Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ C: Mathematical and Quantitative Methods
/ / C3: Multiple or Simultaneous Equation Models; Multiple Variables
/ / / C32: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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

1. Estimated DSGE Models
2. Forecasting with DSGE Models
3. Nowcasting
4. Sign Restrictions
5. Bayesian Vector autoregressions (BVARs)
6. Dynamic Factor Models

2005

• Chevillon, Guillaume & Hendry, David F., 2005, "Non-parametric direct multi-step estimation for forecasting economic processes," International Journal of Forecasting, Elsevier, volume 21, issue 2, pages 201-218.
• Rua, Antonio & Nunes, Luis C., 2005, "Coincident and leading indicators for the euro area: A frequency band approach," International Journal of Forecasting, Elsevier, volume 21, issue 3, pages 503-523.
• Harrison, Richard & Kapetanios, George & Yates, Tony, 2005, "Forecasting with measurement errors in dynamic models," International Journal of Forecasting, Elsevier, volume 21, issue 3, pages 595-607.
• Carvalho, Vasco M. & Harvey, Andrew C., 2005, "Growth, cycles and convergence in US regional time series," International Journal of Forecasting, Elsevier, volume 21, issue 4, pages 667-686.
• Caporale, Guglielmo Maria & Cipollini, Andrea & Demetriades, Panicos O., 2005, "Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity," Journal of International Money and Finance, Elsevier, volume 24, issue 1, pages 39-53, February.
• Brissimis, Sophocles N. & Sideris, Dimitris A. & Voumvaki, Fragiska K., 2005, "Testing long-run purchasing power parity under exchange rate targeting," Journal of International Money and Finance, Elsevier, volume 24, issue 6, pages 959-981, October.
• Cogley, Timothy, 2005, "How fast can the new economy grow? A Bayesian analysis of the evolution of trend growth," Journal of Macroeconomics, Elsevier, volume 27, issue 2, pages 179-207, June.
• Haug, Alfred A. & Karagedikli, Ozer & Ranchhod, Satish, 2005, "Monetary policy transmission mechanisms and currency unions: A vector error correction approach to a Trans-Tasman currency union," Journal of Policy Modeling, Elsevier, volume 27, issue 1, pages 55-74, February.
• Dufourt, Frederic, 2005, "Demand and productivity components of business cycles: Estimates and implications," Journal of Monetary Economics, Elsevier, volume 52, issue 6, pages 1089-1105, September.
• Zavkidjon Zavkiev, 2005, "Estimating A Model Of Inflation In Tajikistan," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2005-26, Dec.
• Raghbendra Jha, 2005, "Inflation Targeting In India: Issues And Prospects," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2005-27, Dec.
• Gary Koop & Roberto Leon-Gonzales & Rodney W Strachan, 2011, "Bayesian Inference in a Time Varying Cointegration Model," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2011-25, Aug.
• Joshua C C Chan & Gary Koop & Roberto Leon-Gonzales & Rodney W Strachan, 2011, "Time Varying Dimension Models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2011-28, Aug.
• Altissimo, Filippo & Mele, Antonio, 2005, "Simulated nonparametric estimation of dynamic models with applications to finance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24658, May.
• María-Dolores, Ramón & Vázquez Pérez, Jesús, 2005, "How Does the New Keynesian Monetary Model Fit in the U.S. and the Eurozone? an Indirect Inference Approach," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X, May.
• Timotheos Angelidis & Stavros Degiannakis, 2005, "Modeling risk for long and short trading positions," Journal of Risk Finance, Emerald Group Publishing Limited, volume 6, issue 3, pages 226-238, July, DOI: 10.1108/15265940510599838.
• Hafner, C.M. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2005, "Semi-Parametric Modelling of Correlation Dynamics," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2005-26, Jul.
• Harvey, A.C. & Trimbur, T.M. & van Dijk, H.K., 2005, "Trends and cycles in economic time series: A Bayesian approach," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2005-27, Jul.
• Strachan, R.W. & van Dijk, H.K., 2005, "Weakly informative priors and well behaved Bayes factors," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2005-40, Nov.
• Helmut Luetkepohl, 2005, "Structural Vector Autoregressive Analysis for Cointegrated Variables," Economics Working Papers, European University Institute, number ECO2005/02.
• Marcelo Resende, 2005, "Mergers and Acquisitions Waves in the U.K.: a Markov-Switching Approach," Economics Working Papers, European University Institute, number ECO2005/04.
