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

• Sandra Eickmeier & Benedikt Kolb & Esteban Prieto, 2018, "The Macroeconomic Effects of Bank Capital Requirement Tightenings: Evidence from a Narrative Approach," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-42, Sep.
• Sandra Eickmeier & Benedikt Kolb & Esteban Prieto, 2018, "Effects of Bank Capital Requirement Tightenings on Inequality," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-43, Sep.
• Martin Feldkircher & Pierre L. Siklos, 2018, "Global Inflation Dynamics and Inflation Expectations," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-60, Nov.
• Stephan B. Bruns & Zsuzsanna Csereklyei & David I. Stern, 2018, "A Multicointegration Model of Global Climate Change," CCEP Working Papers, Centre for Climate & Energy Policy, Crawford School of Public Policy, The Australian National University, number 1801, Jan.
• Humberto Arandia & Luis Laura, 2018, "Impact of Exchange Rate Movements on Foreign Trade," Cuadernos de Investigación Económica Boliviana, Ministerio de Economía y Finanzas Públicas de Bolivia, volume 2, issue 2, pages 1-33, December.
• Humberto Arandia & Luis Laura, 2018, "Impacto de Movimientos Cambiarios en el Comercio Exterior," Cuadernos de Investigación Económica Boliviana, Ministerio de Economía y Finanzas Públicas de Bolivia, volume 2, issue 2, pages 87-142, Diciembre.
• Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano, 2019, "Identification of global and local shocks in international financial markets via general dynamic factor models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 86932, Jan.
• Barigozzi, Matteo, 2018, "On the stability of euro area money demand and its implications for monetary policy," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 87283, Aug.
• Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018, "Bayesian vector autoregressions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 87393, Mar.
• Pinter, Gabor, 2018, "Macroeconomic shocks and risk premia," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 90370, Aug.
• Eric Delattre & Richard Moussa, 2018, "Early retirement decisions: Lessons from a dynamic structural modelling," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2018-04.
• Amélie Adeline & Eric Delattre, 2018, "Health and income: testing for causality on European elderly people," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2018-07.
• Jiaojiao Fan & Xin Li & Qinghua Shi & Chi-Wei Su, 2017, "The co-movement and causality between housing and stock markets in the time and frequency domains considering inflation," China Finance Review International, Emerald Group Publishing Limited, volume 8, issue 1, pages 92-108, December, DOI: 10.1108/CFRI-06-2017-0061.
• Qi Deng, 2018, "A generalized VECM/VAR-DCC/ADCC framework and its application in the Black-Litterman model," China Finance Review International, Emerald Group Publishing Limited, volume 8, issue 4, pages 453-467, March, DOI: 10.1108/CFRI-07-2016-0095.
• Camilo Vargas Walteros & Amalia Novoa Hoyos & Albert Dario Arias Ardila & Arnold Steven Peña Ballesteros, 2018, "Analysis of demand and supply in the Colombian housing market: impacts and influences 2005-2016," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, volume 11, issue 1, pages 149-172, January, DOI: 10.1108/IJHMA-01-2017-0006.
• Lordina Amoah & Meshach Jesse Aziakpono, 2018, "Exchange rate pass-through to consumer prices in Ghana: is there asymmetry?," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 13, issue 1, pages 162-184, January, DOI: 10.1108/IJoEM-07-2016-0179.
• Tong Tong & Tarlok Singh & Bin Li, 2018, "Country-level macro-corporate governance and the outward foreign direct investment," International Journal of Social Economics, Emerald Group Publishing Limited, volume 45, issue 1, pages 107-123, January, DOI: 10.1108/IJSE-09-2016-0243.
• Mostafa E. AboElsoud, 2018, "Did USAID promote economic growth prior to the 2011 Egyptian Revolution?," Journal of Chinese Economic and Foreign Trade Studies, Emerald Group Publishing Limited, volume 11, issue 3, pages 219-235, July, DOI: 10.1108/JCEFTS-05-2018-0013.
