Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C1: Econometric and Statistical Methods and Methodology: General
/ / / C11: Bayesian Analysis: General

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This JEL code is mentioned in the following RePEc Biblio entries:

1. Bayesian Vector autoregressions (BVARs)

2022

• Svatopluk Kapounek & Zuzana Kučerová & Evžen Kočenda, 2022, "Selective Attention in Exchange Rate Forecasting," Journal of Behavioral Finance, Taylor & Francis Journals, volume 23, issue 2, pages 210-229, May, DOI: 10.1080/15427560.2020.1865355.
• Mengheng Li & Marcel Scharth, 2022, "Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 40, issue 1, pages 285-301, January, DOI: 10.1080/07350015.2020.1806853.
• Yiu Lim Lui & Weilin Xiao & Jun Yu, 2022, "The Grid Bootstrap for Continuous Time Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 40, issue 3, pages 1390-1402, June, DOI: 10.1080/07350015.2021.1930014.
• Lutz Kilian, 2022, "Comment on Giacomini, Kitagawa, and Read’s “Narrative Restrictions and Proxies”," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 40, issue 4, pages 1429-1433, October, DOI: 10.1080/07350015.2022.2102022.
• Rubén Loaiza-Maya & Didier Nibbering, 2022, "Scalable Bayesian Estimation in the Multinomial Probit Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 40, issue 4, pages 1678-1690, October, DOI: 10.1080/07350015.2021.1961788.
• Wei Huang & Oliver Linton & Zheng Zhang, 2022, "A Unified Framework for Specification Tests of Continuous Treatment Effect Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 40, issue 4, pages 1817-1830, October, DOI: 10.1080/07350015.2021.1981915.
• Young Min Kim & Seojin Lee, 2022, "Korean exchange rate forecasts using Bayesian variable selection," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, volume 29, issue 4, pages 1045-1062, July, DOI: 10.1080/16081625.2019.1653777.
• Ivan Huljak & Reiner Martin & Diego Moccero & Cosimo Pancaro, 2022, "Do non-performing loans matter for bank lending and the business cycle in euro area countries?," Journal of Applied Economics, Taylor & Francis Journals, volume 25, issue 1, pages 1050-1080, December, DOI: 10.1080/15140326.2022.2094668.
• Nguyen, BH & Zhang, Bo, 2022, "Forecasting oil Prices: can large BVARs help?," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2022-04.
• Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman van Dijk, 2022, "A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-013/III, Feb.
• Giuseppe De Luca & Jan Magnus & Franco Peracchi, 2022, "Asymptotic properties of the weighted average least squares (WALS) estimator," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-022/III, Feb.
• Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2022, "A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 22-053/III, Aug.
• Mike Gilraine & Jiaying Gu & Robert McMillan, 2022, "A Nonparametric Approach for Studying Teacher Impacts," Working Papers, University of Toronto, Department of Economics, number tecipa-716, Jan.
• Chih-Sheng Hsieh & Michael D. Konig & Xiaodong Liu, 2022, "A Structural Model for the Coevolution of Networks and Behavior," The Review of Economics and Statistics, MIT Press, volume 104, issue 2, pages 355-367, May, DOI: 10.1162/rest_a_00958.
• Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022, "A Model of the Fed's View on Inflation," The Review of Economics and Statistics, MIT Press, volume 104, issue 4, pages 686-704, October, DOI: 10.1162/rest_a_00974.
• Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2022, "Energy Markets and Global Economic Conditions," The Review of Economics and Statistics, MIT Press, volume 104, issue 4, pages 828-844, October, DOI: 10.1162/rest_a_00977.
• Décamps, Jean-Paul & Villeneuve, Stéphane, 2022, "Learning about profitability and dynamic cash management," TSE Working Papers, Toulouse School of Economics (TSE), number 22-1301, Feb.
• Behnam Azhdari & Jean Bonnet & Sébastien Bourdin, 2022, "Towards a Causal Model and Causal Inference of Regional Entrepreneurship Development Index, its antecedents and outcomes in European regions," Economics Working Paper Archive (University of Rennes & University of Caen), Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS, number 2022-06, Sep.
• Tuncer Murathan & Akbulut Nesrin & Turhan Miraç Savaş & Ari Yakup, 2022, "Time-Varying Network Connectedness Between the Organizational Ecology of Transportation and Storage Firms and Macroeconomic Variables," Folia Oeconomica Stetinensia, Sciendo, volume 22, issue 2, pages 209-223, December, DOI: 10.2478/foli-2022-0027.
