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

• W. Robert Reed, 2016, "Univariate Unit Root Tests Perform Poorly When Data Are Cointegrated," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 16/01, Jan.
• W. Robert Reed & Aaron Smith, 2016, "A Time Series Paradox: Unit Root Tests Perform Poorly When Data Are Cointegrated," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 16/19, Sep.
• Pami Dua & Divya Tuteja, 2016, "Contagion in International Stock and Currency Markets During Recent Crisis Episodes," Working papers, Centre for Development Economics, Delhi School of Economics, number 258, Jul.
• Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2016, "Testing part of a DSGE model by Indirect Inference," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2016/12, Dec.
• Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2016, "What is the truth about DSGE models? Testing by indirect inference," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2016/14, Dec.
• Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2016, "Comparing different data descriptors in Indirect Inference tests on DSGE models," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2016/5, May.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2016, "Testing unemployment theories: A multivariate long memory approach," Journal of Applied Economics, Universidad del CEMA, volume 19, pages 95-112, May.
• Guglielmo Maria Caporale & Mohamad Husam Helmi, 2016, "Islamic Banking, Credit and Economic Growth: Some Empirical Evidence," CESifo Working Paper Series, CESifo, number 5716.
• Mai Hassan & Friedrich Schneider, 2016, "Modelling the Egyptian Shadow Economy: A Currency Demand and A MIMIC Model Approach," CESifo Working Paper Series, CESifo, number 5727.
• Pablo Guerron-Quintana & Atsushi Inoue & Lutz Kilian, 2016, "Impulse Response Matching Estimators for DSGE Models," CESifo Working Paper Series, CESifo, number 5730.
• Atsushi Inoue & Lutz Kilian, 2016, "Joint Confidence Sets for Structural Impulse Responses," CESifo Working Paper Series, CESifo, number 5746.
• Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2016, "Macro News and Exchange Rates in the BRICS," CESifo Working Paper Series, CESifo, number 5748.
• Guglielmo Maria Caporale & Abdurrahman Nazif Catik & Mohamad Husam Helmi & Faek Menla Ali & Mohammad Tajik, 2016, "The Bank Lending Channel in a Dual Banking System: Evidence from Malaysia," CESifo Working Paper Series, CESifo, number 5807.
• Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2016, "Exchange Rates and Macro News in Emerging Markets," CESifo Working Paper Series, CESifo, number 5816.
• Peter A. Zadrozny, 2016, "Extended Yule-Walker Identification of Varma Models with Single- or Mixed-Frequency Data," CESifo Working Paper Series, CESifo, number 5884.
• Peter A. Zadrozny, 2016, "Real-Time State Space Method for Computing Smoothed Estimates of Future Revisions of U.S. Monthly Chained CPI," CESifo Working Paper Series, CESifo, number 5897.
• Vassilios Babalos & Guglielmo Maria Caporale & Nicola Spagnolo, 2016, "Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-in-mean Analysis," CESifo Working Paper Series, CESifo, number 5932.
• Kamiar Mohaddes & M. Hashem Pesaran, 2016, "Oil Prices and the Global Economy: Is it Different this Time Around?," CESifo Working Paper Series, CESifo, number 5992.
• Ching-Wai Chiu & Haroon Mumtaz & Gabor Pinter, 2016, "VAR Models with Non-Gaussian Shocks," Discussion Papers, Centre for Macroeconomics (CFM), number 1609, Feb.
• Gabor Pinter, 2016, "The Macroeconomic Shock with the Highest Price of Risk," Discussion Papers, Centre for Macroeconomics (CFM), number 1623, Aug, revised Apr 2017.
• Carlos Medel & Gilmour Camilleri & Hsiang-Ling Hsu & Stefan Kania & Miltiadis Touloumtzoglou, 2016, "Robustness in Foreign Exchange Rate Forecasting Models: Economics-Based Modelling After the Financial Crisis," Working Papers Central Bank of Chile, Central Bank of Chile, number 784, May.
• Maximilian Seyrich & Didier Sornette, 2016, "Micro-Foundation Using Percolation Theory of the Finite-Time Singular Behavior of the Crash Hazard Rate in a Class of Rational Expectation Bubbles," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-03, Jan.
• Qunzhi Zhang & Didier Sornette & Mehmet Balcilar & Rangan Gupta & Zeynel Abidin Ozdemir & I. Hakan Yetkiner, 2016, "A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-05, Feb.