• Ralf Brueggemann & Helmut Luetkepohl, 2005, "Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe," Economics Working Papers, European University Institute, number ECO2005/08.
• Dietmar Bauer & Martin Wagner, 2005, "Autoregressive Approximations of Multiple Frequency I(1) Processes," Economics Working Papers, European University Institute, number ECO2005/09.
• Helmut Luetkepohl, 2005, "Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models," Economics Working Papers, European University Institute, number ECO2005/15.
• Markku Lanne & Helmut Luetkepohl, 2005, "Structural Vector Autoregressions with Nonnormal Residuals," Economics Working Papers, European University Institute, number ECO2005/25.
• Agostinho S. Rosa, 2005, "Inflação e Défice Orçamental: Que Relação em Portugal?," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 17_2005.
• Antonio Cosma & Olivier Scaillet & Rainer von Sachs, 2005, "Multiariate Wavelet-based sahpe preserving estimation for dependant observation," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp144, May.
• Daniel Stavárek, 2005, "Stock Prices and Exchange Rates in the EU and the United States: Evidence on their Mutual Interactions (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 55, issue 3-4, pages 141-161, March.
• Aleš Bulíø, 2005, "Liberalized Markets Have More Stable Exchange Rates: Short-Run Evidence from Four Transition Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 55, issue 5-6, pages 206-231, May.
• Jerome Creel & Paola Monperrus-Veroni & Francesco Saraceno, 2005, "Discretionary Policy Interactions and the Fiscal Theory of the Price Level: A SVAR Analysis on French Data," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2005-12.
• Michael McAleer & Riaz Shareef & Bernardo da Veiga, 2005, "Risk Management of Daily Tourist Tax Revenues for the Maldives," Working Papers, Fondazione Eni Enrico Mattei, number 2005.137, Oct.
• Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005, "Estimating the stochastic discount factor without a utility function," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 583, Mar.
• Athanasopoulos, George & Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2005, "Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 589, Apr.
• Franco Neto, Afonso Arinos de Mello & Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2005, "The welfare cost of macroeconomic uncertainty in the post-war period," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 605, Dec.
• James M. Nason & Gregor W. Smith, 2005, "Identifying the New Keynesian Phillips curve," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2005-01.
• Marco Del Negro & Frank Schorfheide, 2005, "Monetary policy analysis with potentially misspecified models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2005-26.
• Neville Francis & Michael T. Owyang & Jennifer E. Roush, 2005, "A Flexible Finite-Horizon Identification of Technology Shocks," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 832.
• Andrew Ang & Joseph Chen & Yuhang Xing, 2005, "Downside risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
• Neville Francis & Michael T. Owyang & Athena T. Theodorou, 2005, "What explains the varying monetary response to technology shocks in G-7 countries?," Working Papers, Federal Reserve Bank of St. Louis, number 2004-002, DOI: 10.20955/wp.2004.002.
• Marco Del Negro & Frank Schorfheide, 2005, "Monetary policy analysis with potentially misspecified models," Working Papers, Federal Reserve Bank of Philadelphia, number 06-4.
• Carsten Trenkler*, 2005, "The Effects of Ignoring Level Shifts on Systems Cointegration Tests," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 89, issue 3, pages 281-301, August, DOI: 10.1007/s10182-005-0205-x.
• Jun Ho Yeo & Sung Ahn & David Holland, 2005, "Labor market behavior in Washington: A cointegration approach," The Annals of Regional Science, Springer;Western Regional Science Association, volume 39, issue 2, pages 317-335, June, DOI: 10.1007/s00168-004-0223-8.
• Joseph DeJuan & Marc Tomljanovich, 2005, "Income convergence across Canadian provinces in the 20th century: Almost but not quite there," The Annals of Regional Science, Springer;Western Regional Science Association, volume 39, issue 3, pages 567-592, September, DOI: 10.1007/s00168-004-0224-7.
• Thomas A. Knetsch, 2005, "Evaluating the German Inventory Cycle Using Data from the Ifo Business Survey," Contributions to Economics, Springer, in: Jan-Egbert Sturm & Timo Wollmershäuser, "Ifo Survey Data in Business Cycle and Monetary Policy Analysis", DOI: 10.1007/3-7908-1605-1_4.
• Michael Ehrmann, 2005, "Firm Size and Monetary Policy Transmission — Evidence from German Business Survey Data," Contributions to Economics, Springer, in: Jan-Egbert Sturm & Timo Wollmershäuser, "Ifo Survey Data in Business Cycle and Monetary Policy Analysis", DOI: 10.1007/3-7908-1605-1_7.