• Sulejmani Artan & Tevdovski Dragan, 2022, "How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances," South East European Journal of Economics and Business, Sciendo, volume 17, issue 1, pages 1-13, June, DOI: 10.2478/jeb-2022-0001.
• Andrzej Kocięcki & Tomasz Łyziak & Ewa Stanisławska, 2022, "Subjective Expectations and Uncertainty," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2022-10.
• Castaing,Pauline & Gazeaud,Jules, 2022, "Do Index Insurance Programs Live Up to Their Promises ? Aggregating Evidence from Multiple Experiments," Policy Research Working Paper Series, The World Bank, number 10161, Sep.
• Timothy B. Armstrong & Michal Kolesár & Mikkel Plagborg‐Møller, 2022, "Robust Empirical Bayes Confidence Intervals," Econometrica, Econometric Society, volume 90, issue 6, pages 2567-2602, November, DOI: 10.3982/ECTA18597.
• Malin Gardberg & Lorenzo Pozzi, 2022, "Aggregate consumption and wealth in the long run: The impact of financial liberalization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 37, issue 1, pages 161-186, January, DOI: 10.1002/jae.2870.
• Martijn van Hasselt & Christopher R. Bollinger & Jeremy W. Bray, 2022, "A Bayesian approach to account for misclassification in prevalence and trend estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 37, issue 2, pages 351-367, March, DOI: 10.1002/jae.2879.
• Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2022, "An automated prior robustness analysis in Bayesian model comparison," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 37, issue 3, pages 583-602, April, DOI: 10.1002/jae.2889.
• Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022, "Macroeconomic forecasting in a multi‐country context," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 37, issue 6, pages 1230-1255, September, DOI: 10.1002/jae.2923.
• Badi H. Baltagi & Peter H. Egger & Michaela Kesina, 2022, "Bayesian estimation of multivariate panel probits with higher‐order network interdependence and an application to firms' global market participation in Guangdong," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 37, issue 7, pages 1356-1378, November, DOI: 10.1002/jae.2934.
• Na Guo & Bo Zhang & Jamie L. Cross, 2022, "Time‐varying trend models for forecasting inflation in Australia," Journal of Forecasting, John Wiley & Sons, Ltd., volume 41, issue 2, pages 316-330, March, DOI: 10.1002/for.2814.
• Oguzhan Cepni & Riza Demirer & Rangan Gupta & Ahmet Sensoy, 2022, "Interest rate uncertainty and the predictability of bank revenues," Journal of Forecasting, John Wiley & Sons, Ltd., volume 41, issue 8, pages 1559-1569, December, DOI: 10.1002/for.2884.
• Martin Mandler & Michael Scharnagl & Ute Volz, 2022, "Heterogeneity in Euro Area Monetary Policy Transmission: Results from a Large Multicountry BVAR Model," Journal of Money, Credit and Banking, Blackwell Publishing, volume 54, issue 2-3, pages 627-649, March, DOI: 10.1111/jmcb.12859.
• Neville Francis & Michael T. Owyang & Daniel Soques, 2022, "Business Cycles across Space and Time," Journal of Money, Credit and Banking, Blackwell Publishing, volume 54, issue 4, pages 921-952, June, DOI: 10.1111/jmcb.12860.
• Hirokuni Iiboshi & Mototsugu Shintani & Kozo Ueda, 2022, "Estimating a Nonlinear New Keynesian Model with the Zero Lower Bound for Japan," Journal of Money, Credit and Banking, Blackwell Publishing, volume 54, issue 6, pages 1637-1671, September, DOI: 10.1111/jmcb.12908.
• Joshua C. C. Chan, 2022, "Asymmetric conjugate priors for large Bayesian VARs," Quantitative Economics, Econometric Society, volume 13, issue 3, pages 1145-1169, July, DOI: 10.3982/QE1381.
• Jinshun Wu & Taps Maiti, 2022, "A Frequency-Domain Analysis Of Medium-Scale Dsge Models," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 67, issue 06, pages 1951-1986, December, DOI: 10.1142/S0217590822500229.
• Chen Zhang & Ying Fang & Linlin Niu, 2022, "Changing anchor of the renminbi: A Bayesian learning approach to the decade-long transition," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2022-08-24, Aug.
• Nyholm, Juho & Silvo, Aino, 2022, "A model for predicting Finnish household loan stocks," BoF Economics Review, Bank of Finland, number 4/2022.
• Hartwig, Benny, 2022, "Bayesian VARs and prior calibration in times of COVID-19," Discussion Papers, Deutsche Bundesbank, number 52/2022.
