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

• Jamel JOUINI, 2018, "Measuring the Macroeconomic Impacts of Fiscal Policy Shocks in the Saudi Economy : A Markov Switching Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 55-70, December.
• Josip ARNERIĆ & Blanka ŠKRABIĆ PERIĆ, 2018, "Panel GARCH Model with Cross-Sectional Dependence between CEE Emerging Markets in Trading Day Effects Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 71-84, December.
• Ansgar Belke & Jens Klose, 2018, "Equilibrium Real Interest Rates, Secular Stagnation, and the Financial Cycle: Empirical Evidence for Euro-Area Member Countries," ROME Working Papers, ROME Network, number 201801, Jan.
• Gianluca Cubadda & Alain Hecq & Sean Telg, 2018, "Detecting Co-Movements in Noncausal Time Series," CEIS Research Paper, Tor Vergata University, CEIS, number 430, Apr, revised 23 Apr 2018.
• Luca Brugnolini, 2018, "About Local Projection Impulse Response Function Reliability," CEIS Research Paper, Tor Vergata University, CEIS, number 440, Jun, revised 09 Jun 2018.
• Luisa Corrado & Edgar Silgado-Gómez & Donghoon Yoo & Robert Waldmann, 2018, "Ambiguous economic news and heterogeneity: What explains asymmetric consumption responses?," CEIS Research Paper, Tor Vergata University, CEIS, number 443, Aug, revised 19 Sep 2019.
• Chiara Perricone, 2018, "Wavelet analysis for temporal disaggregation," CEIS Research Paper, Tor Vergata University, CEIS, number 444, Oct, revised 29 Oct 2018.
• Gianluca Cubadda & Alain Hecq & Antonio Riccardo, 2018, "Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector," CEIS Research Paper, Tor Vergata University, CEIS, number 445, Oct, revised 30 Oct 2018.
• Luisa Corrado & Edgar Silgado-Gómez, 2018, "Assessing the Effects of Fiscal Policy News under Imperfect Information: Evidence from Aggregate and Individual Data," CEIS Research Paper, Tor Vergata University, CEIS, number 447, Aug, revised 06 Nov 2018.
• Alexandru Eugen Stătescu, 2018, "Statistical Analysis Of A Company'S Revenue Using Time Series," CBU International Conference Proceedings, ISE Research Institute, volume 6, issue 0, pages 459-466, September, DOI: 10.12955/cbup.v6.1198.
• Wendy Nyakabawo & Rangan Gupta & Hardik A. Marfatia, 2018, "High Frequency Impact Of Monetary Policy And Macroeconomic Surprises On Us Msas, Aggregate Us Housing Returns And Asymmetric Volatility," Advances in Decision Sciences, Asia University, Taiwan, volume 22, issue 1, pages 204-229, December.
• Mike K. P. So & Wing Ki Liu & Amanda M. Y. Chu, 2018, "Bayesian Shrinkage Estimation Of Time-Varying Covariance Matrices In Financial Time Series," Advances in Decision Sciences, Asia University, Taiwan, volume 22, issue 1, pages 369-404, December.
• Torben G. Andersen & Rasmus T. Varneskov, 2018, "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-09, Feb.
• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2017, "Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-12, Mar.
• Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2018, "Models with Multiplicative Decomposition of Conditional Variances and Correlations," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-14, Apr.
• Søren Johansen & Morten Ørregaard Nielsen, 2018, "Nonstationary cointegration in the fractionally cointegrated VAR model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-17, May.
• Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018, "Diffusion Copulas: Identification and Estimation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-20, Aug.
• Russell Davidson & Niels S. Grønborg, 2018, "Time-varying parameters: New test tailored to applications in finance and macroeconomics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-22, Aug.
• Yukai Yang & Luc Bauwens, 2018, "State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-30, Nov.
• Sebastian Ankargren & Måns Unosson & Yukai Yang, 2018, "A mixed-frequency Bayesian vector autoregression with a steady-state prior," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-32, Dec.
• Carlos Vladimir Rodríguez-Caballero & Massimiliano Caporin, 2018, "A multilevel factor approach for the analysis of CDS commonality and risk contribution," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-33, Dec.
• Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu, 2017, "Economic significance of commodity return forecasts from the fractionally cointegrated VAR model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-35, Dec.
• Riccardo Borghi & Eric Hillebrand & Jakob Mikkelsen & Giovanni Urga, 2018, "The dynamics of factor loadings in the cross-section of returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-38, Dec.
