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

2016

• Fève, Patrick & Kass-Hanna, Tannous & Pietrunti, Mario, 2016, "An Analytical Characterization of Noisy Fiscal Policy," TSE Working Papers, Toulouse School of Economics (TSE), number 16-696, Sep.
• Beaudry, Paul & Fève, Patrick & Guay, Alain & Portier, Franck, 2016, "When is Nonfundamentalness in SVARs A Real Problem?," TSE Working Papers, Toulouse School of Economics (TSE), number 16-738, Nov.
• Blaise Gnimassoun & Marc Joets & Tovonony Razafindrabe, 2016, "On the link between current account and oil price fluctuation in diversified economies: The case of Canada," Economics Working Paper Archive (University of Rennes & University of Caen), Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS, number 2016-08, May.
• Özge SEZGIN ALP & Fazil GÖKGÖZ & Güray KÜÇÜKKOCAOGLU, 2016, "Estimating Turkish Stock Market Returns With Apt Model: Cointegration And Vector Error Correction," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, volume 14, issue 1, pages 7-19, May.
• Douyoung Lee, 2016, "A Reevaluation of Financial Variables' Predictive Content for the U.S. Economy," Working Papers, Texas A&M University, Department of Economics, number 20161029-001, Oct.
• Klaus Neusser, 2016, "A Topological View on the Identification of Structural Vector Autoregressions," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp1604, Mar.
• Tomás del Barrio Castro & Alain Hecq, 2016, "Testing for Deterministic Seasonality in Mixed-Frequency VARs," DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada, number 76.
• Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016, "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-01, Feb.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016, "How are VIX and Stock Index ETF Related?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-02, Feb.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016, "Modelling volatility spillovers for bio-ethanol, sugarcane and corn," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-03, Mar.
• Chia-Lin Chang & Michael McAleer & Chia-Ping Liu, 2016, "Volatility spillovers for spot, futures, and ETF prices in energy and agriculture," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-11, Jun.
• Manabu Asai & Michael McAleer, 2016, "Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-14, Sep.
• Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016, "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-15, Sep.
• David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2016, "Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-16, Oct.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2016, "Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-04, Dec.
• Stelios D. Bekiros & Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2016, "Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs," Open Access publications, School of Economics, University College Dublin, number 10197/7323, Oct.
• Alice Albonico & Alessia Paccagnini & Patrizio Tirelli, 2016, "Great Recession, Slow Recovery and Muted Fiscal Policies in the US," Working Papers, School of Economics, University College Dublin, number 201602, Mar.
• Stelios D. Bekiros & Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2016, "Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs," Working Papers, School of Economics, University College Dublin, number 201611, Aug.
• Alice Albonico & Alessia Paccagnini & Patrizio Tirelli, 2016, "In search of the Euro area fiscal stance," Working Papers, School of Economics, University College Dublin, number 201612, Aug.
• Gloria Gonzalez-Rivera & Wei Lin, 2016, "Extreme Returns and Intensity of Trading," Working Papers, University of California at Riverside, Department of Economics, number 201607, Apr.
• Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2016, "Time-Varying Persistence of Inflation: Evidence from a Wavelet-based Approach," Working papers, University of Connecticut, Department of Economics, number 2016-09, Sep.
• Ghassen El Montasser & Rangan Gupta & Charl Jooste & Stephen M. Miller, 2016, "The time-series linkages between US fiscal policy and asset prices," Working papers, University of Connecticut, Department of Economics, number 2016-15, Sep.
• Tsangyao Chang & Hsiao-Ping Chu & Frederick W. Deale & Rangan Gupta & Stephen M. Miller, 2016, "The Relationship between Population Growth and Standard-of-Living Growth Over 1870-2013: Evidence from a Bootstrapped Panel Granger Causality Test," Working papers, University of Connecticut, Department of Economics, number 2016-17, Sep.
• Blaise Gnimassoun & Marc Joëts & Tovonony Razafindrabe, 2016, "On the link between current account and oil price fluctuation in diversified economies: The case of Canada," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2016-41.
• Magali Jaoul-Grammare & Faustine Perrin, 2016, "Economic and Demographic Interactions in Post- World War France: A Gendered Approach," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2016-42.
• Gabriela Mordecki & Ana Leiva & Nathalie Desplas, 2016, "Tourism demand for Mexico and Uruguay," Documentos de Trabajo (working papers), Instituto de Economía - IECON, number 16-09, Nov.