• Vasudeva Murthy & Albert Okunade, 2018, "Is the health care price inflation in US urban areas stationary?," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, volume 23, issue 44, pages 77-94, February, DOI: 10.1108/JEFAS-02-2017-0043.
• Harold Glenn A. Valera & Mark J. Holmes & Gazi M. Hassan, 2018, "Does inflation targeting matter for the behavior of inflation and output growth? Some regime-based evidence for Asian economies," Journal of Economic Studies, Emerald Group Publishing Limited, volume 45, issue 5, pages 932-955, October, DOI: 10.1108/JES-01-2017-0023.
• Sydney Chikalipah, 2018, "Do microsavings stimulate financial performance of microfinance institutions in Sub-Saharan Africa?," Journal of Economic Studies, Emerald Group Publishing Limited, volume 45, issue 5, pages 1072-1087, October, DOI: 10.1108/JES-05-2017-0131.
• Neveen Ahmed, 2018, "The effect of the financial crisis on the dynamic relation between foreign exchange and stock returns," Journal of Economic Studies, Emerald Group Publishing Limited, volume 45, issue 5, pages 994-1031, October, DOI: 10.1108/JES-10-2017-0308.
• Vighneswara Swamy, 2018, "Modeling the impact of Basel III regulations on loan demand," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 10, issue 1, pages 136-164, April, DOI: 10.1108/JFEP-06-2017-0057.
• Dinabandhu Sethi & Debashis Acharya, 2018, "Financial inclusion and economic growth linkage: some cross country evidence," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 10, issue 3, pages 369-385, June, DOI: 10.1108/JFEP-11-2016-0073.
• Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Gazi Uddin, 2018, "Revisiting the three factor model in light of circular behavioural simultaneities," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 10, issue 3, pages 210-230, July, DOI: 10.1108/RBF-08-2017-0079.
• Bernard Njindan Iyke, 2018, "Assessing the effects of housing market shocks on output: the case of South Africa," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 35, issue 2, pages 287-306, May, DOI: 10.1108/SEF-09-2016-0237.
• Asai, M. & McAleer, M.J., 2018, "Bayesian Analysis of Realized Matrix-Exponential GARCH Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number 2018-005/III, Jan.
• Chang, C-L. & Hsu, S.-H. & McAleer, M.J., 2018, "Risk Spillovers in Returns for Chinese and International Tourists to Taiwan," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number 18-031/III, Mar.
• Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2018, "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number TI 2018-052/III, May.
• Asai, M. & Peiris, S. & McAleer, M.J. & Allen, D.E., 2018, "Cointegrated Dynamics for A Generalized Long Memory Process," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2018-32, Aug.
• Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2018, "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2018-37, Sep.
• Asai, M. & Chang, C-L. & McAleer, M.J. & Pauwels, L., 2018, "Asymptotic Theory for Rotated Multivariate GARCH Models," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2018-38, Oct.
• Chang, C-L. & Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018, "Long Run Returns Predictability and Volatility with Moving Averages," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2018-39, Sep.
• Chang, C-L. & Ilomäki, J. & Laurila, H. & McAleer, M.J., 2018, "Market Timing with Moving Averages for Fossil Fuel and Renewable Energy Stocks," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2018-44, Sep.
• Vo, D.H. & Vu, T.N. & Vo, A.T. & McAleer, M.J., 2018, "Modelling the Relationship between Crude Oil and Agricultural Commodity Prices," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2019-10, Dec.
• Mehmet Balcilar & Godwin Olasehinde-Williams & Muhammad Shahbaz, 2018, "Asymmetric Dynamics of Insurance Premium: The Impact of Monetary Policy Uncertainty on Insurance Premiums in Japan," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-39.
• Mehmet Balcilar & Festus Victor Bekun, 2018, "Spillover Dynamics Across Price Inflation and Selected Agricultural Commodity Prices," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-42.
• Mehmet Balcilar & Usman Ojonugwa, 2018, "Exchange rate and oil price pass-through to inflation in BRICS countries: Evidence from the spillover index and rolling-sample analysis," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-45.