• Agustín García & Julián Ramajo, 2005, "Fiscal policy and private consumption behaviour: The Spanish case," Empirical Economics, Springer, volume 30, issue 1, pages 115-135, January, DOI: 10.1007/s00181-004-0223-7.
• Tung Liu & Lee C. Spector, 2005, "Dynamic employment adjustments over business cycles," Empirical Economics, Springer, volume 30, issue 1, pages 151-169, January, DOI: 10.1007/s00181-004-0226-4.
• Günter Coenen, 2005, "Asymptotic confidence bands for the estimated autocovariance and autocorrelation functions of vector autoregressive models," Empirical Economics, Springer, volume 30, issue 1, pages 65-75, January, DOI: 10.1007/s00181-004-0214-8.
• Jonas Nordström, 2005, "Dynamic and stochastic structures in tourism demand modeling," Empirical Economics, Springer, volume 30, issue 2, pages 379-392, September, DOI: 10.1007/s00181-005-0238-8.
• Alvaro Aguiar & Manuel Martins, 2005, "Testing the significance and the non-linearity of the Phillips trade-off in the Euro Area," Empirical Economics, Springer, volume 30, issue 3, pages 665-691, October, DOI: 10.1007/s00181-005-0250-z.
• Helmut Lütkepohl, 2005, "Vector Error Correction Models," Springer Books, Springer, chapter 6, "New Introduction to Multiple Time Series Analysis", DOI: 10.1007/978-3-540-27752-1_6.
• Helmut Lütkepohl, 2005, "Estimation of Vector Error Correction Models," Springer Books, Springer, chapter 7, "New Introduction to Multiple Time Series Analysis", DOI: 10.1007/978-3-540-27752-1_7.
• Håvard Hungnes, 2005, "Identifying Structural Breaks in Cointegrated VAR Models," Discussion Papers, Statistics Norway, Research Department, number 422, May.
• Hilde C. Bjørnland & Håvard Hungnes, 2005, "The commodity currency puzzle," Discussion Papers, Statistics Norway, Research Department, number 423, May.
• Melisso Boschi, 2005, "International financial contagion: evidence from the Argentine crisis of 2001-2002," Applied Financial Economics, Taylor & Francis Journals, volume 15, issue 3, pages 153-163, DOI: 10.1080/0960310042000306943.
• Claudio Morana, 2005, "The Japanese deflation: has it had real effects? Could it have been avoided?," Applied Economics, Taylor & Francis Journals, volume 37, issue 12, pages 1337-1352, DOI: 10.1080/00036840500166340.
• Hilde Bjørnland, 2005, "A stable demand for money despite financial crisis: the case of Venezuela," Applied Economics, Taylor & Francis Journals, volume 37, issue 4, pages 375-385, DOI: 10.1080/00036840412331315015.
• Dominique Guegan, 2005, "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, volume 24, issue 2, pages 113-149, DOI: 10.1081/ETC-200067887.
• Siv Taing & Andrew Worthington, 2005, "Return Relationships Among European Equity Sectors: A Comparative Analysis Across Selected Sectors in Small and Large Economies," Journal of Applied Economics, Taylor & Francis Journals, volume 8, issue 2, pages 371-388, November, DOI: 10.1080/15140326.2005.12040633.
• Zelal Aktas & Neslihan Kaya & Umit Ozlale, 2005, "The Price Puzzle in Emerging Markets : Evidence from the Turkish Economy Using Model Based Risk Premium Derived from Domestic Fundamentals," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 0502.
• Dick van Dijk & Haris Munandar & Christian M. Hafner, 2005, "The Euro Introduction and Non-Euro Currencies," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-044/4, May, revised 08 Jun 2006.
• Siem Jan Koopman & André Lucas & Robert Daniels, 2005, "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-060/4, Jun.
• Michel Beine & Charles S. Bos & Sebastian Laurent, 2005, "The Impact of Central Bank FX Interventions on Currency Components," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-103/4, Nov.
• Borus Jungbacker & Siem Jan Koopman, 2005, "On Importance Sampling for State Space Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-117/4, Dec.
• Frits Bijleveld & Jacques Commandeur & Phillip Gould & Siem Jan Koopman, 2005, "Model-based Measurement of Latent Risk in Time Series with Applications," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-118/4, Dec.