• Juan Antolín-Díaz & Juan F. Rubio-Ramírez, 2018, "Narrative Sign Restrictions for SVARs," American Economic Review, American Economic Association, volume 108, issue 10, pages 2802-2829, October.
• Virgil Nicula & Roxana Elena Pop?a, 2018, "Involvement of Rural Tourism Operators in the Project “Sibiu European Gastronomic Region”," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, volume 20, issue S12, pages 951-951, November.
• Kerry McCullough, 2018, "Intraday Information Transmission in the South African Equities Market," The African Finance Journal, Africagrowth Institute, volume 20, issue 2, pages 1-20.
• Morana, Claudio & Sbrana, Giacomo, , "Some Financial Implications of Global Warming: an Empirical Assessment," CSI: Climate and Sustainable Innovation, Fondazione Eni Enrico Mattei (FEEM), number 268728, DOI: 10.22004/ag.econ.268728.
• Kavase, Kambale & Phiri, Andrew, 2018, "Are fiscal budgets sustainable in South Africa? Evidence from provincial level data," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), volume 14, issue 2, February, DOI: 10.22004/ag.econ.285187.
• Welfe, Aleksander & Karp, Piotr, 2018, "Wpływ potencjalnych zmian składników popytu finalnego na gospodarkę Polski. Analiza na podstawie modelu WM-1," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, volume 2018, issue 4, DOI: 10.22004/ag.econ.359168.
• ßrregaard Nielsen, Morten & Ksawery Popiel, MichaÅC, 2018, "A Matlab program and user’s guide for the fractionally cointegrated VAR model," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 274656, May, DOI: 10.22004/ag.econ.274656.
• Johansen, SÃÿren & ßrregaard Nielsen, Morten, 2018, "Nonstationary cointegration in the fractionally cointegrated VAR model," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 274731, May, DOI: 10.22004/ag.econ.274731.
• Goran Karanovic & Bisera Karanovic, 2018, "The Day-of-the-Week Effect: Evidence from Selected Balkan Markets," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 65, issue 1, pages 1-11, March.
• Mumeen Olatunbosun Alabi & Sheriffdeen Adewale Tella & Ibrahim Abidemi Odusanya & Olumuyiwa Ganiyu Yinusa, 2018, "Financial Deepening, Foreign Direct Investment and Output Performance in Nigeria," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 65, issue 2, pages 193-204, June.
• Fadia Al Hajj & Gilles Dufrenot & Benjamin Keddad, 2018, "Exchange Rate Policy and External Vulnerabilities in Sub-Saharan Africa: Nominal, Real or Mixed Targeting?," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1809, Mar.
• Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018, "Generating Univariate Fractional Integration within a Large VAR(1)," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1844, Dec.
• Serge Darolles & Christian Francq & Sébastien Laurent, 2018, "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1845, Dec.
• Rizwan Raheem Ahmed & Jolita Vveinhardt, 2018, "Estimation of Causal Relationship between World Gold Prices and Kse 100 Index: Evidence from Johansen Cointegration Technique," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 68, issue 1, pages 51-77, March.
• Riccardo Lucchetti & Sven Schreiber, 2018, "The SVAR addon for gretl," gretl working papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 5, Feb.
• Musa Abdu & Abdullahi Buba & Abdul kareem Alhassan, 2018, "Macroeconomic Stability and Inclusive Growth in Nigeria: A Cointegration Approach," Pakistan Journal of Humanities and Social Sciences, International Research Alliance for Sustainable Development (iRASD), volume 6, issue 3, pages :370-389, September.
• Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018, "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," Lodz Economics Working Papers, University of Lodz, Faculty of Economics and Sociology, number 1/2018, Mar.
• Micha³ Majsterek, 2018, "Stock and Flows in the Countegration Context," Lodz Economics Working Papers, University of Lodz, Faculty of Economics and Sociology, number 3/2018, May.
• Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2018, "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review," Lodz Economics Working Papers, University of Lodz, Faculty of Economics and Sociology, number 4/2018, Sep.
• Bystrov Victor, 2018, "Measuring the Natural Rates of Interest in Germany and Italy," Lodz Economics Working Papers, University of Lodz, Faculty of Economics and Sociology, number 7/2018, Oct.
• Brandyn Bok & Daniele Caratelli & Domenico Giannone & Argia M. Sbordone & Andrea Tambalotti, 2018, "Macroeconomic Nowcasting and Forecasting with Big Data," Annual Review of Economics, Annual Reviews, volume 10, issue 1, pages 615-643, August, DOI: 10.1146/annurev-economics-080217-05.
