleveland.
    27. Sharpe, Steven A. & Sinha, Nitish R. & Hollrah, Christopher A., 2023. "The power of narrative sentiment in economic forecasts," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1097-1121.

  9. Benjamin K. Johannsen & Elmar Mertens, 2016. "The Expected Real Interest Rate in the Long Run : Time Series Evidence with the Effective Lower Bound," FEDS Notes 2016-02-09, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Lael Brainard, 2016. "What Happened to the Great Divergence? a speech at the 2016 U.S. Monetary Policy Forum, New York, New York, February 26, 2016," Speech 891, Board of Governors of the Federal Reserve System (U.S.).
    2. Etienne Gagnon & Benjamin K. Johannsen & David López-Salido, 2021. "Understanding the New Normal: The Role of Demographics," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 69(2), pages 357-390, June.
    3. Stanley Fischer, 2017. "The Low Level of Global Real Interest Rates : a speech at the Conference to Celebrate Arminio Fraga’s 60 Years, Casa das Garcas, Rio de Janeiro, Brazil, July 31, 2017," Speech 966, Board of Governors of the Federal Reserve System (U.S.).
    4. Deepa Dhume Datta & Benjamin K. Johannsen & Hannah Kwon & Robert J. Vigfusson, 2018. "Oil, Equities, and the Zero Lower Bound," Finance and Economics Discussion Series 2018-058, Board of Governors of the Federal Reserve System (U.S.).
    5. Stanley Fischer, 2016. "Low Interest Rates : a speech at the 40th Annual Central Banking Seminar, sponsored by the Federal Reserve Bank of New York, New York, New York, October 5, 2016," Speech 912, Board of Governors of the Federal Reserve System (U.S.).
    6. Janet L. Yellen, 2016. "The Outlook, Uncertainty, and Monetary Policy : a speech at the Economic Club of New York, New York, New York, March 29, 2016," Speech 894, Board of Governors of the Federal Reserve System (U.S.).
    7. Mariarosaria Comunale & Jonas Striaukas, 2017. "Unconventional monetary policy: interest rates and low inflation: A review of literature and methods," CAMA Working Papers 2017-29, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    8. Stanley Fischer, 2016. "Reflections on Macroeconomics Then and Now : a speech at the \"Policy Challenges in an Interconnected World\" 32nd Annual National Association for Business Economics Economic Policy Conferen," Speech 892, Board of Governors of the Federal Reserve System (U.S.).
    9. Janet L. Yellen, 2016. "Current Conditions and the Outlook for the U.S. Economy: a speech at The World Affairs Council of Philadelphia, Philadelphia, Pennsylvania, June 6, 2016," Speech 900, Board of Governors of the Federal Reserve System (U.S.).
    10. Lael Brainard, 2016. "The Economic Outlook and Implications for Monetary Policy: a speech at the Council on Foreign Relations, Washington, D.C., June 3, 2016," Speech 899, Board of Governors of the Federal Reserve System (U.S.).
    11. Lael Brainard, 2018. "What Do We Mean by Neutral and What Role Does It Play in Monetary Policy?: a speech at the Detroit Economic Club, Detroit, Michigan," Speech 1011, Board of Governors of the Federal Reserve System (U.S.).
    12. Carrillo Julio A. & Elizondo Rocío & Rodríguez-Pérez Cid Alonso & Roldán-Peña Jessica, 2018. "What Determines the Neutral Rate of Interest in an Emerging Economy?," Working Papers 2018-22, Banco de México.
    13. Lael Brainard, 2016. "An Update on the Outlook, Liquidity, and Resilience : a speech at the Institute of International Bankers Annual Washington Conference, Washington, D.C., March 7, 2016," Speech 893, Board of Governors of the Federal Reserve System (U.S.).
    14. Lael Brainard, 2016. "The \"New Normal\" and What It Means for Monetary Policy : a speech at the Chicago Council on Global Affairs, Chicago, Illinois, September 12, 2016," Speech 907, Board of Governors of the Federal Reserve System (U.S.).

  10. Christine Garnier & Elmar Mertens & Edward Nelson, 2013. "Trend inflation in advanced economies," Finance and Economics Discussion Series 2013-74, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Bańbura, Marta & Leiva-Leon, Danilo & Menz, Jan-Oliver, 2021. "Do inflation expectations improve model-based inflation forecasts?," Working Paper Series 2604, European Central Bank.
    2. EO, Yunjong & LIE, Denny, 2017. "The Role of Inflation Target Adjustment in Stabilization Policy," Discussion paper series HIAS-E-58, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    3. Juselius, Mikael & Takáts, Előd, 2021. "Inflation and demography through time," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    4. James H. Stock & Mark W. Watson, 2015. "Core Inflation and Trend Inflation," NBER Working Papers 21282, National Bureau of Economic Research, Inc.
    5. Behera, Harendra Kumar & Patra, Michael Debabrata, 2022. "Measuring trend inflation in India," Journal of Asian Economics, Elsevier, vol. 80(C).
    6. Kose,Ayhan & Matsuoka,Hideaki & Panizza,Ugo G. & Vorisek,Dana Lauren, 2019. "Inflation Expectations : Review and Evidence," Policy Research Working Paper Series 8785, The World Bank.
    7. Dany-Knedlik, Geraldine & Holtemöller, Oliver, 2018. "Inflation dynamics during the Financial Crisis in Europe: cross-sectional identification of long-run inflation expectations," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181520, Verein für Socialpolitik / German Economic Association.
    8. Juan Angel Garcia & Aubrey Poon, 2018. "Trend Inflation and Inflation Compensation," IMF Working Papers 2018/154, International Monetary Fund.
    9. García, Juan Angel & Poon, Aubrey, 2019. "Inflation trends in Asia: implications for central banks," Working Paper Series 2338, European Central Bank.
    10. Kaihatsu, Sohei & Nakajima, Jouchi, 2018. "Has trend inflation shifted?: An empirical analysis with an equally-spaced regime-switching model," Economic Analysis and Policy, Elsevier, vol. 59(C), pages 69-83.
    11. Mónica Correa-López & Matías Pacce & Kathi Schlepper, 2019. "Exploring trend inFLation dynamics in Euro Area countries," Working Papers 1909, Banco de España.
    12. Magnus Reif, 2021. "Time-Varying Dynamics of the German Business Cycle: A Comprehensive Investigation," CESifo Working Paper Series 9271, CESifo.
    13. Sbrana, Giacomo & Silvestrini, Andrea & Venditti, Fabrizio, 2017. "Short-term inflation forecasting: The M.E.T.A. approach," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1065-1081.
    14. Mayes, David G. & Paloviita, Maritta & Virén, Matti, 2016. "EMU and the Anchoring of Inflation Expectations," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(4), pages 341-364.
    15. Luis Uzeda, 2018. "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," Staff Working Papers 18-14, Bank of Canada.
    16. Alex, Dony, 2021. "Anchoring of inflation expectations in large emerging economies," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).
    17. Fu, Bowen, 2023. "Measuring the trend real interest rate in a data-rich environment," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
    18. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    19. Bańbura, Marta & Bobeica, Elena, 2020. "PCCI – a data-rich measure of underlying inflation in the euro area," Statistics Paper Series 38, European Central Bank.
    20. Na Guo & Bo Zhang & Jamie L. Cross, 2022. "Time‐varying trend models for forecasting inflation in Australia," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 316-330, March.
    21. Sohei Kaihatsu & Jouchi Nakajima, 2015. "Has Trend Inflation Shifted?: An Empirical Analysis with a Regime-Switching Model," Bank of Japan Working Paper Series 15-E-3, Bank of Japan.
    22. Christopher J. Erceg & James Hebden & Michael T. Kiley & J. David López-Salido & Robert J. Tetlow, 2018. "Some Implications of Uncertainty and Misperception for Monetary Policy," Finance and Economics Discussion Series 2018-059, Board of Governors of the Federal Reserve System (U.S.).
    23. Marta Banbura & Andries van Vlodrop, 2018. "Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean," Tinbergen Institute Discussion Papers 18-025/IV, Tinbergen Institute.
    24. Joshua C.C. Chan & Todd E. Clark & Gary Koop, 2018. "A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 5-53, February.
    25. Michael O’Grady, 2019. "Estimating the Output, Inflation and Unemployment Gaps in Ireland using Bayesian Model Averaging," The Economic and Social Review, Economic and Social Studies, vol. 50(1), pages 35-76.