• Hecq, A.W. & Jacobs, J.P.A.M. & Stamatogiannis, M., 2016, "Testing for news and noise in non-stationary time series subject to multiple historical revisions," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 004, Jan, DOI: 10.26481/umagsb.2016004.
• Baştürk, N. & Grassi, S. & Hoogerheide, L. & van Dijk, H.K., 2016, "Parallelization experience with four canonical econometric models using ParMitISEM," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 013, Jan, DOI: 10.26481/umagsb.2016013.
• Majid M. Al-Sadoon, 2016, "The linear systems approach to linear rational expectations models," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1511, Jan.
• Régis Barnichon & Christian Matthes, 2016, "Understanding the size of the government spending multiplier: It's in the sign," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1555, May.
• Lovcha, Yuliya & Pérez Laborda, Àlex, 2016, "Structural shocks and dinamic elasticities in a long memory model of the US gasoline retail market," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/261538.
• Lovcha, Yuliya & Pérez Laborda, Alejandro, 2016, "Frequency-Domain Estimation as an Alternative to Pre-Filtering External Cycles in Structural VAR Analysis," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/290743.
• Kai Li & Jun Liu, 2016, "Reversing Momentum: The Optimal Dynamic Momentum Strategy," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 370, Mar.
• Kazuki Tomioka & Rod Tyers, 2016, "Has Foreign Growth Contributed to Stagnation and Inequality in Japan?," Economics Discussion / Working Papers, The University of Western Australia, Department of Economics, number 16-14.
• Silvia Delrio, 2016, "Estimating the effects of global uncertainty in open economies," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2016:19.
• Monica Billio & Roberto Casarin & Luca Rossini, 2016, "Bayesian nonparametric sparse seemingly unrelated regression model (SUR)," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2016:20.
• Marcella Lucchetta & Michele Costola & Lorenzo Frattarolo & Antonio Paradiso, 2016, "Do we need a stochastic trend in cay estimation? Yes," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2016:24.
• ERER, Deniz & ERER, Elif & GÜLEÇ, Tuna Can, 2016, "Fractional Cointegration Analysis Of Stock Market And Exchange Rates: The Case Of Turkey," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 20, issue 3, pages 80-94.
• Abdurrahman Nazif Çatık & Mehmet Karaçuka & Barış Gök, 2016, "A Time-Varying Parameter VAR Investigation of the Exchange Rate Pass-Through in Turkey," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 63, issue 5, pages 563-579.
• Özcan Ceyhun Can & Uçak Harun, 2016, "Outbound Tourism Demand of Turkey: A Markov Switching Vector Autoregressive Approach," Czech Journal of Tourism, Sciendo, volume 5, issue 2, pages 59-72, December, DOI: 10.1515/cjot-2016-0004.
• Hachuła Piotr & Schmeidel Ewa, 2016, "The Model of Demand and Inventory in a Decline Phase of the Product Life Cycle," Folia Oeconomica Stetinensia, Sciendo, volume 16, issue 1, pages 208-221, December, DOI: 10.1515/foli-2016-0013.
• Wiśniewski Jerzy Witold, 2016, "Empirical Econometric Model of an Enterprise," Folia Oeconomica Stetinensia, Sciendo, volume 16, issue 1, pages 232-247, December, DOI: 10.1515/foli-2016-0015.
• Janiga-Ćmiel Anna, 2016, "An Analysis of Conditional Dependencies of Covariance Matrices for Economic Processes in Selected EU Countries," Folia Oeconomica Stetinensia, Sciendo, volume 16, issue 2, pages 119-134, December, DOI: 10.1515/foli-2016-0029.
• Mano-Bakalinov Viktorija, 2016, "Trade Liberalisation and Economic Growth in Macedonia," South East European Journal of Economics and Business, Sciendo, volume 11, issue 2, pages 48-60, December, DOI: 10.1515/jeb-2016-0010.
• Kjosevski Jordan & Petkovski Mihail & Naumovska Elena, 2016, "The Stability of Long-Run Money Demand in Western Balkan Countries: An Empirical Panel Investigation," South East European Journal of Economics and Business, Sciendo, volume 11, issue 2, pages 61-70, December, DOI: 10.1515/jeb-2016-0011.