• Elena Andreou & Patrick Gagliardini & Eric Ghysels & Mirco Rubin, 2016, "Is Industrial Production Still the Dominant Factor for the US Economy?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-11, Feb.
• Damir Filipović & Martin Larsson & Anders B. Trolle, 2016, "On the Relation between Linearity-Generating Processes and Linear-Rational Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-23, Mar.
• Damien Ackerer & Damir Filipović & Sergio Pulido, 2016, "The Jacobi Stochastic Volatility Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-35, May, revised Jun 2016.
• Patrick Gagliardini & Eric Ghysels & Mirco Rubin, 2016, "Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 16-46, Jul.
• Stéphane Lhuissier & Fabien Tripier, 2016, "Do Uncertainty Shocks Always Matter for Business Cycles?," Working Papers, CEPII research center, number 2016-19, Aug.
• Imen Dakhlaoui & Chaker Aloui, 2016, "The Interactive Relationship Between the US Economic Policy Uncertainty and BRIC Stock Markets," International Economics, CEPII research center, issue 146, pages 141-157.
• Babajide Fowowe & Mohammed Shuaibu, 2016, "Dynamic spillovers between Nigerian, South African and international equity markets," International Economics, CEPII research center, issue 148, pages 59-80.
• Dalibor Stevanovic & Rachidi Kotchoni, 2016, "Prévision de l’activité économique au Québec," CIRANO Project Reports, CIRANO, number 2016rp-08, Jun.
• Alain Hecq & Jan P.A.M. Jacobs & Michalis P. Stamatogiannis, 2016, "Testing for News and Noise in Non-Stationary Time Series Subject to Multiple Historical Revisions," CIRANO Working Papers, CIRANO, number 2016s-01, Jan.
• Jean Boivin & Marc P. Giannoni & Dalibor Stevanovic, 2016, "Dynamic Effects of Credit Shocks in a Data-Rich Environment," CIRANO Working Papers, CIRANO, number 2016s-55, Oct.
• Mala Raghavan & George Athanasopoulos & Param Silvapulle, 2016, "Canadian monetary policy analysis using a structural VARMA model," Canadian Journal of Economics, Canadian Economics Association, volume 49, issue 1, pages 347-373, February, DOI: 10.1111/caje.12200.
• Apostolos Serletis & Libo Xu, , "Volatility and a Century of Energy Markets Dynamics," Working Papers, Department of Economics, University of Calgary, number 2016-29, revised 28 Jan 2016.
• Magdalena RADULESCU & Logica BANICA & Tatiana ZAMFIROIU (PAUN), 2016, "Foreign Direct Investments And Their Non-Traditional Quality Factors. A Var Analysis In Romania And Bulgaria," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, issue 10, pages 123-133, April.
• Neda Popovska-Kamnar & Miso Nikolov & Artan Sulejmani, 2016, "Determinants Of The International Reserves In The Republic Of Macedonia," Journal Articles, Center For Economic Analyses, pages 51-61, December.
• Carolina Pagliacci, 2016, "Are We Ignoring Supply Shocks? A Proposal for Monitoring Cyclical Fluctuations," Documentos de Investigación - Research Papers, CEMLA, number 21, Apr.
• Michal Franta, 2016, "Iterated Multi-Step Forecasting with Model Coefficients Changing Across Iterations," Working Papers, Czech National Bank, Research and Statistics Department, number 2016/05, Jun.
• Gustavo Peralta, 2016, "The Nature of Volatility Spillovers across the International Capital Markets," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 6.
• Alessio Ciarlone & Andrea Colabella, 2016, "Spillovers of the ECB's non-standard monetary policy into CESEE economies," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 34, issue 81, pages 175-190, DOI: 10.1016/j.espe.2016.09.001.
• Guillermo Andrés Cangrejo Jiménez, 2016, "La estructura a plazos del riesgo interbancario," Revista de Economía del Rosario, Universidad del Rosario, volume 19, issue 2, pages 129-174.
• Alexandra Cortés Aguilar & Mar�a Alejandra Fl�rez Vera, 2016, "Diferencias salariales por género en el departamento de Santander - Colombia," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, volume 35, issue 61, pages 267-302.
• Cristina Navarro Pérez & Carlos Arturo C�ceres, 2016, "Productividad total de los factores: Una aplicación VEC nacional y sectorial al caso colombiano (1965-2013)," Econógrafos, Escuela de Economía, Universidad Nacional de Colombia, FCE, CID, number 14241, Jan.