  11. Andre Kurmann & Elmar Mertens, 2013. "Stock prices, news, and economic fluctuations: comment," Finance and Economics Discussion Series 2013-08, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Cascaldi-Garcia, Danilo & Vukoti, Marija & Zubairy, Sarah, 2023. "Innovation During Challenging Times," The Warwick Economics Research Paper Series (TWERPS) 1475, University of Warwick, Department of Economics.
    2. Rabah Arezki & Valerie A. Ramey & Liugang Sheng, 2017. "News Shocks in Open Economies: Evidence from Giant Oil Discoveries," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(1), pages 103-155.
    3. Di Casola, Paola & Sichlimiris, Spyridon, 2020. "TFP news, stock market booms and the business cycle: Revisiting the evidence with VEC models," Working Paper Series 388, Sveriges Riksbank (Central Bank of Sweden).
    4. Kurmann, André & Sims, Eric, 2017. "Revisions in Utilization-Adjusted TFP and Robust Identification of News Shocks," School of Economics Working Paper Series 2017-3, LeBow College of Business, Drexel University.
    5. Eric R. Sims, 2016. "Differences in Quarterly Utilization-Adjusted TFP by Vintage, with an Application to News Shocks," NBER Working Papers 22154, National Bureau of Economic Research, Inc.
    6. Danilo Cascaldi-Garcia & Marija Vukotić, 2020. "Patent-Based News Shocks," International Finance Discussion Papers 1277, Board of Governors of the Federal Reserve System (U.S.).
    7. Hafedh BOUAKEZ & Laurent KEMOE, 2017. "News Shocks, Business Cycles, and the Disinflation Puzzle," Cahiers de recherche 05-2017, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    8. Sugaipov, Deni, 2022. "Estimating the impact of terms of trade news shocks on the Russian economy," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 39-67.
    9. Renato Faccini & Leonardo Melosi, 2019. "Pigouvian Cycles," 2019 Meeting Papers 977, Society for Economic Dynamics.
    10. Nicolas Reigl, 2023. "Noise shocks and business cycle fluctuations in three major European Economies," Empirical Economics, Springer, vol. 64(2), pages 603-657, February.
    11. Danilo Cascaldi-Garcia, 2022. "Forecast Revisions as Instruments for News Shocks," International Finance Discussion Papers 1341, Board of Governors of the Federal Reserve System (U.S.).
    12. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
    13. Miranda-Agrippino, Silvia & Hacıoglu Hoke, Sinem, 2018. "When creativity strikes: news shocks and business cycle fluctuations," LSE Research Online Documents on Economics 90381, London School of Economics and Political Science, LSE Library.
    14. Valerie A. Ramey, 2016. "Macroeconomic Shocks and Their Propagation," NBER Working Papers 21978, National Bureau of Economic Research, Inc.
    15. Deokwoo Nam & Jian Wang, 2019. "Mood Swings and Business Cycles: Evidence from Sign Restrictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(6), pages 1623-1649, September.
    16. Miranda-Agrippino, Silvia & Hacıoğlu Hoke, Sinem & Bluwstein, Kristina, 2020. "Patents, News, and Business Cycles," CEPR Discussion Papers 15062, C.E.P.R. Discussion Papers.
    17. Pavitra Dhamija, 2020. "Economic Development and South Africa: 25 Years Analysis (1994 to 2019)," South African Journal of Economics, Economic Society of South Africa, vol. 88(3), pages 298-322, September.
    18. Lorenzo Bretscher & Andrea Tamoni & Aytek Malkhozov, 2019. "News Shocks and Asset Prices," 2019 Meeting Papers 100, Society for Economic Dynamics.

