Essays on Empirical Macroeconomics

Alberto Caruso

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: The thesis contains four essays, covering topics in the field of real-time macroeconometrics, forecasting and applied macroeconomics. In the first two chapters, I use recent techniques developed in the "nowcasting" literature in order to analyse and interpret the macroeconomic news flow. I use them either to assess current macroeconomic conditions, showing the importance of foreign indicators dealing with small open economies, or linking macroeconomic news to asset prices, through a model that help us interpret macroeconomic data and explaining the linkages between macro variables and financial indicators. In the third chapter, I analyse the link between macroeconomic data in real-time and the yield curve of interest rates, constructing a forecasting model which takes into account the peculiar characteristics of the macroeconomic data flow. In the last chapter, I present a Bayesian Vector Autoregression model built in order to analyse the last two crisis in the Eurozone (2008-09, and 2011-12) identifying their unique characteristics with respect to historical regularities, an issue of great importance from a policy perspective.

Keywords: Nowcasting; Forecasting; Macroeconomic news; Yield curve; Factor models; Public debt; Bayesian VAR; Macroeconometrics (search for similar items in EconPapers)
Date: 2020-06-25
New Economics Papers: this item is included in nep-mac
Note: Degree: Doctorat en Sciences économiques et de gestion
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