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

• James M. Nason & Gregor W. Smith, 2005, "Identifying The New Keynesian Phillips Curve," Working Paper, Economics Department, Queen's University, number 1026, Jan.
• Bent Jesper Christensen & Morten Ø. Nielsen, 2005, "The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices," Working Paper, Economics Department, Queen's University, number 1186, Nov.
• Andrea Cipollini & George Kapetanios, 2005, "Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis," Working Papers, Queen Mary University of London, School of Economics and Finance, number 538, May.
• Gonzalo Camba-Mendez & George Kapetanios, 2005, "Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling," Working Papers, Queen Mary University of London, School of Economics and Finance, number 541, May.
• Carol Alexandra & Emese Lazar, 2005, "The Continuous Limit of GARCH Processess," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-09, Feb, revised Jul 2004.
• Carol Alexandra & Emese Lazar, 2005, "On The Continuous Limit of GARCH," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-13, Nov.
• Carol Alexandra & Emese Lazar, 2005, "Asymmetries and Volatility Regimes in the European Equity Markets," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-14, Nov.
• Carol Alexander & Andreza Barbosa, 2005, "Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2005-16, Dec.
• Frank Schorfheide, 2005, "Learning and Monetary Policy Shifts," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 8, issue 2, pages 392-419, April, DOI: 10.1016/j.red.2005.01.001.
• Abdulnasser Hatemi-J & Eduardo Roca & Fang Tang, 2005, "US Equity Market Spili-Over and Contagion Effects on Selected Asian Markets Vis-à-vis September 11," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 58, issue 4, pages 449-470.
• R. Scott Hacker & Abdulnasser Hatemi-J, 2005, "Time-Varying Estimates for the Natural Rate of Unemployment and the Phillips Curve in the US Using the Kalman Filter," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 58, issue 3, pages 327-336.
• Konstantinos Drakos, 2005, "The Elasticity of Substitution across Maturities in International Capital Markets: A Simple Test," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 20, pages 727-745.
• Cipu, Elena Corina & Panzar, Laura, 2005, "Stochastic Modelling And Prognosis Of An Underlying Asset Pricing," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 2, issue 3, pages 22-36.
• Stanica, Cristian Nicolae, 2005, "Unobserved Components Methods To Estimate Potential Gdp (The Case Of Romania)," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 2, issue 4, pages 44-63.
• Attilio Gardini & Giuseppe Cavaliere & Luca Fanelli, 2005, "Risk Sharing, avversione al rischio e stabilizzazione delle economie regionali in Italia," Rivista di Politica Economica, SIPI Spa, volume 95, issue 3, pages 219-266, May-June.
• Marisa Faggini, 2005, "Un approccio di teoria del caos all'analisi delle serie storiche economiche," Rivista di Politica Economica, SIPI Spa, volume 95, issue 4, pages 199-234, July-Augu.
• Leif Brandes & Egon Franck, 2005, "Who made Who? An Empirical Analysis of Competitive Balance in European Soccer Leagues," Working Papers, University of Zurich, Center for Research in Sports Administration (CRSA), number 0004, revised 2006.
• Tommaso Proietti, 2008, "Structural Time Series Models for Business Cycle Analysis," CEIS Research Paper, Tor Vergata University, CEIS, number 109, Jul, revised 10 Jul 2008.
• K. Farrant & G. Peersman, 2005, "Is the exchange rate a shock absorber or a source of shocks? New empirical evidence," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 05/285, Jan.
• G. Peersman, 2005, "The relative importance of symmetric and asymmetric shocks and the determination of the exchange rate," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 05/286, Jan.
• M. Dossche & G. Everaert, 2005, "Measuring inflation persistence: a structural time series approach," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 05/340, Nov.

2004

• Costanza Torricelli & Chiara Pederzoli, 2004, "A forward-looking model for time-varying capital requirements and the New Basel Capital Accord," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0453, Feb.
• Cubadda, Gianluca, 2004, "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Economics & Statistics Discussion Papers, University of Molise, Department of Economics, number esdp04022, Sep.
• Guillaume Guerrero & Nicolas Million, 2004, "Instabilité de la courbe de Phillips aux Etats-Unis : un modèle explicatif à changements de régimes," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number v04048, Jun.