  12. Elmar Mertens, 2011. "Measuring the level and uncertainty of trend inflation," Finance and Economics Discussion Series 2011-42, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Bańbura, Marta & Leiva-Leon, Danilo & Menz, Jan-Oliver, 2021. "Do inflation expectations improve model-based inflation forecasts?," Working Paper Series 2604, European Central Bank.
    2. Olesya Grishchenko & Sarah Mouabbi & Jean‐Paul Renne, 2019. "Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(5), pages 1053-1096, August.
    3. Michael T. Kiley, 2023. "The Role of Wages in Trend Inflation: Back to the 1980s?," Finance and Economics Discussion Series 2023-022, Board of Governors of the Federal Reserve System (U.S.).
    4. Mengheng Li & Siem Jan Koopman, 2021. "Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 614-627, August.
    5. James M. Nason & Gregor W. Smith, 2013. "Measuring The Slowly Evolving Trend In Us Inflation With Professional Forecasts," Working Paper 1316, Economics Department, Queen's University.
    6. Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2019. "The Phillips Curve at 60: time for time and frequency," CEF.UP Working Papers 1902, Universidade do Porto, Faculdade de Economia do Porto.
    7. Ascari, Guido & Fosso, Luca, 2024. "The international dimension of trend inflation," Journal of International Economics, Elsevier, vol. 148(C).
    8. Guido Ascari & Luca Fosso, 2021. "The Inflation Rate Disconnect Puzzle: On the International Component of Trend Inflation and the Flattening of the Phillips Curve," Working Paper 2021/17, Norges Bank.
    9. Timothy Cogley & Thomas J. Sargent, 2014. "Measuring Price-Level Uncertainty and Instability in the U.S., 1850-2012," Working Papers 2014-33, Economic Research Institute, Bank of Korea.
    10. Randal J. Verbrugge & Saeed Zaman, 2023. "The Hard Road to a Soft Landing: Evidence from a (Modestly) Nonlinear Structural Model," Working Papers 23-03, Federal Reserve Bank of Cleveland.
    11. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
    12. Ascari, Guido & Bonomolo, Paolo & Haque, Qazi, 2024. "The Long-Run Phillips Curve is ... a Curve," CEPR Discussion Papers 19069, C.E.P.R. Discussion Papers.
    13. Francesco Bianchi & Giovanni Nicolò & Dongho Song, 2023. "Inflation and Real Activity over the Business Cycle," NBER Working Papers 31075, National Bureau of Economic Research, Inc.
    14. James H. Stock & Mark W. Watson, 2015. "Core Inflation and Trend Inflation," NBER Working Papers 21282, National Bureau of Economic Research, Inc.
    15. Francesca Rondina, 2018. "Estimating unobservable inflation expectations in the New Keynesian Phillips Curve," Working Papers 1804E, University of Ottawa, Department of Economics.
    16. Kose,Ayhan & Matsuoka,Hideaki & Panizza,Ugo G. & Vorisek,Dana Lauren, 2019. "Inflation Expectations : Review and Evidence," Policy Research Working Paper Series 8785, The World Bank.
    17. James H. Stock & Mark W. Watson, 2019. "Trend, Seasonal, and Sectoral Inflation in the Euro Area," Working Papers Central Bank of Chile 847, Central Bank of Chile.
    18. Randal J. Verbrugge & Saeed Zaman, 2021. "Whose Inflation Expectations Best Predict Inflation?," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2021(19), pages 1-7, October.
    19. Dany-Knedlik, Geraldine & Holtemöller, Oliver, 2018. "Inflation dynamics during the Financial Crisis in Europe: cross-sectional identification of long-run inflation expectations," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181520, Verein für Socialpolitik / German Economic Association.
    20. Juan Angel Garcia & Aubrey Poon, 2018. "Trend Inflation and Inflation Compensation," IMF Working Papers 2018/154, International Monetary Fund.
    21. Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2020. "A Model of the Fed's View on Inflation," Papers 2006.14110, arXiv.org.
    22. García, Juan Angel & Poon, Aubrey, 2019. "Inflation trends in Asia: implications for central banks," Working Paper Series 2338, European Central Bank.
    23. Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2023. "The Phillips curve at 65: Time for time and frequency," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
    24. James H. Stock & Mark W. Watson, 2020. "Trend, Seasonal, and Sectorial Inflation in the Euro Area," Central Banking, Analysis, and Economic Policies Book Series, in: Gonzalo Castex & Jordi Galí & Diego Saravia (ed.),Changing Inflation Dynamics,Evolving Monetary Policy, edition 1, volume 27, chapter 9, pages 317-344, Central Bank of Chile.
    25. Arnoud Stevens & Joris Wauters, 2021. "Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 566-586, August.
    26. Elmar Mertens & James M. Nason, 2018. "Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility," BIS Working Papers 713, Bank for International Settlements.
    27. Kaihatsu, Sohei & Nakajima, Jouchi, 2018. "Has trend inflation shifted?: An empirical analysis with an equally-spaced regime-switching model," Economic Analysis and Policy, Elsevier, vol. 59(C), pages 69-83.
    28. Cogley, Timothy & Sargent, Thomas J. & Surico, Paolo, 2015. "Price-level uncertainty and instability in the United Kingdom," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 1-16.
    29. Carlos Carvalho & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2023. "Anchored Inflation Expectations," American Economic Journal: Macroeconomics, American Economic Association, vol. 15(1), pages 1-47, January.
    30. Chen, Ji & Yang, Xinglin & Liu, Xiliang, 2022. "Learning, disagreement and inflation forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    31. S. Boragan Aruoba, 2014. "Term Structures of Inflation Expectations and Real Interest Rates: The Effects of Unconventional Monetary Policy," Staff Report 502, Federal Reserve Bank of Minneapolis.
    32. Marcelo Arbex & Sidney Caetano & Wilson Correa, 2018. "Macroeconomic Effects of Inflation Target Uncertainty Shocks," Working Papers 1804, University of Windsor, Department of Economics.
    33. Christine Garnier & Elmar Mertens & Edward Nelson, 2015. "Trend Inflation in Advanced Economies," International Journal of Central Banking, International Journal of Central Banking, vol. 11(4), pages 65-136, September.
    34. Schmelzing, Paul, 2017. "Staff Working Paper No. 686: Eight centuries of the risk-free rate: bond market reversals from the Venetians to the ‘VaR shock’," Bank of England working papers 686, Bank of England.
    35. Didier Nibbering & Richard Paap & Michel van der Wel, 2015. "What Do Professional Forecasters Actually Predict?," Tinbergen Institute Discussion Papers 15-095/III, Tinbergen Institute, revised 13 Oct 2017.
    36. Jmaes McNeil, 2020. "Monetary policy and the term structure of Inflation expectations with information frictions," Working Papers daleconwp2020-07, Dalhousie University, Department of Economics.
    37. Hervé Le Bihan & Danilo Leiva-León & Matías Pacce, 2023. "Underlying inflation and asymetric risks," Working Papers 2319, Banco de España.
    38. Kamber, Güneş & Wong, Benjamin, 2020. "Global factors and trend inflation," Journal of International Economics, Elsevier, vol. 122(C).
    39. Richard Ashley & Randal J. Verbrugge, 2019. "The Intermittent Phillips Curve: Finding a Stable (But Persistence-Dependent) Phillips Curve Model Specification," Working Papers 19-09R2, Federal Reserve Bank of Cleveland, revised 14 Feb 2023.
    40. Joshua C C Chan & Yong Song, 2017. "Measuring inflation expectations uncertainty using high-frequency data," CAMA Working Papers 2017-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    41. Alex, Dony, 2021. "Anchoring of inflation expectations in large emerging economies," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).
    42. Diegel, Max & Nautz, Dieter, 2021. "Long-term inflation expectations and the transmission of monetary policy shocks: Evidence from a SVAR analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 130(C).
    43. Robert W. Rich & Randal J. Verbrugge & Saeed Zaman, 2022. "Adjusting Median and Trimmed-Mean Inflation Rates for Bias Based on Skewness," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2022(05), pages 1-7, March.
    44. Saeed Zaman, 2021. "A Unified Framework to Estimate Macroeconomic Stars," Working Papers 21-23R2, Federal Reserve Bank of Cleveland, revised 31 May 2024.
    45. Yunjong Eo & Luis Uzeda & Benjamin Wong, 2022. "Understanding trend inflation through the lens of the goods and services sectors," CAMA Working Papers 2022-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    46. Todd E. Clark & Taeyoung Doh, 2011. "A Bayesian evaluation of alternative models of trend inflation," Working Papers (Old Series) 1134, Federal Reserve Bank of Cleveland.
    47. NAKAJIMA, Jouchi, 2023. "Estimating trend inflation in a regime-switching Phillips curve," Discussion Paper Series 750, Institute of Economic Research, Hitotsubashi University.
    48. James M. Nason & Gregor W. Smith, 2013. "Reverse Kalman filtering U.S. inflation with sticky professional forecasts," Working Papers 13-34, Federal Reserve Bank of Philadelphia.
    49. Bańbura, Marta & Bobeica, Elena, 2020. "PCCI – a data-rich measure of underlying inflation in the euro area," Statistics Paper Series 38, European Central Bank.
    50. Gáti, Laura, 2022. "Monetary policy & anchored expectations: an endogenous gain learning model," Working Paper Series 2685, European Central Bank.
    51. Bowen Fu, Ivan Mendieta-Muñoz, 2023. "Structural shocks and trend inflation," Working Paper Series, Department of Economics, University of Utah 2023_04, University of Utah, Department of Economics.
    52. Benjamin K. Johannsen & Elmar Mertens, 2016. "A Time Series Model of Interest Rates With the Effective Lower Bound," Finance and Economics Discussion Series 2016-033, Board of Governors of the Federal Reserve System (U.S.).
    53. Diegel, Max & Nautz, Dieter, 2020. "The role of long-term inflation expectations for the transmission of monetary policy shocks," Discussion Papers 2020/19, Free University Berlin, School of Business & Economics.
    54. Randal J. Verbrugge & Saeed Zaman, 2022. "Improving Inflation Forecasts Using Robust Measures," Working Papers 22-23R, Federal Reserve Bank of Cleveland, revised 30 May 2023.
    55. Sohei Kaihatsu & Jouchi Nakajima, 2015. "Has Trend Inflation Shifted?: An Empirical Analysis with a Regime-Switching Model," Bank of Japan Working Paper Series 15-E-3, Bank of Japan.
    56. S. Boragan Aruoba, 2016. "Term structures of inflation expectations and real interest rates," Working Papers 16-9, Federal Reserve Bank of Philadelphia.
    57. Huw Dixon & Joshy Easaw & Saeed Heravi, 2020. "Forecasting inflation gap persistence: Do financial sector professionals differ from nonfinancial sector ones?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 461-474, July.
    58. Giri, Federico, 2022. "The relationship between headline, core, and energy inflation: A wavelet investigation," Economics Letters, Elsevier, vol. 210(C).
    59. Mertens, Elmar, 2023. "Precision-based sampling for state space models that have no measurement error," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    60. Cecchetti, Stephen & Feroli, Michael & Hooper, Peter & Kashyap, Anil & Schoenholtz, Kermit L., 2017. "Deflating Inflation Expectations: The Implications of Inflation’s Simple Dynamics," CEPR Discussion Papers 11925, C.E.P.R. Discussion Papers.
    61. Marta Banbura & Andries van Vlodrop, 2018. "Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean," Tinbergen Institute Discussion Papers 18-025/IV, Tinbergen Institute.
    62. Joshua C.C. Chan & Todd E. Clark & Gary Koop, 2018. "A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 5-53, February.
    63. Metiu, Norbert & Prieto, Esteban, 2023. "The macroeconomic effects of inflation uncertainty," Discussion Papers 32/2023, Deutsche Bundesbank.
    64. Koester, Gerrit & Lis, Eliza & Nickel, Christiane & Osbat, Chiara & Smets, Frank, 2021. "Understanding low inflation in the euro area from 2013 to 2019: cyclical and structural drivers," Occasional Paper Series 280, European Central Bank.
    65. Christian Garciga & Randal J. Verbrugge & Saeed Zaman, 2024. "The Effect of Component Disaggregation on Measures of the Median and Trimmed-Mean CPI," Working Papers 24-02, Federal Reserve Bank of Cleveland.
    66. James H. Stock & Mark W. Watson, 2019. "Trend, Seasonal, and Sectoral Inflation in the Euro Area," Working Papers 2019-30, Princeton University. Economics Department..
    67. Clark, Todd E. & Doh, Taeyoung, 2014. "Evaluating alternative models of trend inflation," International Journal of Forecasting, Elsevier, vol. 30(3), pages 426-448.
    68. James Mitchell & Saeed Zaman, 2023. "The Distributional Predictive Content of Measures of Inflation Expectations," Working Papers 23-31, Federal Reserve Bank of Cleveland.

