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

2002

• Ángel León & Antonio Rubia, 2002, "Forecasting Time-Varying Covariance Matrices In Intradaily Electricity Spot Prices," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-10, Jul.
• Maximo Camacho & Gabriel Perez-Quiros, 2002, "This is what the leading indicators lead," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 1, pages 61-80.
• Chien-Hui Lee & Bwo-Nung Huang, 2002, "The Relationship Between Exports And Economic Growth In East Asian Countries: A Multivariate Threshold Autoregressive Approach," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, volume 27, issue 2, pages 45-68, December.
• Johann Burgstaller, 2002, "Are stock returns a leading indicator for real macroeconomic developments?," Economics working papers, Department of Economics, Johannes Kepler University Linz, Austria, number 2002-07, Jul.
• Fritsche Ulrich & Stephan Sabine, 2002, "Leading Indicators of German Business Cycles. An Assessment of Properties / Frühindikatoren der deutschen Konjunktur. Eine Beurteilung ihrer Eigenschaften," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 222, issue 3, pages 289-315, June, DOI: 10.1515/jbnst-2002-0302.
• Hans Christian Kongsted, 2002, "Testing the Nominal-to-Real Transformation," Discussion Papers, University of Copenhagen. Department of Economics, number 02-06, Mar.
• Hans Christian Kongsted & Heino Bohn Nielsen, 2002, "Analyzing I(2) Systems by Transformed Vector Autoregressions," Discussion Papers, University of Copenhagen. Department of Economics, number 02-20, Nov.
• Philip Arestis & Andrea Cipollini & Bassam Fattouh, 2002, "Threshold Effects in the U.S. Budget Deficit," Economics Working Paper Archive, Levy Economics Institute, number wp_358, Oct.

2001

• Vahid, Farshid & Issler, João Victor, 2001, "The importance of common cyclical features in VAR analysis: a Monte-Carlo study," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 417, Apr.
• Issler, João Victor & Vahid, Farshid, 2001, "The missing link: using the NBER recessions indicator to construct coincident and leading indices of economic activity," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 429, Jul.
• James H. Stock & Mark W. Watson, 2001, "Forecasting output and inflation: the role of asset prices," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
• Richard Dennis, 2001, "The Policy Preferences of the U.S. Federal Reserve," Working Paper Series, Federal Reserve Bank of San Francisco, number 2001-08, Jul, DOI: 10.24148/wp2001-08.
• John M. Roberts, 2001, "Estimates of the productivity trend using time-varying parameter techniques," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2001-08.
• James B. Bullard & Eric Schaling, 2001, "New economy-new policy rules," Review, Federal Reserve Bank of St. Louis, volume 83, issue May, pages 57-66.
• Marcelle Chauvet & Chinhui Juhn & Simon M. Potter, 2001, "Markov switching in disaggregate unemployment rates," Staff Reports, Federal Reserve Bank of New York, number 132.
• Jean Boivin & Marc Giannoni, 2001, "Has monetary policy become less powerful?," Staff Reports, Federal Reserve Bank of New York, number 144, Mar.
• Podevin, M., 2001, "Are Consumers Forward-Looking?," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2001.22.
• Karame, F., 2001, "Can the Mortensen & Pissarides Model Reproduce the Asymmetric Dynamics of US and French Aggregate Gross Job Flows?," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2001.39.
• Fratzscher, M., 2001, "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," Papers, Quebec a Montreal - Recherche en gestion, number 48.
• Ehrmann, M. & Worms, A., 2001, "Interbank Lending and Monetary Policy Transmission: Evidence for Germany," Papers, Quebec a Montreal - Recherche en gestion, number 73.
• Sergey Drobyshevsky & Vladimir Nosko & Revold Entov & Alexander Yudin, 2001, "Econometric analysis of time series of key macroeconomic indicators," Research Paper Series, Gaidar Institute for Economic Policy, issue 34P, pages 248-248.
• Anton Muscatelli & Franco Spinelli & Carmine Trecroci, 2001, "Real Exchange Rates in the Long Run: Evidence from Historical Data," Working Papers, Business School - Economics, University of Glasgow, number 2001_6, Jul.
• Michael Rockinger & Eric Jondeau, 2001, "Portfolio allocation in transition economies," Working Papers, HAL, number hal-00601482, Oct.
