All Outputs (10)

Shock persistence, uncertainty and new-driven business cycles (2024)
Journal Article
Lee, K., Shields, K., & Turnip, G. (2024). Shock persistence, uncertainty and new-driven business cycles. Macroeconomic Dynamics, https://doi.org/10.1017/S1365100524000555

This paper distinguishes news about short-lived events from news about changes in longer term prospects using surveys of expectations. Employing a multivariate GARCH-in-Mean model for the US, the paper illustrates how the different types of news infl... Read More about Shock persistence, uncertainty and new-driven business cycles.

Tracking trend output using expectations data (2024)
Journal Article
Lee, K., & Mahony, M. (2024). Tracking trend output using expectations data. Journal of the Royal Statistical Society: Series A, Article qnae064. https://doi.org/10.1093/jrsssa/qnae064

This article proposes a new approach to measuring trend output that exploits survey data on expectations to distinguish the effects of permanent and transitory shocks and to track the time-variation in the processes underlying the determination of ou... Read More about Tracking trend output using expectations data.

Economic Conditions and Health: Local Effects, National Effect and Local Area Heterogeneity (2023)
Journal Article
Janke, K., Lee, K., Propper, C., Shields, K., & Shields, M. A. (2023). Economic Conditions and Health: Local Effects, National Effect and Local Area Heterogeneity. Journal of Economic Behavior and Organization, 214, 801-828. https://doi.org/10.1016/j.jebo.2023.07.003

We study the relationship between health and changing economic conditions in local areas using a GVAR model that allows for dynamic and interdependent responses to local and national economic conditions. We examine quarterly British data for 2002-201... Read More about Economic Conditions and Health: Local Effects, National Effect and Local Area Heterogeneity.

Fundamentals, regimes and exchange rate forecasts: Insights from a meta exchange rate model (2022)
Journal Article
Aristidou, C., Lee, K., & Shields, K. (2022). Fundamentals, regimes and exchange rate forecasts: Insights from a meta exchange rate model. Journal of International Money and Finance, 123, Article 102601. https://doi.org/10.1016/j.jimonfin.2022.102601

A ‘meta’ model of the exchange rate combines a range of models distinguished by the drivers of the rate and by regime duration. Alternative model weights are proposed, including those obtained from a novel non-nested hypothesis-testing technique that... Read More about Fundamentals, regimes and exchange rate forecasts: Insights from a meta exchange rate model.

Making Fiscal Adjustments Using Event Probability Forecasts in OECD Countries (2020)
Journal Article
Lee, K., Ong, K., & Shields, K. K. (2020). Making Fiscal Adjustments Using Event Probability Forecasts in OECD Countries. Economic Record, 96(314), 294-313. https://doi.org/10.1111/1475-4932.12540

This paper describes an approach to making fiscal policy decisions based on probabilistic statements on the likely occurrence of events as specified in a rules‐based framework for making fiscal adjustments. The event probability forecasts are obtaine... Read More about Making Fiscal Adjustments Using Event Probability Forecasts in OECD Countries.

The Australian Real‐Time Fiscal Database: An Overview with Illustrations of Its Use in Analysing Fiscal Policy (2019)
Journal Article
Lee, K., Morley, J., Shields, K., & Tan, M. S. (2020). The Australian Real‐Time Fiscal Database: An Overview with Illustrations of Its Use in Analysing Fiscal Policy. Economic Record, 96(312), 87-106. https://doi.org/10.1111/1475-4932.12509

This paper describes a fiscal database for Australia including measures of government spending, revenue, deecits, debt and various sub-aggregates as initially published and subsequently revised. The data vintages are collated from various sources and... Read More about The Australian Real‐Time Fiscal Database: An Overview with Illustrations of Its Use in Analysing Fiscal Policy.

The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics (2018)
Journal Article
Garratt, A., Lee, K., & Shields, K. (2018). The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics. Canadian Journal of Economics / Revue Canadienne d'Économique, 51(2), 391-418. https://doi.org/10.1111/caje.12325

Output fluctuations in the G7 are characterised using a VAR model of countries' actual and expected outputs and uncertainty over these. New measures are developed to quantify the relative importance of economic prospects-versus-uncertainty, global-ve... Read More about The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics.

Information rigidities and the news-adjusted output gap (2016)
Journal Article
Garratt, A., Lee, K., & Shields, K. (2016). Information rigidities and the news-adjusted output gap. Journal of Economic Dynamics and Control, 70, https://doi.org/10.1016/j.jedc.2016.06.004

A vector-autoregressive model of actual output and expected output obtained from surveys is used to test for information rigidities and to provide a characterisation of output dynamics that accommodates these information structures. News on actual an... Read More about Information rigidities and the news-adjusted output gap.

Forecasting global recessions in a GVAR model of actual and expected output (2016)
Journal Article
Garratt, A., Lee, K., & Shields, K. (2016). Forecasting global recessions in a GVAR model of actual and expected output. International Journal of Forecasting, 32(2), https://doi.org/10.1016/j.ijforecast.2015.08.004

We compare a Global VAR model of actual and expected outputs with alternative models to assess the role of cross-country interdependencies and confidence in forecasting. Forecast performance is judged on point and density forecasts of growth, on proba... Read More about Forecasting global recessions in a GVAR model of actual and expected output.

The meta Taylor rule (2015)
Journal Article
Lee, K., Morley, J., & Shields, K. (2015). The meta Taylor rule. Journal of Money, Credit and Banking, 47(1), https://doi.org/10.1111/jmcb.12169

We characterise U.S. monetary policy within a generalized Taylor rule framework that accommodates uncertainties about the duration of policy regimes and the specification of the rule, in addition to the standard parameter and stochastic uncertainties... Read More about The meta Taylor rule.