Updates
27 March, 2024 New CAMA working paper “Trend-cycle decomposition after COVID” with accompanying website bnfiltering.com
October 30, 2023 Awarded ARC Discovery Grant on "Implications of Global Economic Forces for Domestic Monetary Policy" (with James Morley, Qazi Haque, and Qingyuan Du)
October 24, 2023 A couple of November Melbourne workshops that I am involved in to keep an eye on and register. Continuing Education in Macroeconometrics (Nov 8, hosted by Melbourne Institute) and Monash Business School climate workshop: Navigating the energy transition (Nov 13).
July 29, 2023 New working paper Random subspace local projections
May 24, 2023 A simple correction for misspecification in trend-cycle decompositions with an application to estimating r* (with James Morley and Trung Duc Tran) has been accepted for publication at the Journal of Business & Economic Statistics
April 5, 2023 "Understanding trend inflation through the lens of the goods and services sectors" is now published early view by the Journal of Applied Econometrics
March 22, 2023 Updated working paper (and title) A simple correction for misspecification in trend-cycle decompositions with an application to estimating r*. The updated version now pays more careful attention to how to apply the correction using a simple ARMA model, and how the correction accounts for things like measurement error and/or model misspecification. [YouTube video from VTSS Talk]
March 3, 2023 New working paper Disentangling structural breaks in high dimensional factor models
February 15, 2023 I share some thoughts on the current inflation at the CAMA blog Inflation may be finally falling, but it is not clear trend inflation has peaked
February 5, 2023 Understanding Trend Inflation Through the Lens of the Goods and Services Sector has been accepted by the Journal of Applied Econometrics. The replication files are available here.
February 3, 2023 Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic (with James Morley, Diego Rodriguez Palenzuela and Yiqiao Sun) is published at the European Economic Review. A previous version was released as ECB working paper 2716.
August 30, 2022 We are organizing the 7th Continuing Education in Macroeconometrics (CEM) workshop on Nov 7-8, 2022. Details can be found here. Please register here. CEM has a traditional of participation and developing early career researchers and PhD students, and we hope to continue in that tradition.
August 22, 2022 New working paper "Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic" available as European Central Bank working paper.
April 29, 2022 VoxEU column based on our working paper Understanding Trend Inflation Through the Lens of the Goods and Services Sector.
March 31, 2022 Updated working paper Understanding Trend Inflation Through the Lens of the Goods and Services Sector. This version updates our 2020 Bank of Canada working paper, and also understands the goods and services inflation through the (current) COVID-19 pandemic.
February 23, 2022 A Unified Approach for Jointly Estimating the Business and Financial Cycle, and the Role of Financial Factors is published at the Journal of Economic Dynamics and Control
January 13, 2022 New Working paper "The decline in r* according to a robust multivariate trend-cycle decomposition"
November 30, 2021 Cyclical Signals from the Labor Market is accepted at Oxford Open Economics. The paper updates our forthcoming Journal of Econometrics paper by considering alternative labor market indicators. The automatic updating of the nowcast, and forecast, of the U.S. output gap from these works can be found at outputgapnow.com.
October 22, 2021 New Working paper Cyclical Signals from the Labor Market
October 10, 2021 outputgapnow.com has gone through a revamp, complete with now automatic updating of the nowcast, and forecast, of the U.S. output gap as soon as monthly data is released in the U.S. Thanks to Cristian Corrado (and Franz Weitkamp on previous versions) for helping us make this happen.
March 19, 2021 Updated working paper "A Unified Approach for Jointly Estimating the Business and Financial Cycle, and the Role of Financial Factors". A previous version was circulated, titled "Financial Factors and the Business Cycle".
December 2, 2020 Eviews add-in based on Morley and Wong (Journal of Applied Econometrics, 2020) is now available directly via Eviews. Link to forum hosted by Eviews. The add-in is once again kindly developed by Davaajargal Luvsannyam (The Bank of Mongolia).
November 5, 2020 "Nowcasting the Output Gap" now available online at the Journal of Econometrics. Latest nowcasts available at www.outputgapnow.com.
November 4, 2020 "Understanding Trend Inflation Through the Lens of the Goods and Services Sector" available as Bank of Canada staff working paper.
September 15, 2020 Updated BN filter add-in for EViews to easier-to-use version 2.2, which implements the procedure from Kamber, Morley and Wong (REStat, 2018). The add-in is written by Davaajargal Luvsannyam (The Bank of Mongolia) For more details about the add-in, see EViews blog post.
September 14, 2020 "Sectoral Employment Dynamics in Australia and the COVID‐19 Pandemic" (with Heather Anderson, Giovanni Caggiano, and Farshid Vahid) is now published at the Australian Economic Review Policy Forum.
August 24, 2020 "Nowcasting the Output Gap" accepted for publication at the Journal of Econometrics. COVID application shows an output gap in the U.S. of -8.3% in 2020Q2 and a nowcast of the U.S. output gap of -6.4% in the current 2020Q3 quarter. Nowcasts will be updated at outputgapnow.com. Replication files and code available under my research page. Video link of seminar (of an earlier version) available here.
May 15, 2020 New Working Paper, "Sectoral Employment Dynamics in Australia," forecasting the effect of COVID-19 on employment in different sectors of the Australian economy. Includes an app for users to play with different scenarios
April 30, 2020 New Working Paper, "Financial Factors and the Business Cycle"
April 27, 2020 New Working Paper, "Nowcasting the Output Gap" which has an application to the COVID-19 crisis