  13. Elmar Mertens, 2010. "Structural shocks and the comovements between output and interest rates," Finance and Economics Discussion Series 2010-21, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Guido Ascari & Qazi Haque & Leandro M. Magnusson & Sophocles Mavroeidis, 2021. "Empirical evidence on the Euler equation for investment in the US," CAMA Working Papers 2021-65, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    2. Miguel Santos, 2016. "The Right Fit for the Wrong Reasons: Real Business Cycle in an Oil-dependent Economy," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 53(1), pages 61-94, December.
    3. Barsky, Robert B. & Sims, Eric R., 2011. "News shocks and business cycles," Journal of Monetary Economics, Elsevier, vol. 58(3), pages 273-289.

  14. Elmar Mertens, 2010. "Discreet Commitments and Discretion of Policymakers with Private Information," 2010 Meeting Papers 763, Society for Economic Dynamics.

    Cited by:

    1. Cogley, Timothy & Matthes, Christian & Sbordone, Argia M., 2015. "Optimized Taylor rules for disinflation when agents are learning," Journal of Monetary Economics, Elsevier, vol. 72(C), pages 131-147.
    2. Timothy Cogley & Christian Matthes & Argia M. Sbordone, 2011. "Optimal disinflation under learning," Staff Reports 524, Federal Reserve Bank of New York.

