3 papers
econ.EM2025
A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage
Zheng Fan, Worapree Maneesoonthorn, Yong Song
We propose the Markov Switching Dynamic Shrinkage process (MSDSP), nesting the Dynamic Shrinkage Process (DSP) of Kowal et al. (2019). We revisit the Meese-Rogoff puzzle (Meese and…
econ.EM2025
Bayesian inference for dynamic spatial quantile models with interactive effects
Tomohiro Ando, Jushan Bai, Kunpeng Li +1
With the rapid advancement of information technology and data collection systems, large-scale spatial panel data presents new methodological and computational challenges. This pape…
econ.EM2020
Bull and Bear Markets During the COVID-19 Pandemic
John M. Maheu, Thomas H. McCurdy, Yong Song
The COVID-19 pandemic has caused severe disruption to economic and financial activity worldwide. We assess what happened to the aggregate U.S. stock market during this period, incl…