• Michael Funke, 2001, "Money Demand in Euroland," Quantitative Macroeconomics Working Papers, Hamburg University, Department of Economics, number 20112, Dec.
• Alexius, Annika & Carlsson, Mikael, 2001, "Measures of Technology and the Business Cycle: Evidence from Sweden and the U.S," Working Paper Series, Trade Union Institute for Economic Research, number 174, Dec.
• Mkenda, Beatrice Kalinda, 2001, "Long-run and Short-run Determinants of the Real Exchange Rate in Zambia," Working Papers in Economics, University of Gothenburg, Department of Economics, number 40, Apr.
• Mkenda, Beatrice Kalinda, 2001, "Is East Africa an Optimum Currency Area?," Working Papers in Economics, University of Gothenburg, Department of Economics, number 41, Apr.
• Löf, Mårten, 2001, "Size and power of the likelihood ratio test for seasonal cointegration in small samples: A Monte Carlo study," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 0439, Mar.
• Hjelm, Göran, 2001, "The Dynamic Response of the Budget Balance to Tax, Spending and Output Shocks: Does Model Specification Matter?," Working Papers, Lund University, Department of Economics, number 2001:2, Feb.
• Hjelm, Göran, 2001, "Assigning Economic Policy and Business Cycle Shocks to Democrats and Republicans: A Common Trends Approach," Working Papers, Lund University, Department of Economics, number 2001:22, Nov.
• Hjelm, Göran, 2001, "Total Factor Productivity and the Real Exchange Rate in a Small Open Economy: The Relative Importance of Permanent and Transitory Shocks," Working Papers, Lund University, Department of Economics, number 2001:23, Nov.
• Huhtala, Anni & Toppinen, Anne & Boman, Mattias, 2001, "An Environmental Accountant`s Dilemma: Are Stumpage Prices Reliable Indicators of Resource Scarcity?," Working Papers, National Institute of Economic Research, number 77, Nov.
• Barkbu,B.B. & Nymoen,R. & Roed,K., 2001, "Wage coordination and unemployment dynamics in Norway and Sweden," Memorandum, Oslo University, Department of Economics, number 11/2001.
• de Luna, Xavier & Johansson, Per, 2001, "Graphical diagnostics of endogeneity," Umeå Economic Studies, Umeå University, Department of Economics, number 553, Feb.
• Juan J. Dolado & Ramón María-Dolores, 2001, "An empirical study of the cyclical effects of monetary policy in Spain (1977-1997)," Investigaciones Economicas, Fundación SEPI, volume 25, issue 1, pages 3-30, January.
• Dimitz, Maria Antoinette, 2001, "Output Gaps in European Monetary Union. New Insights from Input Augmentation in the Technological Progress," Economics Series, Institute for Advanced Studies, number 102, Jul.
• Jumah, Adusei & Kunst, Robert M., 2001, "The Effects of Exchange-Rate Exposures on Equity Asset Markets," Economics Series, Institute for Advanced Studies, number 94, Jan.
• N. Vijayamohanan Pillai, 2001, "Electricity demand analysis and forecasting: The tradition is questioned," Centre for Development Studies, Trivendrum Working Papers, Centre for Development Studies, Trivendrum, India, number 312, Feb.
• Cavaliere Giuseppe & Fanelli Luca & Paruolo Paolo, 2001, "Determining the number of cointegrating relations under rank constraints," Economics and Quantitative Methods, Department of Economics, University of Insubria, number qf0109, Jul.
• Bruno Giancarlo & Lupi Claudio, 2001, "Forecasting Industrial Production and the Early Detection of Turning POints," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 20, Jun.
• Bruno Giancarlo & Edoardo Otranto, 2001, "The Choice of Time Interval in Seasonal Adjustment: Characterization and Tools," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), number 21, Jun.
• Filippo Altissimo & Giovanni L. Violante, 2001, "The non-linear dynamics of output and unemployment in the U.S," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 16, issue 4, pages 461-486.
• G. Coenen & J.-L. Vega, 2001, "The demand for M3 in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 16, issue 6, pages 727-748.
• Jushan Bai & Serena Ng, 2001, "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics, number 467, Oct.