  15. Elmar Mertens, 2010. "Managing beliefs about monetary policy under discretion," Finance and Economics Discussion Series 2010-11, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Elmar Mertens, 2010. "Discreet Commitments and Discretion of Policymakers with Private Information," 2010 Meeting Papers 763, Society for Economic Dynamics.
    2. Yang Lu & Ernesto Pasten & Robert King, 2013. "Policy design with private sector skepticism in the textbook New Keynesian model," 2013 Meeting Papers 241, Society for Economic Dynamics.
    3. Cogley, Timothy & Matthes, Christian & Sbordone, Argia M., 2015. "Optimized Taylor rules for disinflation when agents are learning," Journal of Monetary Economics, Elsevier, vol. 72(C), pages 131-147.
    4. Lubik, Thomas A. & Matthes, Christian & Mertens, Elmar, 2020. "Indeterminacy and imperfect information," Discussion Papers 01/2020, Deutsche Bundesbank.
    5. Ricardo Nunes & Ali Ozdagli & Jenny Tang, 2023. "Interest Rate Surprises: A Tale of Two Shocks," Discussion Papers 2320, Centre for Macroeconomics (CFM).
    6. Givens, Gregory & Salemi, Michael, 2012. "Inferring monetary policy objectives with a partially observed state," MPRA Paper 39353, University Library of Munich, Germany.
    7. Alexander Doser & Ricardo Nunes & Nikhil Rao & Viacheslav Sheremirov, 2023. "Inflation expectations and nonlinearities in the Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 453-471, June.
    8. Robert G. King & Yang K. Lu & Ernesto S. Past…N, 2008. "Managing Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(8), pages 1625-1666, December.
    9. Thomas Lubik & Christian Matthes & Elmar Mertens, 2022. "Online Appendix to "Indeterminacy and Imperfect Information"," Online Appendices 20-377, Review of Economic Dynamics.
    10. Christian Matthes, 2015. "Figuring Out the Fed—Beliefs about Policymakers and Gains from Transparency," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(1), pages 1-29, February.
    11. Jenny Tang, 2014. "Uncertainty and the Signaling Channel of Monetary Policy," 2014 Meeting Papers 1316, Society for Economic Dynamics.
    12. Nunes, Ricardo, 2008. "Delegation and Loose Commitment," MPRA Paper 11555, University Library of Munich, Germany.
    13. Timothy Cogley & Christian Matthes & Argia M. Sbordone, 2011. "Optimal disinflation under learning," Staff Reports 524, Federal Reserve Bank of New York.

  16. Elmar Mertens, 2010. "Are spectral estimators useful for implementing long-run restrictions in SVARs?," Finance and Economics Discussion Series 2010-09, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Christopher J. Gust & Robert J. Vigfusson, 2009. "The power of long-run structural VARs," International Finance Discussion Papers 978, Board of Governors of the Federal Reserve System (U.S.).
    2. Christian Kascha & Karel Mertens, 2006. "Business Cycle Analysis and VARMA models," Economics Working Papers ECO2006/37, European University Institute.
    3. Mertens, Elmar, 2012. "Are spectral estimators useful for long-run restrictions in SVARs?," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1831-1844.

  17. Philippe Bacchetta & Elmar Mertens & Eric VanvWincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Swiss Finance Institute Research Paper Series 06-15, Swiss Finance Institute, revised Jun 2006.

    Cited by:

