We would like to invite you to the Empirical Seminar series organized by the Institute of Economic Research, Slovak Academy of Sciences, Šancová 56 that will be held in hybrid form (online and at the library of the Institute of Economic Research, Slovak Academy of Sciences). The seminar will take place on November 26th, 2026 at 10.00 (CET).
The speaker will be Jozef Baruník (Institute of Economic Studies, Charles University & Institute of Information Theory and Automation, the Czech Academy of Sciences).
The topic of the seminar is: The Dynamic Persistence of Economic Shocks
Authors: Jozef Baruník, Lukáš Vácha
Abstract:
We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in persistence over time, offering a data-driven alternative to traditional parametric models. We 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.
The seminar will be co-chaired by Filip Ostrihoň.
Link:
In-person bilateral meetings with the speaker will be possible after the seminar. If you are interested,
please book a specific time slot using the following link:
https://doodle.com/sign-up-sheet/participate/e22e7c8c-c2e4-40c2-8222-b166bab3fd79/select