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

• 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.
• Julio López-Laborda & Jorge Onrubia, 2005, "Personal Income Tax Decentralization, Inequality, and Social Welfare," Public Finance Review, , volume 33, issue 2, pages 213-235, March, DOI: 10.1177/1091142104272710.
• Carlo Altavilla & Antonio Garofalo & Concetto Paolo Vinci, 2005, "Designing the Optimal Length of Working Time," CELPE Discussion Papers, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy, number 91, Jan.
• Carlo Altavilla & Antonio Garofalo & Concetto Paolo Vinci, 2005, "Is the Discouraged Worker Effect Time-Varying?," CELPE Discussion Papers, CELPE - CEnter for Labor and Political Economics, University of Salerno, Italy, number 97, Sep.
• Alessandro Girardi & Paolo Paesani, 2005, "Net Foreign Assets in the Euro Area: A Cointegration Analysis," Working Papers in Public Economics, Department of Economics and Law, Sapienza University of Rome, number 76, Jan.
• Fabio Araujo & Joao Victor Issler, 2005, "Estimating the Stochastic Discount Factor without a Utility Function," Computing in Economics and Finance 2005, Society for Computational Economics, number 202, Nov.
• Christoph Schleicher & Francisco Barillas, 2005, "Common Trends and Common Cycles in Canadian Sectoral Output," Computing in Economics and Finance 2005, Society for Computational Economics, number 214, Nov.
• L Christopher Plantier & Ozer Karagedikli, 2005, "Do so-called multivariate filters have better revision properties? An empirical analysis," Computing in Economics and Finance 2005, Society for Computational Economics, number 250, Nov.
• Baoline Chen & Peter A. Zadrozny, 2005, "Multi-Step Perturbation Solution of Nonlinear Rational Expectations Models," Computing in Economics and Finance 2005, Society for Computational Economics, number 254, Nov.
• Alain W. HECQ, 2005, "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005, Society for Computational Economics, number 258, Nov.
• Kevin Lee & Anthony Garratt, 2005, "Investment Decisions Under Model Uncertainty: An Application Using Exchanger Rate and Interest Rate Forecasts," Computing in Economics and Finance 2005, Society for Computational Economics, number 259, Nov.
• Kirstin Hubrich & David F. Hendry, 2005, "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005, Society for Computational Economics, number 270, Nov.
• 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," Computing in Economics and Finance 2005, Society for Computational Economics, number 28, Nov.
• Argia M. Sbordone, 2005, "A Limited Information Approach to the Simultaneous Estimation of Wage and Price Dynamics," Computing in Economics and Finance 2005, Society for Computational Economics, number 321, Nov.
• Mark E. Wohar & David E. Rapach, 2005, "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005, Society for Computational Economics, number 329, Nov.
• Wolfgang Lemke, 2005, "Using a Nonlinear Filter to Estimate a Multifactor Term Structure Model with Gaussian Mixture Innovations," Computing in Economics and Finance 2005, Society for Computational Economics, number 341, Nov.
• Matthieu LEMOINE & Odile CHAGNY, 2005, "Estimating the potential output of the euro area with a semi-structural multivariate Hodrick-Prescott filter," Computing in Economics and Finance 2005, Society for Computational Economics, number 344, Nov.
• Thomas Lubik & Wing Leong Teo, 2005, "Do Terms of Trade Shocks Drive Business Cycles? Some Evidence from Structural Estimation," Computing in Economics and Finance 2005, Society for Computational Economics, number 377, Nov.
• Peter A. Zadrozny & Baoline Chen, 2005, "Testing Substitution Bias of the Solow-Residual Measure of Total Factor Productivity Using CES-Class Production Functions," Computing in Economics and Finance 2005, Society for Computational Economics, number 378, Nov.
• Marc P. Giannoni & Jean Boivin, 2005, "DSGE Models in a Data-Rich Environment," Computing in Economics and Finance 2005, Society for Computational Economics, number 431, Nov.
• James Morley & Tara M. Sinclair, 2005, "Testing for Stationarity and Cointegration in an Unobserved Components Framework," Computing in Economics and Finance 2005, Society for Computational Economics, number 451, Nov.
• Arabinda Basistha & Richard Startz, 2005, "Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Component Approach," Computing in Economics and Finance 2005, Society for Computational Economics, number 46, Nov.
• Сосунов К. А. & Шумилов А. В., 2005, "Оценивание Равновесного Реального Обменного Курса Российского Рубля," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», volume 9, issue 2, pages 216-229.
• Cheng Hsiao & Siyan Wang, 2005, "Modified Two Stage Least Squares Estimators for the Estimation of a Structural Vector Autoregressive Integrated Process," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 05.23, May.