• Carlos Fernando Daza Moreno & Jorge Mario Uribe, 2016, "Efectos de los cambios de la tasa de interés de Estados Unidos sobre Colombia, Perú y Chile," Revista de Economía del Caribe, Universidad del Norte, volume 0, issue 0, pages 1-19.
• Antonio Ruiz Porras & Fidel Gustavo Cruz Ruiz, 2016, "Las hipótesis de Fisher en Latinoamérica: un análisis de cointegración," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 8, issue 2, pages 301-326.
• Luc Bauwens & Manuela Braione & Giuseppe Storti, 2016, "Forecasting comparison of long term component dynamic models for realized covariance matrices," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2923, Jan.
• Adam Elbourne & Fabio Duchi, 2016, "Credit Supply Shocks in the Netherlands," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 320, Jan.
• Beata Szetela & Grzegorz Mentel & Stanislaw Gedek, 2016, "Dependency analysis between Bitcoin and selected global currencies," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 16, pages 133-144.
• Andrzej Geise & Mariola Pilatowska, 2016, "Asymmetries in the relationship between economic activity and oil prices in the selected EU countries," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 16, pages 65-86.
• Canova, Fabio & Hamidi Sahneh, Mehdi, 2016, "Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11041, Jan.
• Forni, Mario & Gambetti, Luca & Sala, Luca, 2016, "VAR Information and the Empirical Validation of DSGE Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11178, Mar.
• Primiceri, Giorgio & Giannone, Domenico & Lenza, Michele, 2016, "Priors for the Long Run," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11261, May.
• Barnichon, Regis & Matthes, Christian, 2016, "Understanding the Size of the Government Spending Multiplier: It's in the Sign," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11373, Jul.
• Barnichon, Regis & Matthes, Christian, 2016, "Gaussian Mixture Approximations of Impulse Responses and The Non-Linear Effects of Monetary Shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11374, Jul.
• Rubio-Ramírez, Juan Francisco & Antolin-Diaz, Juan, 2016, "Narrative Sign Restrictions for SVARs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11517, Sep.
• Marcellino, Massimiliano & Kapetanios, George & Venditti, Fabrizio, 2016, "Large Time-Varying Parameter VARs: A Non-Parametric Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11560, Oct.
• Petrella, Ivan & Venditti, Fabrizio & Delle Monache, Davide, 2016, "Adaptive state space models with applications to the business cycle and financial stress," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11599, Nov.
• Taylor, Mark & Boero, Gianna & Mandalinci, Zeyyad, 2016, "Modelling Portfolio Capital Flows in a Global Framework: Multilateral Implications of Capital Controls," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11689, Dec.
• Barnichon, Regis & Brownlees, Christian, 2016, "Impulse Response Estimation By Smooth Local Projections," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11726, Dec.
• T. Philipp Dybowski & J. Nikolaj Dybowski & Philipp Adämmer, 2016, "The Economic Effects of U.S. Presidential Tax Communication," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 4916, May.
• Philipp Adämmer & T. Philipp Dybowski, 2016, "Committing to Fiscal Policy: The Influence of the U.S. President on Consumer Confidence and Output," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 5216, Aug.
• Claudio Morana, 2016, "Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 158, Mar.
• Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2016, "Statistical Inference for Independent Component Analysis: Application to Structural VAR Models," Working Papers, Center for Research in Economics and Statistics, number 2016-20, Mar.
• Christian Gouriéroux & Yang Lu, 2016, "A Flexible State-Space Model with Application to Stochastic Volatility," Working Papers, Center for Research in Economics and Statistics, number 2016-39, Nov.
• Escribano, Álvaro & Sucarrat, Genaro, 2016, "Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 23436, Jul.
• Nowotarski, Jakub & Liu, Bidong & Weron, Rafał & Hong, Tao, 2016, "Improving short term load forecast accuracy via combining sister forecasts," Energy, Elsevier, volume 98, issue C, pages 40-49, DOI: 10.1016/j.energy.2015.12.142.
• Andreasson, Pierre & Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah, 2016, "Impact of speculation and economic uncertainty on commodity markets," International Review of Financial Analysis, Elsevier, volume 43, issue C, pages 115-127, DOI: 10.1016/j.irfa.2015.11.005.
• Antonakakis, Nikolaos & Floros, Christos, 2016, "Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 111-122, DOI: 10.1016/j.irfa.2016.01.006.
• Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2016, "Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis," International Review of Financial Analysis, Elsevier, volume 45, issue C, pages 180-188, DOI: 10.1016/j.irfa.2016.03.016.
• Cummins, Mark & Dowling, Michael & Kearney, Fearghal, 2016, "Oil market modelling: A comparative analysis of fundamental and latent factor approaches," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 211-218, DOI: 10.1016/j.irfa.2016.05.010.
• Georgoutsos, Dimitris A. & Kouretas, Georgios P., 2016, "Interest parity, cointegration, and the term structure: Testing in an integrated framework," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 281-294, DOI: 10.1016/j.irfa.2015.12.001.
• Casalin, Fabrizio, 2016, "Size and power of tests based on Permanent-Transitory Component Models," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 142-153, DOI: 10.1016/j.irfa.2016.07.003.
• Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2016, "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 209-220, DOI: 10.1016/j.irfa.2016.10.002.
• Baur, Dirk G. & Beckmann, Joscha & Czudaj, Robert, 2016, "A melting pot — Gold price forecasts under model and parameter uncertainty," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 282-291, DOI: 10.1016/j.irfa.2016.10.010.
• Poshakwale, Sunil S. & Mandal, Anandadeep, 2016, "What drives asymmetric dependence structure of asset return comovements?," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 312-330, DOI: 10.1016/j.irfa.2015.07.001.
• Antonakakis, Nikolaos & Floros, Christos & Kizys, Renatas, 2016, "Dynamic spillover effects in futures markets: UK and US evidence," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 406-418, DOI: 10.1016/j.irfa.2015.03.008.
• Noda, Akihiko, 2016, "A test of the adaptive market hypothesis using a time-varying AR model in Japan," Finance Research Letters, Elsevier, volume 17, issue C, pages 66-71, DOI: 10.1016/j.frl.2016.01.004.
• Hossfeld, Oliver & Röthig, Andreas, 2016, "Do speculative traders anticipate or follow USD/EUR exchange rate movements? New evidence on the efficiency of the EUR currency futures market," Finance Research Letters, Elsevier, volume 18, issue C, pages 218-225, DOI: 10.1016/j.frl.2016.04.019.
• Zhu, Huiming & Peng, Cheng & You, Wanhai, 2016, "Quantile behaviour of cointegration between silver and gold prices," Finance Research Letters, Elsevier, volume 19, issue C, pages 119-125, DOI: 10.1016/j.frl.2016.07.002.
• Haghighi, Afshin & Fallahpour, Saeid & Eyvazlu, Reza, 2016, "Modelling order arrivals at price limits using Hawkes processes," Finance Research Letters, Elsevier, volume 19, issue C, pages 267-272, DOI: 10.1016/j.frl.2016.08.012.
• Bekiros, Stelios & Cardani, Roberta & Paccagnini, Alessia & Villa, Stefania, 2016, "Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs," Journal of Financial Stability, Elsevier, volume 26, issue C, pages 216-227, DOI: 10.1016/j.jfs.2016.07.006.
• Halvorsen, Jørn I. & Jacobsen, Dag Henning, 2016, "The bank-lending channel empirically revisited," Journal of Financial Stability, Elsevier, volume 27, issue C, pages 95-105, DOI: 10.1016/j.jfs.2016.10.004.
• Degiannakis, Stavros & Floros, Christos, 2016, "Intra-day realized volatility for European and USA stock indices," Global Finance Journal, Elsevier, volume 29, issue C, pages 24-41, DOI: 10.1016/j.gfj.2015.05.002.
• Kassim, Salina, 2016, "Islamic finance and economic growth: The Malaysian experience," Global Finance Journal, Elsevier, volume 30, issue C, pages 66-76, DOI: 10.1016/j.gfj.2015.11.007.
• Forni, Mario & Gambetti, Luca, 2016, "Government spending shocks in open economy VARs," Journal of International Economics, Elsevier, volume 99, issue C, pages 68-84, DOI: 10.1016/j.jinteco.2015.11.010.
• Dakhlaoui, Imen & Aloui, Chaker, 2016, "The interactive relationship between the US economic policy uncertainty and BRIC stock markets," International Economics, Elsevier, volume 146, issue C, pages 141-157, DOI: 10.1016/j.inteco.2015.12.002.
• Fowowe, Babajide & Shuaibu, Mohammed, 2016, "Dynamic spillovers between Nigerian, South African and international equity markets," International Economics, Elsevier, volume 148, issue C, pages 59-80, DOI: 10.1016/j.inteco.2016.06.003.
• Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016, "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 40, issue C, pages 14-25, DOI: 10.1016/j.intfin.2015.07.006.
• Balcilar, Mehmet & Thompson, Kirsten & Gupta, Rangan & van Eyden, Reneé, 2016, "Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 43, issue C, pages 30-43, DOI: 10.1016/j.intfin.2016.03.005.
• Eross, Andrea & Urquhart, Andrew & Wolfe, Simon, 2016, "Liquidity risk contagion in the interbank market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 45, issue C, pages 142-155, DOI: 10.1016/j.intfin.2016.07.005.
• Altug, Sumru & Çakmaklı, Cem, 2016, "Forecasting inflation using survey expectations and target inflation: Evidence for Brazil and Turkey," International Journal of Forecasting, Elsevier, volume 32, issue 1, pages 138-153, DOI: 10.1016/j.ijforecast.2015.03.010.
• Aastveit, Knut Are & Jore, Anne Sofie & Ravazzolo, Francesco, 2016, "Identification and real-time forecasting of Norwegian business cycles," International Journal of Forecasting, Elsevier, volume 32, issue 2, pages 283-292, DOI: 10.1016/j.ijforecast.2015.06.006.
• Maciejowska, Katarzyna & Nowotarski, Jakub, 2016, "A hybrid model for GEFCom2014 probabilistic electricity price forecasting," International Journal of Forecasting, Elsevier, volume 32, issue 3, pages 1051-1056, DOI: 10.1016/j.ijforecast.2015.11.008.
• Wang, Pu & Liu, Bidong & Hong, Tao, 2016, "Electric load forecasting with recency effect: A big data approach," International Journal of Forecasting, Elsevier, volume 32, issue 3, pages 585-597, DOI: 10.1016/j.ijforecast.2015.09.006.
• Maciejowska, Katarzyna & Nowotarski, Jakub & Weron, Rafał, 2016, "Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging," International Journal of Forecasting, Elsevier, volume 32, issue 3, pages 957-965, DOI: 10.1016/j.ijforecast.2014.12.004.
• Iiboshi, Hirokuni, 2016, "A multiple DSGE-VAR approach: Priors from a combination of DSGE models and evidence from Japan," Japan and the World Economy, Elsevier, volume 40, issue C, pages 1-8, DOI: 10.1016/j.japwor.2016.07.004.
• Metiu, Norbert & Hilberg, Björn & Grill, Michael, 2016, "Credit constraints and the international propagation of US financial shocks," Journal of Banking & Finance, Elsevier, volume 72, issue C, pages 67-80, DOI: 10.1016/j.jbankfin.2016.07.008.
• Loy, Jens-Peter & Weiss, Christoph R. & Glauben, Thomas, 2016, "Asymmetric cost pass-through? Empirical evidence on the role of market power, search and menu costs," Journal of Economic Behavior & Organization, Elsevier, volume 123, issue C, pages 184-192, DOI: 10.1016/j.jebo.2016.01.007.
• Eser, Fabian & Schwaab, Bernd, 2016, "Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme," Journal of Financial Economics, Elsevier, volume 119, issue 1, pages 147-167, DOI: 10.1016/j.jfineco.2015.06.003.
• Giglio, Stefano & Kelly, Bryan & Pruitt, Seth, 2016, "Systemic risk and the macroeconomy: An empirical evaluation," Journal of Financial Economics, Elsevier, volume 119, issue 3, pages 457-471, DOI: 10.1016/j.jfineco.2016.01.010.
• Herwartz, Helmut & Plödt, Martin, 2016, "The macroeconomic effects of oil price shocks: Evidence from a statistical identification approach," Journal of International Money and Finance, Elsevier, volume 61, issue C, pages 30-44, DOI: 10.1016/j.jimonfin.2015.11.001.
• Donayre, Luiggi & Panovska, Irina, 2016, "State-dependent exchange rate pass-through behavior," Journal of International Money and Finance, Elsevier, volume 64, issue C, pages 170-195, DOI: 10.1016/j.jimonfin.2016.02.018.
• Pang, Ke & Siklos, Pierre L., 2016, "Macroeconomic consequences of the real-financial nexus: Imbalances and spillovers between China and the U.S," Journal of International Money and Finance, Elsevier, volume 65, issue C, pages 195-212, DOI: 10.1016/j.jimonfin.2016.03.001.