• D.S. Poskitt, 2004, "Some Results on the Identification and Estimation of Vector ARMAX Processes," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 12/04, May.
• D. S. Poskitt, 2004, "On The Identification and Estimation of Partially Nonstationary ARMAX Systems," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 20/04, Oct.
• Helena Beltran & Alain Durré & Pierre Giot, 2004, "How does liquidity react to stress periods in a limit order market?," Working Paper Research, National Bank of Belgium, number 49, May.
• Stefaan Ide & Philippe Moës, 2004, "Asymetric growth and inflation developments in the acceding countries: a new assessment," Working Paper Research, National Bank of Belgium, number 63, Nov.
• Laurent E. Calvet & Adlai J. Fisher & Samuel B. Thompson, 2004, "Volatility Comovement: A Multifrequency Approach," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0300, Aug.
• Michael Jansson & Marcelo J. Moreira, 2004, "Optimal Inference in Regression Models with Nearly Integrated Regressors," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0303, Nov.
• Chi-Young Choi & Nelson Mark & Donggyu Sul, 2004, "Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 10614, Jul.
• Christopher Bowdler & Eilev S. Jansen, 2004, "Testing for a time-varying price-cost markup in the Euro area inflation process," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 4004, Feb, revised 11 May 2004.
• Eilev S. Jansen, 2004, "Modelling inflation in the Euro Area," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 4104, Mar, revised 01 Jun 2004.
• Christopher Bowdler & Eilev S. Jansen, 2004, "Testing for a time-varying price-cost markup in the Euro area inflation process," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W10, Apr.
• Guillaume Chevillon & David F. Hendry, 2004, "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W12, May.
• Charles S. Bos & Neil Shephard, 2004, "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W02, Feb.
• Clive G. Bowsher, 2004, "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2004-W21, Sep.
• Dominick Stephens, 2004, "The equilibrium exchange rate according to PPP and UIP," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP 2004/03, Apr.
• Sylvia Kaufmann & Maria Teresa Valderrama, 2004, "Modeling Credit Aggregates," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 90, Sep.
• Arturo Vásquez, 2004, "Los Vínculos entre el Crecimiento Económico y la Infraestructura Eléctrica en el Perú, 1940-2000," Working Papers, Osinergmin, Gerencia de Políticas y Análisis Económico, number 17, Dec.
• Philip Arestis & Andrea Cipollini & Bassam Fattouh, 2004, "Threshold Effects in the U.S. Budget Deficit," Economic Inquiry, Western Economic Association International, volume 42, issue 2, pages 214-222, April.
• Jian Yang & David A. Bessler, 2004, "The International Price Transmission in Stock Index Futures Markets," Economic Inquiry, Western Economic Association International, volume 42, issue 3, pages 370-386, July.
• Martin B. Schmidt, 2004, "Exogeneity within the M2 Demand Function: Evidence from a Large Macroeconomic System," Economic Inquiry, Western Economic Association International, volume 42, issue 4, pages 634-646, October.
• Andrew J. Patton, 2004, "On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation," Journal of Financial Econometrics, Oxford University Press, volume 2, issue 1, pages 130-168.
• Mike Artis & Hans-Martin Krolzig & Juan Toro, 2004, "The European business cycle," Oxford Economic Papers, Oxford University Press, volume 56, issue 1, pages 1-44, January.
• Yin-Wong Cheung & Antonio Garcia Pascual, 2004, "Testing for output convergence: a re-examination," Oxford Economic Papers, Oxford University Press, volume 56, issue 1, pages 45-63, January.
• David Hendry & Guillaume Chevillon, 2004, "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Series Working Papers, University of Oxford, Department of Economics, number 196, Jul.
• Clive Bowsher, 2004, "Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange," Economics Series Working Papers, University of Oxford, Department of Economics, number 2004-FE-19, Sep.
• Renzo Jiménez Sotelo, 2004, "Riesgo crediticio derivado del riesgo cambiario: perspectiva de una economía latinoamericana parcialmente dolarizada," Apuntes. Revista de ciencias sociales, Fondo Editorial, Universidad del Pacífico, volume 31, issue 54, pages 92-134.
