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

2018

• Seo, Byeongseon & Jang, Keunho, 2018, "Inventory Investments and Business Cycles (in Korean)," Working Papers, Economic Research Institute, Bank of Korea, number 2018-7, Mar.
• Kevin Larcher & Jaebeom Kim & Youngju Kim, 2018, "Uncertainty Shocks and Asymmetric Dynamics in Korea: A Nonlinear Approach," Working Papers, Economic Research Institute, Bank of Korea, number 2018-12, Apr.
• In Do Hwang, 2018, "Central Bank Reputation and Inflation-Unemployment Performance: Empirical Evidence from an Executive Survey of 62 Countries," Working Papers, Economic Research Institute, Bank of Korea, number 2018-14, May.
• Namju Kim, 2018, "The Effect of Investment-Specific Technology Shocks on the Gap of Wage and Employment by Workers¡Ç Skill or Tasks (in Korean)," Working Papers, Economic Research Institute, Bank of Korea, number 2018-19, Jul.
• Seohyun Lee & Inhwan So & Jongrim Ha, 2018, "Identifying Uncertainty Shocks due to Geopolitical Swings in Korea," Working Papers, Economic Research Institute, Bank of Korea, number 2018-26, Sep.
• G. Angelini & L. Fanelli, 2018, "Identification and estimation issues in Structural Vector Autoregressions with external instruments," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp1122, May.
• Rania Zghal & Ahmed Ghorbel & Mohamed Triki, 2018, "Dynamic model for hedging of the European stock sector with credit default swaps and EURO STOXX 50 volatility index futures," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 18, issue 4, pages 312-328, December.
• Afees A. Salisu & Taofeek O. Ayinde, 2018, "Testing for spillovers in naira exchange rates: The role of electioneering & global financial crisis," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 18, issue 4, pages 341-348, December.
• Marfatia Hardik A., 2018, "Estimating the New Keynesian Phillips Curve for the UK: evidence from the inflation-indexed bonds market," The B.E. Journal of Macroeconomics, De Gruyter, volume 18, issue 1, pages 1-18, January, DOI: 10.1515/bejm-2016-0005.
• Xu Xiaojie, 2018, "Using Local Information to Improve Short-Run Corn Price Forecasts," Journal of Agricultural & Food Industrial Organization, De Gruyter, volume 16, issue 1, pages 1-15, January, DOI: 10.1515/jafio-2017-0018.
• Xu Xiaojie, 2018, "Linear and Nonlinear Causality between Corn Cash and Futures Prices," Journal of Agricultural & Food Industrial Organization, De Gruyter, volume 16, issue 2, pages 1-16, November, DOI: 10.1515/jafio-2016-0006.
• Mothuti Gosego & Phiri Andrew, 2018, "Inflation-Growth Nexus in Botswana: Can Lower Inflation Really Spur Growth in the Country?," Global Economy Journal, De Gruyter, volume 18, issue 4, pages 1-11, December, DOI: 10.1515/gej-2018-0045.
• Reusens Peter & Croux Christophe, 2018, "Linearly Transforming Variables in the VAR Model, How Does it Change the Impulse Response?," Journal of Econometric Methods, De Gruyter, volume 7, issue 1, pages 1-16, January, DOI: 10.1515/jem-2015-0015.
• Boubaker Heni, 2018, "A Generalized ARFIMA Model with Smooth Transition Fractional Integration Parameter," Journal of Time Series Econometrics, De Gruyter, volume 10, issue 1, pages 1-20, January, DOI: 10.1515/jtse-2015-0001.
• Ardakani Omid M. & Kishor N. Kundan, 2018, "Examining the success of the central banks in inflation targeting countries: the dynamics of the inflation gap and institutional characteristics," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 1, pages 1-19, February, DOI: 10.1515/snde-2016-0085.
• Chow Sheung-Chi & Cunado Juncal & Gupta Rangan & Wong Wing-Keung, 2018, "Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 2, pages 1-15, April, DOI: 10.1515/snde-2016-0121.
• Christidou Maria & Fountas Stilianos, 2018, "Uncertainty in the housing market: evidence from US states," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 2, pages 1-17, April, DOI: 10.1515/snde-2016-0064.
