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Danilo Leiva-León
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Journal Articles
Underlying Inflation and Asymmetric Risks
UnavailablePublisher: Journals Gateway
The Review of Economics and Statistics 1–45.
Published: 29 October 2024
Abstract
View articletitled, Underlying Inflation and Asymmetric Risks
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We propose a new measure of underlying inflation that informs, in real time, about asymmetric risks on the outlook of inflationary pressures. The asymmetries are generated through nonlinearities induced by economic activity. The new indicator is based on a multivariate regime-switching framework jointly estimated on disaggregated sub-components of the euro area HICP and has several additional advantages. First, it is able to swiftly infer abrupt changes in underlying inflation. Second, it helps to timely track turning points in underlying inflation. Third, the proposed indicator also has a satisfactory performance with respect to various criteria relevant for inflation monitoring.
Includes: Supplementary data
Journal Articles
Tracking Weekly State-Level Economic Conditions
UnavailablePublisher: Journals Gateway
The Review of Economics and Statistics (2024) 106 (2): 483–504.
Published: 19 March 2024
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Abstract
View articletitled, Tracking Weekly State-Level Economic Conditions
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for article titled, Tracking Weekly State-Level Economic Conditions
This paper develops a novel dataset of weekly economic conditions indices for the 50 U.S. states going back to 1987 based on mixed-frequency dynamic factor models with weekly, monthly, and quarterly variables that cover multiple dimensions of state economies. We find considerable cross-state heterogeneity in the length, depth, and timing of business cycles. We illustrate the usefulness of these state-level indices for quantifying the main contributors to the economic collapse caused by the COVID-19 pandemic and for evaluating the effectiveness of the Paycheck Protection Program. We also propose an aggregate indicator that gauges the overall weakness of the U.S. economy.
Includes: Supplementary data
Journal Articles
Publisher: Journals Gateway
The Review of Economics and Statistics (2023) 105 (1): 125–142.
Published: 06 January 2023
Abstract
View articletitled, Endogenous Time Variation in Vector Autoregressions
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for article titled, Endogenous Time Variation in Vector Autoregressions
We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence the dynamics of the coefficients in these models. An estimation algorithm and a parameterization conducive to model comparison are also provided. We apply our framework to the U.S. economy. Scenario analysis suggests that once accounting for the influence of structural shocks on the autoregressive coefficients, the effects of monetary policy on economic activity are larger and more persistent than in an otherwise standard TVP-VAR. Our results also indicate that cost-push shocks play a prominent role in understanding historical changes in inflation-gap persistence.
Includes: Supplementary data