• Nektarios A. Michail & George Thucydides, 2018, "Does Housing Wealth Affect Consumption? The Case of Cyprus," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, volume 12, issue 2, pages 67-86, December.
• Hany Abdel-Latif & Mahmoud El-Gamal, 2018, "Financial Liquidity, Geopolitics, and Oil Prices," Working Papers, Economic Research Forum, number 1255, Nov, revised 15 Nov 2018.
• Leonid Mylnikov & Rustam Fayzrakhmanov, 2018, "Production Planning with Parameters on the Basis of Dynamic Predictive Models: Interconnection and the Inertness of their Interaction," European Research Studies Journal, European Research Studies Journal, volume 0, issue 2, pages 265-281.
• Girish Bahal & Mehdi Raissi, 2018, "Crowding-Out or Crowding-In? Public and Private Investment in India," Working Papers, eSocialSciences, number id:12764, May.
• Chambers, MJ, 2018, "Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data," Economics Discussion Papers, University of Essex, Department of Economics, number 21144, Jan.
• Korobilis, D & Yilmaz, K, 2018, "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 20937, Jan.
• Georgiev, I & Harvey, DI & Leybourne, SJ & Taylor, AM, 2018, "Testing for Parameter Instability in Predictive Regression Models," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 21162, Jan.
• Koop, G & Korobilis, D, 2018, "Forecasting with High-Dimensional Panel VARs," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 21329, Jan.
• Rosa María Domínguez Gijón & Francisco Venegas Martínez & Reyna Susana García Ruíz, 2018, "Un modelo microeconómico estocástico del comportamiento de una jefa de familia como único participante en el ingreso familiar: el caso mexicano, 2005-2016," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, volume 49, issue 2, pages 119-142, Julio-Dic, DOI: 10.24275/ETYPUAM/NE/492018/Domingue.
• Christian Gayer & Bertrand Marc, 2018, "A ‘New Modesty’? Level Shifts in Survey Data and the Decreasing Trend of ‘Normal’ Growth," European Economy - Discussion Papers, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 083, Jul.
• Rajesh H. Acharya & Anver C. Sadath, 2018, "Revisiting the relationship between oil price and macro economy: Evidence from India," ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, FrancoAngeli Editore, volume 2018, issue 1, pages 173-190.
• Cosimo Magazzino & Gordon L. Brady, 2018, "The relationship among renewable energy, economic growth, labor and capital formation in Italy," RIVISTA DI STUDI SULLA SOSTENIBILITA', FrancoAngeli Editore, volume 2018, issue 1, pages 35-48.
• Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2018, "A model of FED'S view on inflation," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2018-03, Jan.
• Silvia Miranda-Agrippino & Giovanni Ricco, 2018, "Bayesian vector autoregressions," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2018-18, May.
• Silvia Miranda-Agrippino & Giovanni Ricco, 2018, "Identification with External Instruments in Structual VARs under partial invertibility," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2018-24, Jul.
• Jonas E. Arias & Juan F. Rubio-Ramírez & Daniel F. Waggoner, 2018, "Inference in Bayesian Proxy-SVARs," Working Papers, FEDEA, number 2018-13, Nov.
• Liuyan Zhao & Yan Zhao, 2018, "Purchasing Power Parity and Price Fluctuations in China before July 1937," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 13, issue 3, pages 458-483, September.
• Claudio Morana & Giacomo Sbrana, 2018, "Some Financial Implications of Global Warming: an Empirical Assessment," Working Papers, Fondazione Eni Enrico Mattei, number 2018.01, Feb.
• Jonas E. Arias & Juan F. Rubio-Ramirez & Daniel F. Waggoner, 2018, "Inference in Bayesian Proxy-SVARs," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2018-16, Dec, DOI: 10.29338/wp2018-16.
• Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2018, "Endogenous Uncertainty," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1805, Mar, DOI: 10.26509/frbc-wp-201805.
