Danilo Leiva‐León
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View article: Underlying Inflation and Asymmetric Risks
Underlying Inflation and Asymmetric Risks Open
We propose a new measure of underlying inflation that informs, in real time, about asymmetric risks on the outlook of inflationary pressures. The asymmetries are generated through nonlinearities induced by economic activity. The new indica…
View article: The Credit‐Card‐Services Augmented Divisia Monetary Aggregates<sup>*</sup>
The Credit‐Card‐Services Augmented Divisia Monetary Aggregates<sup>*</sup> Open
While credit cards provide transaction services, they have never been included in measures of money supply. We derive the theory to measure the joint services of credit cards and money and propose two measures of their joint services: one …
View article: Underlying inflation and asymetric risks
Underlying inflation and asymetric risks Open
We propose a new measure of underlying inflation that provides real-time information on asymmetric risks in the outlook for inflation. The asymmetries are generated by nonlinearities induced by economic activity. The new indicator is based…
View article: Housing prices in Spain: convergence or decoupling?
Housing prices in Spain: convergence or decoupling? Open
In this article, we measure changes in the synchronization of housing price cycles across Spanish cities over time. We rely on a regime-switching framework that identifies the housing price cycles of pairs of cities and simultaneously infe…
View article: Replication package for: Housing Prices in Spain: Convergence or Decoupling?
Replication package for: Housing Prices in Spain: Convergence or Decoupling? Open
Ghirelli C., D. Leiva-Leon, A. Urtasun (forthcoming). “Housing Prices in Spain: Convergence or Decoupling?”, SERIEs.
View article: Replication package for: Housing Prices in Spain: Convergence or Decoupling?
Replication package for: Housing Prices in Spain: Convergence or Decoupling? Open
Ghirelli C., D. Leiva-Leon, A. Urtasun (forthcoming). “Housing Prices in Spain: Convergence or Decoupling?”, SERIEs.
View article: The spread of inflation from energy to other components
The spread of inflation from energy to other components Open
Rationale Inflation has risen continuously since December 2020. The increase was initially confined to the energy component, but has subsequently spread to food and the other components. It is important to understand the extent to which th…
View article: Tracking Weekly State-Level Economic Conditions
Tracking Weekly State-Level Economic Conditions Open
This paper develops a novel dataset of weekly economic conditions indices for the 50 U.S. states going back to 1987 based on mixed-frequency dynamic factor models with weekly, monthly, and quarterly variables that cover multiple dimensions…
View article: Replication Data for: Tracking Weekly State-Level Economic Conditions
Replication Data for: Tracking Weekly State-Level Economic Conditions Open
Baumeister, Christiane, Leiva-León, Danilo, and Sims, Eric, (2024) “Tracking Weekly State-Level Economic Conditions.” Review of Economics and Statistics 106:2, 483–504.
View article: Fluctuations in global output volatility
Fluctuations in global output volatility Open
We thank the editor Mark M. Spiegel and two anonymous referees for excellent useful comments and suggestions that helped to improve this article. We would like to thank Maximo Camacho, Luciano Campos, Alessandro Galessi, Domenico Giannone,…
View article: The Propagation of Industrial Business Cycles
The Propagation of Industrial Business Cycles Open
This paper examines the business cycle linkages that propagate industry-specific business cycle shocks throughout the economy in a way that (sometimes) generates aggregated cycles. The transmission of sectoral business cycles is modelled t…
View article: Real-Time Nowcasting of Nominal GDP Under Structural Breaks
Real-Time Nowcasting of Nominal GDP Under Structural Breaks Open
This paper provides a framework for the early assessment of current U.S. nominal GDP growth, which has been considered a potential new monetary policy target. The nowcasts are computed using the exact amount of information that policy-make…
View article: Tracking Weekly State-Level Economic Conditions
Tracking Weekly State-Level Economic Conditions Open
In this paper, we develop a novel dataset of weekly economic conditions indices for the 50 U.S. states going back to 1987 based on mixed-frequency dynamic factor models with weekly, monthly, and quarterly variables that cover multiple dime…
View article: Monetary Policy Independence and the Strength of the Global Financial Cycle
Monetary Policy Independence and the Strength of the Global Financial Cycle Open
We propose a new strength measure of the global financial cycle by estimating a regime-switching factor model on cross-border equity flows for 61 countries. We then assess how the strength of the global financial cycle affects monetary pol…
View article: Replication Data for: Endogenous Time Variation in Vector Autoregressions
Replication Data for: Endogenous Time Variation in Vector Autoregressions Open
Leiva-León, Danilo, and Uzeda, Luis, (2023) “Endogenous Time Variation in Vector Autoregressions.” Review of Economics and Statistics 105:1, 125–142.
View article: Markov-Switching Three-Pass Regression Filter
Markov-Switching Three-Pass Regression Filter Open
We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes…
View article: Monetary Policy Independence and the Strength of the Global Financial Cycle
Monetary Policy Independence and the Strength of the Global Financial Cycle Open
We propose a new strength measure of the global financial cycle by estimating a regime-switching factor model on cross-border equity flows for 61 countries. We then assess how the strength of the global financial cycle affects monetary pol…
View article: Endogenous Time Variation in Vector Autoregressions
Endogenous Time Variation in Vector Autoregressions Open
We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence — contemporaneously and with a lag — the dynamics of the intercept and autoregressive…
View article: Real-Time Weakness of the Global Economy: A First Assessment of the Coronavirus Crisis
Real-Time Weakness of the Global Economy: A First Assessment of the Coronavirus Crisis Open
We propose an empirical framework to measure the degree of weakness of the global economy in real-time. It relies on nonlinear factor models designed to infer recessionary episodes of heterogeneous deepness, and fitted to the largest advan…