• Ojewumi, J. S. & Posu, S. M. A., 2016, "The Causal Relationship Among Foreign Direct Investment, Pollution, And Economic Growth In Sub Saharan Africa Countries: A Panel Data Approach," West African Journal of Monetary and Economic Integration, West African Monetary Institute, volume 16, issue 2, pages 23-44, December.
• Friederike Greb & Nelissa Jamora & Carolin Mengel & Stephan Von Cramon-Taubadel & Nadine Wurriehausen, 2016, "Price Transmission from International to Domestic Markets," World Bank Publications - Reports, The World Bank Group, number 24054, Jan.
• Supachok Thakolsri & Yuthana Sethapramote & Komain Jiranyakul, 2016, "Relationship of the Change in Implied Volatility with the Underlying Equity Index Return in Thailand," Economic Research Guardian, Mutascu Publishing, volume 6, issue 2, pages 74-86, December.
• Florian Huber & Maria Teresa Punzi, 2016, "International Housing Markets, Unconventional Monetary Policy and the Zero Lower Bound," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp216, Jan.
• Martin Feldkircher & Florian Huber, 2016, "Unconventional US Monetary Policy: New Tools, Same Channels?," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp222, Mar.
• Florian Huber & Gregor Kastner & Martin Feldkircher, 2016, "Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp235, Sep.
• Huber, Florian & Punzi, Maria Teresa, 2016, "International Housing Markets, Unconventional Monetary Policy and the Zero Lower Bound," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 216, Jan.
• Huber, Florian & Feldkircher, Martin, 2016, "Unconventional US Monetary Policy: New Tools, Same Channels?," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 222, Mar.
• Huber, Florian & Kastner, Gregor & Feldkircher, Martin, 2016, "Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 235, Sep.
• Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2016, "Canadian monetary policy analysis using a structural VARMA model," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 49, issue 1, pages 347-373, February, DOI: 10.1111/caje.12200.
• Konstantinos Theodoridis & Francesco Zanetti, 2016, "News shocks and labour market dynamics in matching models," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 49, issue 3, pages 906-930, August, DOI: 10.1111/caje.12218.
• Hilde C. Bjørnland & Leif A. Thorsrud, 2016, "Boom or Gloom? Examining the Dutch Disease in Two‐speed Economies," Economic Journal, Royal Economic Society, volume 126, issue 598, pages 2219-2256, December.
• Matteo Barigozzi & Marc Hallin, 2016, "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," Econometrics Journal, Royal Economic Society, volume 19, issue 1, pages 33-60, February.
• Guglielmo Maria Caporale & Luis A. Gil‐Alana & James C. Orlando, 2016, "Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 21, issue 2, pages 143-153, April.
• Yasuo Hirose & Atsushi Inoue, 2016, "The Zero Lower Bound and Parameter Bias in an Estimated DSGE Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 4, pages 630-651, June.
• Eric Eisenstat & Rodney W. Strachan, 2016, "Modelling Inflation Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 5, pages 805-820, August.
• Tim Bollerslev & Andrew J. Patton & Wenjing Wang, 2016, "Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 6, pages 1005-1025, September.
• George Athanasopoulos & Donald S. Poskitt & Farshid Vahid & Wenying Yao, 2016, "Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 6, pages 1100-1119, September.
• Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2016, "Exponent of Cross‐Sectional Dependence: Estimation and Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 6, pages 929-960, September.
• Esteban Prieto & Sandra Eickmeier & Massimiliano Marcellino, 2016, "Time Variation in Macro‐Financial Linkages," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 7, pages 1215-1233, November.
• Jacopo Cimadomo & Antonello D'Agostino, 2016, "Combining Time Variation and Mixed Frequencies: an Analysis of Government Spending Multipliers in Italy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 7, pages 1276-1290, November.
• Markku Lanne & Jani Luoto, 2016, "Noncausal Bayesian Vector Autoregression," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 7, pages 1392-1406, November.
• Michal Franta, 2016, "The Effect of Nonlinearity between Credit Conditions and Economic Activity on Density Forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., volume 35, issue 2, pages 147-166, March.
• Kavita Sirichand & Stephen G. Hall, 2016, "Decision‐Based Forecast Evaluation of UK Interest Rate Predictability," Journal of Forecasting, John Wiley & Sons, Ltd., volume 35, issue 2, pages 93-112, March.
• Stelios D. Bekiros & Alessia Paccagnini, 2016, "Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models," Journal of Forecasting, John Wiley & Sons, Ltd., volume 35, issue 7, pages 613-632, November.