• Annetta Maria Binotti & Enrico Ghiani, 2004, "Interpreting reduced form cointegrating vectors of incomplete systems. A labour market application," Discussion Papers, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy, number 2004/28, Jan.
• Lorenzo Corsini & Marco Guerrazzi, 2004, "Searching for Long Run Equilibrium Relationships in the Italian Labour Market: a Cointegrated VAR Approach," Discussion Papers, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy, number 2004/43, Jan.
• Eruygur, Aysegul, 2004, "The impact of foreign interest rate on the macroeconomic performance of Turkey," MPRA Paper, University Library of Munich, Germany, number 12493.
• Fanelli, Luca & Cavaliere, Giuseppe & Gardini, Attilio, 2004, "Consumption risk sharing and adjustment costs," MPRA Paper, University Library of Munich, Germany, number 1641, Oct, revised Nov 2006.
• Mapa, Dennis S., 2004, "A Forecast Comparison of Financial Volatility Models: GARCH (1,1) is not Enough," MPRA Paper, University Library of Munich, Germany, number 21028.
• Gradzewicz, Michal & Kolasa, Marcin, 2004, "Estimating the output gap in the Polish economy: the VECM approach," MPRA Paper, University Library of Munich, Germany, number 28227, Feb.
• Boschi, Melisso, 2004, "International Financial Contagion: Evidence from the Argentine Crisis of 2001-2002," MPRA Paper, University Library of Munich, Germany, number 28546.
• Goyal, Ashima & Paul, Manas, 2004, "Interest groups or incentives: the political economy of fiscal decay," MPRA Paper, University Library of Munich, Germany, number 29198.
• Kulaksizoglu, Tamer, 2004, "Measuring the Effectiveness of Competition Policy: Evidence from the Turkish Cement Industry," MPRA Paper, University Library of Munich, Germany, number 357, Jul.
• Rodríguez, Carlos A., 2004, "A P* Model of Inflation in Puerto Rico," MPRA Paper, University Library of Munich, Germany, number 41278, Sep.
• Stavarek, Daniel, 2004, "Stock Prices and Exchange Rates in the EU and the USA: Evidence of their Mutual Interactions," MPRA Paper, University Library of Munich, Germany, number 7297.
• Degiannakis, Stavros, 2004, "Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper, University Library of Munich, Germany, number 80488.
• Grammig, Joachin & Heinen, Andreas & Rengifo, Erick, 2004, "Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model," MPRA Paper, University Library of Munich, Germany, number 8115, Aug.
• Iiboshi, Hirokuni & Wakita, Shigeru, 2004, "Do Structural Breaks exist in Okun’s Law? Evidence from the Lost Decade in Japan," MPRA Paper, University Library of Munich, Germany, number 87392, Dec.
• Degiannakis, Stavros, 2004, "Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper, University Library of Munich, Germany, number 96330.
• Miloslav Vošvrda & Filip Žikeš, 2004, "An Application of the Garch-t Model on Central European Stock Returns," Prague Economic Papers, Prague University of Economics and Business, volume 2004, issue 1, pages 26-39, DOI: 10.18267/j.pep.229.
• Josef Arlt & Milan Guba & Štěpán Radkovský, 2004, "Využití metody peněžního převisu/deficitu k indikaci inflačních rizik (přístup Evropské centrální banky)
  [Implementation of monetary overhang/shortfall measure for indication of inflation risks (the approach of the European Central Bank)]," Politická ekonomie, Prague University of Economics and Business, volume 2004, issue 2, DOI: 10.18267/j.polek.456.
• Andrea Cipollini & George Kapetanios, 2004, "A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data," Working Papers, Queen Mary University of London, School of Economics and Finance, number 506, Feb.
• Andrew P. Blake & George Kapetanios, 2004, "Testing for Neglected Nonlinearity in Cointegrating Relationships," Working Papers, Queen Mary University of London, School of Economics and Finance, number 508, Feb.
• George Kapetanios, 2004, "Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests," Working Papers, Queen Mary University of London, School of Economics and Finance, number 509, Feb.