• M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2005, "What if the UK had Joined the Euro in 1999? An Empirical Evaluation using a Global VAR," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 05.24, May.
• M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler, 2005, "The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 05.25, May.
• Jian Yang & Cheng Hsiao & Qi Li & Zijun Wang, 2005, "The Emerging Market Crisis and Stock Market Linkages: Further Evidence," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 05.27, Jul.
• 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".
• Eickmeier, Sandra, 2005, "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,02.
• Eickmeier, Sandra & Breitung, Jörg, 2005, "How synchronized are central and east European economies with the euro area? Evidence from a structural factor model," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,20.
• Knetsch, Thomas A., 2005, "Short-run and long-run comovement of GDP and some expenditure aggregates in Germany, France and Italy," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2005,39.
• Xu, Fang, 2005, "Does Consumption-Wealth Ratio Signal Stock Returns? VECM Results for Germany," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-02.
• Blaskowitz, Oliver J. & Herwartz, Helmut & de Cadenas Santiago, Gonzalo, 2005, "Modeling the FIBOR/EURIBOR Swap Term Structure: An Empirical Approach," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2005-04.
• Liesenfeld, Roman & Hogrefe, Jens & Aßmann, Christian, 2005, "The Decline in German Output Volatility: A Bayesian Analysis," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2006-02.
• Frey, Stefan & Grammig, Joachim, 2005, "Liquidity supply and adverse selection in a pure limit order book market," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 05-01.
• Barja Daza, Gover & Monterrey Arce, Javier & Villarroel Böhrt, Sergio, 2005, "The Elasticity of Substitution in Demand for Non-Tradable Goods in Bolivia," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 344194, DOI: 10.2139/ssrn.1814744.
• Hassler, Uwe & Wolters, Jürgen, 2005, "Autoregressive distributed lag models and cointegration," Discussion Papers, Free University Berlin, School of Business & Economics, number 2005/22.
• Pierdzioch, Christian & Schertler, Andrea, 2005, "Investing in European Stock Markets for High-Technology Firms," Kiel Working Papers, Kiel Institute for the World Economy, number 1265.
• Brüggemann, Ralf & Trenkler, Carsten, 2005, "Are Eastern European countries catching up? Time series evidence for Czech Republic, Hungary, and Poland," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-014.
• Blaskowitz, Oliver J. & Herwartz, Helmut & Cadenas Santiago, Gonzalo de, 2005, "Modeling the FIBOR/EURIBOR swap term structure: An empirical approach," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-024.
• Brüggemann, Ralf & Lütkepohl, Helmut, 2005, "Uncovered interest rate parity and the expectations hypothesis of the term structure: Empirical results for the US and Europe," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-035.
• Scholl, Almuth & Uhlig, Harald, 2005, "New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-037.
• Mountford, Andrew & Uhlig, Harald, 2005, "What are the effects of fiscal policy shocks?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-039.
• Chen, Ying & Härdle, Wolfgang Karl & Spokoiny, Vladimir, 2005, "Portfolio value at risk based on independent components analysis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2005-060.
• Clostermann, Jörg & Seitz, Franz, 2005, "Are bond markets really overpriced: The case of the US," Arbeitsberichte – Working Papers, Technische Hochschule Ingolstadt (THI), number 11.
• Neumann, Anne & Siliverstovs, Boriss, 2005, "Convergence of European Spot Market Prices for Natural Gas? A Real-Time Analysis of Market Integration using the Kalman Filter," Dresden Discussion Paper Series in Economics, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics, number 05/05.
• Kaiser, Ulrich & Kongsted, Hans Christian, 2005, "Do Magazines' "Companion Websites" Cannibalize the Demand for the Print Version?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 05-49.
• Kaiser, Ulrich, 2005, "Is a Newspaper's Companion Website a Competing Outlet Channel for the Print Version?," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 05-78.

2004

• Fabrizio Coricelli & Bo??tjan Jazbec & Igor Masten, 2004, "Exchange Rate Policy and Inflation in Acceding Countries: The Role of Pass-through," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2004-674, Apr.
• Kirsten Lommatzsch & Silke Tober, 2004, "Productivity Growth and the Real Appreciation of the Accession Countries' Currencies," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 2004-675, Apr.
• Michael S. Hanson, 2004, "Monetary Factors in the Long-Run Co-movement of Consumer and Commodity Prices," Wesleyan Economics Working Papers, Wesleyan University, Department of Economics, number 2004-001, Mar.