• Meier Carsten-Patrick, 2001, "Trend und Zyklus im Bruttoinlandsprodukt der Bundesrepublik Deutschland. Eine Anmerkung / Trends and Cycles in Germany’s Real Gross Domestic Product. A Note," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 221, issue 2, pages 168-178, April, DOI: 10.1515/jbnst-2001-0204.
• Jennes Barbara, 2001, "Ein alternativer Indikator der deutschen Geldpolitik. Untersuchung im Rahmen eines strukturellen VAR-Modells / An Improved Indicator of German Monetary Policy A Structural VAR Analysis," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 221, issue 4, pages 371-393, August, DOI: 10.1515/jbnst-2001-0403.
• Snyder, Ralph D & Shami, Roland G, 2001, "Exponential Smoothing of Seasonal Data: A Comparison," Journal of Forecasting, John Wiley & Sons, Ltd., volume 20, issue 3, pages 197-202, April.
• Panagiotis Reppas & Efthymios Tsionas & Dimitris Christopoulos, 2001, "European common stochastic long-run trends," Journal of Economics, Springer, volume 74, issue 2, pages 119-130, June, DOI: 10.1007/BF01231550.
• Heino Bohn Nielsen, 2001, "An I(2) Cointegration Analysis of Price and Quantity Formation in Danish Manufactured Exports," Discussion Papers, University of Copenhagen. Department of Economics, number 01-01, Jan.
• Roselyne Joyeux, 2001, "How to Deal with Structural Breaks in Practical Cointegration Analysis," Research Papers, Macquarie University, Department of Economics, number 0112, Dec.
• Krolzig, Hans-Martin, 2001, "Business cycle measurement in the presence of structural change: international evidence," International Journal of Forecasting, Elsevier, volume 17, issue 3, pages 349-368.
• Lof, Marten & Hans Franses, Philip, 2001, "On forecasting cointegrated seasonal time series," International Journal of Forecasting, Elsevier, volume 17, issue 4, pages 607-621.
• Funke, Michael, 2001, "Money demand in Euroland," Journal of International Money and Finance, Elsevier, volume 20, issue 5, pages 701-713, October.
• Guglielmo Maria Caporale & Nikitas Pttis, 2001, "Revisiting the Long-Run Relationship between Real Exchange Rates and Real Interest Differentials: A Productivity Differential Approach Patterns in Neighboring Areas," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 5, issue 2, pages 155-177, Winter.
• Kleijn, R.H. & van Dijk, H.K., 2001, "A Bayesian analysis of the PPP puzzle using an unobserved components model," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2001-35, Nov.
• Stamatopoulos T., 2001, "Trade Balance and Exchange-Rate for a Small Open Economy During the EMS: The Hellinic Case 1983:1-1995:12," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3-4, pages 121-140, July - De.
• Yannick L’Horty & Christophe Rault, 2001, "Why is French Equilibrium Unemployment so High : an Estimation of the WS-PS Model," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 01-18.
• Scutaru, Cornelia, 2001, "Answer Of An Inflationary Circuit To The Possible Shocks In Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 63-77, December.
• John Landon-Lane, 2001, "The Impact on Forecasts and Impulse Responses of Restricting Drift in a Vector Autoregression," Departmental Working Papers, Rutgers University, Department of Economics, number 200114, Nov.
• David F. Hendry & Katarina Juselius, 2001, "Explaining Cointegration Analysis: Part II," The Energy Journal, , volume 22, issue 1, pages 75-120, January, DOI: 10.5547/ISSN0195-6574-EJ-Vol22-No1-.
• Patrik Gustavsson & Jonas Nordström, 2001, "The Impact of Seasonal Unit Roots and Vector ARMA Modelling on Forecasting Monthly Tourism Flows," Tourism Economics, , volume 7, issue 2, pages 117-133, June, DOI: 10.5367/000000001101297766.
• Thorsten Freihube & Erik Theissen, 2001, "An Index Is An Index Is An Index?," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 53, issue 4, pages 295-320, October.
• Hans-Martin Krolzig, 2001, "General--to--Specific Reductions of Vector Autoregressive Processes," Computing in Economics and Finance 2001, Society for Computational Economics, number 164, Apr.
• Jerry Coakley, Ana-Maria Fuertes, Ron Smith, 2001, "Small sample properties of panel time-series estimators with I(1) errors," Computing in Economics and Finance 2001, Society for Computational Economics, number 191, Apr.
