Research classified by Journal of Economic Literature (JEL) codes

---

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

---

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

2017

• Kempa, Bernd & Khan, Nazmus Sadat, 2017, "Spillover effects of debt and growth in the euro area: Evidence from a GVAR model," International Review of Economics & Finance, Elsevier, volume 49, issue C, pages 102-111, DOI: 10.1016/j.iref.2017.01.024.
• Kumar, Dilip, 2017, "Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis," International Review of Economics & Finance, Elsevier, volume 49, issue C, pages 149-167, DOI: 10.1016/j.iref.2017.01.027.
• Park, Hail & Shin, Yongcheol, 2017, "Exploring international linkages using generalised connectedness measures: The case of Korea," International Review of Economics & Finance, Elsevier, volume 50, issue C, pages 49-64, DOI: 10.1016/j.iref.2017.03.029.
• Eleftheriou, Maria, 2017, "Did the Bundesbank react to the US dollar exchange rate?," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 235-244, DOI: 10.1016/j.iref.2017.05.016.
• Varlik, Serdar & Berument, M. Hakan, 2017, "Multiple policy interest rates and economic performance in a multiple monetary-policy-tool environment," International Review of Economics & Finance, Elsevier, volume 52, issue C, pages 107-126, DOI: 10.1016/j.iref.2017.10.004.
• Basher, Syed Abul & Kessler, Lawrence M. & Munkin, Murat K., 2017, "Bank capital and portfolio risk among Islamic banks," Review of Financial Economics, Elsevier, volume 34, issue C, pages 1-9, DOI: 10.1016/j.rfe.2017.03.004.
• Cardona, Laura & Gutiérrez, Marcela & Agudelo, Diego A., 2017, "Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis," Research in International Business and Finance, Elsevier, volume 39, issue PA, pages 115-127, DOI: 10.1016/j.ribaf.2016.07.008.
• Evgenidis, Anastasios & Tsagkanos, Athanasios & Siriopoulos, Costas, 2017, "Towards an asymmetric long run equilibrium between stock market uncertainty and the yield spread. A threshold vector error correction approach," Research in International Business and Finance, Elsevier, volume 39, issue PA, pages 267-279, DOI: 10.1016/j.ribaf.2016.08.002.
• Moussa, Faten & Delhoumi, Ezzeddine & Ouda, Olfa Ben, 2017, "Stock return and volatility reactions to information demand and supply," Research in International Business and Finance, Elsevier, volume 39, issue PA, pages 54-67, DOI: 10.1016/j.ribaf.2016.07.016.
• Serletis, Apostolos & Istiak, Khandokar, 2017, "Financial intermediary leverage spillovers," Research in International Business and Finance, Elsevier, volume 39, issue PB, pages 1000-1007, DOI: 10.1016/j.ribaf.2016.03.001.
• Chevallier, Julien & Ielpo, Florian, 2017, "Investigating the leverage effect in commodity markets with a recursive estimation approach," Research in International Business and Finance, Elsevier, volume 39, issue PB, pages 763-778, DOI: 10.1016/j.ribaf.2014.09.010.
• Moussa, Faten & BenOuda, Olfa & Delhoumi, Ezzeddine, 2017, "The use of open source internet to analysis and predict stock market trading volume," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 399-411, DOI: 10.1016/j.ribaf.2017.04.048.
• Mensah, Jones Odei & Premaratne, Gamini, 2017, "Dependence patterns among Asian banking sector stocks: A copula approach," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 516-546, DOI: 10.1016/j.ribaf.2017.05.001.
• Antonakakis, Nikolaos & Gupta, Rangan & Tiwari, Aviral K., 2017, "Has the correlation of inflation and stock prices changed in the United States over the last two centuries?," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1-8, DOI: 10.1016/j.ribaf.2017.04.005.
• Olson, Eric & Vivian, Andrew & Wohar, Mark E., 2017, "Do commodities make effective hedges for equity investors?," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1274-1288, DOI: 10.1016/j.ribaf.2017.07.064.
• Degiannakis, Stavros, 2017, "The one-trading-day-ahead forecast errors of intra-day realized volatility," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1298-1314, DOI: 10.1016/j.ribaf.2017.07.067.
• Pham, Thi Hoang Anh, 2017, "Are global shocks leading indicators of currency crisis in Viet Nam?," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 605-615, DOI: 10.1016/j.ribaf.2017.07.005.
