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

2015

• Mohammad Jaforullah, 2015, "International tourism and economic growth in New Zealand," Working Papers, University of Otago, Department of Economics, number 1502, Apr, revised Apr 2015.
• Mohammad Jaforullah & Alan King, 2015, "is New Zealand's economy vulnerable to world oil market shocks?," Working Papers, University of Otago, Department of Economics, number 1503, Mar, revised Mar 2015.
• Piotr Kokoszka & Hong Miao & Xi Zhang, 2015, "Functional Dynamic Factor Model for Intraday Price Curves," Journal of Financial Econometrics, Oxford University Press, volume 13, issue 2, pages 456-477.
• Patrick Fève & Jean-Guillaume Sahuc, 2015, "On the size of the government spending multiplier in the euro area," Oxford Economic Papers, Oxford University Press, volume 67, issue 3, pages 531-552.
• Robert Engle & Eric Jondeau & Michael Rockinger, 2015, "Systemic Risk in Europe," Review of Finance, European Finance Association, volume 19, issue 1, pages 145-190.
• Camelia Moraru & Norina Popovici, 2015, "Estimated Reaction Function of Fiscal Policy in Romania," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 146-149, May.
• Francesco Zanetti & Konstantinos Theodoridis, 2015, "News Shocks and Labor Market Dynamics in Matching Models," Economics Series Working Papers, University of Oxford, Department of Economics, number 745, Apr.
• Felix Pretis, 2015, "Econometric Models of Climate Systems: The Equivalence of Two-Component Energy Balance Models and Cointegrated VARs," Economics Series Working Papers, University of Oxford, Department of Economics, number 750, Jun.
• Giovanni Pellegrino, 2015, "Uncertainty And Monetary Policy In The US: A Journey Into Non-Linear Territory," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0184, Aug.
• Gian Piero Aielli & Massimiliano Caporin, 2015, "Dynamic Principal Components: a New Class of Multivariate GARCH Models," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0193, Feb.
• Massimiliano Caporin & Fulvio Fontini, 2015, "The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0198, Jul.
• Efrem Castelnuovo & Giovanni Caggiano & Giovanni Pellegrino, 2015, "Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0200, Aug.
• Juan Manuel Figueres, 2015, "News on State-Dependent Fiscal Multipliers: The role of Confidence," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0202, Sep.
• Milena Lipovina-Bozovic & Julija Cerovic & Sasa Vujosevic, 2015, "Forecasting inflation in Montenegro using univariate time series models," Business and Economic Horizons (BEH), Prague Development Center, volume 11, issue 1, pages 51-63, April.
• Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2015, "Estimating Global Bank Network Connectedness," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 15-025, Jul, revised 25 Jul 2015.
• Jesus Fernandez-Villaverde & Juan Rubio-Ramírez & Frank Schorfheide, 2015, "Solution and Estimation Methods for DSGE Models," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 15-042, Dec, revised 09 Dec 2015.
• Adam P. Balcerzak & Marcin Faldzinski & Michal Bernard Pietrzak & Tomas Meluzin & Marek Zineker, 2015, "Analiza powiazan pomiedzy rynkami kapitalowymi wybranych krajow grupy wyszehradzkiej," Working Papers, Institute of Economic Research, number 167/2015, Dec, revised Dec 2015.
• Luksz Goczek, 2015, "Semi-strong informational efficiency in the Polish foreign exchange market," Working Papers, Institute of Economic Research, number 4/2015, Jan, revised Jan 2015.
• Shahzada M. Naeem Nawaz & Ather Maqsood Ahmed, 2015, "New Keynesian Macroeconomic Model and Monetary Policy in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 54, issue 1, pages 55-71.
• Laila Taskeen Qazi & Atta Ur Rahman & Saleem Gul, 2015, "Which Pairs of Stocks should we Trade? Selection of Pairs for Statistical Arbitrage and Pairs Trading in Karachi Stock Exchange," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 54, issue 3, pages 215-244.
• Nabi, Amina Ghulam & Khan, Usman Ullah, 2015, "Exchange Rate Volatility and Import Demand Function: A Comparative Analysis of Selected SAARC Countries," MPRA Paper, University Library of Munich, Germany, number 105066, Mar.
• Ekor, Maxwell & Adeniyi, Oluwatosin & Saka, Jimoh, 2015, "Ethiopia and the BRICS: An Assessment of Trade and Investment Flows," MPRA Paper, University Library of Munich, Germany, number 107836.
• Sun, Zhuowei & Dunne, Peter G. & Li, Youwei, 2015, "Price Discovery in the Dual-Platform US Treasury Market," MPRA Paper, University Library of Munich, Germany, number 61440.
• Bentour, El Mostafa, 2015, "A ranking of VAR and structural models in forecasting," MPRA Paper, University Library of Munich, Germany, number 61502, Jan.
• Kiptui, Moses, 2015, "Sources of Exchange Rate Fluctuations in Kenya: The Relative Importance of Real and Nominal Shocks," MPRA Paper, University Library of Munich, Germany, number 61515, Jan.