• Joerg Breitung and Uwe Hassler, 2001, "Inference on the Cointegration Rank in Fractionally Integrated Processes," Computing in Economics and Finance 2001, Society for Computational Economics, number 233, Apr.
• Katsuhiro Sugita, 2001, "Bayes Analysis of Partially Cointegrated VAR Systems with Markov Regime Switching," Computing in Economics and Finance 2001, Society for Computational Economics, number 33, Apr.
• J. Durbin and S.J. Koopman, 2001, "An efficient and simple simulation smoother for state space time series analysis," Computing in Economics and Finance 2001, Society for Computational Economics, number 52, Apr.
• Eric Schaling, James Bullard, 2001, "New economy : new policy rules?," Computing in Economics and Finance 2001, Society for Computational Economics, number 53, Apr.
• N R Bhanumurthy & M Ramachandran & Purna Chandra Padhan, 2001, "Is the QTM Controversy Settled?," Working Papers, Institute for Social and Economic Change, Bangalore, number 81.
• Stefan Ambec & Michel Poitevin, 2001, "Organizational Design of R&D activities," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 60, Jun.
• Elisabet Berglund & Kurt Brännäs, 2001, "Plants' entry and exit in Swedish municipalities," The Annals of Regional Science, Springer;Western Regional Science Association, volume 35, issue 3, pages 431-448.
• Markku Lanne, 2001, "Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect," Empirical Economics, Springer, volume 26, issue 2, pages 357-366.
• Stefan Mittnik & Thorsten Neumann, 2001, "Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries," Empirical Economics, Springer, volume 26, issue 2, pages 429-446.
• Jörg Breitung, 2001, "A convenient representation for structural vector autoregressions," Empirical Economics, Springer, volume 26, issue 2, pages 447-459.
• Anders Warne & Henrik Hansen, 2001, "The cause of Danish unemployment: Demand or supply shocks?," Empirical Economics, Springer, volume 26, issue 3, pages 461-486.
• Bruno Larue & Jean-Philippe Gervais, 2001, "Do reductions in black market exchange rate premia cause inflation?," Empirical Economics, Springer, volume 26, issue 3, pages 525-551.
• Mariam Camarero & Javier Ordóñez, 2001, "Who is ruling Europe? Empirical evidence on the German Dominance Hypothesis," Empirical Economics, Springer, volume 26, issue 4, pages 623-650.
• Enrique Alberola & Humberto López, 2001, "Internal and external exchange rate equilibrium in a cointegration framework. An application to the Spanish peseta," Spanish Economic Review, Springer;Spanish Economic Association, volume 3, issue 1, pages 23-40.
• Juan Solé López-Pinto, 2001, "Fiscal policy and the Spanish business cycle," Spanish Economic Review, Springer;Spanish Economic Association, volume 3, issue 4, pages 295-311.
• F. Butter & S. Koopman, 2001, "Interaction between structural and cyclical shocks in production and employment," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 137, issue 2, pages 273-296, June, DOI: 10.1007/BF02707266.
• Guglielmo Caporale & Nikitas Pittis, 2001, "Parameter instability, superexogeneity, and the monetary model of the exchange rate," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 137, issue 3, pages 501-524, September, DOI: 10.1007/BF02707628.
• Håvard Hungnes, 2001, "Estimating and Restricting Growth Rates and Cointegration Means With Applications to Consumption and Money Demand," Discussion Papers, Statistics Norway, Research Department, number 309, Oct.
• Anindya Banerjee, 2001, "Industry structure and the dynamics of price adjustment," Applied Economics, Taylor & Francis Journals, volume 33, issue 15, pages 1889-1901, DOI: 10.1080/00036840010021131.
• Gianluca Cubadda, 2001, "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 2, pages 201-216, DOI: 10.1081/ETC-100103823.
• Gael Martin, 2001, "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 2, pages 217-234, DOI: 10.1081/ETC-100103824.
• Oscar Bajo-Rubio & Sosvilla-Rivero Simon, 2001, "A Quantitative Analysis of the Effects of Capital Controls: Spain, 1986-1990," International Economic Journal, Taylor & Francis Journals, volume 15, issue 3, pages 129-146, DOI: 10.1080/10168730100000047.