• Shah, Said Zamin & Baharumshah, Ahmad Zubaidi & Hook, Law Siong & Habibullah, Muzafar Shah, 2017, "Nominal uncertainty, real uncertainty and macroeconomic performance in a time-varying asymmetric framework: Implications for monetary policy," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 75-93, DOI: 10.1016/j.ribaf.2017.05.012.
• Ben Rejeb, Aymen, 2017, "On the volatility spillover between lslamic and conventional stock markets: A quantile regression analysis," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 794-815, DOI: 10.1016/j.ribaf.2017.07.017.
• Maggi, Bernardo, 2017, "A technology-based countries-interaction dynamic model for the study of European growth and stability: Were there the conditions for convergence?," Technological Forecasting and Social Change, Elsevier, volume 125, issue C, pages 275-288, DOI: 10.1016/j.techfore.2017.07.002.
• Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017, "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, volume 98, issue C, pages 82-104, DOI: 10.1016/j.tre.2016.12.007.
• Ceballos, Francisco & Hernandez, Manuel A. & Minot, Nicholas & Robles, Miguel, 2017, "Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries," World Development, Elsevier, volume 94, issue C, pages 305-320, DOI: 10.1016/j.worlddev.2017.01.015.
• Rayp, Glenn & Ruyssen, Ilse & Standaert, Samuel, 2017, "Measuring and Explaining Cross-Country Immigration Policies," World Development, Elsevier, volume 95, issue C, pages 141-163, DOI: 10.1016/j.worlddev.2017.02.026.
• Andrew Phiri, 2017, "Nonlinear adjustment effects in the purchasing power parity," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 60, issue 2, pages 14-38.
• Andrew Phiri, 2017, "Nonlinear adjustment effects in the purchasing power parity," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2017/08, Jun.
• Yasuo Hirose & Takeki Sunakawa, 2017, "The Natural Rate of Interest in a Nonlinear DSGE Model," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-38, May.
• Mardi Dungey & John Harvey & Pierre Siklos & Vladimir Volkov, 2017, "Signed Spillover Effects Building on Historical Decompositions," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-52, Aug.
• Elmar Mertens & James M. Nason, 2017, "Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence and Volatility," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-60, Sep.
• Joshua C C Chan & Yong Song, 2017, "Measuring Inflation Expectations Uncertainty Using High-Frequency Data," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-61, Oct.
• Benjamin Wong, 2017, "Historical Decompositions for Nonlinear Vector Autoregression Models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-62, Oct.
• Thomas Goodwin & Jing Tian, 2017, "A State Space Approach to Evaluate Multi-horizon Forecasts," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-67, Nov.
• Barigozzi, Matteo & Hallin, Marc, 2017, "Generalized dynamic factor models and volatilities estimation and forecasting," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 67455, Aug.
• Wong, Shiu Fung & Tong, Howell & Siu, Tak Kuen & Lu, Zudi, 2017, "A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 78515, Mar.
• Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017, "The transmission of monetary policy shocks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 86163, Feb.
• Imran Shah & Diaz Vela Carlos & Yuan Wang, 2017, "Revisiting the Dynamics Effects of Oil Price Shocks on Small Developing Economies," Department of Economics Working Papers, University of Bath, Department of Economics, number 65/17, Mar.
• Gabe de Bondt, 2017, "Confidence and monetary policy transmission," EcoMod2017, EcoMod, number 10197, Jul.
• Zivile Zekaite & Gabe de Bondt & Elke Hahn, 2017, "Alice: A New Inflation Monitoring Tool," EcoMod2017, EcoMod, number 10414, Jul.
• Aleksandra Halka & Karol Szafranek, 2017, "Determinants of low inflation in emerging, small open economy. Comparison of aggregated and disaggregated approaches," EcoMod2017, EcoMod, number 10560, Jul.
• Alberto Urtasun & Mara Gil & Javier J. Perez, 2017, "Nowcasting private consumption: traditional indicators, uncertainty measures, and the role of internet search query data," EcoMod2017, EcoMod, number 10745, Jul.
• Roberto Cellini & Paolo Di Caro & Gianpiero Torrisi, 2017, "Regional resilience in Italy: do employment and income tell the same story?," Chapters, Edward Elgar Publishing, chapter 14, in: Robert Huggins & Piers Thompson, "Handbook of Regions and Competitiveness".
• Ramos-Francia, Manuel & Noriega, Antonio E. & Rodríguez-Pérez, Cid Alonso, 2017, "Uso de agregados monetarios como indicadores de la evolución futura de los precios al consumidor: crecimiento monetario y meta de inflación," El Trimestre Económico, Fondo de Cultura Económica, volume 0, issue 333, pages .5-70, enero-mar, DOI: http://dx.doi.org/10.20430/ete.v84i.