• Francesco Giurda & Elias Tzavalis, 2004, "Is the Currency Risk Priced in Equity Markets?," Working Papers, Queen Mary University of London, School of Economics and Finance, number 511, Mar.
• George Kapetanios, 2004, "Estimating Time-Variation in Measurement Error from Data Revisions: An Application to Forecasting in Dynamic Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 520, Oct.
• Richard Harrison & George Kapetanios, 2004, "Forecasting with Measurement Errors in Dynamic Models," Working Papers, Queen Mary University of London, School of Economics and Finance, number 521, Oct.
• George Kapetanios, 2004, "A Bootstrap Procedure for Panel Datasets with Many Cross-Sectional Units," Working Papers, Queen Mary University of London, School of Economics and Finance, number 523, Oct.
• Carol Alexander & Anca Dimitriu, 2004, "A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-03, Mar.
• Carol Alexandra & Emese Lazar, 2004, "The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-13, Oct.
• Marco Del Negro & Frank Schorfheide, 2004, "A DSGE-VAR for the Euro Area," 2004 Meeting Papers, Society for Economic Dynamics, number 43.
• Antje Berndt & Rohan Douglas, 2004, "Estimating Default Risk Premia from Default Swap Rates and EDFs," 2004 Meeting Papers, Society for Economic Dynamics, number 821.
• Abdulnasser Hatemi-J, 2004, "Is the Equity Market Informationally Efficient in Japan? Evidence from Leveraged Bootstrap Analysis," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 57, issue 4, pages 461-473.
• Panagiotis Konstantinou, 2004, "Term Structure Dynamics: A Daily View from the Hungarian Foreign Currency Deposits Markets," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 57, issue 3, pages 315-331.
• José Brandão de Brito, 2004, "Monetary Integration in East Asia: An Empirical Approach," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 19, pages 536-567.
• Robert F. Engle III, 2004, "Autobiography," Nobel Prize in Economics documents, Nobel Prize Committee, number 2003-3.
• Clive W. J. Granger, 2004, "Autobiography," Nobel Prize in Economics documents, Nobel Prize Committee, number 2003-6.
• Pavelescu, Florin Marius, 2004, "Features Of The Ordinary Least Square (Ols) Method. Implications For The Estimation Methodology," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 2, pages 85-101, May.
• Klein, Lawrence R. & Roudoi, Andrei & Eskin, Vladimir & Albu, Lucian Liviu & Stanica, Cristian Nicolae, 2004, "Quarterly Gdp Data Correction Using Principal Components Analysis. The Case Of The Romanian Economy – Gdp Expenditures Side," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 5, pages 5-34.
• Klein, Lawrence R. & Roudoi, Andrei & Eskin, Vladimir & Albu, Lucian Liviu & Stanica, Cristian Nicolae & Nicolae, Mariana & Chilian, Mihaela Nona, 2004, "Principal Components Model Of The Romanian Economy. Gdp – Production Side," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 5, pages 52-66.
• Klein, Lawrence R. & Roudoi, Andrei & Eskin, Vladimir & Nicolae, Mariana, 2004, "Principal Components Model Of The Romanian Economy. Study Of The Oil Price Impact Upon Gdp," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 1, issue 5, pages 67-80.
• Federico Perali & Luca Pieroni, 2004, "Analisi fondamentale di mercato con aspettative razionali: un modello per il mercato delle materie prime," Rivista di Politica Economica, SIPI Spa, volume 94, issue 2, pages 187-224, March-Apr.
• Romina Gambacorta, 2004, "Il dibattito sulla legge di Verdoorn: alcuni risultati empirici usando l’analisi di cointegrazione," Rivista di Politica Economica, SIPI Spa, volume 94, issue 3, pages 251-251, May-June.
• Donal Bredin & John Cotter, 2004, "Volatility and Irish exports," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1165, Oct.
• G. Peersman, 2004, "What caused the early millennium slowdown? Evidence based on vector autoregressions," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 04/235, Mar.
• Niels Haldrup & Morten O. Nielsen, 2004, "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2004-2, Apr.
• Robert Engle, 2004, "Risk and Volatility: Econometric Models and Financial Practice," American Economic Review, American Economic Association, volume 94, issue 3, pages 405-420, June, DOI: 10.1257/0002828041464597.