• Marco Del Negro & Frank Schorfheide, 2005, "Policy Predictions if the Model Does Not Fit," Journal of the European Economic Association, MIT Press, volume 3, issue 2-3, pages 434-443, 04/05.
• Annika Alexius & Mikael Carlsson, 2005, "Measures of Technology and the Business Cycle," The Review of Economics and Statistics, MIT Press, volume 87, issue 2, pages 299-307, May.
• Sandra Eickmeier & Joerg Breitung, 2005, "How Synchronized are Central and East European Economies with the Euro Area? Evidence from a Structural Factor model�," TWI Research Paper Series, Thurgauer Wirtschaftsinstitut, Universität Konstanz, number 14.
• Shushanik Papanyan, 2005, "The Dynamics of Permanent and Transitory Components in International Business Cycles," Working Papers, University of Texas at Arlington, Department of Economics, number 0504.
• Juan-Ángel Jiménez-Martín & M. Dolores Robles Fernández, 2005, "Non-linear adjustment to purchasing power parity: an analysis using Fourier approximations," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0508.
• Alfredo Garcia Hiernaux & Miguel Jerez & José Casals, 2005, "Unit Roots and Cointegrating Matrix Estimation using Subspace Methods," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0512.
• WenShwo Fang & YiHao Lai & Stephen M. Miller, 2005, "Does Exchange Rate Risk Affect Exports Asymmetrically? Asian Evidence," Working papers, University of Connecticut, Department of Economics, number 2005-09, Mar.
• J. Isaac Miller & Yoosoon Chang & Joon Y. Park, 2005, "Extracting a Common Stochastic Trend:Theories with Some Applications," Working Papers, Department of Economics, University of Missouri, number 0507, Oct, revised 18 Aug 2005.
• Seonghoon Cho & Antonio Moreno, 2005, "A Small-Sample Study of the New-Keynesian Macro Model," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/05, Feb.
• Candelon, B. & Cubadda, G., 2005, "Testing for parameter stability in dynamic models across frequencies," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 021, Jan, DOI: 10.26481/umamet.2005021.
• Bruinshoofd, W.A. & Candelon, B. & Raabe, K., 2005, "Banking sector strength and the transmission of currency crises," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 022, Jan, DOI: 10.26481/umamet.2005022.
• Surbhi Jain & N.R. Bhanumurthy, 2005, "Financial markets integration in India," Asia-Pacific Development Journal, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), volume 12, issue 2, pages 15-32, December.
• Pierpaolo Pierani & Silvia Tiezzi, 2005, "Addiction and the Interaction between Alcohol and Tobacco Consumption," Department of Economics University of Siena, Department of Economics, University of Siena, number 470, Nov.
• Annastiina Silvennoinen & Timo Teräsvirta, 2005, "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 168, Oct.
• Oleg Korenok, 2005, "Empirical Comparison of Sticky Price and Sticky Information Models," Working Papers, VCU School of Business, Department of Economics, number 0501, Aug.
• Wing Yuk, 2005, "Government Size and Economic Growth: Time-Series Evidence for the United Kingdom, 1830-1993," Econometrics Working Papers, Department of Economics, University of Victoria, number 0501, Jan.
• Judith A. Clarke & Mukesh Ralhan, 2005, "Direct and Indirect Causality Between Exports and Economic Output for Bangladesh and Sri Lanka: Horizon Matters," Econometrics Working Papers, Department of Economics, University of Victoria, number 0512, Jul.
• Gert Peersman, 2005, "What caused the early millennium slowdown? Evidence based on vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 20, issue 2, pages 185-207, DOI: 10.1002/jae.832.
• Gultekin Isiklar, 2005, "Structural VAR identification in asset markets using short-run market inefficiencies," Econometrics, University Library of Munich, Germany, number 0501001, Jan, revised 02 Jan 2005.
• Ewa Broszkiewicz-Suwaj & Andrzej Makagon & Rafal Weron & Agnieszka Wylomanska, 2005, "On detecting and modeling periodic correlation in financial data," Econometrics, University Library of Munich, Germany, number 0502006, Feb.
• Matteo M. Pelagatti, 2005, "Business cycle and sector cycles," Econometrics, University Library of Munich, Germany, number 0503006, Mar.
• Marie Bessec & Othman Bouabdallah, 2005, "What causes the forecasting failure of Markov-Switching models? A Monte Carlo study," Econometrics, University Library of Munich, Germany, number 0503018, Mar.
• Alastair R. Hall & Atsushi Inoue, 2005, "The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models," Econometrics, University Library of Munich, Germany, number 0505002, May.