• Саржаков Ж.Н. // Sarzhakov Zh.N. & Сарбасов Е.А. // Sarbassov E.A., 2018, "Изменение традиционной парадигмы инвестиций на рынке глобальных акций. // Change in the traditional investment paradigm in the global stock market," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 2, pages 37-44.
• Josep Lluís Carrion-i-Silvestre & María Dolores Gadea & Antonio Montañés, 2017, "“Unbiased estimation of autoregressive models forbounded stochastic processes," AQR Working Papers, University of Barcelona, Regional Quantitative Analysis Group, number 201710, Dec, revised Dec 2017.
• Alexey Kudrin & Alexander Knobel, 2018, "Russian budget structure efficiency: Empirical study," Russian Journal of Economics, ARPHA Platform, volume 4, issue 3, pages 197-214, October, DOI: 10.3897/j.ruje.4.30163.
• Emanuele Bacchiocchi & Andrea Bastianin & Alessandro Missale & Eduardo Rossi, 2018, "Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows," Papers, arXiv.org, number 1802.00793, Feb.
• Michael Stanley Smith & Thomas S. Shively, 2018, "Econometric Modeling of Regional Electricity Spot Prices in the Australian Market," Papers, arXiv.org, number 1804.08218, Apr.
• R. Scott Hacker & Abdulnasser Hatemi-J, 2018, "Model Selection in Time Series Analysis: Using Information Criteria as an Alternative to Hypothesis Testing," Papers, arXiv.org, number 1805.08991, May.
• Sukjin Han, 2018, "Identification in Nonparametric Models for Dynamic Treatment Effects," Papers, arXiv.org, number 1805.09397, May, revised Jan 2019.
• Dukpa Kim & Tatsushi Oka & Francisco Estrada & Pierre Perron, 2018, "Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures," Papers, arXiv.org, number 1805.09937, May.
• Niko Hauzenberger & Florian Huber & Michael Pfarrhofer & Thomas O. Zorner, 2018, "Stochastic model specification in Markov switching vector error correction models," Papers, arXiv.org, number 1807.00529, Jul, revised Sep 2019.
• Stephan Smeekes & Etienne Wijler, 2018, "An Automated Approach Towards Sparse Single-Equation Cointegration Modelling," Papers, arXiv.org, number 1809.08889, Sep, revised Jul 2020.
• Hayette Gatfaoui, 2018, "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Papers, arXiv.org, number 1811.02382, Nov.
• Andrea Bastianin & Matteo Manera, 2018, "How does stock market volatility react to oil shocks?," Papers, arXiv.org, number 1811.03820, Nov.
• Helmut Lutkepohl & Tomasz Wo'zniak, 2018, "Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity," Papers, arXiv.org, number 1811.08167, Nov.
• Ruoxi Lu & David A. Bessler & David J. Leatham, 2018, "The transmission of liquidity shocks via China's segmented money market: evidence from recent market events," Papers, arXiv.org, number 1811.08949, Nov.
• Matteo Barigozzi & Marc Hallin, 2018, "Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals," Papers, arXiv.org, number 1811.10045, Nov, revised Jul 2019.
• Alessio Muscillo & Paolo Pin & Tiziano Razzolini, 2018, "Spreading of an infectious disease between different locations," Papers, arXiv.org, number 1812.07827, Dec.
• Tobias Hartl & Roland Weigand, 2018, "Multivariate Fractional Components Analysis," Papers, arXiv.org, number 1812.09149, Dec, revised Jan 2019.
• Daniel HOMOCIANU & Dinu AIRINEI & Ciprian Ionel TURTUREAN, 2018, "An interdisciplinary analysis with data mining and visualization tools applied on multiple and multi-source time series - The case of the forest fund in Romania," The Audit Financiar journal, Chamber of Financial Auditors of Romania, volume 16, issue 151, pages 382-382.
• Merkel, Anna & Lohse, Johannes, 2018, "Is fairness intuitive? An experiment accounting for subjective utility differences under time pressure," Working Papers, University of Heidelberg, Department of Economics, number 0647, May.
• Dario Buono & George Kapetanios & Massimiliano Marcellino & Gianluigi Mazzi & Fotis Papailias, 2018, "Big Data Econometrics: Now Casting and Early Estimates," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1882.