• Ellis W. Tallman & Saeed Zaman, 2018, "Combining Survey Long-Run Forecasts and Nowcasts with BVAR Forecasts Using Relative Entropy," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1809, Jun, DOI: 10.26509/frbc-wp-201809.
• Mark Bognanni, 2018, "A Class of Time-Varying Parameter Structural VARs for Inference under Exact or Set Identification," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1811, Sep, DOI: 10.26509/frbc-wp-201811.
• Richard Ashley & Kwok Ping Tsang & Randal J. Verbrugge, 2018, "All Fluctuations Are Not Created Equal: The Differential Roles of Transitory versus Persistent Changes in Driving Historical Monetary Policy," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1814, Oct, DOI: 10.26509/frbc-wp-201814.
• Tyler Atkinson & Alexander W. Richter & Nathaniel A. Throckmorton, 2018, "The Zero Lower Bound and Estimation Accuracy," Working Papers, Federal Reserve Bank of Dallas, number 1804, May, DOI: 10.24149/wp1804r1.
• Karel Mertens & Morten O. Ravn, 2018, "The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States: Reply to Jentsch and Lunsford," Working Papers, Federal Reserve Bank of Dallas, number 1805, May, DOI: 10.24149/wp1805r1.
• Sriya Anbil & Zeynep Senyuz, 2018, "The Regulatory and Monetary Policy Nexus in the Repo Market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-027, Apr, DOI: 10.17016/FEDS.2018.027.
• Levent Altinoglu, 2018, "The Origins of Aggregate Fluctuations in a Credit Network Economy," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-031, May, DOI: 10.17016/FEDS.2018.031.
• Manuel Gonzalez-Astudillo, 2018, "An Output Gap Measure for the Euro Area : Exploiting Country-Level and Cross-Sectional Data Heterogeneity," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-040, Jun, DOI: 10.17016/FEDS.2018.040.
• Christopher J. Gust & Edward P. Herbst & J. David López-Salido, 2018, "Forward Guidance with Bayesian Learning and Estimation," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-072, Oct, DOI: 10.17016/FEDS.2018.072.
• Thiago Revil T. Ferreira, 2018, "Stock Market Cross-Sectional Skewness and Business Cycle Fluctuations," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1223, Mar, DOI: 10.17016/IFDP.2018.1223.
• John W. Keating & Andrew Lee Smith, 2018, "The Optimal Monetary Instrument and the (Mis)Use of Causality Tests," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 18-11, Nov, DOI: 10.18651/RWP2018-11.
• Taeyoung Doh & Andrew Lee Smith, 2018, "Reconciling VAR-based Forecasts with Survey Forecasts," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 18-13, Dec, DOI: 10.18651/RWP2018-13.
• Craig S. Hakkio & Jun Nie, 2018, "Forecasting Foreign Economic Growth Using Cross-Country Data," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 18-14, Dec, DOI: 10.18651/RWP2018-14.
• Michael Cai & Marco Del Negro & Marc Giannoni & Abhi Gupta & Pearl Li & Erica Moszkowski, 2018, "DSGE forecasts of the lost recovery," Staff Reports, Federal Reserve Bank of New York, number 844, Mar.
• Daniel J. Lewis, 2018, "Identifying shocks via time-varying volatility," Staff Reports, Federal Reserve Bank of New York, number 871, Oct.
• Daniel J. Lewis, 2018, "Robust inference in models identified via heteroskedasticity," Staff Reports, Federal Reserve Bank of New York, number 876, Dec.
• 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.
• Siniša Milošević & Jelena Popović Markopoulos & Jelena Grahovac & Aleksandra Ravić, 2018, "Pricing Benchmark in Market Definition: Theoretical Background and Practical Application," Contributions to Economics, Springer, in: Boris Begović & Dušan V. Popović, "Competition Authorities in South Eastern Europe", DOI: 10.1007/978-3-319-76644-7_10.
• Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2018, "Oil Market Volatility: Is Macroeconomic Uncertainty Systematically Transmitted to Oil Prices?," Dynamic Modeling and Econometrics in Economics and Finance, Springer, in: Fredj Jawadi, "Uncertainty, Expectations and Asset Price Dynamics", DOI: 10.1007/978-3-319-98714-9_2.
• Semei Coronado & Omar Rojas & Rafael Romero-Meza & Apostolos Serletis & Leslie Verteramo Chiu, 2018, "Crude Oil and Biofuel Agricultural Commodity Prices," Dynamic Modeling and Econometrics in Economics and Finance, Springer, in: Fredj Jawadi, "Uncertainty, Expectations and Asset Price Dynamics", DOI: 10.1007/978-3-319-98714-9_5.
• Norhana Endut & James Morley & Pao-Lin Tien, 2018, "The changing transmission mechanism of US monetary policy," Empirical Economics, Springer, volume 54, issue 3, pages 959-987, May, DOI: 10.1007/s00181-017-1240-7.
• Xiaojie Xu, 2018, "Intraday price information flows between the CSI300 and futures market: an application of wavelet analysis," Empirical Economics, Springer, volume 54, issue 3, pages 1267-1295, May, DOI: 10.1007/s00181-017-1245-2.
• Reda Cherif & Fuad Hasanov, 2018, "Public debt dynamics: the effects of austerity, inflation, and growth shocks," Empirical Economics, Springer, volume 54, issue 3, pages 1087-1105, May, DOI: 10.1007/s00181-017-1260-3.
• Vasyl Golosnoy & Anja Rossen, 2018, "Modeling dynamics of metal price series via state space approach with two common factors," Empirical Economics, Springer, volume 54, issue 4, pages 1477-1501, June, DOI: 10.1007/s00181-017-1267-9.
• Sajjadur Rahman, 2018, "The Lucas hypothesis on monetary shocks: evidence from a GARCH-in-mean model," Empirical Economics, Springer, volume 54, issue 4, pages 1411-1450, June, DOI: 10.1007/s00181-017-1270-1.
• Bastian Gribisch, 2018, "A latent dynamic factor approach to forecasting multivariate stock market volatility," Empirical Economics, Springer, volume 55, issue 2, pages 621-651, September, DOI: 10.1007/s00181-017-1278-6.
• Matteo Luciani & Madhavi Pundit & Arief Ramayandi & Giovanni Veronese, 2018, "Nowcasting Indonesia," Empirical Economics, Springer, volume 55, issue 2, pages 597-619, September, DOI: 10.1007/s00181-017-1288-4.
• Kei Imakubo & Haruki Kojima & Jouchi Nakajima, 2018, "The natural yield curve: its concept and measurement," Empirical Economics, Springer, volume 55, issue 2, pages 551-572, September, DOI: 10.1007/s00181-017-1289-3.
• Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2018, "The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis," Empirical Economics, Springer, volume 55, issue 3, pages 913-935, November, DOI: 10.1007/s00181-017-1297-3.
• Mark A. Wynne & Ren Zhang, 2018, "Estimating the natural rate of interest in an open economy," Empirical Economics, Springer, volume 55, issue 3, pages 1291-1318, November, DOI: 10.1007/s00181-017-1315-5.
• Gabriel Rodríguez & Pierina Villanueva Vega & Paul Castillo Bardalez, 2018, "Driving economic fluctuations in Peru: the role of the terms of trade," Empirical Economics, Springer, volume 55, issue 3, pages 1089-1119, November, DOI: 10.1007/s00181-017-1318-2.
• Shyh-Wei Chen & Zixiong Xie & Ying Liao, 2018, "Energy consumption promotes economic growth or economic growth causes energy use in China? A panel data analysis," Empirical Economics, Springer, volume 55, issue 3, pages 1019-1043, November, DOI: 10.1007/s00181-017-1319-1.
• Bjørnar Karlsen Kivedal, 2018, "A new Keynesian framework and wage and price dynamics in the USA," Empirical Economics, Springer, volume 55, issue 3, pages 1271-1289, November, DOI: 10.1007/s00181-017-1320-8.