• Judith Giles & Cara Williams, 2001, "Export-led growth: a survey of the empirical literature and some non-causality results. Part 1," The Journal of International Trade & Economic Development, Taylor & Francis Journals, volume 9, issue 3, pages 261-337, DOI: 10.1080/09638190050086177.
• Judith Giles & Cara Williams, 2001, "Export-led growth: a survey of the empirical literature and some non-causality results. Part 2," The Journal of International Trade & Economic Development, Taylor & Francis Journals, volume 9, issue 4, pages 445-470, DOI: 10.1080/096381900750056867.
• Craig A. Depken, 2001, "Good News, Bad News and Garch Effects in Stock Return Data," Journal of Applied Economics, Taylor & Francis Journals, volume 4, issue 2, pages 313-327, November, DOI: 10.1080/15140326.2001.12040567.
• Sandor Valkovszky & Janos Vincze, 2001, "Estimates of and Problems with Core Inflation in Hungary," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 1, issue 1, pages 69-99.
• Richard Kleijn & Herman K. van Dijk, 2001, "A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-105/4, Nov.
• Uhlig, H.F.H.V.S., 2001, "Did the FED Surprise the Markets in 2001? A Case Study for Vars with Sign Restrictions," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-88.
• Jose Tavares & Rossen Valkanov, 2001, "The neglected effect of fiscal policy on stock and bond returns," Nova SBE Working Paper Series, Universidade Nova de Lisboa, Nova School of Business and Economics, number wp413.
• Albert Marcet & Morten O. Ravn, 2001, "The HP-filter in cross-country comparisons," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 588, Nov, revised Dec 2003.
• Atsushi Inoue & Mototsugu Shintani, 2001, "Bootstrapping GMM Estimators for Time Series," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0129, Dec, revised Aug 2003.
• Carol Scotese Lehr, 2001, "Banks and Output Fluctuations," Working Papers, VCU School of Business, Department of Economics, number 0101, May.
• Jesus Gonzalo & Jean-Yves Pitarakis, 2001, "Lag Length Estimation in Large Dimensional Systems," Econometrics, University Library of Munich, Germany, number 0108003, Aug.
• Giancarlo Bruno & Claudio Lupi, 2001, "Forecasting Industrial Production and the Early Detection of Turning Points," Econometrics, University Library of Munich, Germany, number 0110004, Oct.
• Godwin Nwaobi, 2001, "A Vector Error Correction And Nonnested Modelling Of Money Demand Function In Nigeria," Econometrics, University Library of Munich, Germany, number 0111004, Nov.
• Selahattin Dibooglu & Aykut Kibritcioglu, 2001, "Inflation, Output, and Stabilization in a High Inflation Economy: Turkey, 1980-2000," Macroeconomics, University Library of Munich, Germany, number 0107003, Jul, revised 26 Jul 2001.
• Sugita, K., 2001, "Bayesian Cointegration Analysis," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 591.
• Pitt, M.K. & Walker, S.G., 2001, "Construction of Stationary Time Series via the Giggs Sampler with Application to Volatility Models," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 595.
• Dick Wittink & Csilla Horvath & Peter S.H. Leeflang, 2001, "Dynamic Analysis of a Competitive Marketing System," Yale School of Management Working Papers, Yale School of Management, number ysm226, Oct.
• Guglielmo Maria Caporale & Geoffrey Williams, 2001, "Bond Markets and Macroeconomic Performance," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 4, issue 1, pages 27-44, May.
• Gottschalk, Jan & Höppner, Florian, 2001, "Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 21/2001.
• Ehrmann, Michael & Worms, Andreas, 2001, "Interbank lending and monetary policy transmission: evidence for Germany," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2001,11.
• Kaltenhäuser, Bernd, 2001, "Explaining the Dollar-Euro rate: Do stock market returns mater?," CFS Working Paper Series, Center for Financial Studies (CFS), number 2001/06.
• Bohl, Martin T. & Siklos, Pierre L., 2001, "Dectecting speculative bubbles in stock prices: A new approach and some evidence for the US," Research Notes, Deutsche Bank Research, number 01-3.
• Gottschalk, Jan & Döpke, Jörg & Kamps, Christophe, 2001, "Sources of Euro Real Exchange Rate Fluctuations: What Is Behind the Euro Weakness in 1999-2000?," Kiel Working Papers, Kiel Institute for the World Economy, number 1050.