• Stavros Degiannakis & George Filis & Sofia Panagiotakopoulou, 2018, "Oil Price Shocks and Uncertainty: How stable is their relationship over time?," BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University, number BAFES13, Feb.
• Nikolaos Antonakakis & Mina Dragouni & Bruno Eeckels & George Filis, 2018, "The tourism and economic growth enigma: Examining an ambiguous relationship through multiple prisms," BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University, number BAFES14, Feb.
• Nikolaos Antonakakis & Juncal Cunado & George Filis & David Gabauer & Fernando Perez de Gracia, 2018, "Oil volatility, oil and gas firms and portfolio diversification," BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University, number BAFES18, Mar.
• Ani Stoykova & Mariya Paskaleva, 2018, "Correlation Dynamics between Southeast European Capital Markets," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 49-82.
• Paul Wohlfarth & Xiaohong Chen, 2018, "The Effect of Monetary Policy on Global Fixed Income Covariances," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1801, Feb.
• Stephen Wright & James Mitchell & Donald Robertson, 2018, "R2 bounds for predictive models: what univariate properties tell us about multivariate predictability," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1804, Apr.
• Tatjana Dahlhaus & Tatevik Sekhposyan, 2018, "Monetary Policy Uncertainty: A Tale of Two Tails," Staff Working Papers, Bank of Canada, number 18-50, DOI: 10.34989/swp-2018-50.
• Julien Champagne & Guillaume Poulin-Bellisle & Rodrigo Sekkel, 2018, "Evaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and Forecasts," Staff Working Papers, Bank of Canada, number 18-52, DOI: 10.34989/swp-2018-52.
• Tony Chernis & Corinne Luu, 2018, "Disaggregating Household Sensitivity to Monetary Policy by Expenditure Category," Staff Analytical Notes, Bank of Canada, number 2018-32, DOI: 10.34989/san-2018-32.
• Andrew Lee-Poy, 2018, "Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches," Staff Analytical Notes, Bank of Canada, number 2018-34, DOI: 10.34989/san-2018-34.
• Ariel Krysa & Luis Lanteri, 2018, "Potential Output and the Output Gap Estimation for Argentina: Approximations from a Multivariate Filter and the Production Function Method," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 201880, Aug.
• Laura D'Amato & Maximiliano Gómez Aguirre & Lorena Garegnani & Ariel Krysa & Luis Lanteri, 2018, "Forecasting Inflation in Argentina: A Comparison of Different Models," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 201881, Aug.
• Jeyhun I. Mikayilov & Fakhri J. Hasanov & Marzio Galeotti, 2018, "Decoupling of C02 Emissions and GDP: A Time-Varying Cointegration Approach," IEFE Working Papers, IEFE, Center for Research on Energy and Environmental Economics and Policy, Universita' Bocconi, Milano, Italy, number 101.
• Jeyhun I. Mikayilov & Marzio Galeotti & Fakhri J. Hasanov, 2018, "The Impact of Economic Growth on CO2 Emissions in Azerbaijan," IEFE Working Papers, IEFE, Center for Research on Energy and Environmental Economics and Policy, Universita' Bocconi, Milano, Italy, number 102.
• Mario Alloza & Pablo Burriel & Javier J. Pérez, 2018, "Fiscal policies in the euro area: revisiting the size of spillovers," Working Papers, Banco de España, number 1820, Jul.
• Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018, "The rise and fall of the natural interest rate," Working Papers, Banco de España, number 1822, Jul.
• Jorge E. Galán & Javier Mencía, 2018, "Empirical assessment of alternative structural methods for identifying cyclical systemic risk in Europe," Working Papers, Banco de España, number 1825, Aug.
• María Gil & Javier J. Pérez & A. Jesús Sánchez & Alberto Urtasun, 2018, "Nowcasting private consumption: traditional indicators, uncertainty measures, credit cards and some internet data," Working Papers, Banco de España, number 1842, Dec.
• Simone Emiliozzi & Elisa Guglielminetti & Michele Loberto, 2018, "Forecasting house prices in Italy," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 463, Oct.
• Antonio M. Conti & Concetta Gigante, 2018, "Weakness in Italy�s core inflation and the Phillips curve: the role of labour and financial indicators," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 466, Oct.
• Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2018, "The global component of inflation volatility," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1170, Apr.
• Alessio Ciarlone & Andrea Colabella, 2018, "Asset price volatility in EU-6 economies: how large is the role played by the ECB?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1175, Jun.