• Xiaojie Xu, 2018, "Cointegration and price discovery in US corn cash and futures markets," Empirical Economics, Springer, volume 55, issue 4, pages 1889-1923, December, DOI: 10.1007/s00181-017-1322-6.
• Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018, "Calculating joint confidence bands for impulse response functions using highest density regions," Empirical Economics, Springer, volume 55, issue 4, pages 1389-1411, December, DOI: 10.1007/s00181-017-1325-3.
• Gabriela Mundaca, 2018, "Central bank interventions in a dollarized economy: managed floating versus inflation targeting," Empirical Economics, Springer, volume 55, issue 4, pages 1507-1535, December, DOI: 10.1007/s00181-017-1331-5.
• Antonio Rodriguez-Gil, 2018, "Hysteresis and labour market institutions. Evidence from the UK and the Netherlands," Empirical Economics, Springer, volume 55, issue 4, pages 1985-2025, December, DOI: 10.1007/s00181-017-1338-y.
• László Kónya & Bekzod Abdullaev, 2018, "An attempt to restore Wagner’s law of increasing state activity," Empirical Economics, Springer, volume 55, issue 4, pages 1569-1583, December, DOI: 10.1007/s00181-017-1339-x.
• C. Orsenigo & C. Vercellis, 2018, "Anthropogenic influence on global warming for effective cost-benefit analysis: a machine learning perspective," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, volume 45, issue 3, pages 425-442, September, DOI: 10.1007/s40812-018-0092-2.
• Pär Stockhammar & Pär Österholm, 2018, "Do inflation expectations granger cause inflation?," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, volume 35, issue 2, pages 403-431, August, DOI: 10.1007/s40888-018-0111-9.
• Merve Tuncay, 2018, "Do political risks matter in the financial markets?: evidence from Turkey," Eurasian Business Review, Springer;Eurasia Business and Economics Society, volume 8, issue 2, pages 209-227, June, DOI: 10.1007/s40821-017-0077-5.
• Laurent Ferrara & Stéphane Lhuissier & Fabien Tripier, 2018, "Uncertainty Fluctuations: Measures, Effects and Macroeconomic Policy Challenges," Financial and Monetary Policy Studies, Springer, in: Laurent Ferrara & Ignacio Hernando & Daniela Marconi, "International Macroeconomics in the Wake of the Global Financial Crisis", DOI: 10.1007/978-3-319-79075-6_9.
• Damien Ackerer & Damir Filipović & Sergio Pulido, 2018, "The Jacobi stochastic volatility model," Finance and Stochastics, Springer, volume 22, issue 3, pages 667-700, July, DOI: 10.1007/s00780-018-0364-8.
• Dan Pirjol & Lingjiong Zhu, 2018, "Explosion in the quasi-Gaussian HJM model," Finance and Stochastics, Springer, volume 22, issue 3, pages 643-666, July, DOI: 10.1007/s00780-018-0367-5.
• D. M. Nachane, 2018, "Time-varying spectral analysis: theory and applications," Indian Economic Review, Springer, volume 53, issue 1, pages 3-27, December, DOI: 10.1007/s41775-018-0030-2.
• Andrew Evans, 2018, "Okun coefficients and participation coefficients by age and gender," IZA Journal of Labor Economics, Springer;Forschungsinstitut zur Zukunft der Arbeit GmbH (IZA), volume 7, issue 1, pages 1-22, December, DOI: 10.1186/s40172-018-0065-8.
• Jermain Kaminski & Christian Hopp & Christian Lukas, 2018, "Who benefits from the wisdom of the crowd in crowdfunding? Assessing the benefits of user-generated and mass personal electronic word of mouth in computer-mediated financing," Journal of Business Economics, Springer, volume 88, issue 9, pages 1133-1162, December, DOI: 10.1007/s11573-018-0899-3.
• Raïsa Basselier & David Antonio Liedo & Geert Langenus, 2018, "Nowcasting Real Economic Activity in the Euro Area: Assessing the Impact of Qualitative Surveys," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), volume 14, issue 1, pages 1-46, April, DOI: 10.1007/s41549-017-0022-9.
