Research

Journal Articles

Older Version: International Network for Economic Research - INFER, Working Papers 2021.02

Abstract: The Great Moderation was a global phenomenon marked by stable economic growth and inflation. However, how much monetary policy contributed to its success remained a popular debate in the literature. Answering this question became imperative after the global financial crisis since global conditions became relatively more important than past. I examined the recent macroeconomic history of New Zealand through the lens of a regime-switching structural vector-autoregression model to understand the contributions of domestic monetary policy and global conditions to its macroeconomic stabilization. A small open economy structure is essential to facilitate the identification of structural shocks that spillover from the globe.

Working Papers

IMF Working Paper 2024/190 Online Appendix

Abstract: This paper shows that the Expectation-Maximization (EM) algorithm for regime-switching dynamic factor models provides satisfactory performance relative to other estimation methods and delivers a good trade-off between accuracy and speed, which makes it especially useful for large dimensional data. Unlike traditional numerical maximization approaches, this methodology benefits from closed-form solutions for parameter estimation, enhancing its practicality for real-time applications and historical data exercises with focus on frequent updates. In a nowcasting application to vintage US data, I study the information content and relative performance of regime-switching model after each data releases in a fifteen year period, which was only feasible due to the time efficiency of the proposed estimation methodology. While existing literature has already acknowledged the performance improvement of nowcasting models under regime-switching, this paper shows that the superior nowcasting performance observed particularly when key economic indicators are released. In a backcasting exercise, I show that the model can closely match the recession starting and ending dates of the NBER despite having less information than actual committee meetings, where the fit between actual dates and model estimates becomes more apparent with the additional available information. Given that the EM algorithm proposed in this paper is suitable for various regime-switching configurations, this paper provides economists and policymakers with a valuable tool for conducting comprehensive analyses, ranging from point estimates to information decomposition and persistence of recessions in larger datasets.

Operational Research

Abstract: Quarterly GDP statistics facilitate timely economic assessment, but the availability of such data are limited for more than 60 developing economies, including about 20 countries in sub-Saharan Africa as well as more than two-thirds of fragile and conflict-affected states. To address this limited data availability, this paper proposes a panel approach that utilizes a statistical relationship estimated from countries where data are available, to estimate quarterly GDP statistics for countries that do not publish such statistics by leveraging the indicators readily available for many countries. This framework demonstrates potential, especially when applied for similar country groups, and could provide valuable real-time insights into economic conditions supported by empirical evidence.