    1. Stillwagon, Josh R., 2015. "Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
    2. Chernov, Mikhail & Bauer, Michael, 2021. "Interest Rate Skewness and Biased Beliefs," CEPR Discussion Papers 16274, C.E.P.R. Discussion Papers.
    3. Paul Hubert & Giovanni Ricco, 2018. "Imperfect information in macroeconomics," Post-Print hal-03458122, HAL.
    4. Ćorić, Bruno & Pugh, Geoff, 2013. "Foreign direct investment and output growth volatility: A worldwide analysis," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 260-271.
    5. Lansing, Kevin J. & LeRoy, Stephen F. & Ma, Jun, 2022. "Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 50-72.
    6. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations and economic policy uncertainty," European Journal of Political Economy, Elsevier, vol. 47(C), pages 148-162.
    7. Craig Burnside & Bing Han & David Hirshleifer & Tracy Yue Wang, 2011. "Investor Overconfidence and the Forward Premium Puzzle," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(2), pages 523-558.
    8. Yu-chin Chen & Kwok Ping Tsang & Wen Jen Tsay, 2010. "Home Bias in Currency Forecasts," Working Papers 272010, Hong Kong Institute for Monetary Research.
    9. Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2019. "Five Facts about Beliefs and Portfolios," NBER Working Papers 25744, National Bureau of Economic Research, Inc.
    10. Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010. "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers 10-064, ZEW - Leibniz Centre for European Economic Research.
    11. Francis Breedon & Dagfinn Rime & Paolo Vital, 2010. "A Transaction Data Study of the Forward Bias Puzzle," Working Paper 2010/26, Norges Bank.
    12. Sarita Bunsupha, 2018. "Extrapolative Beliefs and Exchange Rate Markets," PIER Discussion Papers 84, Puey Ungphakorn Institute for Economic Research.
    13. Xue-Zhong He & Kai Li & Chuncheng Wang, 2018. "Time-Varying Economic Dominance Through Bistable Dynamics," Research Paper Series 390, Quantitative Finance Research Centre, University of Technology, Sydney.
    14. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    15. Winkler, Fabian, 2020. "The role of learning for asset prices and business cycles," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 42-58.
    16. Nicola Gennaioli & Yueran Ma & Andrei Shleifer, 2016. "Expectations and Investment," NBER Macroeconomics Annual, University of Chicago Press, vol. 30(1), pages 379-431.
    17. Sorge Marco M., 2020. "Computing sunspot solutions to rational expectations models with timing restrictions," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(2), pages 1-10, June.
    18. Yang-Ho Park, 2019. "Information in Yield Spread Trades," Finance and Economics Discussion Series 2019-025, Board of Governors of the Federal Reserve System (U.S.).
    19. Nakazono, Yoshiyuki & Koga, Maiko & Sugo, Tomohiro, 2020. "Private information and analyst coverage: Evidence from firm survey data," Journal of Economic Behavior & Organization, Elsevier, vol. 174(C), pages 284-298.
    20. Kellard, Neil & Sarantis, Nicholas, 2008. "Can exchange rate volatility explain persistence in the forward premium?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 714-728, September.
    21. Giuseppe Ferrero & Andrea Nobili, 2008. "Short-term interest rate futures as monetary policy forecasts," Temi di discussione (Economic working papers) 681, Bank of Italy, Economic Research and International Relations Area.
    22. Andrade, Sandro C. & Kohlscheen, Emanuel, 2010. "Pessimistic Foreign Investors and Turmoil in Emerging Markets : The Case of Brazil in 2002," The Warwick Economics Research Paper Series (TWERPS) 926, University of Warwick, Department of Economics.
    23. Silvija Vlah Jerić & Mihovil Anđelinović, 2019. "Evaluating Croatian stock index forecasts," Empirical Economics, Springer, vol. 56(4), pages 1325-1339, April.
    24. Philippe Bacchetta & Eric van Wincoop, 2010. "Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle," American Economic Review, American Economic Association, vol. 100(3), pages 870-904, June.
    25. Gonzalo Cortazar & Cristobal Millard & Hector Ortega & Eduardo S. Schwartz, 2016. "Commodity Price Forecasts, Futures Prices and Pricing Models," NBER Working Papers 22991, National Bureau of Economic Research, Inc.
    26. Bouaddi, Mohammed & Moutanabbir, Khouzeima, 2023. "Rational distorted beliefs investor; which risk matters?," Finance Research Letters, Elsevier, vol. 51(C).
    27. Alfred V Guender, 2015. "International Evidence on the Role of Monetary Policy in the Uncovered Interest Rate Parity Puzzle," Working Papers in Economics 15/15, University of Canterbury, Department of Economics and Finance.
    28. Camous, Antoine & Van der Ghote, Alejandro, 2022. "Financial cycles under diagnostic beliefs," Working Paper Series 2659, European Central Bank.
    29. Beber, Alessandro & Breedon, Francis & Buraschi, Andrea, 2010. "Differences in beliefs and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 98(3), pages 415-438, December.
    30. Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014. "Forecasting interest rates with shifting endpoints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 693-712, August.
    31. Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei, 2015. "X-CAPM: An extrapolative capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 115(1), pages 1-24.
    32. Stefan Nagel & Zhengyang Xu, 2022. "Dynamics of Subjective Risk Premia," NBER Working Papers 29803, National Bureau of Economic Research, Inc.
    33. Andreas Fuster & Benjamin Hebert & David Laibson, 2012. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 1-48.
    34. Li, Kai, 2021. "Nonlinear effect of sentiment on momentum," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    35. Robin Greenwood & Andrei Shleifer, 2014. "Expectations of Returns and Expected Returns," The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 714-746.
    36. Klaus Adam & Albert Marcet, 2010. "Booms and Busts in Asset Prices," IMES Discussion Paper Series 10-E-02, Institute for Monetary and Economic Studies, Bank of Japan.
    37. Klaus Adam & Dmitry Matveev & Stefan Nagel, 2019. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," 2019 Meeting Papers 641, Society for Economic Dynamics.
    38. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    39. Ronald MacDonald & Lukas Menkhoff & Rafael R. Rebitzky, 2009. "Exchange rate forecasters’ performance: evidence of skill?," Working Papers 2009_13, Business School - Economics, University of Glasgow.
    40. Beckmann, Joscha & Czudaj, Robert, 2017. "The impact of uncertainty on professional exchange rate forecasts," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 296-316.
    41. Yuriy Gorodnichenko & Olivier Coibion, 2010. "What can survey forecasts tell us about informational rigidities?," 2010 Meeting Papers 277, Society for Economic Dynamics.
    42. Jin, Lawrence J. & Sui, Pengfei, 2022. "Asset pricing with return extrapolation," Journal of Financial Economics, Elsevier, vol. 145(2), pages 273-295.
    43. Joscha Beckmann & Robert L. Czudaj, 2023. "The role of expectations for currency crisis dynamics—The case of the Turkish lira," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 625-642, April.
    44. Marcet, Albert & Adam, Klaus & Beutel, Johannes, 2014. "Stock Price Booms and Expected Capital Gains," CEPR Discussion Papers 9988, C.E.P.R. Discussion Papers.
    45. Chen, Qianying, 2011. "Exchange rate dynamics, expectations, and monetary policy," Discussion Paper Series 1: Economic Studies 2011,18, Deutsche Bundesbank.
    46. Francis Breedon & Dagfinn Rime & Paolo Vitale, 2016. "Carry Trades, Order Flow, and the Forward Bias Puzzle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(6), pages 1113-1134, September.
    47. Han, Bing & Hirshleifer, David & Wang, Tracy, 2005. "Investor Overconfidence and the Forward Discount Puzzle," MPRA Paper 6497, University Library of Munich, Germany, revised Dec 2007.
    48. Refet S. Gürkaynak & Jonathan H. Wright, 2012. "Macroeconomics and the Term Structure," Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-367, June.
    49. Karnaukh, Nina & Vokata, Petra, 2022. "Growth forecasts and news about monetary policy," Journal of Financial Economics, Elsevier, vol. 146(1), pages 55-70.
    50. Eric Gaus & Arunima Sinha, 2015. "Characterizing Investor Expectations for Assets with Varying Risk," Working Papers 15-01, Ursinus College, Department of Economics.
    51. Wagner, Christian, 2012. "Risk-premia, carry-trade dynamics, and economic value of currency speculation," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1195-1219.
    52. Adam, Klaus & Merkel, Sebastian, 2019. "Stock Price Cycles and Business Cycles," CEPR Discussion Papers 13866, C.E.P.R. Discussion Papers.
    53. Xu, Shaojun, 2023. "Behavioral asset pricing under expected feedback mode," International Review of Financial Analysis, Elsevier, vol. 86(C).
    54. Stefanescu, Razvan & Dumitriu, Ramona, 2016. "Particularitǎţi ale evoluţiei variabilelor financiare [Some particularities of the financial variables evolution]," MPRA Paper 73481, University Library of Munich, Germany, revised 02 Sep 2016.
    55. Cavusoglu, Nevin & Goldberg, Michael D. & Stillwagon, Josh, 2021. "Currency returns and downside risk: Debt, volatility, and the gap from benchmark values," Journal of Macroeconomics, Elsevier, vol. 68(C).
    56. He, Xue-Zhong & Li, Youwei & Zheng, Min, 2019. "Heterogeneous agent models in financial markets: A nonlinear dynamics approach," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 135-149.
    57. Steve Furnagiev & Josh Stillwagon, 2015. "Subjective Currency Risk Premia and Deviations from Moving Averages," Working Papers 1506, Trinity College, Department of Economics.
    58. Frederik Kunze, 2020. "Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 313-333, March.
    59. Heiner Mikosch & Christopher Roth & Samad Sarferaz & Johannes Wohlfart, 2021. "Uncertainty and Information Acquisition: Evidence from Firms and Households," CEBI working paper series 21-20, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