• Mapa, Dennis S. & Castillo, Kristelle & Francisco, Krizia, 2015, "Rice Price, Job Misery, Hunger Incidence: Need to Track Few More Statistical Indicators for the Poor," MPRA Paper, University Library of Munich, Germany, number 61990, Feb.
• Hina, Hafsa & Qayyum, Abdul, 2015, "Exchange Rate Determination and Out of Sample Forecasting: Cointegration Analysis," MPRA Paper, University Library of Munich, Germany, number 61997.
• Jawad, Muhammad & Qayyum, Abdul, 2015, "Modeling the Impact of Policy Environment on Inflows of Worker’s Remittances in Pakistan: A Multivariate Analysis," MPRA Paper, University Library of Munich, Germany, number 62019, revised 2015.
• Antonakakis, Nikolaos & Gupta, Rangan & Andre, Christophe, 2015, "Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns," MPRA Paper, University Library of Munich, Germany, number 62464, Feb.
• Jones, Clive, 2015, "Predictability of the daily high and low of the S&P 500 index," MPRA Paper, University Library of Munich, Germany, number 62664, Mar.
• Stanova, Nadja, 2015, "Effects of fiscal shocks in new EU members estimated from a SVARX model with debt feedback," MPRA Paper, University Library of Munich, Germany, number 63148, Mar.
• Tang, Chor Foon, 2015, "Medical Tourism and Its Implication on Malaysia's Economic Growth," MPRA Paper, University Library of Munich, Germany, number 63365, Mar.
• Mehdiyev, Mehdi & Ahmadov, Vugar & Huseynov, Salman & Mammadov, Fuad, 2015, "Ölkə iqtisadiyyatı üzrə göstəricilərin modelləşdirilməsi və proqnozlaşdırılması: problemlər və praktiki çətinliklər
  [Modeling and forecasting of macroeconomic variables of the national economy: problems and practical issues]," MPRA Paper, University Library of Munich, Germany, number 63517, Mar.
• Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015, "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper, University Library of Munich, Germany, number 63844, Apr.
• Stanova, Nadja, 2015, "Fiscal discretion, growth and output volatility in new EU member countries," MPRA Paper, University Library of Munich, Germany, number 63946, Apr.
• Korobilis, Dimitris, 2015, "Prior selection for panel vector autoregressions," MPRA Paper, University Library of Munich, Germany, number 64143, Apr.
• Phiri, Andrew & Bothwell, Nyoni, 2015, "Re-visting the electricity-growth nexus in South Africa," MPRA Paper, University Library of Munich, Germany, number 64489, May.
• Grigoryeva, Lyudmila & Ortega, Juan-Pablo & Peresetsky, Anatoly, 2015, "Volatility forecasting using global stochastic financial trends extracted from non-synchronous data," MPRA Paper, University Library of Munich, Germany, number 64503.
• SBIA, Rashid & Al Rousan, Sahel, 2015, "Does Financial Development Induce Economic Growth in UAE? The Role of Foreign Direct Investment and Capitalization," MPRA Paper, University Library of Munich, Germany, number 64599.
• Saglio, Sophie & lopez-villavicencio, antonia, 2015, "The wage inflation-unemployment curve at the macroeconomic level," MPRA Paper, University Library of Munich, Germany, number 64725, Jun.
• Bartzsch, Nikolaus & Seitz, Franz & Setzer, Ralph, 2015, "The demand for euro banknotes in Germany: Structural modelling and forecasting," MPRA Paper, University Library of Munich, Germany, number 64949, Jun.
• Hamidi Sahneh, Mehdi, 2015, "Are the shocks obtained from SVAR fundamental?," MPRA Paper, University Library of Munich, Germany, number 65126, Jun.
• Medel, Carlos & Camilleri, Gilmour & Hsu, Hsiang-Ling & Kania, Stefan & Touloumtzoglou, Miltiadis, 2015, "Robustness in Foreign Exchange Rate Forecasting Models: Economics-based Modelling After the Financial Crisis," MPRA Paper, University Library of Munich, Germany, number 65290, Jun.
• El Alaoui, Aicha, 2015, "Causality and cointegration between export, import and economic growth: evidence from Morocco," MPRA Paper, University Library of Munich, Germany, number 65431, Jun.
• Bayraci, Selcuk, 2015, "Return, shock and volatility co-movements between the bond markets of Turkey and developed countries," MPRA Paper, University Library of Munich, Germany, number 65758, Jul.
• Damianov, Damian S & Escobari, Diego, 2015, "Long-Run Equilibrium Shift and Short-Run Dynamics of U.S. Home Price Tiers during the Housing Bubble," MPRA Paper, University Library of Munich, Germany, number 65765, Jul.
• Bersimis, Sotirios & Degiannakis, Stavros & Georgakellos, Dimitrios, 2015, "Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting," MPRA Paper, University Library of Munich, Germany, number 65865, Jan.
• Gesteira, Marcos & Carrasco Gutierrez, Carlos Enrique, 2015, "Testing the Optimality of Consumption Decisions of the Representative Household: Evidence from Brazil," MPRA Paper, University Library of Munich, Germany, number 66068, revised 2015.