• Xin Li & Hsu Ling Chang & Chi Wei Su & Yin Dai, 2017, "Does foreign direct investment promote exports in China?," China Finance Review International, Emerald Group Publishing Limited, volume 7, issue 2, pages 185-202, May, DOI: 10.1108/CFRI-04-2016-0026.
• Madhu Sehrawat & A.K. Giri, 2017, "An empirical relationship between financial development indicators and human capital in some selected Asian countries," International Journal of Social Economics, Emerald Group Publishing Limited, volume 44, issue 3, pages 337-349, March, DOI: 10.1108/IJSE-05-2015-0131.
• Sanjay Sehgal & Sonal Babbar, 2017, "Evaluating alternative performance benchmarks for Indian mutual fund industry," Journal of Advances in Management Research, Emerald Group Publishing Limited, volume 14, issue 2, pages 222-250, May, DOI: 10.1108/JAMR-04-2016-0028.
• Juan Carlos Cuestas & Karsten Staehr, 2017, "The Great Leveraging in the European crisis countries," Journal of Economic Studies, Emerald Group Publishing Limited, volume 44, issue 6, pages 895-910, November, DOI: 10.1108/JES-12-2016-0268.
• Trond Arne Borgersen, 2017, "The optimal LTV-ratio, mortgage market variability and monetary policy regimes," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 9, issue 02, pages 225-239, May, DOI: 10.1108/JFEP-06-2016-0044.
• Stephanos Papadamou & Trifon Tzivinikos, 2017, "The macroeconomic effects of fiscal consolidation policies in Greece," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 9, issue 1, pages 34-49, April, DOI: 10.1108/JFEP-07-2016-0051.
• Ajaya Kumar Panda & Swagatika Nanda, 2017, "Market linkages and conditional correlation between the stock markets of South and Central America," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 9, issue 02, pages 174-197, May, DOI: 10.1108/JFEP-08-2016-0063.
• Chang, C-L. & McAleer, M.J., 2017, "The Fiction of Full BEKK," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number TI 2017-015/III, Jan.
• Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2017, "Connecting VIX and Stock Index ETF," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number 2016-010/III, Jan.
• Kamiar Mohaddes & Mehdi Raissi, 2017, "The U.S. Oil Supply Revolution and the Global Economy," Working Papers, Economic Research Forum, number 1124, 07, revised 07 2017.
• Mahjus Ekananda & Dion Jogi Parlinggoman, 2017, "The Role of High-Tech Exports and of Foreign Direct Investments (FDI) on Economic Growth," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4A, pages 194-212.
• Parma Chakravartti & Sudipto Mundle, 2017, "An Automatic Leading Indicator Based Growth Forecast For 2016-17 and The Outlook Beyond," Working Papers, eSocialSciences, number id:11773, May.
• Taniya Ghosh & Soumya Bhadury, 2017, "Money's Causal Role in Exchange Rate: Do Divisia Monetary Aggregates Explain More?," Working Papers, eSocialSciences, number id:12107, Sep.
• Bao H. NGUYEN & Tatsuyoshi OKIMOTO, 2017, "Asymmetric Reactions of the U.S. Natural Gas Market and Economic Activity," Discussion papers, Research Institute of Economy, Trade and Industry (RIETI), number 17102, Jul.
• Ana-Maria Ciuhu, 2017, "Labour Market Analysis Using VAR Models," Working papers, Ecological University of Bucharest, Department of Economics, number 04, Apr.
• Nicolas Philiponnet & Alessandro Turrini, 2017, "Assessing House Price Developments in the EU," European Economy - Discussion Papers, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission, number 048, May.
• MOLTENI, Francesco, PAPPA, Evi, 2017, "The Combination of Monetary and Fiscal Policy Shocks: A TVP-FAVAR Approach," Economics Working Papers, European University Institute, number MWP 2017/13.
• M. Hakan Eratalay & Evgenii Vladimirov, 2017, "Mapping the Stocks in MICEX: Who Is Central in Moscow Stock Exchange?," EUSP Department of Economics Working Paper Series, European University at St. Petersburg, Department of Economics, number 2017/01, Jan.
• Mukhtar Danladi Galadima & Abubakar Wambai Aminu, 2017, "Asymmetric cointegration and causality between natural gas consumption and economic growth in Nigeria," ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, FrancoAngeli Editore, volume 2017, issue 3, pages 59-71.