• Clive W.J. Granger, 2004, "Time Series Analysis, Cointegration, and Applications," American Economic Review, American Economic Association, volume 94, issue 3, pages 421-425, June, DOI: 10.1257/0002828041464669.
• Francisco Ledesma-Rodríguez & Jorge Pérez-Rodríguez & Simón Sosvilla-Rivero, 2004, "An empirical examination of exchange-rate credibility determinants in the EMS," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 04-01, Mar.
• Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004, "Non-Linearities and Fractional Integration in the US Unemployment Rate," Discussion Paper Series, Hamburg Institute of International Economics, number 26232, DOI: 10.22004/ag.econ.26232.
• Miljkovic, Dragan & Marsh, John M. & Brester, Gary W., 2004, "Effects of Japanese Import Demand on U.S. Livestock Prices: Reply," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 36, issue 01, pages 1-4, April, DOI: 10.22004/ag.econ.42940.
• Ramirez, Octavio A. & Mohanty, Samarendu & Carpio, Carlos E. & Denning, Megan, 2004, "Issues and Strategies for Aggregate Supply Response Estimation for Policy Analyses," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 36, issue 2, pages 1-17, August, DOI: 10.22004/ag.econ.43420.
• Kinnucan, Henry W., 2004, "Effects of Japanese Import Demand on U.S. Livestock Prices: Comment," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 36, issue 01, pages 1-5, April, DOI: 10.22004/ag.econ.43432.
• Manuela CROCI, 2004, "Country pair-correlations as a measure of financial integration: the case of the Euro equity markets," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 201, Jan.
• Cleomar Gomes & Otávio Aidar, 2004, "Metas Inflacionárias, Preços Livres E Administrados No Brasil: Uma Análise Econométrica," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 031.
• Carlos Hamilton Vasconcelos Araujo & Marta Baltar Moreira Areosa & Osmani Teixera de Carvalho Guillén, 2004, "Estimating Potential Output And The Output Gap For Brazil," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 041.
• Fábio Augusto Reis Gomes & Leandro Gonçalves do Nascimento, 2004, "A Welfare Analysis Of Economic Fluctuations In South America," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 045.
• Luciana Cavalcante de Assis & Joilson Dias, 2004, "Política Fiscal, Nível Tecnológico E Crescimento Econômico No Brasil: Teoria E Evidência Empírica," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 050.
• Fernando de Aquino Fonseca Neto & Joanílio Rodolpho Teixeira, 2004, "Crescimento Com Restrições De Balanço De Pagamentos E Déficits Gêmeos No Brasil A Partir Dos Anos Noventa," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 073.
• Sinézio Fernandes Maia & Hilton Martins de Brito Ramalho, 2004, "Efeitos Reais E Nominais Sobre As Flutuações Da Taxa Real De Câmbio Brasil/Estados Unidos: Um Estudo Empírico Usando Var (1999-2003)," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 102.
• Vamerson Schwingel Ribeiro & Joilson Dias, 2004, "Índice De Atividade Econômica: Os Modelos De Filtro De Kalman E Box-Jenkins Comparados," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 103.
• Mario A. Margarido & Frederico A. Turolla & Carlos R. F. Bueno, 2004, "The World Market For Soybeans: Price Transmission Into Brazil And Effects From The Timing Of Crop And Trade," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 110.
• Nigohos Kanaryan, 2004, "Modelling the Risk at the Central European Stock Exchange at times of Crisis," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 70-83.
• Jerry Coakley & Ana-Maria Fuertes & Ron Smith, 2004, "Unobserved Heterogeneity in Panel Time Series Models," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0403, May.
• Walter Beckert, 2004, "Dynamic Monopolies with Stochastic Demand," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 0404, Nov.
• Lise Pichette, 2004, "Are Wealth Effects Important for Canada," Bank of Canada Review, Bank of Canada, volume 2004, issue Spring, pages 29-35.
• Marc-André Gosselin & René Lalonde, 2004, "Modélisation « PAC » du secteur extérieur de l'économie américaine," Staff Working Papers, Bank of Canada, number 04-3, DOI: 10.34989/swp-2004-3.