• Hauber, Philipp, 2022, "Real-time nowcasting with sparse factor models," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 251551.
• Yang, Zheyu, 2022, "Risk-taking and monetary policy," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 263253.
• Diegel, Max, 2022, "Time-varying credibility, anchoring and the Fed's inflation target," Discussion Papers, Free University Berlin, School of Business & Economics, number 2022/9, DOI: 10.17169/refubium-36967.
• Böhl, Gregor, 2022, "Ensemble MCMC sampling for robust Bayesian inference," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 177.
• Prüser, Jan & Blagov, Boris, 2022, "Improving inference and forecasting in VAR models using cross-sectional information," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 960, DOI: 10.4419/96973124.
• Pablo Garcia, 2022, "Learning, Uncertainty and Monetary Policy," Annals of Economics and Statistics, GENES, issue 145, pages 5-28, DOI: https://doi.org/10.2307/48655900.
• Christian Gourieroux & Joann Jasiak, 2022, "Long Run Predictions," Annals of Economics and Statistics, GENES, issue 145, pages 75-90, DOI: https://doi.org/10.2307/48655902.
• Pelin Akyol & James Key & Kala Krishna, 2022, "Hit or Miss? Test Taking Behavior in Multiple Choice Exams," Annals of Economics and Statistics, GENES, issue 147, pages 3-50, DOI: https://doi.org/10.2307/48684785.
• Jeffrey Mensch, 2022, "Screening Inattentive Buyers," American Economic Review, American Economic Association, volume 112, issue 6, pages 1949-1984, June, DOI: 10.1257/aer.20201098.
• Beverly, Joshua P. & Neill, Clinton L. & Stewart, Shamar, 2022, "The Dynamics of Labor Force Participation: All Quiet on the Appalachian Front?," 2022 Annual Meeting, July 31-August 2, Anaheim, California, Agricultural and Applied Economics Association, number 322258, Aug, DOI: 10.22004/ag.econ.322258.
• Casoli, Chiara & Manera, Matteo & Valenti, Daniele, , "Energy shocks in the Euro area: disentangling the pass-through from oil and gas prices to inflation," FEEM Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 329739, DOI: 10.22004/ag.econ.329739.
• Ahmadi, Maryam & Casoli, Chiara & Manera, Matteo & Valenti, Daniele, , "Modelling the effects of climate change on economic growth: a Bayesian Structural Global Vector Autoregressive approach," FEEM Working Papers, Fondazione Eni Enrico Mattei (FEEM), number 329740, DOI: 10.22004/ag.econ.329740.
• Yakup Arı, 2022, "TVP-VAR Based CARR-Volatility Connectedness: Evidence from The Russian-Ukraine Conflict," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, volume 7, issue 3, pages 590-607, DOI: 10.30784/epfad.1138999.
• Edwin Fourrier-Nicolai & Michel Lubrano, 2022, "Bayesian inference for non-anonymous Growth Incidence Curves using Bernstein polynomials: an application to academic wage dynamics," AMSE Working Papers, Aix-Marseille School of Economics, France, number 2227, Dec.
• Majda Benzidia & Michel Lubrano & Paolo Melindi-Ghidi, 2022, "Education Politics, Schooling Choice and Public School Quality: The Impact of Income Polarisation," AMSE Working Papers, Aix-Marseille School of Economics, France, number 2229, Dec.
• Akbobek Akhmedyarova, 2022, "The housing market in a DSGE model for Kazakhstan," NAC Analytica Working Paper, NAC Analytica, Nazarbayev University, number 25, Sep, revised Mar 2023.
• Tomáš Karel & Petr Mazouch & Jakub Fischer, 2022, "The economic impact of false positivity of COVID-19 PCR testing in the Czech Republic," International Journal of Economic Sciences, European Research Center, volume 11, issue 1, pages 37-46, April.
• Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022, "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Papers, arXiv.org, number 2201.05556, Jan, revised Mar 2023.
• Joshua C. C. Chan, 2022, "Large Hybrid Time-Varying Parameter VARs," Papers, arXiv.org, number 2201.07303, Jan, revised Jun 2022.
• Marko Mlikota & Frank Schorfheide, 2022, "Sequential Monte Carlo With Model Tempering," Papers, arXiv.org, number 2202.07070, Feb.
• Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino, 2022, "Forecasting US Inflation Using Bayesian Nonparametric Models," Papers, arXiv.org, number 2202.13793, Feb.
• Dimitris Korobilis, 2022, "A new algorithm for structural restrictions in Bayesian vector autoregressions," Papers, arXiv.org, number 2206.06892, Jun.