• Giusto Andrea & İşcan Talan B., 2018, "The Rescaled VAR Model with an Application to Mixed-Frequency Macroeconomic Forecasting," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 4, pages 1-16, September, DOI: 10.1515/snde-2017-0047.
• Nguyen Anh D. M. & Pavlidis Efthymios G. & Peel David A., 2018, "Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 5, pages 1-17, December, DOI: 10.1515/snde-2017-0092.
• Kotz Hans-Helmut & Semmler Willi & Tahri Ibrahim, 2018, "Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 5, pages 1-19, December, DOI: 10.1515/snde-2017-0097.
• Chaubal Aditi, 2018, "P-star model for India: a nonlinear approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 22, issue 5, pages 1-28, December, DOI: 10.1515/snde-2017-0067.
• Bianca COSTACHE, 2018, "The Relationship Between Insurance And Economic Growth In Germany, Netherlands And Spain," Contemporary Economy Journal, Constantin Brancoveanu University, volume 3, issue 4, pages 38-43.
• Paul J.J. Welfens & Fabian J. Baier, 2018, "BREXIT and FDI: Key Issues and New Empirical Findings," EIIW Discussion paper, Universitätsbibliothek Wuppertal, University Library, number disbei241, Jan.
• Arthur Korus & Kaan Celebi, 2018, "The Impact of Brexit on the British Pound/Euro Exchange rate," EIIW Discussion paper, Universitätsbibliothek Wuppertal, University Library, number disbei243, Apr.
• Samir Kadiric & Arthur Korus, 2018, "Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets," EIIW Discussion paper, Universitätsbibliothek Wuppertal, University Library, number disbei251, Sep.
• Angelica Gianfreda & Derek Bunn, 2018, "A Stochastic Latent Moment Model for Electricity Price Formation," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS46, Jan.
• F. Marta L. Di Lascio & Andrea Menapace & Maurizio Righetti, 2018, "Joint and conditional dependence modeling of peak district heating demand and outdoor temperature: a copula-based approach," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS53, Jul.
• Onatski, A. & Wang, C., 2018, "Extreme canonical correlations and high-dimensional cointegration analysis," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1805, Jan.
• Goodhead, Robert & Kolb, Benedikt, 2018, "Monetary Policy Communication Shocks and the Macroeconomy," Research Technical Papers, Central Bank of Ireland, number 15/RT/18, Dec.
• Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2018, "Testing DSGE Models by indirect inference: a survey of recent findings," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2018/14, Jun.
• Angelini, Giovanni & Costantini, Mauro & Easaw, Joshy, 2018, "Uncertainty and spillover effects across the Euro area," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2018/15, Jun.
• Filippeli, Thomai & Harrison, Richard & Theodoridis, Konstantinos, 2018, "DSGE-based Priors for BVARs & Quasi-Bayesian DSGE Estimation," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2018/5, Jan.
• Xu, Yongdeng & Taylor, Nick & Lu, Wenna, 2018, "Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2018/6, Jan.
• Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2018, "The small sample properties of Indirect Inference in testing and estimating DSGE models," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2018/7, Mar.
• Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2018, "Formation of Market Beliefs in the Oil Market," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp619, Jun.
• David Leuwer & Bernd Süssmuth, 2018, "Assessing Temporary Product-Specific Subsidies: A Time Series Intervention Analysis," CESifo Working Paper Series, CESifo, number 6946.
• Jonas Dovern & Hans Manner, 2018, "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," CESifo Working Paper Series, CESifo, number 7023.
• Christiane Baumeister & James D. Hamilton, 2018, "Inference in Structural Vector Autoregressions when the Identifying Assumptions are not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations," CESifo Working Paper Series, CESifo, number 7048.
• Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2018, "Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence," CESifo Working Paper Series, CESifo, number 7073.
• Jan Pablo Burgard & Matthias Neuenkirch & Matthias Nöckel, 2018, "State-Dependent Transmission of Monetary Policy in the Euro Area," CESifo Working Paper Series, CESifo, number 7074.
• Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018, "Economic Policy Uncertainty Spillovers in Booms and Busts," CESifo Working Paper Series, CESifo, number 7086.
• Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018, "Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach," CESifo Working Paper Series, CESifo, number 7105.
• Lutz Kilian & Xiaoqing Zhou, 2018, "Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks: Comment," CESifo Working Paper Series, CESifo, number 7166.
• Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2018, "Exponent of Cross-sectional Dependence for Residuals," CESifo Working Paper Series, CESifo, number 7223.
• Steffen Elstner & Lars P. Feld & Christoph M. Schmidt, 2018, "The German Productivity Paradox - Facts and Explanations," CESifo Working Paper Series, CESifo, number 7231.
• Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2018, "Political Tension and Stock Markets in the Arabian Peninsula," CESifo Working Paper Series, CESifo, number 7341.
• Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2018, "The Impact of Business and Political News on the GCC Stock Markets," CESifo Working Paper Series, CESifo, number 7353.
• Ashoka Mody & Milan Nedeljkovic, 2018, "Central Bank Policies and Financial Markets: Lessons from the Euro Crisis," CESifo Working Paper Series, CESifo, number 7400.
• Silvia Miranda-Agrippino & Giovanni Ricco, 2018, "Bayesian Vector Autoregressions," Discussion Papers, Centre for Macroeconomics (CFM), number 1808, Mar.
• Gabor Pinter, 2018, "Macroeconomic Shocks and Risk Premia," Discussion Papers, Centre for Macroeconomics (CFM), number 1812, May.
• Sander Willems, 2018, "Asian Option Pricing with Orthogonal Polynomials," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-09, Feb, revised Feb 2018.
• Eric Jondeau & Amir Khalilzadeh, 2018, "Measuring the Capital Shortfall of Large U.S. Banks," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-11, Feb, revised Feb 2018.
• J-C Gerlach & Guilherme Demos & Didier Sornette, 2018, "Dissection of Bitcoin's Multiscale Bubble History," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-30, Apr.
• Damir Filipović & Martin Larsson & Tony Ware, 2018, "Polynomial Processes for Power Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-34, May.
• Aleksandr Alekseev & Mikhail Freer, 2018, "Selection in the Lab: A Network Approach," Working Papers, Chapman University, Economic Science Institute, number 18-13.
• Jair N. Ojeda-Joya & Gloria Sarmiento, 2018, "Sovereign risk and the real exchange rate: A non-linear approach," International Economics, CEPII research center, issue 156, pages 1-14.
• Walid Bahloul & Rangan Gupta, 2018, "Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures," International Economics, CEPII research center, issue 156, pages 247-253.
• Mohamed Amine Boutabba & Diadié Diaw & Albert Lessoua, 2018, "Environment-energy-growth nexus in Sub-Saharan Africa: The role of intermediate goods," International Economics, CEPII research center, issue 156, pages 254-267.
• Hafedh Bouakez & Denis Larocque & Michel Normandin, 2018, "Separating the wheat from the chaff: A disaggregate analysis of the effects of public spending in the US," Canadian Journal of Economics, Canadian Economics Association, volume 51, issue 2, pages 361-390, May, DOI: 10.1111/caje.12324.
• Anthony Garratt & Kevin Lee & Kalvinder Shields, 2018, "The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics," Canadian Journal of Economics, Canadian Economics Association, volume 51, issue 2, pages 391-418, May, DOI: 10.1111/caje.12325.
• Gabriele Fiorentini & Enrique Sentana, 2018, "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers, CEMFI, number wp2018_1802, Jan.
• Gabriele Fiorentini & Enrique Sentana, 2018, "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers, CEMFI, number wp2018_1804, May.
• Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018, "The Rise and Fall of the Natural Interest Rate," Working Papers, CEMFI, number wp2018_1805, Jul.
• Petre BREZEANU & Ghiur RODICA & Silvia Paula TODOR, 2018, "The Impact Of Vat On The Economy In Relation To Other Taxes In South East Europe," Law, Society & Organisations, Romanian Foundation for Business Intelligence, Editorial Department, issue 4 (1/2018, pages 11-21, June.
• Francisco A. Ramírez de León, 2018, "The Relation Between Credit and Business Cycles in Central America and the Dominican Republic," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, chapter 4, in: Alberto Ortiz-Bolaños, "Monetary Policy and Financial Stability in Latin America and the Caribbean".
