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Citations for "Nonlinear impulse response functions"

by Simon M. Potter

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  1. Georgios Chortareas & George Kapetanios, 2005. "How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of convergence to PPP," Money Macro and Finance (MMF) Research Group Conference 2005 36, Money Macro and Finance Research Group.
  2. Boswijk, H.P. & van Dijk, D. & Franses, P.H., 2000. "Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models," CeNDEF Working Papers 00-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  3. Mikael Bask & Tung Liu & Anna Widerberg, 2006. "The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponent," Working Papers 200603, Ball State University, Department of Economics, revised Apr 2006.
  4. van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans, 2000. "Smooth Transition Autoregressive Models - A Survey of Recent Developments," Working Paper Series in Economics and Finance 380, Stockholm School of Economics, revised 17 Jan 2001.
  5. Frédéric Karamé, 2012. "An Algorithm for Generalized Impulse-Response Functions in Markov-Switching Structural VAR," Documents de recherche 12-04, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  6. Pan, Suwen & Mohanty, Samarendu & Fadiga, Mohamadou L., 2003. "Price Relationships In The U.S. Fiber Markets: Its Implications For Cotton Industry," 2003 Annual meeting, July 27-30, Montreal, Canada 22138, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  7. Mototsugu Shintani, 2002. "A Nonparametric Measure of Convergence Toward Purchasing Power Parity," Vanderbilt University Department of Economics Working Papers 0219, Vanderbilt University Department of Economics, revised Jul 2004.
  8. T. Panagiotidis & G. Pelloni & W. Polasek, 2003. "Macroeconomic Effects of Reallocation Shocks: A Generalised Impulse Reponse Function Analysis for Three European Countries," Working Papers 505, Dipartimento Scienze Economiche, Universita' di Bologna.
  9. Diego Valderrama, 2002. "Statistical nonlinearities in the business cycle: a challenge for the canonical RBC model," Working Paper Series 2002-13, Federal Reserve Bank of San Francisco.
  10. Lars Peter Hansen & Jaroslav Borovicka & Mark Hendricks & Jose A. Scheinkman, 2010. "Risk Price Dynamics," Working Papers 2010-004, Becker Friedman Institute for Research In Economics.
  11. Kim, Sei-Wan & Mollick, André V. & Nam, Kiseok, 2008. "Common nonlinearities in long-horizon stock returns: Evidence from the G-7 stock markets," Global Finance Journal, Elsevier, vol. 19(1), pages 19-31.
  12. Alfred A. Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Working Papers 0707, University of Otago, Department of Economics, revised Apr 2007.
  13. Oscar Jorda, 2004. "Model-Free Impulse Responses," Macroeconomics 0403016, EconWPA.
  14. Lan, Hong & Meyer-Gohde, Alexander, 2013. "Solving DSGE models with a nonlinear moving average," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2643-2667.
  15. van Dijk, Dick & Hans Franses, Philip & Peter Boswijk, H., 2007. "Absorption of shocks in nonlinear autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4206-4226, May.
  16. Michael Fratantoni & Scott Schuh, 2000. "Monetary policy, housing investment, and heterogeneous regional markets," Working Papers 00-1, Federal Reserve Bank of Boston.
  17. El-Gamal, Mahmoud A. & Ryu, Deockhyun, 2006. "Short-memory and the PPP hypothesis," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 361-391, March.
  18. Roberto Steri & Lukas Schmid, 2013. "Dynamic Corporate Liquidiy," 2013 Meeting Papers 1266, Society for Economic Dynamics.
  19. Baum, Anja & Koester, Gerrit B., 2011. "The impact of fiscal policy on economic activity over the business cycle - evidence from a threshold VAR analysis," Discussion Paper Series 1: Economic Studies 2011,03, Deutsche Bundesbank, Research Centre.
  20. Jonathan B. Hill, 2004. "Strong Orthogonal Decompositions and Nonlinear Impulse Response Functions for Infinite-Variance Processes," Working Papers 0408, Florida International University, Department of Economics.
  21. Richard A. Ashley & Randall J. Verbrugge., 2006. "Mis-Specification in Phillips Curve Regressions: Quantifying Frequency Dependence in This Relationship While Allowing for Feedback," Working Papers e06-11, Virginia Polytechnic Institute and State University, Department of Economics.
  22. Hyeongwoo Kim & Deockhyun Ryu, 2013. "A Nonparametric Study of Real Exchange Rate Persistence over a Century," Auburn Economics Working Paper Series auwp2013-08, Department of Economics, Auburn University.
  23. Jens Hogrefe & Nils Jannsen & Carsten-Patrick Meier, 2010. "The Ugly and the Bad: Banking and Housing Crises Strangle Output Permanently, Ordinary Recessions Do Not," Kiel Working Papers 1586, Kiel Institute for the World Economy.
  24. Fanelli, Luca & Paruolo, Paolo, 2007. "Speed of Adjustment in Cointegrated Systems," MPRA Paper 9174, University Library of Munich, Germany.
  25. Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March.
  26. Chavas, Jean-Paul & Mehta, Aashish, 2002. "Price Dynamics in a Vertical Sector: The Case of Butter," Staff Paper Series 452, University of Wisconsin, Agricultural and Applied Economics.
  27. Chen, Show-Lin & Wu, Jyh-Lin, 2011. "Home bias and the persistence of real exchange rates," Economic Modelling, Elsevier, vol. 28(1-2), pages 55-59, January.