• Zacharias Bragoudakis, 2005, "Assessing Forecast Performance in a VEC Model: An Empirical Examination," Econometrics, University Library of Munich, Germany, number 0507013, Jul.
• Catalin Starica & Stefano Herzel & Tomas Nord, 2005, "Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?," Econometrics, University Library of Munich, Germany, number 0508003, Aug.
• Benoit Bellone, 2005, "Classical Estimation of Multivariate Markov-Switching Models using MSVARlib," Econometrics, University Library of Munich, Germany, number 0508017, Aug.
• Riccardo Corradini, 2005, "An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle," Econometrics, University Library of Munich, Germany, number 0509009, Sep.
• Segismundo Izquierdo & Ces�reo Hern�ndez & Javier Pajares, 2005, "State Space Modelling of Cointegrated Systems using Subspace Algorithms," Econometrics, University Library of Munich, Germany, number 0509010, Sep, revised 07 Feb 2006.
• rea cipollini & giuseppe missaglia, 2005, "Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis," Finance, University Library of Munich, Germany, number 0502010, Feb.
• Colm Kearney & Valerio Poti, 2005, "Correlation Dynamics in European Equity Markets," Finance, University Library of Munich, Germany, number 0507008, Jul.
• Lakshmi Balasubramanyan, 2005, "Do Time-Varying Covariances, Volatility Comovement and Spillover Matter?," Finance, University Library of Munich, Germany, number 0509002, Sep.
• Sascha Mergner, 2005, "Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques," Finance, University Library of Munich, Germany, number 0509024, Sep.
• Joao Leitao & Cristovao Oliveira, 2005, "The Contagion Effect of the Terrorist Attacks of the 11th of September," Finance, University Library of Munich, Germany, number 0510006, Oct.
• Sascha Mergner & Jan Bulla, 2005, "Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques," Finance, University Library of Munich, Germany, number 0510029, Oct.
• Dimitris Kenourgios & Aristeidis Samitas, 2005, "Testing Efficiency Of The Copper Futures Market: New Evidence From London Metal Exchange," Finance, University Library of Munich, Germany, number 0512010, Dec.
• Tony Guida & Olivier Matringe, 2005, "Application Of Garch Models In Forecasting The Volatility Of Agricultural Commodities," Finance, University Library of Munich, Germany, number 0512021, Dec.
• Viktor Winschel, 2005, "Solving, Estimating and Selecting Nonlinear Dynamic Economic Models without the Curse of Dimensionality," GE, Growth, Math methods, University Library of Munich, Germany, number 0507014, Jul.
• Olivier Bonroy & Jean-Philippe Gervais & Bruno Larue, 2005, "Investigating Non-Linearities in the Relationship Between Real Exchange Rate Volatility and Trade," International Finance, University Library of Munich, Germany, number 0501003, Jan.
• António Portugal Duarte, 2005, "The Portuguese Disinflation Process: Analysis of Some Costs and Benefits," International Finance, University Library of Munich, Germany, number 0504005, Apr.
• António Portugal Duarte, 2005, "Purchasing power parity: an empirical study of three EMU countries," International Finance, University Library of Munich, Germany, number 0505010, May.
• Stamatopoulos Theodoros, 2005, "Trade Balance and Exchange-Rate for a Small Open Economy during the EMS: The Hellenic Case 1983:1-1995:12," International Finance, University Library of Munich, Germany, number 0505012, May.
• Lieven Baele & Koen Inghelbrecht, 2005, "Structural versus Temporary Drivers of Country and Industry Risk," International Finance, University Library of Munich, Germany, number 0511005, Nov.
• Ferda Halicioglu, 2005, "An Econometric Analysis of Foreign Direct Investment Flows into Turkey from Major Global Regions: 1975-1999," International Trade, University Library of Munich, Germany, number 0503004, Mar.
• António Portugal Duarte, 2005, "Purchasing power parity: an empirical study of three EMU countries," International Trade, University Library of Munich, Germany, number 0505005, May.
• Ben Shepherd, 2005, "The Impact of US Subsidies on the World Cotton Market: A Reassessment," International Trade, University Library of Munich, Germany, number 0511012, Nov.
• Ben Shepherd, 2005, "Market Power in International Commodity Processing Chains: Preliminary Results from the Coffee Market," International Trade, University Library of Munich, Germany, number 0511013, Nov.