• Mofleh Alshogeathri & Jamel Jouini, 2017, "Linkages Between Equity and Global Food Markets: New Evidence from Including Structural Changes," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 67, issue 3, pages 166-198, June.
• Ivana Lolic & Petar Soric & Mirjana Cizmesija, 2017, "Disentangling the Relationship between News Media and Consumers' Inflation Sentiment: the Case of Croatia," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 67, issue 3, pages 221-249, June.
• Vaclav Broz & Evzen Kocenda, 2017, "Dynamics and Factors of Inflation Convergence in the European Union," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2017/24, Nov, revised Nov 2017.
• Juan Antolín-Díaz & Juan F. Rubio-Ramírez, 2017, "Narrative Sign Restrictions for SVARs," Working Papers, FEDEA, number 2017-07, Mar.
• Makram El-Shagi & Lin Zhang, 2017, "Trade Effects of Silver Price Fluctuations in 19th Century China: A Macro Approach," CFDS Discussion Paper Series, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China, number 2017/5, Dec.
• Claudio Morana & Giacomo Sbrana, 2017, "Temperature Anomalies, Radiative Forcing and ENSO," Working Papers, Fondazione Eni Enrico Mattei, number 2017.09, Feb.
• Carvalho, Carlos Viana de & Masini, Ricardo Pereira & Medeiros, Marcelo C., 2017, "Arco: an artificial counterfactual approach for high-dimensional panel time-series data," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 454.
• Edward S. Knotek & Saeed Zaman, 2017, "Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1702, Mar, DOI: 10.26509/frbc-wp-201702.
• Christian Garciga & Edward S. Knotek, 2017, "Forecasting GDP Growth with NIPA Aggregates," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1708, May, DOI: 10.26509/frbc-wp-201708.
• Kurt Graden Lunsford & Kenneth D. West, 2017, "Some Evidence on Secular Drivers of US Safe Real Rates," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1723, Dec, DOI: 10.26509/frbc-wp-201723.
• Mark A. Wynne & Ren Zhang, 2017, "Measuring the World Natural Rate of Interest," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 315, Jun, DOI: 10.24149/gwp315.
• Mark A. Wynne & Ren Zhang, 2017, "Estimating the Natural Rate of Interest in an Open Economy," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 316, Jun, DOI: 10.24149/gwp316.
• Nathan S. Balke & Enrique Martínez García & Zheng Zeng, 2017, "Understanding the Aggregate Effects of Credit Frictions and Uncertainty," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 317, Jun, DOI: 10.24149/gwp317r1.
• Galina Hale & Jose A. Lopez, 2018, "Monitoring Banking System Connectedness with Big Data," Working Paper Series, Federal Reserve Bank of San Francisco, number 2018-01, Apr, DOI: 10.24148/wp2018-01.
• Alessandro Barbarino & Efstathia Bura, 2017, "A Unified Framework for Dimension Reduction in Forecasting," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-004, Jan, DOI: 10.17016/FEDS.2017.004.
• Olesya V. Grishchenko & Sarah Mouabbi & Jean-Paul Renne, 2017, "Measuring Inflation Anchoring and Uncertainty : A US and Euro Area Comparison," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-102, Oct, DOI: 10.17016/FEDS.2017.102.
• Matteo Barigozzi & Matteo Luciani, 2017, "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-111, Nov, DOI: 10.17016/FEDS.2017.111.
• Manuel Gonzalez-Astudillo, 2017, "GDP Trend-cycle Decompositions Using State-level Data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-051, May, DOI: 10.17016/FEDS.2017.051.
• Kurt F. Lewis & Francisco Vazquez-Grande, 2017, "Measuring the Natural Rate of Interest : A Note on Transitory Shocks," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-059, Jun, DOI: 10.17016/FEDS.2017.059r1.
• Fédéric Holm-Hadulla & Kirstin Hubrich, 2017, "Macroeconomic Implications of Oil Price Fluctuations : A Regime-Switching Framework for the Euro Area," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-063, Jun, DOI: 10.17016/FEDS.2017.063.
• Dong Jin Lee & Minchul Shin & Boyuan Zhang & Molin Zhong, 2017, "Measuring International Uncertainty : The Case of Korea," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-066, Jun, DOI: 10.17016/FEDS.2017.066.
• Cristina Conflitti & Matteo Luciani, 2017, "Oil Price Pass-Through into Core Inflation," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2017-085, Aug, DOI: 10.17016/FEDS.2017.085.