• Francesco Corsello & Valerio Nispi Landi, 2018, "Labor market and financial shocks: a time varying analysis," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1179, Jun.
• Marcello Pericoli & Marco Taboga, 2018, "Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1189, Sep.
• Marcello Pericoli, 2018, "Macroeconomics determinants of the correlation between stocks and bonds," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1198, Nov.
• Antonio M. Conti & Andrea Nobili & Federico M. Signoretti, 2018, "Bank capital constraints, lending supply and economic activity," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1199, Nov.
• Gálvez-Soriano Oscar de Jesús, 2018, "Nowcasting Mexican GDP using Factor Models and Bridge Equations," Working Papers, Banco de México, number 2018-06, Jun.
• Clark Granger & Yurany Hernández & Jorge Ramos & Jorge Toro & Héctor Zárate, 2018, "La postura fiscal en Colombia a partir de los ajustes a las tarifas impositivas," Borradores de Economia, Banco de la Republica de Colombia, number 1038, Feb, DOI: 10.32468/be.1038.
• Camilo Alberto Cárdenas-Hurtado & Aaron Levi Garavito-Acosta & Jorge Hernán Toro-Córdoba, 2018, "Asymmetric Effects of Terms of Trade Shocks on Tradable and Non-tradable Investment Rates: The Colombian Case," Borradores de Economia, Banco de la Republica de Colombia, number 1043, May, DOI: 10.32468/be.1043.
• Juan Sebastian Cubillos-Rocha & Jose Eduardo Gomez-Gonzalez & Luis Fernando Melo-Velandia, 2018, "Detecting exchange rate contagion using copula functions," Borradores de Economia, Banco de la Republica de Colombia, number 1047, Aug, DOI: 10.32468/be.1047.
• Eddie Gerba, 2018, "What is the Fiscal Stress in Euro Area? Evidence from a Joint Monetary-Fiscal Structural Model," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 36, issue 85, pages 21-47, April, DOI: 10.32468/Espe.8502.
• Alejandro López-Vera & Andrés D. Pinchao-Rosero & Norberto Rodríguez-Niño, 2018, "Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 36, issue 85, pages 48-64, April, DOI: 10.32468/Espe.8503.
• Todd B. Walker, 2018, "Inflation Targeting in Emerging Economies," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 36, issue 85, pages 7-20, April, DOI: 10.32468/Espe.8501.
• Zorica Mladenović & Jelena Rašković, 2018, "Econometric Testing Of Uncovered Interest Rate Parity In Serbia," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 63, issue 216, pages 35-62, January –.
• Ammar Hamad Khalaf, 2018, "Foreign Exchange Market Pressure Index And Monetary Policy In Iraq," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 63, issue 219, pages 61-82, October –.
• Güneş Kamber & Benjamin Wong, 2018, "Global factors and trend inflation," BIS Working Papers, Bank for International Settlements, number 688, Jan.
• Elmar Mertens & James M. Nason, 2018, "Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility," BIS Working Papers, Bank for International Settlements, number 713, Apr.
• Benjamin K Johannsen & Elmar Mertens, 2018, "A time series model of interest rates with the effective lower bound," BIS Working Papers, Bank for International Settlements, number 715, Apr.
• Alexey Ponomarenko & Anna Rozhkova & Sergei Seleznev, 2018, "Macro-financial linkages: the role of liquidity dependence," BIS Working Papers, Bank for International Settlements, number 716, Apr.
• David Perez-Reyna & Mauricio Villamizar-Villegas, 2018, "Breaking the trilemma: the effects of financial regulations on foreign assets," BIS Working Papers, Bank for International Settlements, number 718, May.
• Takuji Fueki & Hiroka Higashi & Naoto Higashio & Jouchi Nakajima & Shinsuke Ohyama & Yoichiro Tamanyu, 2018, "Identifying oil price shocks and their consequences: the role of expectations in the crude oil market," BIS Working Papers, Bank for International Settlements, number 725, May.
• Sergio H. Lence & GianCarlo Moschini & Fabio Gaetano Santeramo, 2018, "Threshold cointegration and spatial price transmission when expectations matter," Agricultural Economics, International Association of Agricultural Economists, volume 49, issue 1, pages 25-39, January, DOI: 10.1111/agec.12393.
• Andrea Bastianin & Alessandro Lanza & Matteo Manera, 2018, "Economic impacts of El Niño southern oscillation: evidence from the Colombian coffee market," Agricultural Economics, International Association of Agricultural Economists, volume 49, issue 5, pages 623-633, September, DOI: 10.1111/agec.12447.