• Charles St-Arnaud, 2004, "Une approche éclectique d'estimation du PIB potentiel pour le Royaume-Uni," Staff Working Papers, Bank of Canada, number 04-46, DOI: 10.34989/swp-2004-46.
• Jean-Paul Lam, 2004, "Estimating Policy-Neutral Interest Rates for Canada Using a Dynamic Stochastic General-Equilibrium Framework," Staff Working Papers, Bank of Canada, number 04-9, DOI: 10.34989/swp-2004-9.
• Pilar Bengoechea & Gabriel Pérez-Quirós, 2004, "A useful tool to identify recessions in the euro-area," Working Papers, Banco de España, number 0419, Nov.
• Stefano Neri, 2004, "Monetary policy and stock prices: theory and evidence," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 513, Jul.
• Luis Fernando Melo-Velandia & Alvaro J. Riascos, 2004, "Sobre los efectos de la política monetaria en Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 281, Mar, DOI: 10.32468/be.281.
• Mario Nigrinis Ospina, 2004, "Es lineal la Curva de Phillips en Colombia?," Borradores de Economia, Banco de la Republica de Colombia, number 282, Mar, DOI: 10.32468/be.282.
• Martha A. Misas A. & Enrique López E. & Carlos A. Arango A. & Juan Nicolás Hernández A., 2004, "No-linealidades en la demanda de efectivo en Colombia: las redes neuronales como herramienta de pronóstico," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 22, issue 45, pages 10-57, June, DOI: 10.32468/Espe.4501.
• Luis F. Melo & Álvaro Riascos, 2004, "Sobre los efectos de la política monetaria en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 22, issue 45, pages 172-221, June, DOI: 10.32468/Espe.4505.
• Juan Carlos Vargas Berdugo, 2004, "Cuenta corriente y restricción presupuestaria intertemporal: un contraste de la viabilidad del financiamiento externo," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 22, issue 45, pages 58-78, June, DOI: 10.32468/Espe.4502.
• Martha López P., 2004, "Efficient Policy Rule for Inflation Targeting in Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 22, issue 45, pages 80-115, June, DOI: 10.32468/Espe.4503.
• Pesaran M.H. & Schuermann T. & Weiner S.M., 2004, "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Journal of Business & Economic Statistics, American Statistical Association, volume 22, pages 129-162, April.
• Nielsen M.O., 2004, "Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Journal of Business & Economic Statistics, American Statistical Association, volume 22, pages 331-345, July.
• Jean-Stéphane Mésonnier & Jean-Paul Renne, 2004, "A Time-Varying Natural Rate for the Euro Area," Working papers, Banque de France, number 115.
• Jean-Stéphane Mésonnier & Jean-Paul Renne, 2004, "règle de Taylor et politique mon taire dans la zone euro," Working papers, Banque de France, number 117.
• Kostas Tsatsaronis & Haibin Zhu, 2004, "What drives housing price dynamics: cross-country evidence," BIS Quarterly Review, Bank for International Settlements, March.
• Efthymios G. Tsionas & Dimitris K. Christopoulos, 2004, "Inflation, Shadow Prices and the EMU: Evidence From Greece," Bulletin of Economic Research, Wiley Blackwell, volume 56, issue 3, pages 251-269, July, DOI: 10.1111/j.1467-8586.2004.00201.x.
• Pierre L. Siklos, 2004, "Central Bank Behavior, the Institutional Framework, and Policy Regimes: Inflation Versus Noninflation Targeting Countries," Contemporary Economic Policy, Western Economic Association International, volume 22, issue 3, pages 331-343, July, DOI: 10.1093/cep/byh024.
• Jim Lee, 2004, "The Inflation‐Output Variability Trade‐off: OECD Evidence," Contemporary Economic Policy, Western Economic Association International, volume 22, issue 3, pages 344-356, July, DOI: 10.1093/cep/byh025.
• Ingolf Dittmann, 2004, "Error Correction Models for Fractionally Cointegrated Time Series," Journal of Time Series Analysis, Wiley Blackwell, volume 25, issue 1, pages 27-32, January, DOI: 10.1111/j.1467-9892.2004.00335.x.