• Fritz Breuss, 2018, "Would DSGE Models Have Predicted the Great Recession in Austria?," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), volume 14, issue 1, pages 105-126, April, DOI: 10.1007/s41549-018-0025-1.
• Yoshihiro Ohtsuka, 2018, "Large Shocks and the Business Cycle: The Effect of Outlier Adjustments," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), volume 14, issue 1, pages 143-178, April, DOI: 10.1007/s41549-018-0027-z.
• Alain Galli, 2018, "Which Indicators Matter? Analyzing the Swiss Business Cycle Using a Large-Scale Mixed-Frequency Dynamic Factor Model," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), volume 14, issue 2, pages 179-218, November, DOI: 10.1007/s41549-018-0030-4.
• Mehmet Balcilar & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2018, "Differences of opinion and stock market volatility: evidence from a nonparametric causality-in-quantiles approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 42, issue 2, pages 339-351, April, DOI: 10.1007/s12197-017-9404-z.
• Vugar Ahmadov & Salman Huseynov & Shaig Adigozalov & Fuad Mammadov & Vugar Rahimov, 2018, "Forecasting inflation in post-oil boom years: A case for regime switches?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 42, issue 2, pages 369-385, April, DOI: 10.1007/s12197-017-9410-1.
• Emre Ünal & Nezir Köse, 2018, "The impact of workdays lost to strikes on wage growth in Turkey," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), volume 7, issue 1, pages 1-19, December, DOI: 10.1186/s40008-018-0108-0.
• Arian Daneshmand & Esfandiar Jahangard & Mahnoush Abdollah-Milani, 2018, "A time preference measure of the social discount rate for Iran," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), volume 7, issue 1, pages 1-10, December, DOI: 10.1186/s40008-018-0127-x.
• B. Balaji & S. Raja Sethu Durai & M. Ramachandran, 2018, "Spillover Effects of Real and Nominal Uncertainties in India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 16, issue 1, pages 143-162, December, DOI: 10.1007/s40953-017-0108-1.
• N. R. Bhanumurthy & Sukanya Bose & Parma Chakravartti, 2018, "Targeting Debt and Deficits in India: A Structural Macroeconometric Approach," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 16, issue 1, pages 87-119, December, DOI: 10.1007/s40953-017-0115-2.
• Dilip Kumar, 2018, "Modeling and Forecasting Unbiased Extreme Value Volatility Estimator in Presence of Leverage Effect," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 16, issue 2, pages 313-335, June, DOI: 10.1007/s40953-017-0085-4.
• Wasim Ahmad & Sanjay Sehgal, 2018, "Business Cycle and Financial Cycle Interdependence and the Rising Role of China in SAARC," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 16, issue 2, pages 337-362, June, DOI: 10.1007/s40953-017-0086-3.
• Zouheir Mighri, 2018, "On the Dynamic Linkages Among International Emerging Currencies," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 16, issue 2, pages 427-473, June, DOI: 10.1007/s40953-017-0088-1.
• Fang Duan & Dominik Wied, 2018, "A residual-based multivariate constant correlation test," Metrika: International Journal for Theoretical and Applied Statistics, Springer, volume 81, issue 6, pages 653-687, August, DOI: 10.1007/s00184-018-0675-y.
• Pavlos Stamatiou & Chaido Dritsaki, 2018, "Inflation, Unemployment and the NAIRU in Poland," Springer Proceedings in Business and Economics, Springer, chapter 0, in: Nicholas Tsounis & Aspasia Vlachvei, "Advances in Time Series Data Methods in Applied Economic Research", DOI: 10.1007/978-3-030-02194-8_12.
• Dimitrios Kartsonakis Mademlis & Nikolaos Dritsakis, 2018, "Volatility Between Oil Prices and Stock Returns of Dow Jones Index: A Bivariate GARCH (BEKK) Approach," Springer Proceedings in Business and Economics, Springer, chapter 0, in: Nicholas Tsounis & Aspasia Vlachvei, "Advances in Time Series Data Methods in Applied Economic Research", DOI: 10.1007/978-3-030-02194-8_16.
