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In 2020, the COVID-19 pandemic caused by far the largest shock to European economies since World War II. Yet, astonishingly, the EU unemployment rate ...
Minimum trace reconciliation, developed by Wickramasuriya et. al. (2019), is an innovation in the literature of forecast reconciliation. The proof, ho...
How to make forecasts that (1) satisfy constraints, like accounting identities, and (2) are smooth over time? Solving this common forecasting problem ...
This paper assembles a comprehensive sovereign green bond database and estimates the sovereign greenium. The development of green bond markets has bee...
This paper studies whether bilateral international financial connection data help predict bilateral stock return comovement. It is shown that, when th...
Revisiting the Case for Debt Mutualization in the Euro Area: A Quantitative Exploration...
This paper studies whether FDI firms employ more workers than domestic firms for each dollar of assets. Using the Orbis database and its ownership str...
Forecasting a macroframework, which consists of many macroeconomic variables and accounting identities, is widely conducted in the policy arena to pre...
This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen...
Despite major structural shifts in the international monetary system over the past six decades, the US dollar remains the dominant international reser...
Although GDP growth in the Netherlands has recently been stronger than in peer countries, the main contributor has been the growth in labor. If GDP is...