• Joshua C. C. Chan & Xuewen Yu, 2022, "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Papers, arXiv.org, number 2206.08438, Jun.
• Marcos R. Fernandes, 2022, "Confirmation Bias in Social Networks," Papers, arXiv.org, number 2207.12594, Jul, revised Feb 2023.
• Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2022, "Bayesian Modeling of TVP-VARs Using Regression Trees," Papers, arXiv.org, number 2209.11970, Sep, revised May 2023.
• Ramis Khabibullin & Sergei Seleznev, 2022, "Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference," Papers, arXiv.org, number 2210.07154, Oct.
• Niko Hauzenberger & Florian Huber & Karin Klieber & Massimiliano Marcellino, 2022, "Bayesian Neural Networks for Macroeconomic Analysis," Papers, arXiv.org, number 2211.04752, Nov, revised Apr 2024.
• Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022, "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers, arXiv.org, number 2212.03471, Dec, revised Jul 2023.
• Dimitris Korobilis & Maximilian Schroder, 2022, "Probabilistic Quantile Factor Analysis," Papers, arXiv.org, number 2212.10301, Dec, revised Aug 2024.
• Jack Jewson & Li Li & Laura Battaglia & Stephen Hansen & David Rossell & Piotr Zwiernik, 2022, "Graphical model inference with external network data," CeMMAP working papers, Institute for Fiscal Studies, number 20/22, Nov, DOI: 10.47004/wp.cem.2022.2022.
• Cars Hommes & Kostas Mavromatis & Tolga Özden & Mei Zhu, 2022, "Behavioral Learning Equilibria in New Keynesian Models," Staff Working Papers, Bank of Canada, number 22-42, Sep, DOI: 10.34989/swp-2022-42.
• Mario Alloza & Danilo Leiva-León & Alberto Urtasun, 2022, "La respuesta de la inversión privada a un incremento de la inversión pública," Boletín Económico, Banco de España, issue 2/2022.
• Mario Alloza & Danilo Leiva-León & Alberto Urtasun, 2022, "The response of private investment to an increase in public investment," Economic Bulletin, Banco de España, issue 2/2022.
• Carlos Montes-Galdón & Eva Ortega, 2022, "Skewed SVARs: tracking the structural sources of macroeconomic tail risks," Working Papers, Banco de España, number 2208, Mar.
• Luis J. Álvarez & Florens Odendahl, 2022, "Data outliers and Bayesian VARs in the Euro Area," Working Papers, Banco de España, number 2239, Nov, DOI: https://doi.org/10.53479/23552.
• Stéphane Lhuissier, 2022, "Financial Conditions and Macroeconomic Downside Risks in the Euro Area," Working papers, Banque de France, number 863.
• Oleg Kryzhanovsky & Alexander Zykov, 2022, "DEMUR: A Regional Semi-Structural Model of the Ural Macroregion," Russian Journal of Money and Finance, Bank of Russia, volume 81, issue 4, pages 52-85, December.
• Ramis Khabibullin & Sergei Seleznev, 2022, "Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference," Bank of Russia Working Paper Series, Bank of Russia, number wps104, Dec.
• Siddhartha Chib & Minchul Shin & Anna Simoni, 2022, "Bayesian estimation and comparison of conditional moment models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 84, issue 3, pages 740-764, July, DOI: 10.1111/rssb.12484.
• Chunping Liu & Zhirong Ou, 2022, "Revisiting the determinants of house prices in China’s megacities: Cross‐sectional heterogeneity, interdependencies and spillovers," Manchester School, University of Manchester, volume 90, issue 3, pages 255-277, June, DOI: 10.1111/manc.12397.
• Sergio Marcelo Cerezo Aguirre & Angélica Calle Sarmiento & Coria Vidal Choque Atto & Valeria Fernanda Jemio Hurtado & Joab Dan Valdivia, 2022, "Efectos del COVID-19 en la actividad económica de Bolivia," Revista de Análisis del BCB, Banco Central de Bolivia, volume 37, issue 1, pages 9-56, July - De.
• Robin Braun & Ralf Brüggemann, 2022, "Identification of SVAR models by combining sign restrictions with external instruments," Bank of England working papers, Bank of England, number 961, Feb.
• Takushi Kurozumi & Ryohei Oishi, 2022, "A Comparison of Japanese and US New Keynesian Phillips Curves with Bayesian VAR-GMM," Bank of Japan Working Paper Series, Bank of Japan, number 22-E-3, Mar.