• Gottschalk, Jan, 2001, "Measuring Expected Inflation and the Ex-Ante Real Interest Rate in the Euro Area Using Structural Vector Autoregressions," Kiel Working Papers, Kiel Institute for the World Economy, number 1067.
• van Zandweghe, Willem & Gottschalk, Jan, 2001, "Do Bivariate SVAR Models with Long-Run Identifying Restrictions Yield Reliable Results? The Case of Germany," Kiel Working Papers, Kiel Institute for the World Economy, number 1068.
• Gottschalk, Jan, 2001, "An Introduction into the SVAR Methodology: Identification, Interpretation and Limitations of SVAR models," Kiel Working Papers, Kiel Institute for the World Economy, number 1072.
• Höppner, Florian & Gottschalk, Jan, 2001, "Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy," Kiel Working Papers, Kiel Institute for the World Economy, number 1074.
• Brüggemann, Ralf, 2001, "Sources of German unemployment: A structural vector error correction analysis," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,19.
• Schulz, Rainer & Werwatz, Axel, 2001, "A state space model for Berlin house prices," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,58.
• Lütkepohl, Helmut & Wolters, Jürgen, 2001, "The transmission of German monetary policy in the pre-Euro period," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,87.
• Uhlig, Harald, 2001, "Did the Fed surprise the markets in 2001? A case study for VARs with sign restrictions," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,98.
• Kilian, Lutz & Ivanov, Ventzislav, 2001, "A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions," CEPR Discussion Papers, Centre for Economic Policy Research, number 2685, Jan.
• Ravn, Morten & Uhlig, Harald, 2001, "On Adjusting the HP-Filter for the Frequency of Observations," CEPR Discussion Papers, Centre for Economic Policy Research, number 2858, Jun.
• Schiff, Maurice & Olarreaga, Marcelo & Lumenga-Neso, Olivier, 2001, "On 'Indirect' Trade-Related R&D Spillovers," CEPR Discussion Papers, Centre for Economic Policy Research, number 2871, Jun.
• Panayiotis Diamantis & Dimitris Georgoutsos & George Kouretas, 2001, "The Monetary Approach in the Presence of I(2) Components: A Cointegration Analysis of the Official and Black Market for Foreign Currency in Latin America," Working Papers, University of Crete, Department of Economics, number 0108, Jun.
• Romano, Joseph P. & Wolf, Michael, 2001, "Improved nonparametric confidence intervals in time series regressions," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws010201, Jan.
• Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 2001, "Comparison Of Bootstrap Confidence Intervals For Impulse Responses Of German Monetary Systems," Macroeconomic Dynamics, Cambridge University Press, volume 5, issue 1, pages 81-100, February.
• Oleg Kozlovski & Patrick Pintus & Sebastien van Strien & Robin de Vilder, 2001, "Business Cycle Models : closing the gap between the different approaches," DELTA Working Papers, DELTA (Ecole normale supérieure), number 2001-02.
• Albert Marcet & Morten Ravn, 2001, "GAUSS code for the HP-filter reformulated as a constrained minimization problem," QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles, number 103, revised .
• Prakash G Apte, 2001, "The Dynamics of Short-term Interest Rates: An Econometric Analysis," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 36, issue 2, pages 341-357, July.
• ROCKINGER, Michael & JONDEAU, Eric, 2001, "Portfolio allocation in transition economies," HEC Research Papers Series, HEC Paris, number 740, Oct.
• Camba-Méndez, Gonzalo & Kapetanios, George, 2001, "Testing the rank of the Hankel matrix: a statistical approach," Working Paper Series, European Central Bank, number 45, Mar.
• Fratzscher, Marcel, 2001, "Financial market integration in Europe: on the effects of EMU on stock markets," Working Paper Series, European Central Bank, number 48, Mar.
• Camba-Méndez, Gonzalo & Rodriguez-Palenzuela, Diego, 2001, "Assessment criteria for output gap estimates," Working Paper Series, European Central Bank, number 54, Apr.
• Calza, Alessandro & Gartner, Christine & Sousa, João, 2001, "Modelling the demand for loans to the private sector in the euro area," Working Paper Series, European Central Bank, number 55, Apr.
• Camba-Méndez, Gonzalo & Kapetanios, George, 2001, "Spectral based methods to identify common trends and common cycles," Working Paper Series, European Central Bank, number 62, Apr.