• S. Fountas & A. Ioannidis & M. Karanasos, 2004, "Inflation, Inflation Uncertainty and a Common European Monetary Policy," Manchester School, University of Manchester, volume 72, issue 2, pages 221-242, March, DOI: 10.1111/j.1467-9957.2004.00390.x.
• Khurshid M. Kiani & Prasad V. Bidarkota, 2004, "On Business Cycle Asymmetries in G7 Countries," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 66, issue 3, pages 333-351, July, DOI: 10.1111/j.1468-0084.2004.00082.x.
• Martin Wagner, 2004, "A Comparison of Johansen's, Bierens’ and the Subspace Algorithm Method for Cointegration Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 66, issue 3, pages 399-424, July, DOI: 10.1111/j.1468-0084.2004.00085.x.
• Richard Dennis, 2004, "Inferring Policy Objectives from Economic Outcomes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 66, issue s1, pages 735-764, September, DOI: 10.1111/j.1468-0084.2004.100_1.x.
• Christopher Bowdler & Eilev S. Jansen, 2004, "Testing for a time-varying price-cost markup in the Euro area inlation process," Working Paper, Norges Bank, number 2004/9, May.
• Eilev S. Jansen, 2004, "Modelling inflation in the Euro Area," Working Paper, Norges Bank, number 2004/10, Jun.
• Roger Hammersland, 2004, "Large T and small N : A three-step approach to the identification of cointegrating relationships in time series models with a small cross-sectional dimension," Working Paper, Norges Bank, number 2004/15, Nov.
• Q. Farooq Akram, 2004, "Oil wealth and real exchange rates: The FEER for Norway," Working Paper, Norges Bank, number 2004/16, Nov.
• Roger Hammersland, 2004, "The degree of independence in European goods markets : An I(2) analysis of German and Norwegian trade data," Working Paper, Norges Bank, number 2004/19, Dec.
• Roger Hammersland, 2004, "Who was in the driving seat in Europe during the nineties, International financial markets or the BUBA?," Working Paper, Norges Bank, number 2004/20, Dec.
• Richard Harrison & George Kapetanios & Tony Yates, 2004, "Forecasting with measurement errors in dynamic models," Bank of England Staff Working Paper series, Bank of England, number 237, Nov.
• George Kapetanios & Tony Yates, 2004, "Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models," Bank of England Staff Working Paper series, Bank of England, number 238, Nov.
• Sophocles N. Brissimis & Dimitris A. Sideris & Fragiska K. Voumvaki, 2004, "Testing Long-Run Purchasing Power Parity under Exchange Rate Targeting," Working Papers, Bank of Greece, number 15, Jul.
• George Hondroyiannis & Sarantis Lolos & Evangelia Papapetrou, 2004, "Financial Markets and Economic Growth in Greece," Working Papers, Bank of Greece, number 17, Sep.
• Dimitrios Sideris, 2004, "Testing for Long-Run PPP in a System Context: Evidence for the US, Germany and Japan," Working Papers, Bank of Greece, number 19, Nov.
• Ami Barnea & Joseph Djivre, 2004, "Changes in Monetary and Exchange Rate Policies and the Transmission Mechanism in Israel, 1989.IV – 2002.I," Bank of Israel Working Papers, Bank of Israel, number 2004.13, Oct.
• L. Fanelli & M. Mazzocchi, 2004, "Back to the future? Habits and rational addiction in UK tobacco and alcohol demand," Quaderni di Dipartimento, Department of Statistics, University of Bologna, number 0.
• L. Fanelli & M. Mazzocchi, 2004, "Back to the future? Habits and rational addiction in UK tobacco and alcohol demand," Quaderni di Dipartimento, Department of Statistics, University of Bologna, number 0.
• FERNANDO DE AQUINO FONSECA NETO & Joanílio Rodolpho Teixeira, 2004, "Crescimento com Restrições de Balanço de Pagamentos e Déficits Gêmeos no Brasil a Partir dos Anos Noventa," Working papers - Textos para Discussao do Departamento de Economia da Universidade de Brasilia, Departamento de Economia da Universidade de Brasilia, number 318, Aug.