• Francisco A. Ramírez de León, 2018, "La relación entre los ciclos económicos y del crédito en América Central y la República Dominicana," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, chapter 4, in: Alberto Ortiz Bolaños, "Política Monetaria y Estabilidad Financiera en América Latina y el Caribe".
• Alberto Ortiz Bolaños (ed.), 2018, "Monetary Policy and Financial Stability in Latin America and the Caribbean," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, number 5en, edition 1, ISBN: ARRAY(0x9672a5c0), December.
• Alberto Ortiz Bolaños (ed.), 2018, "Política Monetaria y Estabilidad Financiera en América Latina y el Caribe," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, number 5es, edition 1, ISBN: ARRAY(0x969b0350), December.
• Tibor Hledik & Jan Vlcek, 2018, "Quantifying the Natural Rate of Interest in a Small Open Economy - The Czech Case," Working Papers, Czech National Bank, Research and Statistics Department, number 2018/7, Jul.
• L. Bauwens & E. Otranto, 2018, "Nonlinearities and Regimes in Conditional Correlations with Different Dynamics," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201803.
• Julio César Alonso Cifuentes & Mar�a Fernanda Bonilla L�pez, 2018, "Integración espacial en el mercado de la guayaba pera en el Valle del Cauca," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, volume 37, issue 74, pages 471-494.
• Julio César Alonso Cifuentes & Mar�a Fernanda Bonilla L�pez, 2018, "Integración espacial en el mercado de la guayaba pera en el Valle del Cauca," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, volume 37, issue 74, pages 471-494.
• Kun Ma & Gang Diao, 2017, "Study on spillover effect between international soybean market and China's domestic soybean market," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 35, issue 84, pages 260-266, DOI: 10.1016/j.espe.2017.11.003.
• Kun Ma & Gang Diao, 2017, "Study on spillover effect between international soybean market and China's domestic soybean market," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 35, issue 84, pages 260-266, DOI: 10.1016/j.espe.2017.11.003.
• Todd B. Walker, 2018, "Inflation Targeting in Emerging Economies," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 36, issue 85, pages 7-20, DOI: 10.32468/Espe.8501.
• Alejandro López-Vera & Andr�s D. Pinchao-Rosero & Norberto Rodr�guez-Ni�o, 2018, "Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 36, issue 85, pages 48-64, DOI: 10.32468/Espe.8503.
• John J. Garcia-Rendon & Alejandro Guti�rrez G�mez & Luisa Vargas Tob�n & Hermilson Velasquez Ceballos, 2018, "Redes inteligentes y mecanismo de respuesta de la demanda: el caso del sector eléctrico colombiano Smart grids and demand response mechanism: the case of the Colombian electricity market?," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 16975, Nov.
• John Jairo García & Alejandro Guti�rrez & Luisa Vargas & Hermilson Vel�squez, 2018, "Redes inteligentes y mecanismo de respuesta de la demanda: el caso del sector eléctrico colombiano," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 17010, Nov.
• Álvaro Martín Moreno Rivas, 2018, "La conjetura de Shaikh. Un modelo clásico de la tasa de cambio real Colombia - Estados Unidos," Documentos de Trabajo, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 16809, Oct.
• Álvaro Martín Moreno Rivas, 2018, "Del mundo del más o menos al universo de precisión: a propósito de los modelos de ciclos de los negocios de Ragnar Frisch Y Michal Kalecki," Documentos de Trabajo, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 16810, Oct.
• Nicolás Ronderos, 2018, "Variaciones previsibles del ingreso y su efecto sobre el consumo. Un análisis para la economía colombiana," Revista CIFE, Universidad Santo Tomás, volume 20, issue 33, pages 17-37.
• Juan Manuel Candelo Viafara, 2018, "Impactos indirectos de la tasa de cambio y los precios del petróleo en una economía no petrolera: aproximaciones VECM y VAR para el Valle del Cauca, Colombia," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 10, issue 2, pages 403-436.
• BAUWENS Luc, & OTRANTO Edoardo,, 2018, "Nonlinearities and regimes in conditional correlations with different dynamics," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2018009, Mar.