• Clements, A.E. & Hurn, A.S. & Volkov, V.V., 2016, "Common trends in global volatility," Journal of International Money and Finance, Elsevier, volume 67, issue C, pages 194-214, DOI: 10.1016/j.jimonfin.2016.05.001.
• Beaupain, Renaud & Durré, Alain, 2016, "Excess liquidity and the money market in the euro area," Journal of Macroeconomics, Elsevier, volume 47, issue PA, pages 33-44, DOI: 10.1016/j.jmacro.2015.09.001.
• Olson, Eric & Wohar, Mark E., 2016, "An evaluation of ECB policy in the Euro's big four," Journal of Macroeconomics, Elsevier, volume 48, issue C, pages 203-213, DOI: 10.1016/j.jmacro.2016.03.001.
• Fisher, Lance A. & Huh, Hyeon-seung, 2016, "Monetary policy and exchange rates: Further evidence using a new method for implementing sign restrictions," Journal of Macroeconomics, Elsevier, volume 49, issue C, pages 177-191, DOI: 10.1016/j.jmacro.2016.07.003.
• Uusküla, Lenno, 2016, "Monetary transmission mechanism with firm turnover," Journal of Macroeconomics, Elsevier, volume 50, issue C, pages 1-18, DOI: 10.1016/j.jmacro.2016.08.005.
• Duchi, Fabio & Elbourne, Adam, 2016, "Credit supply shocks in the Netherlands," Journal of Macroeconomics, Elsevier, volume 50, issue C, pages 51-71, DOI: 10.1016/j.jmacro.2016.09.001.
• Ahmed, M. Iqbal & Cassou, Steven P., 2016, "Does consumer confidence affect durable goods spending during bad and good economic times equally?," Journal of Macroeconomics, Elsevier, volume 50, issue C, pages 86-97, DOI: 10.1016/j.jmacro.2016.08.008.
• Xu, Ke-Li, 2016, "Multivariate trend function testing with mixed stationary and integrated disturbances," Journal of Multivariate Analysis, Elsevier, volume 147, issue C, pages 38-57, DOI: 10.1016/j.jmva.2015.12.011.
• Ohashi, Kazuhiko & Okimoto, Tatsuyoshi, 2016, "Increasing trends in the excess comovement of commodity prices," Journal of Commodity Markets, Elsevier, volume 1, issue 1, pages 48-64, DOI: 10.1016/j.jcomm.2016.02.001.
• Awartani, Basel & Aktham, Maghyereh & Cherif, Guermat, 2016, "The connectedness between crude oil and financial markets: Evidence from implied volatility indices," Journal of Commodity Markets, Elsevier, volume 4, issue 1, pages 56-69, DOI: 10.1016/j.jcomm.2016.11.002.
• Georgoutsos, Dimitris & Kounitis, Thomas, 2016, "Treasury yields and credit spread dynamics: A regime-switching approach," The Journal of Economic Asymmetries, Elsevier, volume 14, issue PA, pages 39-51, DOI: 10.1016/j.jeca.2016.07.010.
• Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2016, "Intra-national and international spillovers between the real economy and the stock market: The case of China," The Journal of Economic Asymmetries, Elsevier, volume 14, issue PA, pages 78-92, DOI: 10.1016/j.jeca.2016.07.001.
• Gustafsson, Peter & Stockhammar, Pär & Österholm, Pär, 2016, "Macroeconomic effects of a decline in housing prices in Sweden," Journal of Policy Modeling, Elsevier, volume 38, issue 2, pages 242-255, DOI: 10.1016/j.jpolmod.2016.02.011.
• Hayat, Zafar & Balli, Faruk & Obben, James & Shakur, Shamim, 2016, "An empirical assessment of monetary discretion: The case of Pakistan," Journal of Policy Modeling, Elsevier, volume 38, issue 5, pages 954-970, DOI: 10.1016/j.jpolmod.2016.05.002.
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• Konstantakis, Konstantinos N. & Michaelides, Panayotis G. & Vouldis, Angelos T., 2016, "Non performing loans (NPLs) in a crisis economy: Long-run equilibrium analysis with a real time VEC model for Greece (2001–2015)," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 451, issue C, pages 149-161, DOI: 10.1016/j.physa.2015.12.163.
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• Sandra Eickmeier & Norbert Metiu & Esteban Prieto, 2016, "Time-Varying Volatility, Financial Intermediation and Monetary Policy," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2016-32, May.
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• Alloza, Mario, 2016, "Is fiscal policy more effective in uncertain times or during recessions?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 86179, Oct.
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