• Martin T. Bohl & Jeanne Diesteldorf & Christian A. Salm & Bernd Wilfling, 2016, "Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 36, issue 1, pages 30-45, January.
• James Morley & Aarti Singh, 2016, "Inventory Shocks and the Great Moderation," Journal of Money, Credit and Banking, Blackwell Publishing, volume 48, issue 4, pages 699-728, June, DOI: 10.1111/jmcb.12315.
• Pongrapeeporn Abhakorn & Peter N. Smith & Michael R. Wickens, 2016, "Can stochastic discount factor models explain the cross‐section of equity returns?," Review of Financial Economics, John Wiley & Sons, volume 28, issue 1, pages 56-68, January, DOI: 10.1016/j.rfe.2016.01.001.
• Nikolaos Antonakakis & Christophe André & Rangan Gupta, 2016, "Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty, and the Macroeconomy," Southern Economic Journal, John Wiley & Sons, volume 83, issue 2, pages 609-624, October, DOI: 10.1002/soej.12149.
• Brendan Vannier, 2016, "What if all countries were actually in the same boat? A comparison of countries’ vulnerability based on Markov Switching Models," FIW Working Paper series, FIW, number 163, Feb.
• Rajmund Mirdala, 2016, "Exchange Rate Pass-Through in the Euro Area," FIW Working Paper series, FIW, number 171, Apr.
• Rajmund Mirdala, 2016, "Real Exchange Rates, Current Accounts and Competitiveness Issues in the Euro Area," FIW Working Paper series, FIW, number 173, Dec.
• Jakub Nowotarski & Rafal Weron, 2016, "To combine or not to combine? Recent trends in electricity price forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/16/01, Jan.
• Jakub Nowotarski & Rafal Weron, 2016, "Recent advances in electricity price forecasting: A review of probabilistic forecasting," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/16/07, Sep.
• Donal Smith, 2016, "The International Impact of Financial Shocks: A Global VAR and Connectedness Measures Approach," Discussion Papers, Department of Economics, University of York, number 16/07, May.
• Michael Thornton & Marcus Chambers, 2016, "Continuous Time ARMA Processes: Discrete Time Representation and Likelihood Evaluation," Discussion Papers, Department of Economics, University of York, number 16/10, Sep.
• Vladimir Arčabić & James Peery Cover, 2016, "Uncertainty and the effectiveness of fiscal policy," EFZG Working Papers Series, Faculty of Economics and Business, University of Zagreb, number 1611, Dec.
• Chen, Hongyi & Funke, Michael & Tsang, Andrew, 2016, "The diffusion and dynamics of producer prices, deflationary pressure across Asian countries, and the role of China," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 11/2016.
• Lemke, Wolfgang & Vladu, Andreea L., 2016, "Below the zero lower bound: A shadow-rate term structure model for the euro area," Discussion Papers, Deutsche Bundesbank, number 32/2016.
• Eickmeier, Sandra & Metiu, Norbert & Prieto, Esteban, 2016, "Time-varying volatility, financial intermediation and monetary policy," Discussion Papers, Deutsche Bundesbank, number 46/2016.
• Uhrin, Gábor B. & Herwartz, Helmut, 2016, "Monetary policy shocks, set-identifying restrictions, and asset prices: A benchmarking approach for analyzing set-identified models," University of Göttingen Working Papers in Economics, University of Goettingen, Department of Economics, number 295.
• Szomolányi, Karol & Lukáčik, Martin & Lukáčiková, Adriana, 2016, "Impact of Terms-of-Trade on Business Cycles of Slovakia, Czech Republic and Croatia," Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference (2016), Rovinj, Croatia, IRENET - Society for Advancing Innovation and Research in Economy, Zagreb, "Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference, Rovinj, Croatia, 8-9 September 2016".
• Lütkepohl, Helmut & Velinov, Anton, 2016, "Structural Vector Autoregressions : Checking Identifying Long-Run Restrictions via Heteroskedasticity," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 30, pages 377-392.
• Chen, Zhenxi & Reitz, Stefan, 2016, "Dynamics of the European sovereign bonds and the identification of crisis periods," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 57.
• Huber, Florian & Punzi, Maria Teresa, 2016, "International housing markets, unconventional monetary policy and the zero lower bound," FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents, number 58.