• HAFNER Christian, & HERWARTZ Helmut, & MAXAND Simone,, 2018, "Identification of structural multivariate GARCH models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2018020, Jul.
• Yukai Yang & Luc Bauwens, 2018, "State-space models on the Stiefel Manifold with a new approach to nonlinear filtering," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2985, Jan, DOI: https://doi.org/10.3390/econometric.
• Adam Elbourne & Kan Ji & Sem Duijndam, 2018, "The effects of unconventional monetary policy in the euro area," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 371, Feb.
• Reichlin, Lucrezia & Hasenzagl, Thomas & Pellegrino, Filippo & Ricco, Giovanni, 2018, "A Model of the Fed's View on Inflation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12564, Jan.
• Petrella, Ivan & Antolin-Diaz, Juan & Rubio-Ramírez, Juan Francisco, 2018, "Structural Scenario Analysis with SVARs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12579, Jan.
• Giannone, Domenico & Tambalotti, Andrea & Sbordone, Argia & Bok, Brandyn & Caratelli, Daniele, 2018, "Macroeconomic Nowcasting and Forecasting with Big Data," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12589, Jan.
• Sentana, Enrique & Fiorentini, Gabriele, 2018, "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12682, Feb.
• Baumeister, Christiane & Hamilton, James, 2018, "Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12911, May.
• Sentana, Enrique & Fiorentini, Gabriele, 2018, "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12934, May.
• Reichlin, Lucrezia & Caruso, Alberto & Ricco, Giovanni, 2018, "Financial and Fiscal Interaction in the Euro Area Crisis: This Time was Different," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13016, Jun.
• Forni, Mario & Di Bonaventura, Luca & Pattarin, Francesco, 2018, "The Forcasting Performance of Dynamic Factor Models with Vintage Data," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13034, Jul.
• Pérez-Quirós, Gabriel & Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018, "The Rise and Fall of the Natural Interest Rate," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13042, Jul.
• Kilian, Lutz & Zhou, Xiaoqing, 2018, "Structural Interpretation of Vector Autoregressions with Incomplete Information: Revisiting the Role of Oil Supply and Demand S," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13068, Jul.
• Altug, Sumru & Çakmaklı, Cem & Demircan, Hamza, 2018, "Modeling of Economic and Financial Conditions for Nowcasting and Forecasting Recessions: A Unified Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13171, Sep.
• Zviadadze, Irina, 2018, "Term Structure of Risk in Expected Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13414, Dec.
• Till Weigt & Bernd Wilfling, 2018, "An approach to increasing forecast-combination accuracy through VAR error modeling," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 6818, Feb.
• Fabian Goessling, 2018, "Randomized Quasi Sequential Markov Chain Monte Carlo²," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 7018, Feb.
• Christian Gross & Pierre L. Siklos, 2018, "Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 7218, Mar.
• Claudio Morana & Giacomo Sbrana, 2018, "“Some financial implications of global warming: An empirical assessment"," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 175, Jan.
• Christian Gouriéroux & Yang Lu, 2018, "Negative Binomial Autoregressive Process," Working Papers, Center for Research in Economics and Statistics, number 2018-03, Mar.
• Lance A. Fisher & Hyeon-seung Huh, 2018, "Combining sign and parametric restrictions in SVARs by Givens Rotations," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2018rwp-122, Jun.
• Lance A. Fisher & Hyeon-seung Huh, 2018, "An IV framework for combining sign and long-run parametric restrictions in SVARs," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2018rwp-124, Jul.
• Faryna, Oleksandr & Simola, Heli, 2018, "The transmission of international shocks to CIS economies: A Global VAR approach," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 17/2018.
• Baumeister, Christiane & Hamilton, James D., 2018, "Inference in structural vector auto regressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations," Bank of Finland Research Discussion Papers, Bank of Finland, number 14/2018.
• Tölö, Eero & Miettinen, Paavo, 2018, "How do shocks to bank capital affect lending and growth?," Bank of Finland Research Discussion Papers, Bank of Finland, number 25/2018.