• Cristina Conflitti & Matteo Luciani, 2017, "Oil Price Pass-Through into Core Inflation," FEDS Notes, Board of Governors of the Federal Reserve System (U.S.), number 2017-10-19-1, Oct, DOI: 10.17016/2380-7172.2066.
• Dominic Anene & Stefania D'Amico, 2017, "A Tale of Four Tails: Inflation, the Policy Rate, Longer-Term Rates, and Stock Prices," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2017-26, Dec.
• Laura E. Jackson & Michael T. Owyang & Sarah Zubairy, 2017, "Debt and Stabilization Policy: Evidence from a Euro Area FAVAR," Working Papers, Federal Reserve Bank of St. Louis, number 2017-22, Jul, DOI: 10.20955/wp.2017.022.
• Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017, "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers, Federal Reserve Bank of St. Louis, number 2017-026, Aug, DOI: 10.20955/wp.2017.026.
• Michael W. McCracken & Joseph McGillicuddy, 2017, "An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts," Working Papers, Federal Reserve Bank of St. Louis, number 2017-40, Nov, DOI: 10.20955/wp.2017.040.
• Luca Benati & Robert E. Lucas & Juan Pablo Nicolini & Warren E. Weber, 2017, "International Evidence on Long-Run Money Demand," Working Papers, Federal Reserve Bank of Minneapolis, number 737, Feb.
• Luca Benati & Robert E. Lucas & Juan Pablo Nicolini & Warren E. Weber, 2017, "Online Appendix for: International Evidence on Long-Run Money Demand," Working Papers, Federal Reserve Bank of Minneapolis, number 738, Feb.
• Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2017, "Safety, liquidity, and the natural rate of interest," Staff Reports, Federal Reserve Bank of New York, number 812, May.
• Brandyn Bok & Daniele Caratelli & Domenico Giannone & Argia M. Sbordone & Andrea Tambalotti, 2017, "Macroeconomic nowcasting and forecasting with big data," Staff Reports, Federal Reserve Bank of New York, number 830, Nov.
• Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2017, "Priors for the long run," Staff Reports, Federal Reserve Bank of New York, number 832, Nov.
• Pooyan Amir-Ahmadi & Thorsten Drautzburg, 2017, "Identification Through Heterogeneity," Working Papers, Federal Reserve Bank of Philadelphia, number 17-11, May.
• Régis Barnichon & Christian Matthes, 2017, "Understanding the Size of the Government Spending Multiplier: It's in the Sign," Working Paper, Federal Reserve Bank of Richmond, number 17-15, Dec.
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017, "Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2017_02, Apr.
• Giampiero M. Gallo & Edoardo Otranto, 2017, "Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2017_05, Aug.
• Francesca Dana Andreescu & Robert Ștefan Sbîrcea, 2017, "Variante de optimizare a portofoliilor de acţiuni diversificate internațional în condiții de restricții ale politicii investiționale," Journal of Financial Studies, Institute of Financial Studies, volume 2, issue 2, pages 40-55, June.
• Chia-Lin Chang & Michael McAleer, 2017, "A Simple Test for Causality in Volatility," Econometrics, MDPI, volume 5, issue 1, pages 1-5, March.
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017, "Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics, MDPI, volume 5, issue 2, pages 1-24, April.
• Massimo Franchi & Søren Johansen, 2017, "Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles," Econometrics, MDPI, volume 5, issue 2, pages 1-20, June.
• Andras Fulop & Jun Yu, 2017, "Bayesian Analysis of Bubbles in Asset Prices," Econometrics, MDPI, volume 5, issue 4, pages 1-23, October.
• Mehmet Balcilar & Riza Demirer & Rangan Gupta, 2017, "Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations," Sustainability, MDPI, volume 9, issue 10, pages 1-18, October.
• Tran Thanh Hoa, 2017, "Forecasting Inflation in Vietnam with Univariate and Vector Autoregressive Models," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 05-2017, Feb.
• Hasara Rathnasekara & Madhavie Herath & Shyama Ratnasiri & Ranjika Walisinghe, 2017, "Demand for seafood exports in Sri Lanka: Has Sri Lanka gained competitiveness after civil war," Discussion Papers in Economics, Griffith University, Department of Accounting, Finance and Economics, number economics:201703, Mar.
• Alice Albonico & Alessia Paccagnini & Patrizio Tirelli, 2017, "PIIGS in the Euro area: An empirical DSGE model," Discussion Papers in Economics, Griffith University, Department of Accounting, Finance and Economics, number economics:201710, Oct.