• Jose Mendez & Ricardo Mora & Carlos San Juan Mesonada, 2005, "A Cointegration Analysis of the Long-Run Supply Response of Spanish Agriculture to the Common Agricultural Policy," International Trade, University Library of Munich, Germany, number 0512014, Dec.
• Maurizio Bovi, 2005, "The Cyclical Behaviour of Shadow and Regular Employment," Labor and Demography, University Library of Munich, Germany, number 0507011, Jul.
• Dufourt, 2005, "Demand and productivity components of business cycles: Estimates and implications," Macroeconomics, University Library of Munich, Germany, number 0501013, Jan, revised 09 Nov 2005.
• Francesco Belviso & Fabio Milani, 2005, "Structural Factor-Augmented VAR (SFAVAR) and the Effects of Monetary Policy," Macroeconomics, University Library of Munich, Germany, number 0503023, Mar.
• Valery Chernookiy, 2005, "Model Of Inflation Processes In The Republic Of Belarus," Macroeconomics, University Library of Munich, Germany, number 0505002, May.
• Oleg Korenok, 2005, "Empirical Comparison of Sticky Price and Sticky Information Models," Macroeconomics, University Library of Munich, Germany, number 0510004, Oct.
• Fabien Tripier, 2005, "Sticky prices, fair wages, and the co-movements of unemployment and labor productivity growth," Macroeconomics, University Library of Munich, Germany, number 0510015, Oct.
• Domenico Giannone & Lucrezia Reichlin, 2005, "Does information help recovering fundamental structural shocks from past observations?," Macroeconomics, University Library of Munich, Germany, number 0511017, Nov.
• Yuriy Gorodnichenko, 2005, "Reduced-Rank Identification of Structural Shocks in VARs," Macroeconomics, University Library of Munich, Germany, number 0512011, Dec.
• Marco Gallegati, 2005, "Stock market returns and economic activity: evidence from wavelet analysis," Macroeconomics, University Library of Munich, Germany, number 0512016, Dec.
• António Portugal Duarte & João Sousa Andrade, 2005, "How the gold standard functioned in Portugal: an analysis of some macroeconomic aspects," Method and Hist of Econ Thought, University Library of Munich, Germany, number 0505002, May.
• Konstantin Gluschenko, 2005, "Inter-Regional Price Convergence and Market Integration in Russia," Urban/Regional, University Library of Munich, Germany, number 0504002, Apr.
• Jacek Kotlowski, 2005, "Money and prices in the Polish economy. Seasonal cointegration approach," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 20, May.
• George M. Jabbour & Marat V. Kramin & Timur V. Kramin & Stephen D. Young, 2005, "Multinomial Lattices and Derivatives Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Asli Ascioglu & Thomas H. McInish, 2005, "Listing Switches from NASDAQ to the NYSE or AMEX: Is New Stock Issuance a Motive?," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Helena, BELTRAN & Pierre, GIOT & Joachim, GRAMMIG, 2005, "Commonalities in the order book," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2005014, Jan.
• André, NYEMBWE & Konstantin, KHOLODILIN, 2005, "North-South Asymmetric Relationships : Does the EMU Business Affect Small African Economies ?," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2005032, Aug.
• Luc, Bauwens & J.V.K., ROMBOUTS, 2005, "Bayesian inference for the mixed conditional heteroskedasticity model," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques, number 2005058, Dec.
• Jui-Chuan (Della) Chang & Dennis W. Jansen, 2005, "The Effect of Monetary Policy on Bank Lending and Aggregate Output: Asymmetries from Nonlinearities in the Lending Channel," Annals of Economics and Finance, Society for AEF, volume 6, issue 1, pages 129-153, May.
• Trenkler, Carsten & Wolf, Nikolaus, 2005, "Economic integration across borders: The Polish interwar economy 1921–1937," European Review of Economic History, Cambridge University Press, volume 9, issue 2, pages 199-231, August.
• Phillips, Peter C.B., 2005, "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, volume 21, issue 1, pages 3-20, February.
• Baele, Lieven, 2005, "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 40, issue 2, pages 373-401, June.
• Pesavento, Elena & Rossi, Barbara, 2005, "Do Technology Shocks Drive Hours Up Or Down? A Little Evidence From An Agnostic Procedure," Macroeconomic Dynamics, Cambridge University Press, volume 9, issue 4, pages 478-488, September.
• Anat Bracha & Jeremy Gray & Rustam Ibragimov & Boaz Nadler & Dmitry Shapiro & Glena Ames & Donald J. Brown, 2005, "Randomized Sign Test for Dependent Observations on Discrete Choice under Risk," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1526, Jun.
