Essays in applied macroeconometrics

This thesis consists of three self-contained essays on applied macro-econometrics. The topics cover trend inflation, transmission of monetary policy, and persistence of unemployment. The first chapter investigates the dynamics of trend inflation both at the individual level for the nineteen economic and monetary union countries and also for the euro area aggregate level. To this aim, a flexible unobserved components model and disaggregated data are used to estimate trend inflation. Following the estimation, I compare these measures to the other existing measures from the literature and empirically assess them relying on several metrics. The second chapter focuses on understanding ''multi-dimensional`` state-dependent transmission of monetary policy shocks to the asset prices in the US. To unveil various sources making the monetary policy transmission state-dependent, we construct a comprehensive data set and apply two different shrinkage methods to simultaneously assess the role of many potential sources of non-linearity. The third chapter investigates the hypothesis of unemployment hysteresis for GIPS countries (Greece, Ireland, Portugal, and Spain). While most of the existing empirical studies assume constant order of integration for unemployment over the sample period, we consider the possibility that, like many macroeconomic variables, unemployment might display changes in persistence, which might result in potential switches between the natural rate and hysteresis hypotheses.