• Gregor Boehl & Felix Strobel, 2022, "The Empirical Performance of Financial Frictions since 2008," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2022_353, Jun.
• Gregor Boehl, 2022, "Ensemble MCMC Sampling for DSGE Models," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2022_355, Jun.
• Gregor Boehl, Felix Strobel, 2022, "Estimation of DSGE Models With the Effective Lower Bound," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2022_356, Jun.
• Li Mengheng & Mendieta-Muñoz Ivan, 2022, "Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 26, issue 3, pages 337-359, June, DOI: 10.1515/snde-2020-0027.
• Murasawa Yasutomo, 2022, "Bayesian multivariate Beveridge–Nelson decomposition of I(1) and I(2) series with cointegration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 26, issue 3, pages 387-415, June, DOI: 10.1515/snde-2020-0049.
• Sara Boni & Francesco Ravazzolo, 2022, "A Structural Analysis of Unemployment-Generating Supply Shocks with an Application to the US Pharmaceutical Industry," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS94, Jun.
• Rastislav Rehak, 2022, "Sequential Sampling Beyond Decisions? A Normative Model of Decision Confidence," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp739, Nov.
• Badi H. Baltagi & Peter H. Egger & Michaela Kesina, 2022, "Bayesian Estimation of Multivariate Panel Probits with Higher-Order Network Interdependence and an Application to Firms' Global Market Participation in Guangdong," CESifo Working Paper Series, CESifo, number 9579.
• Salvatore Nunnari & Massimiliano Pozzi, 2022, "Meta-Analysis of Inequality Aversion Estimates," CESifo Working Paper Series, CESifo, number 9851.
• Gianluca Cafiso & Giulia Rivolta, 2022, "Monetary Interventions and the Rise of Non-Bank Lenders," CESifo Working Paper Series, CESifo, number 9949.
• Damir Filipović & Puneet Pasricha, 2022, "Empirical Asset Pricing via Ensemble Gaussian Process Regression," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-95, Dec.
• Sara D'Andrea, 2022, "Are there any robust determinants of growth in Europe? A Bayesian Model Averaging approach," International Economics, CEPII research center, issue 171, pages 143-173.
• Bai, Yu & Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2022, "Macroeconomic Forecasting in a Multi-country Context," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 16994, Feb.
• Mlikota, Marko & Schorfheide, Frank, 2022, "Sequential Monte Carlo With Model Tempering," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 17035, Feb.
• Chang, Minsu & Schorfheide, Frank, 2022, "On the Effects of Monetary Policy Shocks on Earnings and Consumption Heterogeneity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 17049, Feb.
• Hasenzagl, Thomas & Pellegrino, Filippo & Reichlin, Lucrezia & Ricco, Giovanni, 2022, "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 17111, Mar.
• Kase, Hanno & Melosi, Leonardo & Rottner, Matthias, 2022, "Estimating Nonlinear Heterogeneous Agents Models with Neural Networks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 17391, Jun.
• Clark, Todd & Huber, Florian & Koop, Gary & Marcellino, Massimiliano & Pfarrhofer, Michael, 2022, "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 17461, Jul.
• Childers, David & Fernández-Villaverde, Jesús & Perla, Jesse & Rackauckas, Chris & Wu, Peifan, 2022, "Differentiable State-Space Models and Hamiltonian Monte Carlo Estimation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 17576, Oct.
• Jewson, Jack & Li, Li & Battaglia, Laura & Hansen, Stephen & Rossell, David & Zwiernik, Piotr, 2022, "Graphical model inference with external network data," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 17638, Nov.
• Carriero, Andrea & Marcellino, Massimiliano & Tornese, Tommaso, 2022, "Blended Identification in Structural VARs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 17640, Nov.
• Hauzenberger, Niko & Huber, Florian & Marcellino, Massimiliano & Petz, Nico, 2022, "Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 17646, Nov.
• Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022, "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Working Papers, Center for Research in Economics and Statistics, number 2023-06, Mar.
• Boris Chafwehé & Charles de Beauffort & Rigas Oikonomou, 2022, "Optimal Monetary Policy Rules in the Fiscal Theory of the Price Level," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2022007, Mar.
• Boris Chafwehé & Charles de Beauffort & Rigas Oikonomou, 2022, "Optimal Monetary Policy Rules in the Fiscal Theory of the Price Level," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2022026, Nov.
• Boris Chafwehé & Rigas Oikonomou & Romanos Priftis & Lukas Vogel, 2022, "Optimal Monetary Policy with and without Debt," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2022027, Dec.