• David A. Jaeger & M. Daniele Paserman, 2005, "The Cycle of Violence? An Empirical Analysis of Fatalities in the Palestinian-Israeli Conflict," Working Papers, Economics Department, William & Mary, number 22, Oct.
• David A. Jaeger & M. Daniele Paserman, 2005, "Israel, the Palestinian Factions, and the Cycle of Violence," Working Papers, Economics Department, William & Mary, number 23, Dec.
• Boriss Siliverstovs & Olena Bilan, 2005, "Modelling Inflation Dynamics in Transition Economies: The Case of Ukraine," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 476.
• Boriss Siliverstovs & Dierk Herzer, 2005, "Manufacturing Exports, Mining Exports and Growth: Cointegration and Causality Analysis for Chile (1960 - 2001)," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 497.
• Jan Gottschalk & Ulrich Fritsche, 2005, "The New Keynesian Model and the Long-Run Vertical Phillips Curve: Does It Hold for Germany?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 521.
• Surajit Deb, 2005, "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 40, issue 1, pages 65-92, January.
• Dimitrios D. Thomakos & Prasad S. Bhattacharya, 2005, "Firm's R & D Behavior Under Rational Expectations," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 40, issue 2, pages 145-165, December.
• Cosar, N. & Bildirici, M, 2005, "Some Comparisons Between Turkey and OECD Countries: Productivity, Education and Taxation, 1960-2000," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 5, issue 3.
• West, L.k. & Agbola, W.F., 2005, "Causality Links Between Asset Prices And Cash Rate In Australia," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 2, issue 3, pages 69-86.
• Hatemi, A. & Irandoust, M., 2005, "Energy Consumption and Economic Growth in Sweden: A Leveraged Bootstrap Approach, 1965-2000," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, volume 2, issue 4, pages 87-98.
• Dilip M. Nachane & Prasad P. Ranade, 2005, ""Relationship Banking" And The Credit Market In India : An Empirical Analysis," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22371, Jan.
• Tilak Abeysinghe & Keen Meng Choy, 2005, "Modelling Small Economy Exports : The Case of Singapore," Trade Working Papers, East Asian Bureau of Economic Research, number 21980, Jan.
• Cheung, Yiu Chung & de Jong, Frank & Rindi, Barbara, 2005, "Trading European sovereign bonds: the microstructure of the MTS trading platforms," Working Paper Series, European Central Bank, number 432, Jan.
• Cappiello, Lorenzo & Guéné, Stéphane, 2005, "Measuring market and inflation risk premia in France and in Germany," Working Paper Series, European Central Bank, number 436, Feb.
• Corvoisier, Sandrine & Mojon, Benoît, 2005, "Breaks in the mean of inflation: how they happen and what to do with them," Working Paper Series, European Central Bank, number 451, Mar.
• Bruggeman, Annick & Camba-Méndez, Gonzalo & Fischer, Björn & Sousa, João, 2005, "Structural filters for monetary analysis: the inflationary movements of money in the euro area," Working Paper Series, European Central Bank, number 470, Apr.
• Del Negro, Marco & Schorfheide, Frank, 2005, "Monetary policy analysis with potentially misspecified models," Working Paper Series, European Central Bank, number 475, Apr.
• Calza, Alessandro & Sousa, João, 2005, "Output and inflation responses to credit shocks: are there threshold effects in the euro area?," Working Paper Series, European Central Bank, number 481, Apr.
• Marcellino, Massimiliano & Banerjee, Anindya & Masten, Igor, 2005, "Forecasting macroeconomic variables for the new member states of the European Union," Working Paper Series, European Central Bank, number 482, May.
• Smets, Frank & Wouters, Raf & Del Negro, Marco & Schorfheide, Frank, 2005, "On the fit and forecasting performance of New-Keynesian models," Working Paper Series, European Central Bank, number 491, Jun.
• Dossche, Maarten & Everaert, Gerdie, 2005, "Measuring inflation persistence: a structural time series approach," Working Paper Series, European Central Bank, number 495, Jun.
• Anderton, Robert & Skudelny, Frauke & Baltagi, Badi H. & Sousa, Nuno, 2005, "Intra- and extra-euro area import demand for manufactures," Working Paper Series, European Central Bank, number 532, Oct.
• Mönch, Emanuel, 2005, "Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach," Working Paper Series, European Central Bank, number 544, Nov.