• Nicoletti Altimari, Sergio, 2001, "Does money lead inflation in the euro area?," Working Paper Series, European Central Bank, number 63, May.
• Ehrmann, Michael & Worms, Andreas, 2001, "Interbank lending and monetary policy transmission - evidence for Germany," Working Paper Series, European Central Bank, number 73, Jul.
• Clements, Michael P. & Hendry, David F., 2001, "Economic forecasting: some lessons from recent research," Working Paper Series, European Central Bank, number 82, Nov.
• Michael P. Clements & David F.Hendry, 2001, "Forecasting with difference-stationary and trend-stationary models," Econometrics Journal, Royal Economic Society, volume 4, issue 1, pages 1-19.
• Anthony Garratt & Kevin Lee & Mohammad Hashem Pesaran & Yongcheol Shin, 1999, "A long run structural macroeconometric model of the UK," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 35, Jun, revised Dec 2001.
• Athony Garratt & Kevin Lee & Mohammad Hashem Pesaran & Yongcheol Shin, 2001, "Forecast Uncertainties in Macroeconomics Modelling: An Application to the UK Economy," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 64, Dec.
• Candelon, Bertrand & Lutkepohl, Helmut, 2001, "On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models," Economics Letters, Elsevier, volume 73, issue 2, pages 155-160, November.
• Phillips, Peter C. B., 2001, "Trending time series and macroeconomic activity: Some present and future challenges," Journal of Econometrics, Elsevier, volume 100, issue 1, pages 21-27, January.
• Domowitz, Ian & El-Gamal, Mahmoud A., 2001, "A consistent nonparametric test of ergodicity for time series with applications," Journal of Econometrics, Elsevier, volume 102, issue 2, pages 365-398, June.
• Shintani, Mototsugu, 2001, "A simple cointegrating rank test without vector autoregression," Journal of Econometrics, Elsevier, volume 105, issue 2, pages 337-362, December.
• James H. Stock & Mark W. Watson, 2001, "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, volume 15, issue 4, pages 101-115, Fall.
• Francisco J. Climent & Vicente Meneu, 2001, "Has 1997 Asian Crisis increased Information Flows between International Markets?," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 01-01, Jan.
• Fernando Perez de Gracia & Juncal Cuñado, 2001, "Intertemporal Current Account And Productivity Shocks: Evidence For Some European Countries," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 01-05, Apr.
• Yiridoe, Emmanuel K. & Nanang, David M., 2001, "An Econometric Analysis Of The Causes Of Tropical Deforestation: Ghana," 2001 Annual meeting, August 5-8, Chicago, IL, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association), number 20750, DOI: 10.22004/ag.econ.20750.
• Miljkovic, Dragan & Marsh, John M. & Brester, Gary W., 2001, "Japanese Import Demand For Us Beef And Pork: Effects On Us Red Meat Exports And Livestock Prices," 2001: International Trade in Livestock Products Symposium, January 2001, Auckland, New Zealand, International Agricultural Trade Research Consortium, number 14545, DOI: 10.22004/ag.econ.14545.
• Jesús Otero & Costas Milas, 2001, "Modelling Official And Parallel Exchange Rates In Colombia Under Alternative Regimes: A Non-Linear Approach," CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number PO2, Jan.
• Diks, C.G.H. & Manzan, S., 2001, "Tests for serial independence and linearity based on correlation integrals," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 01-02.
• Newton P. Bueno & Adriano Provesano Gomes, 2001, "Uma contribuição ao debate sobre a primeira revolução industrial utilizando a técnica do diagrama de recorrência," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 2, issue 1, pages 291-311, January-J.
• McCracken,M.W. & West,K.D., 2001, "Inference about predictive ability," Working papers, Wisconsin Madison - Social Systems, number 14.
• West,K.D. & Wong,K.-F. & Anatolyev,S., 2001, "Instrumental variables estimation of heteroskedastic linear models using all lags of instruments," Working papers, Wisconsin Madison - Social Systems, number 20.
• Marc-André Gosselin & Greg Tkacz, 2001, "Evaluating Factor Models: An Application to Forecasting Inflation in Canada," Staff Working Papers, Bank of Canada, number 01-18, DOI: 10.34989/swp-2001-18.
