Unobserved components models with stochastic volatility for extracting trends and cycles in credit
Martin O'Brien, S. Velasco
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Case report
Open access
Sep 2026
What Volatility Reveals: Agnostic Identification of Exchange Rate and Treasury-Market Dynamics in Inconvenient Times
This paper studies the financial-market transmission of the April 2025 U.S. tariff announcements, with a particular focus on the unusual combination of dollar depreciation and rising long-term U.S. Treasury yields. We ask whether the market reaction can be understood as the propagation of a single tariff-announcement s...
Lucas ter Steege, S. Velasco
· Documento de trabajo · 0 citations
Case report
Open access
Sep 2026
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...
Eoghan O’Neill, S. Velasco
· Documento de trabajo · 0 citations
Working Paper Series
Eoghan O’Neill, S. Velasco
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