Robert Kelchen, Dubravka Ritter, and Douglas WebberIn this paper, we assemble the most comprehensive dataset to date on the characteristics of colleges and universities, including dates of operation, institutional setting, student body, staff, and finance data from 2002 to 2023. We provide an extensive description of what is known and unknown about closed colleges compared with institutions that did not close.
Diego Bonelli, Berardino Palazzo, Ram S. YamarthyUsing inflation swap prices, we study how changes in expected inflation affect firm-level credit spreads and equity returns, and uncover evidence of a time-varying inflation sensitivity.
Dobrislav Dobrev and Paweł J. SzerszeńReplacing faulty measurements with missing values can suppress outlier-induced distortions in state-space inference. We therefore put forward two complementary methods for enhanced outlier-robust filtering and forecasting: supervised missing data substitution (MD) upon exceeding a Huber threshold, and unsupervised missing data substitution via exogenous randomization (RMDX).
Mohammad R. Jahan-Parvar, Charles Knipp, and Paweł J. SzerszeńWe propose a generalized multivariate unobserved components model to decompose macroeconomic data into trend and cyclical components. We then forecast the series using Bayesian methods.
The Money Markets Committee is a forum for market participants and authorities to discuss the UK unsecured deposits and funding market and securities lending and repo markets.
The Bank's Court of Directors acts as a unitary board, setting the organisation's strategy and budget and taking key decisions on resourcing and appointments. Required to meet a minimum seven times per year, it has five executive members from the Bank and up to nine non-executive members.
This Market Notice sets out the schedule for sales in Q1 2025 of gilts held in the Asset Purchase Facility (APF) for monetary policy purposes.
Matteo Barigozzi, Claudio Lissona, and Matteo LucianiWe measure the Euro Area (EA) output gap and potential output using a non-stationary dynamic factor model estimated on a large dataset of macroeconomic and financial variables. From 2012 to 2023, we estimate that the EA economy was tighter than the European Commission and the International Monetary Fund estimate, suggesting that the slow EA growth is the result of a potential output issue, not a business cycle issue.
Daniel Barth, Phillip J. Monin, Emil Siriwardane, and Adi SunderamSince 2013, large U.S. hedge fund advisers have been required to report risk exposures in their regulatory filings. Using these data, we first establish that managers’ perceptions of risk contain useful information that is not embedded in fund returns.
Mateo Velásquez-GiraldoSurvey measurements of households' expectations about U.S. equity returns show substantial heterogeneity and large departures from the historical distribution of actual returns. The average household perceives a lower probability of positive returns and a greater probability of extreme returns than history has exhibited. I build a life-cycle model of saving and portfolio choices that incorporates beliefs estimated to match these survey measurements of expectations.