• Byron Botha & Rulof Burger & Kevin Kotze & Neil Rankin & Daan Steenkamp, 2022, "Big data forecasting of South African inflation," School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town, number 2022-03.
• Michael Sampson, 2022, "The Effect of Parameter Uncertainty on Consumption, Wealth, and Welfare," Annals of Economics and Finance, Society for AEF, volume 23, issue 1, pages 1-10, May.
• Chryso Aristidou & George Thucydides, 2022, "Historical decomposition of the Cyprus Residential Property Prices," Working Papers, Central Bank of Cyprus, number 2022-3, Oct.
• Stephanie Ettmeier, 2022, "No Taxation without Reallocation: The Distributional Effects of Tax Changes," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 2022.
• Hoffreumon, Charles & Labhard, Vincent, 2022, "Cross-country cross-technology digitalisation: a Bayesian hierarchical model perspective," Working Paper Series, European Central Bank, number 2700, Aug.
• Montes-Galdón, Carlos & Paredes, Joan & Wolf, Elias, 2022, "Conditional density forecasting: a tempered importance sampling approach," Working Paper Series, European Central Bank, number 2754, Dec.
• Mariam Camarero & Sergi Moliner & Cecilio Tamarit, 2022, "A fresh assessment of the euro effect on outward US FDI," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 2209, Oct.
• Pfarrhofer, Michael, 2022, "Modeling tail risks of inflation using unobserved component quantile regressions," Journal of Economic Dynamics and Control, Elsevier, volume 143, issue C, DOI: 10.1016/j.jedc.2022.104493.
• Chan, Joshua C.C. & Yu, Xuewen, 2022, "Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility," Journal of Economic Dynamics and Control, Elsevier, volume 143, issue C, DOI: 10.1016/j.jedc.2022.104505.
• Cardani, Roberta & Croitorov, Olga & Giovannini, Massimo & Pfeiffer, Philipp & Ratto, Marco & Vogel, Lukas, 2022, "The euro area’s pandemic recession: A DSGE-based interpretation," Journal of Economic Dynamics and Control, Elsevier, volume 143, issue C, DOI: 10.1016/j.jedc.2022.104512.
• Morita, Hiroshi, 2022, "On the relationship between fiscal multipliers and population aging in Japan: Theory and empirics," Economic Modelling, Elsevier, volume 108, issue C, DOI: 10.1016/j.econmod.2022.105772.
• Audzei, Volha & Brůha, Jan, 2022, "A model of the Euro area, China, and the United States: Trade links and trade wars," Economic Modelling, Elsevier, volume 111, issue C, DOI: 10.1016/j.econmod.2022.105831.
• Arce-Alfaro, Gabriel & Blagov, Boris, 2022, "Financial integration or financial fragmentation? A euro area perspective," Economic Modelling, Elsevier, volume 114, issue C, DOI: 10.1016/j.econmod.2022.105902.
• Büyükbaşaran, Tayyar & Karasoy-Can, Gökçe & Küçük, Hande, 2022, "Macroeconomic effects of bank lending in an emerging economy: Evidence from Turkey," Economic Modelling, Elsevier, volume 115, issue C, DOI: 10.1016/j.econmod.2022.105946.
• Chalmovianský, Jakub & Němec, Daniel, 2022, "Assessing uncertainty of output gap estimates: Evidence from Visegrad countries," Economic Modelling, Elsevier, volume 116, issue C, DOI: 10.1016/j.econmod.2022.105994.
• Zhang, Chen & Fang, Ying & Niu, Linlin, 2022, "Changing anchor of the renminbi: A Bayesian learning approach to the decade-long transition," Economic Modelling, Elsevier, volume 116, issue C, DOI: 10.1016/j.econmod.2022.106032.
• Boucher, Vincent & Dedewanou, F. Antoine & Dufays, Arnaud, 2022, "Peer-induced beliefs regarding college participation," Economics of Education Review, Elsevier, volume 90, issue C, DOI: 10.1016/j.econedurev.2022.102307.
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• Jin, Xin & Maheu, John M. & Yang, Qiao, 2022, "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, volume 228, issue 2, pages 302-321, DOI: 10.1016/j.jeconom.2021.10.010.
• Wan, Runqing & Fulop, Andras & Li, Junye, 2022, "Real-time Bayesian learning and bond return predictability," Journal of Econometrics, Elsevier, volume 230, issue 1, pages 114-130, DOI: 10.1016/j.jeconom.2020.04.052.
