K Shields

Better understanding how uncertainty impacts the economy: Insights from internet search data on the importance of disaggregation

Kalvinder Shields, Duc Tran Trung

Journal article  |  2022  |  MACROECONOMIC DYNAMICS

Abstract We study the impact of uncertainty shocks using a disaggregated model featuring US state-level unemployment, and uncer..

Fundamentals, regimes and exchange rate forecasts: Insights from a meta exchange rate model

Chrystalleni Aristidou, Kevin Lee, Kalvinder Shields

Journal article  |  2022  |  JOURNAL OF INTERNATIONAL MONEY AND FINANCE

A ‘meta’ model of the exchange rate combines a range of models distinguished by the drivers of the rate and by regime duration. Al..

A Meta Model Analysis of Exchange Rate Determination*

Chrystalleni Aristidou, Kevin Lee, Kalvinder Shields

Book Chapter  |  2022  |  Advances in Econometrics

Making Fiscal Adjustments Using Event Probability Forecasts in OECD Countries

Kevin Lee, Kian Ong, Kalvinder K Shields

Journal article  |  2020  |  The Economic Record

This paper describes an approach to making fiscal policy decisions based on probabilistic statements on the likely occurrence of e..

The Australian Real-Time Fiscal Database: An Overview with Illustrations of Its Use in Analysing Fiscal Policy

Kevin Lee, James Morley, Kalvinder Shields, Madeleine Sui-Lay Tan

Journal article  |  2020  |  The Economic Record

This paper describes a fiscal database for Australia including measures of government spending, revenue, deficits, debt and variou..

Evaluating the use of realtime data in forecasting output levels and recessionary events in the USA

C Aristidou, K Lee, K Shields

Journal article  |  2019  |  Journal of the Royal Statistical Society Series A: Statistics in Society

The paper proposes a modelling framework and evaluation procedure to judge the usefulness of realtime data sets incorporating past..

The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics

Anthony Garratt, Kevin Lee, Kalvinder Shields

Journal article  |  2018  |  CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE

Abstract: Output fluctuations in the G7 are characterized using a VAR model of countries’ actual and expected outputs and uncertai..

An Introduction to Data Cleaning Using Internet Search Data

Matthew Greenwood-Nimmo, Kalvinder Shields

Journal article  |  2017  |  The Australian Economic Review

This article considers the issue of data cleaning. We use state‐level data on internet search activity in the United States to ill..

Information rigidities and the news-adjusted output gap

K SHIELDS, A Garratt, K Lee

Journal article  |  2016  |  Journal of Economic Dynamics and Control

A vector-autoregressive model of actual output and expected output obtained from surveys is used to test for information rigiditie..

Forecasting global recessions in a GVAR model of actual and expected output

Anthony Garratt, Kevin Lee, Kalvinder Shields

Journal article  |  2016  |  INTERNATIONAL JOURNAL OF FORECASTING

We compare a Global VAR model of actual and expected outputs with alternative models for assessing the roles of cross-country inte..