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We propose a multivariate simultaneous unobserved components framework to determine the two-sided interactions between structural trend and cycle innovations. We relax the standard assumption in unobserved components models that trends are only driven by permanent shocks and cycles are only driven by transitory shocks by considering the possible spillover effects between structural innovations. The direction of spillover has a structural interpretation, whose identification is achieved via heteroskedasticity. We provide identifiability conditions and develop an efficient Bayesian MCMC procedure for estimation. Empirical implementations for both Okun's law and the Phillips curve show evidence of significant spillovers between trend and cycle components.

We introduce a mixed-frequency score-driven dynamic model for multiple time series where the score contributions from high-frequency variables are transformed by means of a mixed-data sampling weighting scheme. The resulting dynamic model delivers a flexible and easy-to-implement framework for the forecasting of a low-frequency time series variable through the use of timely information from high-frequency variables. We aim to verify in-sample and out-of-sample performances of the model in an empirical study on the forecasting of U.S.~headline inflation. In particular, we forecast monthly inflation using daily oil prices and quarterly inflation using effective federal funds rates. The forecasting results and other findings are promising. Our proposed score-driven dynamic model with mixed-data sampling weighting outperforms competing models in terms of point and density forecasts.

This paper studies the evolution of long-run output and labour productivity growth rates in the G-7 countries during the post-war period. We estimate the growth rates consistent with a constant unemployment rate using time-varying parameter models that incorporate both stochastic volatility and a Heckman-type two-step estimation procedure that deals with the possible endogeneity problem in the econometric models. The results show a significant decline in long-run growth rates that is not associated with the detrimental effects of the Great Recession, and that the rate of growth of labour productivity appears to be behind the slowdown in long-run GDP growth.