• Philip Bond & Ashok S. Rai, 2004, "Cosigned Or Group Loans," Department of Economics Working Papers, Department of Economics, Williams College, number 2004-08, Jun.
• Chris Geirgat, 2004, "Transmission of External and Internal Shocks In Argentina During the Convertibility Period: Some Empirical Findings From VARs," Department of Economics Working Papers, Department of Economics, Williams College, number 2004-11, Jul.
• Peter Pedroni, 2004, "Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis," Department of Economics Working Papers, Department of Economics, Williams College, number 2004-15.
• Matthew J. Kotchen & Michael R. Moore, 2004, "Conservation Behavior: From Voluntary Restraint to a Voluntary Price Premium," Department of Economics Working Papers, Department of Economics, Williams College, number 2004-16, Oct.
• Nils Karl Sørensen, 2004, "Model Selection, Forecasting and Monthly Seasonality of Hotel Nights in Denmark," ERSA conference papers, European Regional Science Association, number ersa04p92, Aug.
• Michel Normandin, 2004, "Canadian and U.S. financial markets: testing the international integration hypothesis under time‐varying conditional volatility," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 37, issue 4, pages 1021-1041, November, DOI: 10.1111/j.0008-4085.2004.00258.x.
• Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004, "Fractional cointegration and tests of present value models," Review of Financial Economics, John Wiley & Sons, volume 13, issue 3, pages 245-258, DOI: 10.1016/j.rfe.2003.09.009.
• Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004, "Fractional cointegration and real exchange rates," Review of Financial Economics, John Wiley & Sons, volume 13, issue 4, pages 327-340, DOI: 10.1016/j.rfe.2003.12.001.
• Janine Aron & John Muellbauer & Coen Pretorius, 2004, "A Framework for Forecasting the Components of the Consumer Price," Development and Comp Systems, University Library of Munich, Germany, number 0409054, Sep.
• Janine Aron & John Muellbauer & Benjamin Smit, 2004, "A Structural Model of the Inflation Process in South Africa," Development and Comp Systems, University Library of Munich, Germany, number 0409055, Sep.
• Tommaso Proietti & Filippo Moauro, 2004, "Dynamic Factor Analysis with Nonlinear Temporal Aggregation Constraints," Econometrics, University Library of Munich, Germany, number 0401003, Jan.
• Jonathan B. Hill, 2004, "Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited," Econometrics, University Library of Munich, Germany, number 0402002, Feb, revised 23 Mar 2005.
• Daniel Levy, 2004, "Cointegration in Frequency Domain," Econometrics, University Library of Munich, Germany, number 0402005, Feb.
• Christian Bayer, 2004, "Aggregate investment dynamics when firms face fixed investment cost and capital market imperfections," Econometrics, University Library of Munich, Germany, number 0405001, May.
• Evens SALIES & Peter MOFFATT, 2004, "A note on the modelling of hyper-inflations," Econometrics, University Library of Munich, Germany, number 0406002, Jun.
• Benoit Bellone, 2004, "MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models," Econometrics, University Library of Munich, Germany, number 0406004, Jun.
• Benoit Bellone & David Saint-Martin, 2004, "Detecting Turning Points with Many Predictors through Hidden Markov Models," Econometrics, University Library of Munich, Germany, number 0407001, Jul.
• Benoit Bellone, 2004, "Une lecture probabiliste du cycle d’affaires américain," Econometrics, University Library of Munich, Germany, number 0407002, Jul, revised 28 Mar 2005.
• Stanislav Radchenko, 2004, "Limited Information Bayesian Analysis of a Simultaneous Equation with an Autocorrelated Error Term and its Application to the U.S. Gasoline Market," Econometrics, University Library of Munich, Germany, number 0408001, Aug.
• Philip Kostov & John Lingard, 2004, "Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption," Econometrics, University Library of Munich, Germany, number 0409007, Sep.
• João Leitão, 2004, "Demand Pull And Supply Push In Portuguese Cable Television," Econometrics, University Library of Munich, Germany, number 0409011, Sep.
• Elena Pesavento & Barbara Rossi, 2004, "Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure," Econometrics, University Library of Munich, Germany, number 0411002, Nov.
• Fabio Busetti, 2004, "Tests of seasonal integration and cointegration in multivariate unobserved component models," Econometrics, University Library of Munich, Germany, number 0411003, Nov.
• João Leitão, 2004, "Demand Pull and Supply Push in Portuguese Cable Television," Econometrics, University Library of Munich, Germany, number 0411009, Nov.
• Catalin Starica, 2004, "Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?," Econometrics, University Library of Munich, Germany, number 0411015, Nov.
• J. Polzehl & V. Spokoiny & C. Starica, 2004, "When did the 2001 recession really start?," Econometrics, University Library of Munich, Germany, number 0411017, Nov.