• Balcilar, Mehmet & Gupta, Rangan & Segnon, Mawuli, 2016, "The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach," Economics Discussion Papers, Kiel Institute for the World Economy, number 2016-14.
• Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016, "Automatic identification of general vector error correction models," Economics Discussion Papers, Kiel Institute for the World Economy, number 2016-33.
• Gadea Rivas, María Dolores & Sanz-Villarroya, Isabel, 2016, "Testing the convergence hypothesis for OECD countries: A reappraisal," Economics Discussion Papers, Kiel Institute for the World Economy, number 2016-45.
• Haile, Fiseha, 2016, "Global shocks and their impact on the Tanzanian Economy," Economics Discussion Papers, Kiel Institute for the World Economy, number 2016-47.
• Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016, "Automatic identification of general vector error correction models," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 10, pages 1-41, DOI: 10.5018/economics-ejournal.ja.2016-.
• Balcilar, Mehmet & Gupta, Rangan & Segnon, Mawuli, 2016, "The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 10, pages 1-20, DOI: 10.5018/economics-ejournal.ja.2016-.
• El-Shagi, Makram & Zhang, Lin, 2016, "Macroeconomic trade effects of vehicle currencies: Evidence from 19th century China," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 23/2016.
• Eickmeier, Sandra & Metiu, Norbert & Prieto, Esteban, 2016, "Time-varying Volatility, Financial Intermediation and Monetary Policy," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 19/2016.
• Bendel, Daniel & Voigtländer, Michael, 2016, "Eine Risikoprüfung für die deutsche Wohnimmobilienfinanzierung," IW-Trends – Vierteljahresschrift zur empirischen Wirtschaftsforschung, Institut der deutschen Wirtschaft (IW) / German Economic Institute, volume 43, issue 4, pages 41-58, DOI: 10.2373/1864-810X.16-04-04.
• Belke, Ansgar & Gros, Daniel & Osowski, Thomas, 2016, "Did quantitative easing affect interest rates outside the US? New evidence based on interest tate differentials," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 600, DOI: 10.4419/86788696.
• Hanck, Christoph & Prüser, Jan, 2016, "House prices and interest rates: Bayesian evidence from Germany," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 620, DOI: 10.4419/86788722.
• Belke, Ansgar & Klose, Jens, 2016, "Equilibrium real interest rates and secular stagnation: An empirical analysis for euro area member countries," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 621, DOI: 10.4419/86788723.
• Belke, Ansgar & Dreger, Christian & Dubova, Irina, 2016, "On the exposure of the BRIC countries to global economic shocks," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 622, DOI: 10.4419/86788724.
• Gerster, Andreas, 2016, "Negative price spikes at power markets: The role of energy policy," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 636, DOI: 10.4419/86788740.
• Netésunajev, Aleksei & Glass, Katharina, 2016, "Uncertainty and employment dynamics in the euro area and the US," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-002.
• Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2016, "Calculating joint confidence bands for impulse response functions using highest density regions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-017.
• Fang, Lei & Härdle, Wolfgang Karl & Park, Juhyun, 2016, "A mortality model for multi-populations: A semi-parametric approach," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-023.
• Chen, Ying & Chua, Wee Song & Härdle, Wolfgang Karl, 2016, "Forecasting limit order book liquidity supply-demand curves with functional AutoRegressive dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-025.
• Xu, Xiu & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2016, "Dynamic credit default swaps curves in a network topology," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2016-059.
• Conrad, Christian & Loch, Karin, 2016, "Macroeconomic expectations and the time-varying stock-bond correlation: international evidence," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145530.
• Winker, Peter & Lütkepohl, Helmut & Staszewska-Bystrova, Anna, 2016, "Calculating Joint Bands for Impulse Response Functions using Highest Density Regions," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145537.
• Dovern, Jonas & Manner, Hans, 2016, "Robust Evaluation of Multivariate Density Forecasts," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145547.
• Velinov, Anton, 2016, "On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145581.
• Breitenlechner, Maximilian & Scharler, Johann, 2016, "The Bank Lending Channel and the Market for Banks' Wholesale Funding," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145679.
• Gehrke, Britta & Yao, Fang, 2016, "Persistence and Volatility of Real Exchange Rates: The Role of Supply Shocks Revisited," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145752.
• Heinisch, Katja, 2016, "A real-time analysis on the importance of hard and soft data for nowcasting German GDP," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145864.