• Agustín Maravall & Ana del Río, 2001, "Time Aggregation and the Hodrick-Prescott Filter," Working Papers, Banco de España, number 0108.
• Stefano Neri, 2001, "Assessing the effects of monetary and fiscal policy," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 425, Nov.
• Leonardo Gambacorta & Boris Hofmann & Gert Peersman, 2012, "The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis," BIS Working Papers, Bank for International Settlements, number 384, Aug.
• C. L Chua & W. E. Griffiths & C. J O'Donnell, 2001, "Bayesian Model Averaging in Consumer Demand Systems with Inequality Constraints," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, volume 49, issue 3, pages 269-291, November, DOI: j.1744-7976.2001.tb00306.x.
• Lucio Sarno, 2001, "Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation," Economica, London School of Economics and Political Science, volume 68, issue 271, pages 401-426, August, DOI: 10.1111/1468-0335.00253.
• Luis Arce Catacora, 2001, "Incertidumbre y dolarización en Bolivia," Revista de Análisis del BCB, Banco Central de Bolivia, volume 4, issue 2, pages 31-56, December.
• Jushan Bai & Serena Ng, 2001, "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Boston College Working Papers in Economics, Boston College Department of Economics, number 518, Oct.
• Coutts, K. & Norman, N.R., 2001, "Global Influences on UK Manufacturing Prices," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0117, Nov.
• Pesaran, M.H. & Weiner, S.M., 2001, "Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0119, Dec.
• Craig A. Depken II, 2001, "Good News, Bad News And Garch Effects In Stock Return Data," Journal of Applied Economics, Universidad del CEMA, volume 4, pages 313-327, November.
• Yin-Wong Cheung & Frank Westermann, 2001, "Sectoral Trends and Cycles in Germany," CESifo Working Paper Series, CESifo, number 502.
• Costas Milas & Jesus Otero & Theodore Panagiotidis, 2001, "Forecasting the spot prices of various coffee types using linear and non-linear error correction models," Borradores de Investigación, Universidad del Rosario, number 2737, Oct.
• Ana Mar√≠a Iregui & Costas Milas & Jes√∫s Otero, 2001, "On the dynamics of lending and deposit interest rates in emerging markets: a non-linear approach," Borradores de Investigación, Universidad del Rosario, number 3297, Nov.
• Martha Misas A. & Carlos Esteban Posada & Diego Mauricio V�squez, 2001, "�Est� Determinado el Nivel de Precios por las Expectativas de Dinero y Producto en Colombia?," Borradores de Economia, Banco de la Republica, number 3807, Oct.
• Guglielmo Maria Caporale & Nikitas Pittis, 2001, "Persistence in macroeconomic time series: Is it a model invariant property?," Revista de Economía del Rosario, Universidad del Rosario.
• M. Hashem Pesaran & Til Schuermann & Scott M. Weiner, 2001, "Modelling regional interdependencies using a global error-correcting macroeconometric model," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data, number B4-1, Oct.
• Tim Brailsford & Jack H.W. Penm & R. Deane Terrell, 2001, "The Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market," Multinational Finance Journal, Multinational Finance Journal, volume 5, issue 1, pages 35-58, March.
• Christian Bayer, 2001, "Aggregate investment dynamics when firms face fixed investment cost and capital market imperfections," Discussion Papers in Economics, University of Dortmund, Department of Economics, number 01_13, Jul.
• Chua, C.L. & Griffiths, W.E. & O'Donnell, C.J., 2001, "Bayesian Model Averaging in Consumer Demand Systems with Inequality Constraints," Department of Economics - Working Papers Series, The University of Melbourne, number 806.
• Coutts, K. & Norman, N.R., 2001, "Global Influences on UK Manufacturing Prices 1970-2000," Department of Economics - Working Papers Series, The University of Melbourne, number 819.
• Maharaj, E.A., 2001, "Comparison of Non-Stationary Time Series in the Frequency Domain," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 1/01, Mar.
• Hyndman, R.J. & Koehler, A.B. & Ord, J.K. & Snyder, R.D., 2001, "Prediction Intervals for Exponential Smoothing State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/01, Dec.
• Vahid, F. & Issler, J.V., 2001, "The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/01, Mar.
• Issler, J.V. & Vahid, F., 2001, "The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 9/01, Jul.