• Kunovac, Davor & Mandler, Martin & Scharnagl, Michael, 2018, "Financial cycles in euro area economies: A cross-country perspective," Discussion Papers, Deutsche Bundesbank, number 04/2018.
• Breitung, Jörg & Knüppel, Malte, 2018, "How far can we forecast? Statistical tests of the predictive content," Discussion Papers, Deutsche Bundesbank, number 07/2018.
• Meinen, Philipp & Röhe, Oke, 2018, "To sign or not to sign? On the response of prices to financial and uncertainty shocks," Discussion Papers, Deutsche Bundesbank, number 33/2018.
• Eraslan, Sercan & Ali, Faek Menla, 2018, "Oil price shocks and stock return volatility: New evidence based on volatility impulse response analysis," Discussion Papers, Deutsche Bundesbank, number 38/2018.
• Götz, Thomas B. & Hauzenberger, Klemens, 2018, "Large mixed-frequency VARs with a parsimonious time-varying parameter structure," Discussion Papers, Deutsche Bundesbank, number 40/2018.
• Eickmeier, Sandra & Kolb, Benedikt & Prieto, Esteban, 2018, "Macroeconomic effects of bank capital regulation," Discussion Papers, Deutsche Bundesbank, number 44/2018.
• Goodhead, Robert & Kolb, Benedikt, 2018, "Monetary policy communication shocks and the macroeconomy," Discussion Papers, Deutsche Bundesbank, number 46/2018.
• Eickmeier, Sandra & Kolb, Benedikt & Prieto, Esteban, 2018, "Effects of bank capital requirement tightenings on inequality," Discussion Papers, Deutsche Bundesbank, number 54/2018.
• Knüppel, Malte & Schultefrankenfeld, Guido, 2018, "Assessing the uncertainty in central banks' inflation outlooks," Discussion Papers, Deutsche Bundesbank, number 56/2018.
• Herwartz, Helmut & Roestel, Jan, 2018, "A structural approach to identify financial transmission in distinguished scenarios of crises," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2018-08.
• Berger, Tino & Wortmann, Marcus, 2018, "Global vs. group-specific business cycles: The importance of defining the groups," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 334.
• Bruns, Stephan B. & Csereklyei, Zsuzsanna & Stern, David I., 2018, "A multicointegration model of global climate change," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 336.
• Herwartz, Helmut & Maxand, Simone & Rohloff, Hannes, 2018, "Lean against the wind or float with the storm? Revisiting the monetary policy asset price nexus by means of a novel statistical identification approach," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 354.
• Herwartz, Helmut & Rohloff, Hannes, 2018, "Less bang for the buck? Assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 358.
• Lüger, Tim, 2018, "A VAR evaluation of classical growth theory," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 231.
• Vasilev, Aleksandar & Manolova, Hristina, 2019, "Wage Dynamics and Bulgaria: Co-movement and Causality," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 17, issue 1, pages 91-127.
• Lütkepohl, Helmut & Schlaak, Thore, 2018, "Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue 4, pages 715-735.
• Podstawski, Maximilian & Velinov, Anton, 2018, "The state dependent impact of bank exposure on sovereign risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 88, pages 63-75.
• Ooft, Gavin, 2018, "Modelling and Forecasting Inflation for the Economy of Suriname," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 215534.
• Alali, Walid Y. & Ellalee, Haider, 2018, "The Brexit Impact on Inward FDI in the UK," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 274655, DOI: 10.2139/ssrn.4482585.
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• Schweikert, Karsten, 2018, "Testing for cointegration with threshold adjustment in the presence of structural breaks," Hohenheim Discussion Papers in Business, Economics and Social Sciences, University of Hohenheim, Faculty of Business, Economics and Social Sciences, number 07-2018.
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• Meyer-Gohde, Alexander & Neuhoff, Daniel, 2018, "Generalized exogenous processes in DSGE: A Bayesian approach," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 125.
• Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Hou, Ai Jun & Wang, Weining, 2018, "Pricing Cryptocurrency options: the case of CRIX and Bitcoin," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2018-004.
• Pagnottoni, Paolo & Baur, Dirk G. & Dimpfl, Thomas, 2018, "Price Discovery on Bitcoin Markets," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2018-014.
