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ESSAYS IN HONOUR OF FABIO CANOVA
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Title Page
ADVANCES IN ECONOMETRICS - VOLUME 44A
ESSAYS IN HONOUR OF FABIO CANOVA
EDITED BY
JUAN J. DOLADO
Universidad Carlos III de Madrid, Spain
LUCA GAMBETTI
Universitat Autónoma de Barcelona, Spain, Universitá di Torino, Italy
And
CHRISTIAN MATTHES
Indiana University, USA
United Kingdom – North America – Japan – India – Malaysia – China
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Emerald Publishing Limited
Howard House, Wagon Lane, Bingley BD16 1WA, UK
First edition 2022
Editorial matter and selection © 2022 Juan J. Dolado, Luca Gambetti and Christian Matthes.
Individual chapters © 2022 The authors.
Published under exclusive licence by Emerald Publishing Limited, with the exception of Chapter 3, which is a work of the United States Government and therefore under public domain.
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British Library Cataloguing in Publication Data
A catalogue record for this book is available from the British Library
ISBN: 978-1-80382-636-3 (Print)
ISBN: 978-1-80382-635-6 (Online)
ISBN: 978-1-80382-637-0 (Epub)
ISSN: 0731-9053 (Series)
Contents
| List of Contributors | vii |
| Introduction | |
| Juan J. Dolado, Luca Gambetti and Christian Matthes | 1 |
| Chapter 1: Real-time Real Economic Activity: Entering and Exiting the Pandemic Recession of 2020 | |
| Francis X. Diebold | 5 |
| Chapter 2: State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models | |
| Luis Uzeda | 25 |
| Chapter 3: On Identification Issues in Business Cycle Accounting Models | |
| Pedro Brinca, Nikolay Iskrev and Francesca Loria | 55 |
| Chapter 4: The Effect of News Shocks and Monetary Policy | |
| Luca Gambetti, Christoph Görtz, Dimitris Korobilis, John D. Tsoukalas and Francesco Zanetti | 139 |
| Chapter 5: Statistical Identification of Economic Shocks by Signs in Structural Vector Autoregression | |
| Markku Lanne and Jani Luoto | 165 |
| Chapter 6: Skewed SVARs: Tracking the Structural Sources of Macroeconomic Tail Risks | |
| Carlos Montes-Galdón and Eva Ortega | 177 |
| Index | 211 |
List of Contributors
| Pedro Brinca | Nova School of Business and Economics, Universidade Nova de Lisboa, Lisboa, Portugal |
| Francis X. Diebold | University of Pennsylvania, Pennsylvania, PA, USA |
| Juan J. Dolado | Universidad Carlos III de Madrid, Madrid, Spain |
| Luca Gambetti | Universitat Autónoma de Barcelona, Spain, Universitá di Torino, Italy |
| Christoph Görtz | University of Birmingham, Birmingham, UK |
| Nikolay Iskrev | Banco de Portugal, Lisboa, Portugal |
| Dimitris Korobilis | University of Glasgow, Glasgow, UK |
| Markku Lanne | Faculty of Social Sciences, University of Helsinki, Helsinki, Finland |
| Francesca Loria | Board of Governors of the Federal Reserve System, Washington, DC, USA |
| Jani Luoto | Faculty of Social Sciences, University of Helsinki, Helsinki, Finland |
| Christian Matthes | Indiana University, Bloomington, IN, USA |
| Carlos Montes-Galdón | Forecasting and Policy Modelling Division, Directorate General Economics, European Central Bank, Frankfurt am Main, Germany |
| Eva Ortega | Directorate General Economics, Statistics and Research, Banco de España, Spain |
| John D. Tsoukalas | University of Glasgow, Glasgow, UK |
| Luis Uzeda | Bank of Canada, Ottawa, ON, Canada |
| Francesco Zanetti | University of Oxford, Oxford, UK |