• Matthias Huss & Heinz Zimmermann, 2018, "The Pricing of Liquidity Risk in Buyout Funds – A Public Market Perspective," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, volume 70, issue 3, pages 285-312, July, DOI: 10.1007/s41464-018-0050-6.
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• Christian Grimme & Jochen Güntner, 2018, "Ursachen des Rohölpreisanstiegs seit 2016
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• Mariam Elhaddadi & Mohamed karim, 2018, "Inflation targeting in Morocco: a VAR model analysis," Advances in Management and Applied Economics, SCIENPRESS Ltd, volume 8, issue 1, pages 1-1.
• Chen-Yin Kuo, 2018, "Are the forecast errors of stock prices related to the degree of accounting conservatism?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 8, issue 6, pages 1-9.
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• Emerson JACKSON & Edmund TAMUKE, 2018, "Probability Forecast Using Fan Chart Analysis A Case of the Sierra Leone Economy," Journal of Advanced Studies in Finance, ASERS Publishing, volume 9, issue 1, pages 34-44.
• Håvard Hungnes, 2018, "Encompassing tests for evaluating multi-step system forecasts invariant to linear transformations," Discussion Papers, Statistics Norway, Research Department, number 871, Jan.
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• Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2018, "Combined Density Nowcasting in an Uncertain Economic Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 36, issue 1, pages 131-145, January, DOI: 10.1080/07350015.2015.1137760.
• Dong Hwan Oh & Andrew J. Patton, 2018, "Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 36, issue 2, pages 181-195, April, DOI: 10.1080/07350015.2016.1177535.
• Joshua D. Angrist & Òscar Jordà & Guido M. Kuersteiner, 2018, "Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 36, issue 3, pages 371-387, July, DOI: 10.1080/07350015.2016.1204919.
• Elena Deryugina & Alexey Ponomarenko & Andrey Sinyakov & Constantine Sorokin, 2018, "Evaluating underlying inflation measures for Russia," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, volume 11, issue 2, pages 124-145, May, DOI: 10.1080/17520843.2017.1301511.
• Sin-Yu Ho, 2018, "Determinants of economic growth in Hong Kong: The role of stock market development," Cogent Economics & Finance, Taylor & Francis Journals, volume 6, issue 1, pages 1510718-151, January, DOI: 10.1080/23322039.2018.1510718.
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• Shuffield Seyram Asafo, 2018, "The Macro-economy and Non-Performing Loans in Ghana: A BVAR approach," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 11, issue 3, pages 65-72, December.
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• Signe Rosenberg, 2018, "The Effects of Conventional and Unconventional Monetary Policy on House Prices in the Scandinavian Countries," TUT Economic Research Series, Department of Finance and Economics, Tallinn University of Technology, number 44, Jun.
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• Christian Myohl, 2018, "The Effect of a Financial Block on the Identification of Confidence Shocks in a Structural VAR Model," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp1821, Aug.
• Manabu Asai & Michael McAleer, 2018, "Bayesian analysis of realized matrix-exponential GARCH models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-04, Jan.
• Chia-Lin Chang & Michael McAleer, 2018, "The Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-08, Mar.
• Chia-Lin Chang & Michael McAleer & Shu-Han Hsu, 2018, "Risk Spillovers in Returns for Chinese and International Tourists to Taiwan," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-11, Mar.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018, "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-15, May.
• Manabu Asai & Shelton Peiris & Michael McAleer & David E. Allen, 2018, "Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-22, Sep.
• Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018, "Market Timing with Moving Averages for Fossil Fuel and Renewable Energy Stocks," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-24, Sep.
• Chia-Lin Chang & Jukka Ilomäki & Hannu Laurila & Michael McAleer, 2018, "Long Run Returns Predictability and Volatility with Moving Averages," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2018-25, Sep.