• Chen, Ying & Han, Qian & Niu, Linlin, 2018, "Forecasting the Term Structure of Option Implied Volatility: The Power of an Adaptive Method," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2018-046.
• Pele, Daniel Traian & Mazurencu-Marinescu-Pele, Miruna, 2018, "Cryptocurrencies, Metcalfe's law and LPPL models," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2018-056.
• Holtemöller, Oliver & Schult, Christoph, 2018, "Expectation formation, financial frictions, and forecasting performance of dynamic stochastic general equilibrium models," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 15/2018.
• Belke, Ansgar & Klose, Jens, 2018, "Equilibrium real interest rates, secular stagnation, and the financial cycle: Empirical evidence for euro-area member countries," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 743, DOI: 10.4419/86788863.
• Thiem, Christopher, 2018, "Cross-category spillovers of economic policy uncertainty," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 744, DOI: 10.4419/86788864.
• Prüser, Jan & Schlösser, Alexander, 2018, "On the time-varying effects of economic policy uncertainty on the US economy," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 761, DOI: 10.4419/86788886.
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• Thiem, Christopher, 2018, "Cross-category, trans-Pacific spillovers of policy uncertainty and financial market volatility," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 782, DOI: 10.4419/86788910.
• Weber, Enzo & Gehrke, Britta, 2018, "Identifying Asymmetric Effects of Labor Market Reforms," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association, number 181513.
• Dany-Knedlik, Geraldine & Holtemöller, Oliver, 2018, "Inflation dynamics during the Financial Crisis in Europe: cross-sectional identification of long-run inflation expectations," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association, number 181520.
• Schmidt, Torsten, 2018, "Inflation Expectation Uncertainty, Inflation and the Outputgap," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association, number 181575.
• Grabowski, Daniel & Staszewska-Bystrova, Anna, 2018, "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association, number 181590.
• Kaufmann, Sylvia & Beyeler, Simon, 2018, "Factor augmented VAR revisited - A sparse dynamic factor model approach," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association, number 181602.
• Bertsche, Dominik & Braun, Robin, 2018, "Identification of Structural Vector Autoregressions by Stochastic Volatility," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association, number 181631.
• Irena Paliæ & Frane Baniæ & Laura Matiæ, 2018, "The Analysis of the Impact of Depreciation on External Debt in Long Run: Evidence From Croatia," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, volume 16, issue 1, pages 186-193.
• Stefan Bruder, 2018, "Inference for structural impulse responses in SVAR-GARCH models," ECON - Working Papers, Department of Economics - University of Zurich, number 281, Apr.
• Jonas E. Arias & Juan F. Rubio-Ramirez & Daniel F. Waggoner, 2018, "Inference in Bayesian Proxy-SVARs," Working Papers, Federal Reserve Bank of Philadelphia, number 18-25/R, Nov, DOI: 10.21799/frbp.wp.2018.25.
• Gabriele Fiorentini & Enrique Sentana, 2018, "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2018_01, Feb.
• Gabriele Fiorentini & Enrique Sentana, 2018, "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2018_05, May.
• Merter AKINCI, Haktan SEVİNÇ, Ömer YILMAZ, 2018, "Jevons Paradoksu: Enerji Etkinliği ve Rebound Etkisi Üzerine Ekonometrik Bir Analiz," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 1.
• Samvel S. Lazaryan & Nikita E. German, 2018, "Forecasting Current GDP Dynamics With Google Search Data," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 6, pages 83-94, December, DOI: 10.31107/2075-1990-2018-6-83-94.
• Giulio Cifarelli & Giovanna Paladino, 2018, "Sovereign - bank risk interconnections during the Greek financial crisis and the role of the Italian debt," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2018_01.rdf.
• Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018, "The Rise and Fall of the Natural Interest Rate," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2018_14.rdf.
• Bozhechkova Alexandra & Trunin Pavel & Sinelnikova-Muryleva Elena & Petrova Diana & Chentsov Alexander, 2018, "Building of monetary and currency markets models," Research Paper Series, Gaidar Institute for Economic Policy, issue 175P, pages 1-96.