• Garnier, Julien & Wilhelmsen, Björn-Roger, 2005, "The natural real interest rate and the output gap in the euro area: a joint estimation," Working Paper Series, European Central Bank, number 546, Nov.
• Beneš, Jaromí­r & Vávra, David, 2005, "Eigenvalue filtering in VAR models with application to the Czech business cycle," Working Paper Series, European Central Bank, number 549, Nov.
• Dées, Stéphane & di Mauro, Filippo & Pesaran, Hashem & Smith, Vanessa, 2005, "Exploring the international linkages of the euro area: a global VAR analysis," Working Paper Series, European Central Bank, number 568, Dec.
• Bystrom, Hans N.E. & Olofsdotter, Karin & Soderstrom, Lars, 2005, "Is China an optimum currency area?," Journal of Asian Economics, Elsevier, volume 16, issue 4, pages 612-634, August.
• Cubadda, Gianluca & Omtzigt, Pieter, 2005, "Small-sample improvements in the statistical analysis of seasonally cointegrated systems," Computational Statistics & Data Analysis, Elsevier, volume 49, issue 2, pages 333-348, April.
• Joseph, Agnes S. & Kiviet, Jan F., 2005, "Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks," Computational Statistics & Data Analysis, Elsevier, volume 49, issue 2, pages 417-444, April.
• Xekalaki, Evdokia & Degiannakis, Stavros, 2005, "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, volume 49, issue 2, pages 611-629, April.
• Aslanidis, Nektarios & Kouretas, Georgios P., 2005, "Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece," Economic Modelling, Elsevier, volume 22, issue 4, pages 665-682, July.
• Brissimis, Sophocles N. & Magginas, Nicholas S., 2005, "Changes in financial structure and asset price substitutability: A test of the bank lending channel," Economic Modelling, Elsevier, volume 22, issue 5, pages 879-904, September.
• Cayen, Jean-Philippe & van Norden, Simon, 2005, "The reliability of Canadian output-gap estimates," The North American Journal of Economics and Finance, Elsevier, volume 16, issue 3, pages 373-393, December.
• Lumenga-Neso, Olivier & Olarreaga, Marcelo & Schiff, Maurice, 2005, "On `indirect' trade-related R&D spillovers," European Economic Review, Elsevier, volume 49, issue 7, pages 1785-1798, October.
• Siliverstovs, Boriss & L'Hegaret, Guillaume & Neumann, Anne & von Hirschhausen, Christian, 2005, "International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan," Energy Economics, Elsevier, volume 27, issue 4, pages 603-615, July.
• James H. Stock & Mark W. Watson, 2005, "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers, National Bureau of Economic Research, Inc, number 11467, Jul.
• M. Hashem Pesaran & Til Schuermann & Bjorn-Jakob Treutler, 2005, "Global Business Cycles and Credit Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11493, Jul.
• Andrew Ang & Joseph Chen & Yuhang Xing, 2005, "Downside Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 11824, Dec.
• Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005, "The Myth of Long-Horizon Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 11841, Dec.
• Miguel Lebre de Freitas, 2005, "Portugal-EU convergence revisited: evidence for the period 1960-2003," NIPE Working Papers, NIPE - Universidade do Minho, number 10/2005.
• Leonardo Bornacki de Mattos & João Eustáquio de Lima, 2005, "Demanda residencial de energia elétrica em Minas Gerais: 1970-2002 [Residential demand for electrical energy in Minas Gerais: 1970-2002]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 15, issue 3, pages 31-52, September.
• Clive G. Bowsher, 2005, "Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2005-W26, Oct.
• Troy Matheson, 2005, "Factor model forecasts for New Zealand," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2005/01, May.
• Ernest Gnan & Doris Ritzberger-Grünwald, 2005, "The Natural Rate of Interest — Concepts and Appraisal for the Euro Area," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 19-47.
• Bernhard Grossmann & Eva Hauth & Silvia Pop, 2005, "Fiscal Spending Rules in Europe," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 82-88.
• Sylvia Kaufmann & Peter Kugler, 2005, "Does Money Matter for Inflation in the Euro Area?," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 103, Sep.
• José Gallardo & Arturo Vásquez & Luis Bendezú, 2005, "La Problemática de los Precios de los Combustibles," Working Papers, Osinergmin, Gerencia de Políticas y Análisis Económico, number 11, Jun.
• Arturo Vásquez, 2005, "La Demanda Agregada de Combustibles Líquidos en el Perú," Working Papers, Osinergmin, Gerencia de Políticas y Análisis Económico, number 12, Feb.