• Weber, Enzo & Weigand, Roland, 2016, "Identifying macroeconomic effects of refugee migration to Germany," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145941.
• Gründler, Klaus & Sauerhammer, Sarah, 2016, "Do expectations matter? Reassessing the effect of government spending on key macroeconomic variables in Germany," Discussion Paper Series, Julius Maximilian University of Würzburg, Chair of Economic Order and Social Policy, number 134.
• Thorsten Drautzburg, 2016, "A narrative approach to a fiscal DSGE model," Working Papers, Federal Reserve Bank of Philadelphia, number 16-11, Mar.
• S. Boragan Aruoba, 2016, "Term structures of inflation expectations and real interest rates," Working Papers, Federal Reserve Bank of Philadelphia, number 16-9, Mar.
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016, "Copula--based Specification of vector MEMs," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2016_04, Apr.
• Jean-Maurice Frère, 2016, "Working Paper 12-16 - La population à risque de pauvreté ou d’exclusion sociale en Belgique - Projection jusqu’en 2030
  [Working Paper 12-16 - De bevolking met een risico op armoede of sociale uitsluiting in België - Projectie tot 2030]," Working Papers, Federal Planning Bureau, Belgium, number 201612, Nov.
• Giulio Cifarelli & Giovanna Paladino, 2016, "The impact of unconventional monetary policy on the sovereign bank nexus within and across EU countries. A time-varying conditional correlation analysis," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2016_10.rdf.
• Nalan Baştürk & Stefano Grassi & Lennart Hoogerheide & Herman K. Van Dijk, 2016, "Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM," Econometrics, MDPI, volume 4, issue 1, pages 1-20, March.
• David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. Van Dijk, 2016, "Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Econometrics, MDPI, volume 4, issue 1, pages 1-19, March.
• María Dolores Gadea & Ana Gómez-Loscos & Antonio Montañés, 2016, "Oil Price and Economic Growth: A Long Story?," Econometrics, MDPI, volume 4, issue 4, pages 1-28, October.
• Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016, "Bayesian Compressed Vector Autoregressions," Working Papers, Business School - Economics, University of Glasgow, number 2016_09, Mar.
• Elias Soukiazis & Micaela Antunes & Ioannis Kostakis, 2016, "The Greek economy under the twin-deficit pressure: a demand orientated growth approach," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2016-08, May.
• Fuat C. Beylunioglu & Thanasis Stengos & Ege Yazgan, 2016, "Detecting Convergence Clubs," Working Papers, University of Guelph, Department of Economics and Finance, number 1604.
• Thanasis Stengos & Ege Yazgan & Harun Ozkan, 2016, "Persistence in Convergence: Some further results," Working Papers, University of Guelph, Department of Economics and Finance, number 1605.
• Anthony Miloudi & Mondher Bouattour & Ramzi Benkraiem, 2016, "Relationships between Trading Volume, Stock Returns and Volatility: Evidence from the French Stock Market," Post-Print, HAL, number hal-01363700, Sep.
• Salem Boubakri & Cécile Couharde & Hélène Raymond, 2016, "Effects of financial turmoil on financial integration and risk premia in emerging markets," Post-Print, HAL, number hal-01386052.
• Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2016, "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Post-Print, HAL, number hal-01386096.
• Mark Cummins & Michael Dowling & Fearghal Kearney, 2016, "Oil market modelling: A comparative analysis of fundamental and latent factor approaches," Post-Print, HAL, number hal-01387596, Jul, DOI: 10.1016/j.irfa.2016.05.010.
• Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2016, "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Post-Print, HAL, number hal-01411696.
• Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2016, "Gauging Liquidity Risk in Emerging Market Bond Index Funds," Post-Print, HAL, number hal-01500712, DOI: 10.15609/annaeconstat2009.123-124.0.
• Renaud Beaupain & Alain Durré, 2016, "Excess liquidity and the money market in the euro area," Post-Print, HAL, number hal-01562984, Mar, DOI: 10.1016/j.jmacro.2015.09.001.
• Hayette Gatfaoui, 2016, "Linking the gas and oil markets with the stock market: Investigating the U.S. relationship," Post-Print, HAL, number hal-01562989, Jan, DOI: 10.1016/j.eneco.2015.05.021.
• Tovonony Razafindrabe & Valérie Mignon & Marc Joëts, 2016, "Does the volatility of commodity prices reflects macroeconomic uncertainty?," Post-Print, HAL, number hal-01667080.