• Helmut Lütkepohl & Aleksei Netšunajev, 2018, "The Relation between Monetary Policy and the Stock Market in Europe," Econometrics, MDPI, volume 6, issue 3, pages 1-14, August.
• Yukai Yang & Luc Bauwens, 2018, "State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering," Econometrics, MDPI, volume 6, issue 4, pages 1-22, December.
• Chia-Lin Chang & Yiying Li & Michael McAleer, 2018, "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Energies, MDPI, volume 11, issue 6, pages 1-19, June.
• Mark J. Jensen & John M. Maheu, 2018, "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," JRFM, MDPI, volume 11, issue 3, pages 1-29, September.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018, "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," JRFM, MDPI, volume 11, issue 4, pages 1-25, September.
• Martin Feldkircher & Florian Huber, 2018, "Unconventional U.S. Monetary Policy: New Tools, Same Channels?," JRFM, MDPI, volume 11, issue 4, pages 1-31, October.
• Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018, "Long Run Returns Predictability and Volatility with Moving Averages," Risks, MDPI, volume 6, issue 4, pages 1-18, September.
• Christoph Zwick, 2018, "On the origin of current account deficits in the Euro area periphery: A DSGE perspective," Graz Economics Papers, University of Graz, Department of Economics, number 2018-02, Feb.
• Jonas Dovern & Hans Manner, 2018, "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," Graz Economics Papers, University of Graz, Department of Economics, number 2018-09, Apr.
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• Yannick Le Pen & Benoît Sévi, 2018, "Futures Trading and the Excess Co-movement of Commodity Prices," Post-Print, HAL, number hal-01731459, DOI: 10.1093/rof/rfx039.
• Serge Rey & Sophie Nivoix, 2018, "Dynamics of Tokyo Electric Power Company and the Nikkei: 1985 to 2016 including the Fukushima disaster," Post-Print, HAL, number hal-01885276, DOI: 10.11130/jei.2018.33.1.979.
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• Serge Darolles & Christian Francq & Sébastien Laurent, 2018, "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print, HAL, number hal-01980815, Jun, DOI: 10.1016/j.jeconom.2018.02.003.
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• Emmanouil Mavrakis & Christos Alexakis, 2018, "Statistical Arbitrage Strategies under Different Market Conditions: The Case of the Greek Banking Sector," Post-Print, HAL, number hal-01992513, Jun, DOI: 10.1177/0972652718776858.
• Amal Aouadi & Mohamed Arouri & David Roubaud, 2018, "Information demand and stock market liquidity: International evidence," Post-Print, HAL, number hal-02011044, Apr, DOI: 10.1016/j.econmod.2017.11.005.
• Sangram Keshari Jena & Aviral Kumar Tiwari & David Roubaud & Muhammad Shahbaz, 2018, "Index futures volatility and trading activity: Measuring causality at a multiple horizon," Post-Print, HAL, number hal-02061357, Mar, DOI: 10.1016/j.frl.2017.09.012.
• David Roubaud & Bouri Elie & Qiang Ji, 2018, "Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities," Post-Print, HAL, number hal-02081506, May, DOI: 10.1016/j.irfa.2018.02.001.
• Laurent Ferrara & Pierre Guérin, 2018, "What are the macroeconomic effects of high-frequency uncertainty shocks?," Post-Print, HAL, number hal-02334586.
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• Mohamed Amine Boutabba & Diadié Diaw & Albert Lessoua, 2018, "Environment-energy-growth nexus in Sub-Saharan Africa: The role of intermediate goods," Post-Print, HAL, number hal-02877946, Dec, DOI: 10.1016/j.inteco.2018.04.003.
• Abdallah Ben Saida & Jean-Luc Prigent, 2018, "On the robustness of portfolio allocation under copula misspecification," Post-Print, HAL, number hal-03679698, Mar, DOI: 10.1007/s10479-016-2137-0.
• Serge Darolles & Gaëlle Le Fol & Yang Lu & Ran Sun, 2018, "Bivariate integer-autoregressive process with an application to mutual fund flows," Post-Print, HAL, number hal-04590149, Dec.
• Serge Darolles & Christian Francq & Sebastien Laurent, 2018, "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print, HAL, number hal-04590180, Sep.