    60. Veress, Aron & Kaiser, Lars, 2017. "Forecasting quality of professionals: Does affiliation matter?," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 159-168.
    61. Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2014. "Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market," FinMaP-Working Papers 11, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    62. Valente, Giorgio, 2009. "International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 920-940, October.
    63. Mark Egan & Alexander MacKay & Hanbin Yang, 2022. "Recovering Investor Expectations from Demand for Index Funds," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(5), pages 2559-2599.
    64. Brückbauer, Frank, 2022. "Do financial market experts know their theory? New evidence from survey data," ZEW Discussion Papers 20-092, ZEW - Leibniz Centre for European Economic Research, revised 2022.
    65. Cosmin L. Ilut, 2010. "Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle," Working Papers 10-53, Duke University, Department of Economics.
    66. Francisco Barillas & Kristoffer Nimark, 2012. "Speculation, risk premia and expectations in the yield curve," Economics Working Papers 1337, Department of Economics and Business, Universitat Pompeu Fabra, revised Nov 2013.
    67. Josh Stillwagon, 2013. "The Excess Returns Puzzle in Currency Markets: Clues on Moving Forward," Working Papers 1313, Trinity College, Department of Economics.
    68. Granziera, Eleonora & Sihvonen, Markus, 2020. "Bonds, currencies and expectational errors," Bank of Finland Research Discussion Papers 7/2020, Bank of Finland.
    69. Da, Zhi & Huang, Xing & Jin, Lawrence J., 2021. "Extrapolative beliefs in the cross-section: What can we learn from the crowds?," Journal of Financial Economics, Elsevier, vol. 140(1), pages 175-196.
    70. Josh R. Stillwagon, 2015. "Exchange Rate Dynamics and Forecast Errors about Persistently Trending Fundamentals," Working Papers 1501, Trinity College, Department of Economics.
    71. Dr. Christian Grisse & Dr. Thomas Nitschka, 2013. "On financial risk and the safe haven characteristics of Swiss franc exchange rates," Working Papers 2013-04, Swiss National Bank.
    72. Olivier Coibion & Yuriy Gorodnichenko, 2015. "Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts," American Economic Review, American Economic Association, vol. 105(8), pages 2644-2678, August.
    73. Nobuyuki Hanaki & Cars Hommes & Dávid Kopányi & Anita Kopányi-Peuker & Jan Tuinstra, 2023. "Forecasting returns instead of prices exacerbates financial bubbles," Experimental Economics, Springer;Economic Science Association, vol. 26(5), pages 1185-1213, November.
    74. Lukas Buchheim & Sebastian Link, 2017. "The Effect of Disaggregate Information on the Expectation Formation of Firms," CESifo Working Paper Series 6768, CESifo.
    75. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168291, Verein für Socialpolitik / German Economic Association.
    76. Kunze, Frederik, 2017. "Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts," University of Göttingen Working Papers in Economics 326, University of Goettingen, Department of Economics.
    77. Giuseppe Ferrero & Andrea Nobili, 2009. "Futures Contract Rates as Monetary Policy Forecasts," International Journal of Central Banking, International Journal of Central Banking, vol. 5(2), pages 109-145, June.
    78. Xue-Zhong He & Kai Li & Chuncheng Wang, 2018. "Time-varying economic dominance in financial markets: A bistable dynamics approach," Published Paper Series 2018-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    79. Petkova, Ralitsa, 2023. "Extrapolative beliefs about Bitcoin returns," Finance Research Letters, Elsevier, vol. 56(C).
    80. Lothian, James R. & Koedijk, Kees & Mahieu, Ronald & Campbell, Rachel, 2007. "Irving Fisher, Expectational Errors, and the UIP Puzzle," CEPR Discussion Papers 6294, C.E.P.R. Discussion Papers.
    81. Beckmann, Joscha & Boonman, Tjeerd M., 2022. "Expectations, disagreement and exchange rate pressure," Economics Letters, Elsevier, vol. 212(C).
    82. Roberto Gómez‐Cram, 2022. "Late to Recessions: Stocks and the Business Cycle," Journal of Finance, American Finance Association, vol. 77(2), pages 923-966, April.
    83. Beckmann, Joscha & Reitz, Stefan, 2018. "Information Rigidities and Exchange Rate Expectations," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181628, Verein für Socialpolitik / German Economic Association.
    84. MacDonald, Ronald & Menkhoff, Lukas & Rebitzky, Rafael R., 2009. "Exchange rate forecasters’ performance: evidence of skill?," SIRE Discussion Papers 2009-10, Scottish Institute for Research in Economics (SIRE).
    85. Josh Stillwagon, 2013. "Are Risk Premia Related to Real Exchange Rate Swings? Survey Expectations and I(2) Trends," Working Papers 1318, Trinity College, Department of Economics.
    86. Zihao Zhang & Stefan Zohren & Stephen Roberts, 2018. "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books," Papers 1808.03668, arXiv.org, revised Jan 2020.
    87. Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
    88. Markiewicz, Agnieszka & Pick, Andreas, 2014. "Adaptive learning and survey data," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 685-707.
    89. Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
    90. Josh R. Stillwagon, 2015. "Can the Consumption Capital Asset Pricing Model Account for Traders' Expected Currency Returns?," Review of International Economics, Wiley Blackwell, vol. 23(5), pages 1044-1069, November.
    91. Reitz, Stefan & Pierdzioch, Christian & Rülke, Jan-Christoph, 2015. "Nonlinear Expectation Formation in the U.S. Stock Market," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113210, Verein für Socialpolitik / German Economic Association.
    92. Rehim Kılıç, 2023. "Uncovered interest rate, overshooting, and predictability reversal puzzles in an emerging economy," Finance and Economics Discussion Series 2023-074, Board of Governors of the Federal Reserve System (U.S.).
    93. Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2015. "Nonlinear expectation formation in the U.S. stock market: Empirical evidence from the Livingston survey," Kiel Working Papers 1947 [rev.], Kiel Institute for the World Economy (IfW Kiel).
    94. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    95. Josh Stillwagon, 2014. "Reexamining what survey data say about currency risk and irrationality using the cointegrated VAR," Economics Bulletin, AccessEcon, vol. 34(3), pages 1631-1643.
    96. Kopányi, Dávid & Rabanal, Jean Paul & Rud, Olga A. & Tuinstra, Jan, 2019. "Can competition between forecasters stabilize asset prices in learning to forecast experiments?," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
    97. Kristoffer Nimark, 2012. "Speculative Dynamics in the Term Structure of Interest Rates," Working Papers 430, Barcelona School of Economics.
    98. Park, Yang-Ho, 2022. "Spread position as a leading economic indicator," Journal of Financial Markets, Elsevier, vol. 59(PA).
    99. J. Benson Durham, 2013. "More on U.S. Treasury term premiums: spot and expected measures," Staff Reports 658, Federal Reserve Bank of New York.
    100. Ricardo De La O & Sean Myers, 2021. "Subjective Cash Flow and Discount Rate Expectations," Journal of Finance, American Finance Association, vol. 76(3), pages 1339-1387, June.
    101. Seongman Moon & Carlos Velasco, 2011. "The Forward Discount Puzzle: Identi cation of Economic Assumptions," Working Papers 1112, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    102. Daniel Burren, 2010. "The Term Structure of Interest Rates in a New Keynesian Model with Time-Varying Macro Volatility," Annals of Economics and Finance, Society for AEF, vol. 11(2), pages 277-299, November.
    103. Park, Cyn-Young & Shin, Kwanho, 2023. "The Development of Local Currency Bond Markets and Uncovered Interest Rate Parity," ADB Economics Working Paper Series 677, Asian Development Bank.
    104. Francesco Bianchi & Sydney C. Ludvigson & Sai Ma, 2022. "Belief Distortions and Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 112(7), pages 2269-2315, July.
    105. Juselius, Katarina & Stillwagon, Josh R., 2018. "Are outcomes driving expectations or the other way around? An I(2) CVAR analysis of interest rate expectations in the dollar/pound market," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 93-105.
    106. Stefano Cassella & Huseyin Gulen, 2018. "Extrapolation Bias and the Predictability of Stock Returns by Price-Scaled Variables," The Review of Financial Studies, Society for Financial Studies, vol. 31(11), pages 4345-4397.
    107. Magnus Dahlquist & Markus Ibert, 2024. "Equity Return Expectations and Portfolios: Evidence from Large Asset Managers," The Review of Financial Studies, Society for Financial Studies, vol. 37(6), pages 1887-1928.
    108. Young Se Kim & Gwi Hwan Seol, 2016. "Monetary Policy Regime Shifts and Uncovered Interest Parity Revisited: The Euro–US Dollar Exchange Rate," International Economic Journal, Taylor & Francis Journals, vol. 30(3), pages 360-378, July.
    109. Gene Birz & Sandip Dutta & Han Yu, 2022. "Economic forecasts, anchoring bias, and stock returns," Financial Management, Financial Management Association International, vol. 51(1), pages 169-191, March.
    110. Ibrahim Filiz & Jan René Judek & Marco Lorenz & Markus Spiwoks, 2021. "Sticky Stock Market Analysts," JRFM, MDPI, vol. 14(12), pages 1-27, December.
    111. Li, Kai & Liu, Jun, 2023. "Extrapolative asset pricing," Journal of Economic Theory, Elsevier, vol. 210(C).
    112. Bradley Jones, 2015. "Asset Bubbles: Re-thinking Policy for the Age of Asset Management," IMF Working Papers 2015/027, International Monetary Fund.
    113. Jonathan H. Wright, 2008. "Term premiums and inflation uncertainty: empirical evidence from an international panel dataset," Finance and Economics Discussion Series 2008-25, Board of Governors of the Federal Reserve System (U.S.).