• Monica Billio & Anna Petronevich, 2017, "Dynamical Interaction between Financial and Business Cycles," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01692239, Oct, DOI: 10.2139/ssrn.3054438.
• Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017, "The contribution of jumps to forecasting the density of returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01442618, Jan.
• Amine Lahiani & Anthony Miloudi & Ramzi Benkraiem & Muhammad Shahbaz, 2017, "Another look on the relationships between oil prices and energy prices," Post-Print, HAL, number hal-01429682, Mar, DOI: 10.1016/j.enpol.2016.12.031.
• Amélie Charles & Olivier Darné & Fabien Tripier, 2017, "Uncertainty and the Macroeconomy," Post-Print, HAL, number hal-01549625, Jul, DOI: 10.1080/00036846.2017.1349294.
• Jean-Pierre Allegret & Cécile Couharde & Valérie Mignon & Tovonony Razafindrabe, 2017, "Oil currencies in the face of oil shocks: what can be learned from time-varying specifications?," Post-Print, HAL, number hal-01589267.
• Patrick Fève & Jean-Guillaume Sahuc, 2017, "In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area," Post-Print, HAL, number hal-01612699, DOI: 10.1002/jae.2517.
• Gilles de Truchis & Benjamin Keddad & Cyril Dell'Eva, 2017, "On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning," Post-Print, HAL, number hal-01635867, May, DOI: 10.1016/j.intfin.2016.12.006.
• Monica Billio & Anna Petronevich, 2017, "Dynamical Interaction between Financial and Business Cycles," Post-Print, HAL, number hal-01692239, Oct, DOI: 10.2139/ssrn.3054438.
• Hayette Gatfaoui, 2017, "Equity market information and credit risk signaling: A quantile cointegrating regression approach," Post-Print, HAL, number hal-01745285, Aug, DOI: 10.1016/j.econmod.2017.03.012.
• Osamah Al-Khazali & Elie Bouri & David Roubaud & Taisier Zoubi, 2017, "The impact of religious practice on stock returns and volatility," Post-Print, HAL, number hal-02008554, DOI: 10.1016/j.irfa.2017.04.009.
• Bilel Sanhaji, 2017, "Testing for nonlinearity in conditional covariances," Post-Print, HAL, number hal-02879361, DOI: 10.1515/jtse-2016-0010.
• Idriss Fontaine & Laurent Didier & Justinien Razafindravaosolonirina, 2017, "Foreign policy uncertainty shocks and US macroeconomic activity: Evidence from China," Post-Print, HAL, number hal-03571723, Jun, DOI: 10.1016/j.econlet.2017.03.034.
• Stephane Dees, 2017, "The role of confidence shocks in business cycles and their global dimension," Post-Print, HAL, number hal-03879746, Oct, DOI: 10.1016/j.inteco.2017.03.004.
• Bilel Sanhaji, 2017, "Testing for Nonlinearity in Conditional Covariances," Post-Print, HAL, number hal-04218462, Jan, DOI: 10.1515/jtse-2016-0010.
• Serge Darolles & Christian Francq & Sébastien Laurent, 2017, "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print, HAL, number hal-04590471, Aug.
• Serge Darolles & Christian Francq & Sébastien Laurent, 2017, "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print, HAL, number hal-04590522, Jun.
• Cyril Dell'Eva & Gilles de Truchis & Benjamin Keddad, 2017, "On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning," Post-Print, HAL, number hal-04847446.
• Christian Francq & M.D. Jiménez-Gamero & S.G. Meintanis, 2017, "Tests for conditional ellipticity in multivariate GARCH models," Post-Print, HAL, number hal-05417316, Feb, DOI: 10.1016/j.jeconom.2016.10.001.
• Christian Francq & Genaro Sucarrat, 2017, "An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns," Post-Print, HAL, number hal-05417319, Jan, DOI: 10.1016/j.jmva.2016.09.010.
• Blaise Gnimassoun & Marc Joëts & Tovonony Razafindrabe, 2017, "On the link between current account and oil price fluctuations in diversified economies : The case of Canada," Post-Print, HAL, number halshs-01615104, Dec, DOI: 10.1016/j.inteco.2017.07.001.
• Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2017, "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Post-Print, HAL, number halshs-01683788, Oct, DOI: 10.1016/j.eneco.2017.09.017.
• Andrew Phiri, 2017, "Threshold convergence between the federal fund rate and South African equity returns around the colocation period," Post-Print, HAL, number halshs-01861727, DOI: 10.15208/beh.2017.01.
