Jozef Baruník and Lukáš Vácha published an article in the journal The Review of Economics and Statistics

Jozef Baruník and Lukáš Vácha have published an article titled The Dynamic Persistence of Economic Shocks in the of the prestigious journal Review of Economics and Statistics.

The authors propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. They leverage localized regression techniques to flexibly identify changes in persistence over time, offering a data-driven alternative to traditional parametric models. They applied this methodology to U.S. inflation and stock market volatility data and found substantial persistence variations that align with key macroeconomic events and market conditions. The results reveal previously undetected pockets of predictability and provide significant increases in out-of-sample forecast accuracy. These findings have important implications for economic modeling, forecasting, and policy analysis.