  18. Elmar Mertens, 2005. "Puzzling Comovements between Output and Interest Rates? Multiple Shocks are the Answer," Working Papers 05.05, Swiss National Bank, Study Center Gerzensee.

    Cited by:

    1. Elmar Mertens, 2010. "Structural shocks and the comovements between output and interest rates," Finance and Economics Discussion Series 2010-21, Board of Governors of the Federal Reserve System (U.S.).

Articles

  1. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino & Elmar Mertens, 2024. "Addressing COVID-19 Outliers in BVARs with Stochastic Volatility," The Review of Economics and Statistics, MIT Press, vol. 106(5), pages 1403-1417, September.
    See citations under working paper version above.
  2. Thomas Lubik & Christian Matthes & Elmar Mertens, 2023. "Indeterminacy and Imperfect Information," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 49, pages 37-57, July.
    See citations under working paper version above.
  3. Benjamin K. Johannsen & Elmar Mertens, 2021. "A Time‐Series Model of Interest Rates with the Effective Lower Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 1005-1046, August.
    See citations under working paper version above.
  4. Elmar Mertens & James M. Nason, 2020. "Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility," Quantitative Economics, Econometric Society, vol. 11(4), pages 1485-1520, November.
    See citations under working paper version above.
  5. Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2020. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," The Review of Economics and Statistics, MIT Press, vol. 102(1), pages 17-33, March.
    See citations under working paper version above.
  6. Elmar Mertens, 2016. "Managing Beliefs about Monetary Policy under Discretion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(4), pages 661-698, June.
    See citations under working paper version above.
  7. Elmar Mertens, 2016. "Measuring the Level and Uncertainty of Trend Inflation," The Review of Economics and Statistics, MIT Press, vol. 98(5), pages 950-967, December.
    See citations under working paper version above.
  8. Christine Garnier & Elmar Mertens & Edward Nelson, 2015. "Trend Inflation in Advanced Economies," International Journal of Central Banking, International Journal of Central Banking, vol. 11(4), pages 65-136, September.
    See citations under working paper version above.
  9. Andr? Kurmann & Elmar Mertens, 2014. "Stock Prices, News, and Economic Fluctuations: Comment," American Economic Review, American Economic Association, vol. 104(4), pages 1439-1445, April.
    See citations under working paper version above.
  10. Mertens, Elmar, 2012. "Are spectral estimators useful for long-run restrictions in SVARs?," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1831-1844.

    Cited by:

    1. Soccorsi, Stefano, 2016. "Measuring nonfundamentalness for structural VARs," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 86-101.
    2. Mikkel Plagborg-Møller & Christian K. Wolf, 2020. "Local Projections and VARs Estimate the Same Impulse Responses," Working Papers 2020-16, Princeton University. Economics Department..
    3. Ufuk Devrim Demirel, 2015. "Identification of technology shocks using misspecified VARs," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 48(4), pages 1321-1349, November.

  11. Mertens, Elmar, 2010. "Structural shocks and the comovements between output and interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1171-1186, June.
    See citations under working paper version above.
  12. Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2009. "Predictability in financial markets: What do survey expectations tell us?," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 406-426, April.
    See citations under working paper version above.

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