• Valérie Mignon & Tovonony Razafindrabe & Marc Joëts, 2016, "Does the volatility of commodity prices reflects macroeconomic uncertainty?," Post-Print, HAL, number hal-01667085.
• Amine Lahiani & Shawkat Hammoudeh & Rangan Gupta, 2016, "Linkages between financial sector CDS spreads and macroeconomic influence in a nonlinear setting," Post-Print, HAL, number hal-03531142, May, DOI: 10.1016/j.iref.2016.01.007.
• Serge Darolles & Christian Francq & Sébastien Laurent, 2016, "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print, HAL, number hal-04590533, Dec.
• Sofiane Aboura & Julien Chevallier, 2016, "Spikes and crashes in the oil market," Post-Print, HAL, number halshs-01348711, Jan, DOI: 10.1016/j.ribaf.2015.07.002.
• Sophie Saglio & Antonia López-Villavicencio, 2017, "The Wage Inflation Unemployment Curve at the Macroeconomic Level," Post-Print, HAL, number halshs-01417937, DOI: 10.1111/obes.12139.
• Vincent Brémond & Emmanuel Hache & Tovonony Razafindrabe, 2016, "The Oil Price and Exchange Rate Relationship Revisited: A time-varying VAR parameter approach," Post-Print, HAL, number halshs-01683809, Jul.
• Palakiyèm Kpemoua, 2016, "Analyse de l'impact des infrastructures de transport sur la croissance économique du Togo," Working Papers, HAL, number hal-01389698, Oct.
• Tommaso Ferraresi & Andrea Roventini & Willi Semmler, 2016, "Macroeconomic Regimes, Technological Shocks and Employment Dynamics," Working Papers, HAL, number hal-03469938, Jun.
• Ulrich Fritsche & Christian Pierdzioch, 2016, "Animal Spirits, the Stock Market, and the Unemployment Rate: Some Evidence for German Data," Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics, number 201601, Jan.
• Green, Rikard & Larsson, Karl & Lunina, Veronika & Nilsson, Birger, 2016, "Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets," Working Papers, Lund University, Department of Economics, number 2016:2, Jan, revised 11 Oct 2017.
• Lunina, Veronika, 2016, "Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis," Working Papers, Lund University, Department of Economics, number 2016:30, Nov.
• Stockhammar, Pär & Österholm, Pär, 2016, "Do Inflation Expectations Granger Cause Inflation?," Working Papers, National Institute of Economic Research, number 145, Oct.
• Hjelm, Göran & Stockhammar, Pär, 2016, "Short Run Effects of Fiscal Policy on GDP and Employment: Swedish Evidence," Working Papers, National Institute of Economic Research, number 147, Nov.
• Stockhammar, Pär & Österholm, Pär, 2016, "Do Inflation Expectations Granger Cause Inflation?," Working Papers, Örebro University, School of Business, number 2016:4, Oct.
• Stockhammar, Pär & Österholm, Pär, 2016, "The Impact of US Uncertainty Shocks on Small Open Economies," Working Papers, Örebro University, School of Business, number 2016:5, Oct.
• Sergey Ivashchenko, 2016, "Estimation and filtering of nonlinear MS-DSGE models," HSE Working papers, National Research University Higher School of Economics, number WP BRP 136/EC/2016.
• GUERRON-QUINTANA, Pablo & INOUE, Atsushi & KILIAN, Lutz, 2016, "Impulse Response Matching Estimators for DSGE Models," Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University, number HIAS-E-27, May.
• Arai, Yoichi, 2016, "Testing For Linearity In Regressions With I(1) Processes," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 57, issue 1, pages 111-138, June, DOI: 10.15057/27943.
• James J. Heckman & John Eric Humphries & Gregory Veramendi, 2016, "Returns to Education: The Causal Effects of Education on Earnings, Health and Smoking," Working Papers, Human Capital and Economic Opportunity Working Group, number 2016-014, Jun.
• Tom Pak Wing FongAuthor-Workplace-Name: Research Department, Hong Kong Monetary Authority & Ka Fai LiAuthor-Workplace-Name: Research Department, Hong Kong Monetary Authority & Angela Kin Wan Sze, 2016, "Measuring Spillovers between the US and Emerging Markets," Working Papers, Hong Kong Institute for Monetary Research, number 082016, Aug.
