Working Paper Series

Let the Tree Decide: FABART. A Non-Parametric Factor Model for Nonlinear Oil Shock Transmission

The question of how oil supply news shocks transmit to real activity, financial conditions and regional labor markets is back at the center of the macroeconomic research agenda. To answer this question, we introduce the Factor Bayesian Additive Regression Tree (FABART) model, a nonlinear factor-augmented vector autoreg...

Working Paper Series The transmission of shocks across sectors and the dynamics of sectoral prices

Monetary Policy Tightening, and Banking Concentration: Structural Evidence from an Emerging Economy

This paper analyses the short-run dynamic relationship between monetary policy and banking market structure in Colombia during a period of post-pandemic inflation and aggressive policy tightening. Using monthly credit portfolio data for 2017–2024, we compute several concentration indicators (the Herfindahl–Hirschman In...

Untangling the Asymmetric Effects of Oil Price Dynamics and Disaggregated Shocks on Economic Policy Uncertainty: Evidence from India

India’s economic policy uncertainty (EPU) is significantly affected by global commodity market fluctuations, particularly oil prices. Oil-related shocks, such as supply, demand and risk, have been shown to affect domestic, economic and financial conditions in the previous literature, but the effects of these shocks hav...

Analyzing GDP and stock market dynamics

This paper aims to examine whether the forces linking financial markets to real economic activity operate differently across business cycle phases, using quarterly US data from 1990 to 2024, spanning four recession episodes. Specifically, the author asks whether the mechanism that normally keeps equity markets anch...

Productivity, Crude Oil Supply Shocks and the Economy of Iran in a Dynamic Stochastic General Equilibrium Framework

This paper investigates the responses of key macroeconomic variables—including output, consumption, investment, capital accumulation, and employment—to productivity and oil market shocks in Iran. Using quarterly data from 1975 to 2024, we estimate an RBC DSGE model and further calibrate a variant incorporating oil supp...