• Khaled Guesmi & Sandrine Kablan & Aymen Belgacem, 2017, "The regional pricing of risk: An empirical investigation of the MENA equity determinants," Working Papers, HAL, number hal-01527654, May.
• Sandrine Kablan & Khaled Guesmi, 2017, "Financial integration and Japanese stock market," Working Papers, HAL, number hal-01527692, May.
• Christophe Boucher & Gilles de Truchis & Elena Ivona Dumitrescu & Sessi Tokpavi, 2017, "Testing for Extreme Volatility Transmission with Realized Volatility Measures," Working Papers, HAL, number hal-04141651.
• Nady Rapelanoro, 2017, "Hoarding international reserves and global liquidity expansion, what are the links and do they matter?," Working Papers, HAL, number hal-04141660.
• Maxime Leroux & Rachidi Kotchoni & Dalibor Stevanovic, 2017, "Forecasting economic activity in data-rich environment," Working Papers, HAL, number hal-04141668.
• Kenza Benhima & Céline Poilly, 2017, "Do Misperceptions about Demand Matter? Theory and Evidence," Working Papers, HAL, number halshs-01518467, May.
• Mohamed Ilyes Gritli & Serge Rey, 2017, "Quel impact de la libéralisation du compte capital sur le développement financier en Tunisie ? Les enseignements d'un modèle ARDL," Working papers of CATT, HAL, number hal-01880318, Sep.
• Leschinski, Christian & Sibbertsen, Philipp, 2017, "Origins of Spurious Long Memory," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-595, May.
• Kyritsis, Evangelos & Serletis, Apostolos, 2017, "The Zero Lower Bound and Market Spillovers: Evidence from the G7 and Norway," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2017/7, May.
• Kyritsis, Evangelos & Serletis, Apostolos, 2017, "Oil Prices and the Renewable Energy Sector," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2017/15, Nov.
• Nakajima, Jouchi & Watanabe, Toshiaki, 2017, "Econometric Analysis of Japanese Exports Using a Time-Varying Parameter Vector Autoregressive Model," Economic Review, Hitotsubashi University, volume 68, issue 3, pages 237-249, July, DOI: 10.15057/28702.
• Maja Bukovšak & Gorana Lukinić Čardić & Nina Ranilović, 2017, "Structure of Capital Flows and Exchange Rate: The Case of Croatia," Working Papers, The Croatian National Bank, Croatia, number 52, Jul.
• Karlo Kotarac & Davor Kunovac & Rafael Ravnik, 2017, "Coherence of Business Cycles and Economic Shocks between Croatia and Euro Area Member States," Working Papers, The Croatian National Bank, Croatia, number 53, Oct.
• Camelia Catalina Joldes, 2017, "The Impact of Globalization on the Capital Market in Romania," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, volume 5, issue 1, pages 3-8, March.
• Violeta DUTA, 2017, "Analysis and Modeling of NYSE Arca Oil & Gas Stock Index Returns," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, volume 5, issue 4, pages 48-62, December.
• Hutter, Christian & Weber, Enzo, 2017, "Labour market effects of wage inequality and skill-biased technical change in Germany," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 201705.
• Gehrke, Britta & Weber, Enzo, 2017, "Identifying asymmetric effects of labor market reforms," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 201723.
• Gehrke, Britta & Hochmuth, Brigitte, 2017, "Counteracting unemployment in crises : non-linear effects of short-time work policy," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 201727.
• Hutter, Christian & Weber, Enzo, 2017, "The effects of skill-biased technical change on productivity flattening and hours worked," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 201732, Nov.
• Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2017, "Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2017n01, Jan.
• Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2017, "Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2017n02, Jan.
• Giovanni Pellegrino, 2017, "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2017n06, Feb.
• Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2017, "Uncertainty and Monetary Policy in Good and Bad Times," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2017n09, Mar.
• Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2017, "Economic Policy Uncertainty Spillovers in Booms and Busts," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2017n13, May.
• Giovanni Pellegrino, 2017, "Uncertainty and the Real Effects of Monetary Policy Shocks in the Euro Area," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2017n15, Jun.
• R. Dixon & G.C. Lim, 2017, "Labor's Share, the Firm's Market Power and TFP," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2017n22, Sep.
• Efrem Castelnuovo & Trung Duc Tran, 2017, "Google It Up! A Google Trends-Based Uncertainty Index for the United States and Australia," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2017n27, Oct.