• Mark A. Wynne & Ren Zhang, 2018, "Measuring The World Natural Rate Of Interest," Economic Inquiry, Western Economic Association International, volume 56, issue 1, pages 530-544, January, DOI: 10.1111/ecin.12500.
• Robert Dixon & Guay C. Lim, 2018, "Labor'S Share, The Firm'S Market Power, And Total Factor Productivity," Economic Inquiry, Western Economic Association International, volume 56, issue 4, pages 2058-2076, October, DOI: 10.1111/ecin.12580.
• Giampiero M. Gallo & Edoardo Otranto, 2018, "Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, volume 67, issue 3, pages 549-573, April, DOI: 10.1111/rssc.12253.
• Stefan Bruder & Michael Wolf, 2018, "Balanced Bootstrap Joint Confidence Bands for Structural Impulse Response Functions," Journal of Time Series Analysis, Wiley Blackwell, volume 39, issue 5, pages 641-664, September, DOI: 10.1111/jtsa.12289.
• Søren Johansen & Morten Ørregaard Nielsen, 2018, "Testing the CVAR in the Fractional CVAR Model," Journal of Time Series Analysis, Wiley Blackwell, volume 39, issue 6, pages 836-849, November, DOI: 10.1111/jtsa.12300.
• Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018, "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, volume 39, issue 6, pages 966-987, November, DOI: 10.1111/jtsa.12427.
• Helmut Lütkepohl & Thore Schlaak, 2018, "Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 80, issue 4, pages 715-735, August, DOI: 10.1111/obes.12238.
• Matteo Barigozzi & Antonio M. Conti, 2018, "On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 80, issue 4, pages 755-787, August, DOI: 10.1111/obes.12239.
• Benjamin Born & Sebastian Breuer & Steffen Elstner, 2018, "Uncertainty and the Great Recession," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 80, issue 5, pages 951-971, October, DOI: 10.1111/obes.12229.
• Ludovic Gauvin & Cyril C. Rebillard, 2018, "Towards recoupling? Assessing the global impact of a Chinese hard landing through trade and commodity price channels," The World Economy, Wiley Blackwell, volume 41, issue 12, pages 3379-3415, December, DOI: 10.1111/twec.12631.
• Álvaro Céspedes T. & Javier Cossio M. & Angelica Calle S., 2018, "Inclusión financiera y pobreza en Bolivia," Revista de Análisis del BCB, Banco Central de Bolivia, volume 29, issue 2, pages 83-126, July - De.
• Hilde C. Bjørnland & Leif Anders Thorsrud & Ragnar Torvik, 2018, "Dutch disease dynamics reconsidered," Working Paper, Norges Bank, number 2018/1, Feb.
• Hilde C. Bjørnland & Leif Anders Thorsrud & Ragnar Torvik, 2018, "Dutch Disease Dynamics Reconsidered," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 4/2018, Feb.
• Yoosoon Chang & Junior Maih & Fei Tan, 2018, "State Space Models with Endogenous Regime Switching," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 9/2018, Nov.
• Thomai Filippeli & Richard Harrison & Konstantinos Theodoridis, 2018, "DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation," Bank of England Staff Working Paper series, Bank of England, number 716, Mar.
• Silvia Miranda-Agrippino & Giovanni Ricco, 2018, "Bayesian vector autoregressions," Bank of England Staff Working Paper series, Bank of England, number 756, Sep.
• Simon Lloyd, 2018, "Estimating nominal interest rate expectations: overnight indexed swaps and the term structure," Bank of England Staff Working Paper series, Bank of England, number 763, Nov.
• Hiona Balfoussia & Dimitris Papageorgiou, 2018, "Real and financial cycles in the Greek economy," Economic Bulletin, Bank of Greece, issue 47, pages 7-30, July.
• David Umoru & Sylvester Ohiomu & Richard Akpeke, 2018, "The Influence of Oil Price Volatility on Selected Macroeconomic Variables in Nigeria," Acta Universitatis Bohemiae Meridionalis, University of South Bohemia in Ceske Budejovice, Faculty of Economics, volume 21, issue 1, pages 1-22, DOI: 10.1515/acta-2018-0001.
• Byeongseon Seo & Keunho Jang, 2018, "Inventory Investment and Business Cycle: Asymmetric Dynamics of Inventory Investment over the Business Cycle Phases (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 24, issue 3, pages 1-36, September.
• 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.