Uncertainty and the Term Structure of Interest Rates

In the new CAMP Working Paper 12/2023, Cross, Poon and Zhu present a new stylized fact about the link between uncertainty and the term structure of interest rates: Unexpectedly heightened uncertainty elicits a lower, steeper, and flatter yield curve. This result is established through a Yields-Macro model that includes dynamic Nelson-Siegel factors of U.S. Treasury …

Bayesian Mode Inference for Discrete Distributions in Economics and Finance

In the new CAMP Working Paper 11/2023, Cross, Hoogerheide, Labonne and Van Dijk propose a straightforward technique for mode inference in discrete data distributions. Detecting heterogeneity within a population is crucial in many economic and financial applications. Econometrically, this requires a credible determination of multimodality in a given data distribution. The authors propose a straightforward …

Monetary policy shocks and exchange rate dynamics in small open economies

In the new CAMP Working Paper 10/2023, Terrell, Haque, Cross and Doko Tchatoka investigates the relationship between monetary policy shocks and real exchange rates in several small open economies. To that end, the authors develop a novel identification strategy for time-varying structural vector autoregressions with stochastic volatility. Their approach combines short-run and long-run restrictions to …