• Hongyi Chen & Michael Funke & Andrew Tsang, 2016, "The Diffusion and Dynamics of Producer Prices, Deflationary Pressure across Asian Countries, and the Role of China," Working Papers, Hong Kong Institute for Monetary Research, number 152016, Aug.
• Karen Davtyan, 2016, "Interrelation among Economic Growth, Income Inequality, and Fiscal Performance: Evidence from Anglo-Saxon Countries," Hacienda Pública Española / Review of Public Economics, IEF, volume 217, issue 2, pages 37-66, June.
• Weber, Enzo & Weigand, Roland, 2016, "Identifying macroeconomic effects of refugee migration to Germany," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 201620.
• Emanuele Bacchiocchi & Efrem Castelnuovo & Luca Fanelli, 2016, "Gimme a Break! Identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2016n31, Oct.
• Anwar Al-Gasaymeh & John Kasem, 2016, "Long-Run Purchasing Power Parity And Exchange Rates: Evidence From The Middle East," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 10, issue 2, pages 41-53.
• George Maxwell Amoah & Kofi Amoateng, 2016, "Innovation Accounting Of Tax-Revenue Drivers: Cointegration Evidence From Ghana," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 10, issue 3, pages 83-95.
• Natasia Engeline S & Salomo Posmauli Matondang, 2016, "Early Warning System and Currency Volatility Management in Emerging Market," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 19, issue 2, pages 129-152, October, DOI: https://doi.org/10.21098/bemp.v19i2.
• Edward N. Gamber & Jeffrey P. Liebner & Julie K. Smith, 2016, "Inflation persistence: revisited," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, volume 9, issue 1, pages 25-44.
• Davide Debortoli & Jinill Kim & Jesper Linde & Ricardo Nunes, 2016, "Designing a Simple Loss Function for the Fed: Does the Dual Mandate Make Sense?," Discussion Paper Series, Institute of Economic Research, Korea University, number 1601.
• Rilind Kabashi & Katerina Suleva, 2016, "Loan Supply Shocks in Macedonia: A Bayesian SVAR Approach with Sign Restrictions," Croatian Economic Survey, The Institute of Economics, Zagreb, volume 18, issue 1, pages 5-33, June.
• Xiaohong Chen & Oliver Linton & Stefan Schneeberger & Yanping Yi, 2016, "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP12/16, Mar.
• Shubhasis Dey, 2016, "Gold in Monetary Transmission - Some Evidence of Nonlinearities," Working papers, Indian Institute of Management Kozhikode, number 202, Jun.
• Kristina Bluwstein & Fabio Canova, 2016, "Beggar-Thy-Neighbor? The International Effects of ECB Unconventional Monetary Policy Measures," International Journal of Central Banking, International Journal of Central Banking, volume 12, issue 3, pages 69-120, September.
• Zeeshan Arshad & Jazba Akbar & Amina Shareef & Yasmeen Samia, 2016, "Energy Use, Gross Domestic Production, and CO2 Emissions in Pakistan," Bulletin of Energy Economics (BEE), The Economics and Social Development Organization (TESDO), volume 4, issue 1, pages 93-97, March.
• Muhammad Shahbaz & Ilhan Ozturk & Amjad Ali, 2016, "Does Financial Development Lower Environmental Quality in Saudi Arabia? Fresh Evidence from Linear and Non-linear Specifications," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), volume 4, issue 7, pages 376-392, July.
• Fernando Sánchez López & Joséó Nabor Cruz Marcelo, 2016, "Determinantes Económicos de los Flujos de Viajeros a México," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 31, issue 2, pages 3-36, October.
• Naoshi Tsuchida & Toshiaki Watanabe & Toshinao Yoshiba, 2016, "The Intraday Market Liquidity of Japanese Government Bond Futures," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 16-E-07, Jul.
• Mr. Paul Cashin & Mr. Kamiar Mohaddes & Mr. Mehdi Raissi, 2016, "China's Slowdown and Global Financial Market Volatility: Is World Growth Losing Out?," IMF Working Papers, International Monetary Fund, number 2016/063, Mar.
• Mr. Kamiar Mohaddes & M. Hashem Pesaran, 2016, "Oil Prices and the Global Economy: Is It Different This Time Around?," IMF Working Papers, International Monetary Fund, number 2016/210, Nov.
• Jörg Breitung & Sven Schreiber, 2016, "Assessing Causality and Delay within a Frequency Band," IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, number 165-2016.