• Benedetta Frassi & Fabio Pammolli & Luca Regis, 2017, "The potential costs of Longevity Risk on Public Pensions. Evidence from Italian data," Working Papers, IMT School for Advanced Studies Lucca, number 01/2017, Jan, revised Jan 2017.
• Chirinos-Leañez, Ana María & Pagliacci, Carolina, 2017, "Credit Supply in Venezuela: A Non-Conventional Bank Lending Channel?," IDB Publications (Working Papers), Inter-American Development Bank, number 8256, Apr, DOI: http://dx.doi.org/10.18235/0011796.
• Panky Tri Febiyansah, 2017, "Indonesia's FDI Exports GDP Growth Nexus: Trade or Investment - Driven?," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 19, issue 4, pages 469-488, April, DOI: https://doi.org/10.21098/bemp.v19i4.
• Panky Tri Febiyansah, 2017, "Indonesia’s Fdi – Exports – Gdp Growth Nexus: Trade Or Investment - Driven?," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 19, issue 4, pages 469-488, April, DOI: https://doi.org/10.21098/bemp.v19i4.
• Sekar Utami Setiastuti, 2017, "Time-Varying Macroeconomic Impacts of Global Economic Policy Uncertainty to a Small Open Economy: Evidence from Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 20, issue 2, pages 129-148, October, DOI: https://doi.org/10.21098/bemp.v20i2.
• Víctor Quinde Rosales & Rina Bucaram-Leverone, 2017, "Relación de causalidad entre el índice de precios al productor y el índice de precios al consumidor: Caso Ecuador," Revista Actualidad Económica, Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas, volume 27, issue 93, pages 5-14, Sept-Dic.
• Cheolbeom Park & Erdenebat Bataa, 2017, "Is the Recent Low Oil Price Attributable to the Shale Revolution?," Discussion Paper Series, Institute of Economic Research, Korea University, number 1704.
• Claudia Foroni & Pierre Guérin & Massimiliano Marcellino, 2017, "Explaining the Time-varying Effects Of Oil Market Shocks On U.S. Stock Returns," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 597.
• Stypka, Oliver & Wagner, Martin & Grabarczyk, Peter & Kawka, Rafael, 2017, "The Asymptotic Validity of "Standard" Fully Modified OLS Estimation and Inference in Cointegrating Polynomial Regressions," Economics Series, Institute for Advanced Studies, number 333, Oct.
• Jef Boeckx & Maarten Dossche & Gert Peersman, 2017, "Effectiveness and Transmission of the ECB's Balance Sheet Policies," International Journal of Central Banking, International Journal of Central Banking, volume 13, issue 1, pages 297-333, February.
• Diego Winkelried, 2017, "Inferring Inflation Expectations from Fixed-Event Forecasts," International Journal of Central Banking, International Journal of Central Banking, volume 13, issue 2, pages 1-31, June.
• Iryna Sikora & Juan Antonio Campos Abad & Javier Bustos Salvagno, 2017, "Determinantes del Precio Spot Eléctrico en el Sistema Interconectado Central de Chile," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 32, issue 2, pages 3-38, October.
• Mr. Dominic Quint & Mr. Pau Rabanal, 2017, "Should Unconventional Monetary Policies Become Conventional?," IMF Working Papers, International Monetary Fund, number 2017/085, Mar.
• Davide Debortoli & Mr. Jinill Kim & Jesper Lindé & Mr. Ricardo C Nunes, 2017, "Designing a Simple Loss Function for Central Banks: Does a Dual Mandate Make Sense?," IMF Working Papers, International Monetary Fund, number 2017/164, Jul.
• Jan Behringer & Sabine Stephan & Thomas Theobald, 2017, "Macroeconomic factors behind financial instability," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 178-2017.
• Till Strohsal & Christian R. Proaño & Jürgen Wolters, 2017, "Assessing the Cross-Country Interaction of Financial Cycles: Evidence from a Multivariate Spectral Analysis of the US and the UK," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 182-2017.
• Belem Iliana Vásquez Galán & Cuauhtémoc Calderón Villarreal, 2017, "El tipo de cambio renminbi-dólar y su impacto sobre las exportaciones e Inversión Extranjera Directa en México," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 12, issue 1, pages 23-41, Enero-Mar.
• Taniya Ghosh & Soumya Bhadury, 2017, "Money's causal role in exchange rate: Do Divisia monetary aggregates explain more?," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2017-010, Jul.
• Yoosoon Chang & Boreum Kwak, 2017, "U.S. Monetary-Fiscal Regime Changes in the Presence of Endogenous Feedback in Policy Rules," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2017-016, Oct.