• Ando, Tomohiro & Bai, Jushan & Li, Kunpeng, 2022, "Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity," Journal of Econometrics, Elsevier, volume 230, issue 1, pages 20-38, DOI: 10.1016/j.jeconom.2020.11.013.
• Fan, Jianqing & Jiang, Bai & Sun, Qiang, 2022, "Bayesian factor-adjusted sparse regression," Journal of Econometrics, Elsevier, volume 230, issue 1, pages 3-19, DOI: 10.1016/j.jeconom.2020.06.012.
• Liu, Xiaobin & Li, Yong & Yu, Jun & Zeng, Tao, 2022, "Posterior-based Wald-type statistics for hypothesis testing," Journal of Econometrics, Elsevier, volume 230, issue 1, pages 83-113, DOI: 10.1016/j.jeconom.2021.11.003.
• Agudze, Komla M. & Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco, 2022, "Markov switching panel with endogenous synchronization effects," Journal of Econometrics, Elsevier, volume 230, issue 2, pages 281-298, DOI: 10.1016/j.jeconom.2021.04.004.
• De Luca, Giuseppe & Magnus, Jan R. & Peracchi, Franco, 2022, "Sampling properties of the Bayesian posterior mean with an application to WALS estimation," Journal of Econometrics, Elsevier, volume 230, issue 2, pages 299-317, DOI: 10.1016/j.jeconom.2021.04.008.
• Aruoba, S. Borağan & Mlikota, Marko & Schorfheide, Frank & Villalvazo, Sergio, 2022, "SVARs with occasionally-binding constraints," Journal of Econometrics, Elsevier, volume 231, issue 2, pages 477-499, DOI: 10.1016/j.jeconom.2021.07.013.
• Togonidze, Sophio & Kočenda, Evžen, 2022, "Macroeconomic responses of emerging market economies to oil price shocks: An analysis by region and resource profile," Economic Systems, Elsevier, volume 46, issue 3, DOI: 10.1016/j.ecosys.2022.100988.
• Tsionas, Mike G. & Izzeldin, Marwan & Trapani, Lorenzo, 2022, "Estimation of large dimensional time varying VARs using copulas," European Economic Review, Elsevier, volume 141, issue C, DOI: 10.1016/j.euroecorev.2021.103952.
• Lhuissier, Stéphane, 2022, "Financial conditions and macroeconomic downside risks in the euro area," European Economic Review, Elsevier, volume 143, issue C, DOI: 10.1016/j.euroecorev.2022.104046.
• Korobilis, Dimitris, 2022, "A new algorithm for structural restrictions in Bayesian vector autoregressions," European Economic Review, Elsevier, volume 148, issue C, DOI: 10.1016/j.euroecorev.2022.104241.
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• Fianu, Emmanuel Senyo & Ahelegbey, Daniel Felix & Grossi, Luigi, 2022, "Modeling risk contagion in the Italian zonal electricity market," European Journal of Operational Research, Elsevier, volume 298, issue 2, pages 656-679, DOI: 10.1016/j.ejor.2021.06.052.
• Ulm, M. & Hambuckers, J., 2022, "Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model," Journal of Empirical Finance, Elsevier, volume 65, issue C, pages 125-148, DOI: 10.1016/j.jempfin.2021.12.004.
• Kim, Jaeho & Linn, Scott C., 2022, "Price discovery under model uncertainty," Energy Economics, Elsevier, volume 107, issue C, DOI: 10.1016/j.eneco.2022.105833.
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• Tsionas, Mike G. & Philippas, Dionisis & Philippas, Nikolaos, 2022, "Multivariate stochastic volatility for herding detection: Evidence from the energy sector," Energy Economics, Elsevier, volume 109, issue C, DOI: 10.1016/j.eneco.2022.105964.
• Shi, Yukun & Stasinakis, Charalampos & Xu, Yaofei & Yan, Cheng, 2022, "Market co-movement between credit default swap curves and option volatility surfaces," International Review of Financial Analysis, Elsevier, volume 82, issue C, DOI: 10.1016/j.irfa.2022.102192.
• Shi, Yunkun & Stasinakis, Charalampos & Xu, Yaofei & Yan, Cheng & Zhang, Xuan, 2022, "Stock price default boundary: A Black-Cox model approach," International Review of Financial Analysis, Elsevier, volume 83, issue C, DOI: 10.1016/j.irfa.2022.102284.
• Hatoum, Khalil & Moussu, Christophe & Gillet, Roland, 2022, "CEO overconfidence: Towards a new measure," International Review of Financial Analysis, Elsevier, volume 84, issue C, DOI: 10.1016/j.irfa.2022.102367.
