We propose a new approach to analyze economic shocks. Our new procedure identi es economic shocks as exogenous shifts in a function; hence, we call them "functional shocks". We show how to identify such shocks and how to ...

We show the existence of a very short-term relationship at the daily frequency between changes in the price of a country's major commodity export price and changes in its nominal exchange rate. The relationship appears ...

In this paper we propose methods to construct confidence intervals for the bias of the two-stage least squares estimator, and the size distortion of the associated Wald test in instrumental variable models. Importantly our ...

This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We ...

This thesis consists of three chapters on topics in Macroeconometrics. Chapter 1 proposes a method to analyze the relationship between models’ in-sample fit and their out-of-sample density forecasting performance. To this ...

This thesis consists of three chapters on topics in Macroeconometrics. Chapter 1 develops a hypothesis test to evaluate economic models and their forecasts robust to instabilities. The test is particularly powerful in the ...

This thesis consists of three essays that analyze the role of sectoral heterogeneity on inflation dynamics and optimal monetary policy. In the first chapter, I consider a framework where firms are connected through ...

This thesis empirically investigates different aspects of time-varying volatility. Chapter 1 estimates a large TVP-FAVAR and recovers a dynamic directed network of connections between European stock volatilities. We propose ...

This paper proposes a framework to implement regression-based tests of predictive ability in unstable environments, including, in particular, forecast unbiasedness and efficiency tests, commonly referred to as tests of ...