  28. Stefano Puddu, 2013. "Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach," IRENE Working Papers 13-01, IRENE Institute of Economic Research.
  29. Bask, Mikael & Widerberg, Anna, 2007. "The Stability and Volatility of Electricity Prices: An Illustration of (lambda, sigma-2) Analysis," Working Papers in Economics 267, University of Gothenburg, Department of Economics.
  30. Paul Castillo & Luis Maertens Odria & Gabriel Rodríguez, 2011. "Does The Exchange Rate Pass-Through Into Prices Change When Inflation Targeting Is Adopted? The Peruvian Case Study Between 1994 And 2007," Documentos de Trabajo 2011-314, Departamento de Economía - Pontificia Universidad Católica del Perú.
  31. Davig, Troy, 2004. "Regime-switching debt and taxation," Journal of Monetary Economics, Elsevier, vol. 51(4), pages 837-859, May.
  32. Richard A. Ashley. & Randall J. Verbrugge., 2006. "Mis-Specification and Frequency Dependence in a New Keynesian Phillips Curve," Working Papers e06-12, Virginia Polytechnic Institute and State University, Department of Economics.
  33. Octavio Fern?ndez-Amador & Josef Baumgartner & Jes?s Crespo-Cuaresma, 2010. "Milking The Prices: The Role of Asymmetries in the Price Transmission Mechanism for Milk Products in Austria," Working Papers 2010-21, Faculty of Economics and Statistics, University of Innsbruck.
  34. Ana Beatriz Galvao & Massimiliano Marcellino, 2010. "Endogenous Monetary Policy Regimes and the Great Moderation," Economics Working Papers ECO2010/22, European University Institute.
  35. Allan D. Brunner, 1994. "On the dynamic properties of asymmetric models of real GNP," International Finance Discussion Papers 489, Board of Governors of the Federal Reserve System (U.S.).
  36. Pelloni, Gianluigi & Panagiotidis, Theodore, 2003. "Macroeconomic Effects of Reallocation Shock: A Generalished Impulse Response Function Analysis for Three European Countries," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 18, pages 794-816.
  37. Sen Dong, 2006. "Monetary Policy Rules and Exchange Rates:A Structural VAR Identified by No Arbitrage," 2006 Meeting Papers 875, Society for Economic Dynamics.
  38. Berument, Hakan & Yalcin, Yeliz & Yildirim, Julide, 2009. "The effect of inflation uncertainty on inflation: Stochastic volatility in mean model within a dynamic framework," Economic Modelling, Elsevier, vol. 26(6), pages 1201-1207, November.
  39. Bask, Mikael & Widerberg, Anna, 2008. "Market Structure and the Stability and Volatility of Electricity Prices," Working Papers in Economics 327, University of Gothenburg, Department of Economics.
  40. Gonzalo, Jesus & Martinez, Oscar, 2006. "Large shocks vs. small shocks. (Or does size matter? May be so.)," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 311-347.
  41. Potter, Simon M, 1999. " Nonlinear Time Series Modelling: An Introduction," Journal of Economic Surveys, Wiley Blackwell, vol. 13(5), pages 505-28, December.
  42. Jean-Paul Chavas & Kwansoo Kim, 2006. "An econometric analysis of the effects of market liberalization on price dynamics and price volatility," Empirical Economics, Springer, vol. 31(1), pages 65-82, March.
  43. Pablo Mejia-Reyes & Denise Osborn & Marianne Sensier, 2010. "Modelling real exchange rate effects on output performance in Latin America," Applied Economics, Taylor & Francis Journals, vol. 42(19), pages 2491-2503.
  44. Berument, M. Hakan & Yalcin, Yeliz & Yildirim, Julide, 2012. "Inflation and inflation uncertainty: A dynamic framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4816-4826.
  45. Chen, Show-Lin & Tsai, Li-Ju & Wu, Jyh-Lin, 2004. "A revisit to liquidity effects--evidence from a non-linear approach," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 501-517, September.
  46. Bask, Mikael, 2010. "Measuring potential market risk," Journal of Financial Stability, Elsevier, vol. 6(3), pages 180-186, September.
  47. Iwata, Shigeru & Wu, Shu, 2006. "Estimating monetary policy effects when interest rates are close to zero," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1395-1408, October.
  48. Diego Valderrama, 2003. "Statistical Nonlinearities in the Business Cycle," Computing in Economics and Finance 2003 219, Society for Computational Economics.
  49. Rahman, Sajjadur & Serletis, Apostolos, 2010. "The asymmetric effects of oil price and monetary policy shocks: A nonlinear VAR approach," Energy Economics, Elsevier, vol. 32(6), pages 1460-1466, November.
  50. Ming Chien Lo & James Morley, 2013. "Bayesian Analysis of Nonlinear Exchange Rate Dynamics and the Purchasing Power Parity Persistence Puzzle," Discussion Papers 2013-05, School of Economics, The University of New South Wales.
  51. Venetis, Ioannis A. & Paya, Ivan & Peel, David A., 2007. "Deterministic impulse response in a nonlinear model. An analytical expression," Economics Letters, Elsevier, vol. 95(3), pages 315-319, June.
  52. Shu Wu & Shigeru Iwata, 2004. "Estimating Monetary Policy Effects When Interest Rates are Bounded at Zero," Econometric Society 2004 Far Eastern Meetings 478, Econometric Society.