• Fernando de Aquino Fonseca Neto & Joanílio Rodolpho Teixeira, 2004, "Globalização Econômica e Investimentos no Brasil," Working papers - Textos para Discussao do Departamento de Economia da Universidade de Brasilia, Departamento de Economia da Universidade de Brasilia, number 322, Nov.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004, "Non-Linearities And Fractional Integration In The Us Unemployment Rate," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-17, Oct.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004, "Non-Linearities And Fractional Integration In The Us Unemployment Rate," Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University, number 04-17, Oct.
• Édouard Challe, 2004, "Une décomposition du cycle boursier," Revue économique, Presses de Sciences-Po, volume 55, issue 3, pages 395-405.
• Claude Diebolt & Magali Jaoul, 2004, "Les dépenses militaires, moteur de la croissance économique japonaise ?. Une analyse cliométrique : 1868-1940," Revue économique, Presses de Sciences-Po, volume 55, issue 3, pages 439-447.
• Pesaran, M.H., 2004, "A Pair-wise Approach to Testing for Output and Growth Convergence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0453, Oct.
• Oscar Jorda, 2004, "Model-Free Impulse Responses," Working Papers, University of California, Davis, Department of Economics, number 87, Jun.
• Jesús Vázquez, 2004, "Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2004/11.
• Julio López Laborda & Jorge Onrubia Fernández, 2004, "Personal Income Tax Decentralization, Inequality and Social Welfare," Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces, number E2004/17.
• Carlos Castellar & Jose Ignacio Uribe, 2004, "Evolution and structure of unemployment in the metropolitan area of Cali 1988-1998. Does the unemployment rate present hysteresis?," Colombian Economic Journal, Academia Colombiana de Ciencias Economicas, Colegio Mayor de Nuestra Senora del Rosario, Pontificia Universidad Javeriana, Universidad de Antioquia, Universidad de los Andes, Universidad del Valle, Universidad Externado de Colombia, Universidad Nacional de Colombia, volume 2, issue 1, pages 121-155, November.
• Jorge Herrera Hernández, 2004, "Business cycles in Mexico and the United States: Do they share common movements?," Journal of Applied Economics, Universidad del CEMA, volume 7, pages 303-323, November.
• Martin Vojtek, 2004, "Calibration of Interest Rate Models - Transition Market Case," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp237, Sep.
• Yin-Wong Cheung & Antonio I. Garcia Pascual, 2000, "Testing for Output Convergence: A Re-Examination," CESifo Working Paper Series, CESifo, number 319.
• M. Hashem Pesaran, 2000, "Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy," CESifo Working Paper Series, CESifo, number 345.
• Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2001, "Testing for Common Cyclical Features in Var Models with Cointegration," CESifo Working Paper Series, CESifo, number 451.
• Morten O. Ravn & Harald Uhlig, 2001, "On Adjusting the HP-Filter for the Frequency of Observations," CESifo Working Paper Series, CESifo, number 479.
• Helmut Lütkepohl & Jürgen Wolters, 2001, "The Transmission of German Monetary Policy in the Pre-Euro Period," CESifo Working Paper Series, CESifo, number 604.
• Harald Uhlig, 2001, "Did the Fed Surprise the Markets in 2001? A Case Study for VARs with Sign Restrictions," CESifo Working Paper Series, CESifo, number 629.
• Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & M. Hashem Pesaran, 2003, "Macroeconomic Dynamics and Credit Risk: A Global Perspective," CESifo Working Paper Series, CESifo, number 995.
• Yoichi Arai, 2004, "Testing for Linearity in Regressions with I (1) processes," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-014, Oct.
• Matías Tapia & Andrea Tokman, 2004, "Effects of Foreign Exchange Intervention Under Public Information: the Chilean Case," Working Papers Central Bank of Chile, Central Bank of Chile, number 255, Jan.
• Michel Normandin, 2004, "Canadian and U.S. financial markets: testing the international integration hypothesis under time-varying conditional volatility," Canadian Journal of Economics, Canadian Economics Association, volume 37, issue 4, pages 1021-1041, November.
• Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004, "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers, CEMFI, number wp2004_0409.
• F. Javier Mencía & Enrique Sentana, 2004, "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," Working Papers, CEMFI, number wp2004_0411.