• Smith, Simon C., 2022, "Time-variation, multiple testing, and the factor zoo," International Review of Financial Analysis, Elsevier, volume 84, issue C, DOI: 10.1016/j.irfa.2022.102394.
• Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2022, "Predicting returns and dividend growth — The role of non-Gaussian innovations," Finance Research Letters, Elsevier, volume 46, issue PA, DOI: 10.1016/j.frl.2021.102315.
• Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2022, "The Relation between the High-Yield Bond Spread and the Unemployment Rate in the Euro Area," Finance Research Letters, Elsevier, volume 46, issue PA, DOI: 10.1016/j.frl.2021.102365.
• Gächter, Martin & Huber, Florian & Meier, Martin, 2022, "A shot for the US economy," Finance Research Letters, Elsevier, volume 47, issue PA, DOI: 10.1016/j.frl.2021.102638.
• Bakas, Dimitrios & Magkonis, Georgios & Oh, Eun Young, 2022, "What drives volatility in Bitcoin market?," Finance Research Letters, Elsevier, volume 50, issue C, DOI: 10.1016/j.frl.2022.103237.
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• Boratyńska, Agata & Zielińska-Kolasińska, Zofia, 2022, "Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves," Insurance: Mathematics and Economics, Elsevier, volume 105, issue C, pages 194-202, DOI: 10.1016/j.insmatheco.2022.04.001.
• Ang, Zi Qing & Lee, See Keong, 2022, "Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels," Insurance: Mathematics and Economics, Elsevier, volume 105, issue C, pages 54-63, DOI: 10.1016/j.insmatheco.2022.03.008.
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• D'Andrea, Sara, 2022, "Are there any robust determinants of growth in Europe? A Bayesian Model Averaging approach," International Economics, Elsevier, volume 171, issue C, pages 143-173, DOI: 10.1016/j.inteco.2022.06.001.
• Ajide, Kazeem Bello & Lanre Ibrahim, Ridwan, 2022, "Bayesian model averaging approach of the determinants of foreign direct investment in Africa," International Economics, Elsevier, volume 172, issue C, pages 91-105, DOI: 10.1016/j.inteco.2022.09.002.
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• Martin, Ian W.R. & Nagel, Stefan, 2022, "Market efficiency in the age of big data," Journal of Financial Economics, Elsevier, volume 145, issue 1, pages 154-177, DOI: 10.1016/j.jfineco.2021.10.006.
• Smith, Simon C. & Timmermann, Allan, 2022, "Have risk premia vanished?," Journal of Financial Economics, Elsevier, volume 145, issue 2, pages 553-576, DOI: 10.1016/j.jfineco.2021.08.019.
• Albouy, David & Shin, Minchul, 2022, "A statistical learning approach to land valuation: Optimizing the use of external information," Journal of Housing Economics, Elsevier, volume 58, issue PA, DOI: 10.1016/j.jhe.2022.101873.
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• Germaschewski, Yin & Wang, Shu-Ling, 2022, "Fiscal stabilization in high-debt economies without monetary independence," Journal of Macroeconomics, Elsevier, volume 72, issue C, DOI: 10.1016/j.jmacro.2022.103398.
• Ferreira, Leonardo N., 2022, "Forward guidance matters: Disentangling monetary policy shocks," Journal of Macroeconomics, Elsevier, volume 73, issue C, DOI: 10.1016/j.jmacro.2022.103423.
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• Osmar Bolivar, 2022, "Fiscal Multipliers: Empirical Evidence for a Cost-Effective Allocation of Public Investment," Cuadernos de Investigación Económica Boliviana, Ministerio de Economía y Finanzas Públicas de Bolivia, volume 5, issue 2, pages 1-28, December.
• Valeria Jemio, 2022, "El Rol del Sector Informal en Bolivia: Una Primera Mirada a Través de un Enfoque de Equilibrio General Dinámico Estocástico," Cuadernos de Investigación Económica Boliviana, Ministerio de Economía y Finanzas Públicas de Bolivia, volume 5, issue 2, pages 65-116, Diciembre.
• Osmar Bolivar, 2022, "Multiplicadores Fiscales: Evidencia Empírica para una Asignación Costo-Efectiva de la Inversión Pública," Cuadernos de Investigación Económica Boliviana, Ministerio de Economía y Finanzas Públicas de Bolivia, volume 5, issue 2, pages 7-64, Diciembre.
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• Badi H. Baltagi & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2022, "Robust Dynamic Panel Data Models Usingε-Contamination," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology", DOI: 10.1108/S0731-90532021000043B013.
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