• Gatfaoui Hayette, 2004, "How Does Systematic Risk Impact Stocks? A Study On the French Financial Market," Finance, University Library of Munich, Germany, number 0404003, Apr.
• Daniel Stavarek, 2004, "Linkages between Stock Prices and Exchange Rates in the EU and the United States," Finance, University Library of Munich, Germany, number 0406006, Jun.
• Martin Vojtek, 2004, "Calibration of Interest Rate Models - Transition Market Case," Finance, University Library of Munich, Germany, number 0410015, Oct.
• Daniel Levy, 2004, "Is the Feldstein-Horioka Puzzle Really a Puzzle?," International Finance, University Library of Munich, Germany, number 0402002, Feb, revised 12 May 2005.
• jose r. p. manso, 2004, "Luso-Spanish-Franco-English Relations Viewed From The Entrance Of Foreign Investment Funds," International Finance, University Library of Munich, Germany, number 0404006, Apr.
• jose ramos pires manso, 2004, "Luso-Spanish-Franco-English Relations Viewed From The Entrance Of Foreign Investment Funds," International Finance, University Library of Munich, Germany, number 0404010, Apr.
• Eric Hillebrand & Gunther Schnabl, 2004, "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," International Finance, University Library of Munich, Germany, number 0410008, Oct.
• Jean-Philippe Gervais & Bruno Larue & Olivier Bonroy, 2004, "Investigating Non-Linearities in the Relationship Between Real Exchange Rate Volatility and Agricultural Trade," International Trade, University Library of Munich, Germany, number 0407004, Jul.
• Michal Brzoza-Brzezina, 2004, "The Information Content of the Natural Rate of Interest: The Case of Poland," Macroeconomics, University Library of Munich, Germany, number 0402007, Feb.
• Daniel Levy & Hashem Dezhbakhsh, 2004, "International Evidence on Output Fluctuation and Shock Persistence," Macroeconomics, University Library of Munich, Germany, number 0402016, Feb.
• Oscar Jorda, 2004, "Model-Free Impulse Responses," Macroeconomics, University Library of Munich, Germany, number 0403016, Mar.
• Markku Lanne, 2004, "Nonlinear dynamics of interest rate and inflation," Macroeconomics, University Library of Munich, Germany, number 0405014, May.
• Dr. Godwin Chukwudum Nwaobi, 2004, "Modelling Economic Fluctuations In Subsaharan Africa:A Vector Autoregressive Approach," Macroeconomics, University Library of Munich, Germany, number 0406008, Jun.
• Jonathan B. Hill, 2004, "Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship," Macroeconomics, University Library of Munich, Germany, number 0407013, Jul, revised 15 Feb 2006.
• Odile Chagny & Frédéric Reynès & Henri Sterdyniak, 2004, "Le taux de chômage et d'équilibre : Discussion empirique et évaluation empirique," Macroeconomics, University Library of Munich, Germany, number 0411017, Nov, revised 08 Dec 2004.
• Christian Bayer, 2004, "Aggregate investment dynamics when firms face fixed investment cost and capital market imperfections," Macroeconomics, University Library of Munich, Germany, number 0411018, Nov.
• Ignacio Díaz-Emparanza, 2004, "SURGAT Seasonal Unit Roots Graphical Analysis and Testing device," Computer Programs, University Library of Munich, Germany, number 0401001, revised 19 Oct 2004.
• Martin Barlow & Yuri Gusev & Manpo Lai, 2004, "Calibration Of Multifactor Models In Electricity Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 101-120, DOI: 10.1142/S0219024904002396.
• George M. Jabbour & Marat V. Kramin & Timur V. Kramin & Stephen D. Young, 2004, "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".
• Michael K. Fung, 2004, "Value-Relevance of Knowledge Spillovers: Evidence from Three High-Tech Industries," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Anthony Kozberg, 2004, "Using Path Analysis to Integrate Accounting and Non-Financial Information: The Case for Revenue Drivers of Internet Stocks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Youngsik Kwak & H. James Williams, 2004, "A Teaching Note on the Effective Interest Rate, Periodic Interest Rate and Compounding Frequency," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Sidney Leung, 2004, "Voluntary Disclosure of Strategic Operating Information and the Accuracy of Analysts' Earnings Forecasts," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".
• Van T. Nguyen & Bonnie F. Van Ness & Robert A. Van Ness, 2004, "Intraday Trading of Island (As Reported to the Cincinnati Stock Exchange) and NASDAQ," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Cheng-Few Lee, "Advances In Quantitative Analysis Of Finance And Accounting New Series".