• Carrasco Gutierrez, Carlos Enrique & Issler, João Victor, 2015, "Evaluating the effectiveness of Common-Factor Portfolios," MPRA Paper, University Library of Munich, Germany, number 66077.
• Mamipour, Siab & Vaezi Jezeie, Fereshteh, 2015, "Non-Linearities in the relation between oil price, gold price and stock market returns in Iran: a multivariate regime-switching approach," MPRA Paper, University Library of Munich, Germany, number 66202, Jun.
• Murasawa, Yasutomo, 2015, "The multivariate Beveridge--Nelson decomposition with I(1) and I(2) series," MPRA Paper, University Library of Munich, Germany, number 66319, Aug.
• Qian, Hang, 2015, "Inequality Constrained State Space Models," MPRA Paper, University Library of Munich, Germany, number 66447, Sep.
• Barnett, William A. & Bhadury, Soumya & Ghosh, Taniya, 2015, "An SVAR Approach to Evaluation of Monetary Policy in India: Solution to the Exchange Rate Puzzles in an Open Economy," MPRA Paper, University Library of Munich, Germany, number 66800, Sep.
• Tomić, Bojan & Sesar, Andrijana, 2015, "Interdependence of Industrial Production Index and capital market in Croatia: VAR model," MPRA Paper, University Library of Munich, Germany, number 66816, Apr.
• Kavli, Haakon & Viegi, Nicola, 2015, "Are determinants of portfolio flows always the same? - South African results from a time varying parameter VAR model," MPRA Paper, University Library of Munich, Germany, number 66897, Sep.
• Sbaouelgi, Jihène, 2015, "L’impact de l’Enseignement Supérieur sur la Croissance Economique L'Impact de l'Enseignement Supérieur sur la Croissance Economique Cas de la Tunisie, le Maroc et la Corée du Sud
  [The Impact of Higher Education on Economic Growth: Case of Tunisia,," MPRA Paper, University Library of Munich, Germany, number 66980, Sep.
• Fantazzini, Dean & Toktamysova, Zhamal, 2015, "Forecasting German Car Sales Using Google Data and Multivariate Models," MPRA Paper, University Library of Munich, Germany, number 67110.
• Francq, Christian & Sucarrat, Genaro, 2015, "Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns," MPRA Paper, University Library of Munich, Germany, number 67140, Oct.
• Francq, Christian & Jiménez Gamero, Maria Dolores & Meintanis, Simos, 2015, "Tests for sphericity in multivariate garch models," MPRA Paper, University Library of Munich, Germany, number 67411, Sep.
• Antonakakis, Nikos & Dragouni, Mina & Eeckels, Bruno & Filis, George, 2015, "Tourism and economic growth revisited: Empirical evidence from a Panel VAR approach," MPRA Paper, University Library of Munich, Germany, number 67419, Oct.
• Raputsoane, Leroi, 2015, "Alternative measures of credit extension for countercyclical buffer decisions in South Africa," MPRA Paper, University Library of Munich, Germany, number 67453, Oct.
• Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015, "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper, University Library of Munich, Germany, number 67470, Oct.
• Barnett, William A. & Tang, Biyan, 2015, "Chinese Divisia monetary index and GDP nowcasting," MPRA Paper, University Library of Munich, Germany, number 67691, Oct.
• Erol, Isil & Unal, Umut, 2015, "Role of Construction Sector in Economic Growth: New Evidence from Turkey," MPRA Paper, University Library of Munich, Germany, number 68263.
• Koester, Gerrit B. & Priesmeier, Christoph, 2015, "The Timing and Responsiveness of Fiscal Policy over the Business Cycle in Germany," MPRA Paper, University Library of Munich, Germany, number 68412, Dec.
• Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Floros, Christos, 2015, "Dynamic Connectedness of UK Regional Property Prices," MPRA Paper, University Library of Munich, Germany, number 68421, Dec.
• Danne, Christian, 2015, "VARsignR: Estimating VARs using sign restrictions in R," MPRA Paper, University Library of Munich, Germany, number 68429, Dec.
• Mirdala, Rajmund, 2015, "Exchange Rate Pass-Through in the Euro Area," MPRA Paper, University Library of Munich, Germany, number 68862, Jun.
• Mirdala, Rajmund, 2015, "Real Exchange Rates, Current Accounts and Competitiveness Issues in the Euro Area," MPRA Paper, University Library of Munich, Germany, number 68864, Sep.
• Mirdala, Rajmund, 2015, "Decomposing Euro Area Sovereign Debt Yields into Inflation Expectations and Expected Real Interest Rates," MPRA Paper, University Library of Munich, Germany, number 68866, Sep, revised Nov 2015.
• Njindan Iyke, Bernard, 2015, "Assessing the Effects of Housing Market Shocks on Output: The Case of South Africa," MPRA Paper, University Library of Munich, Germany, number 69610, Sep, revised 01 Feb 2016.
• Møller, Niels Framroze, 2015, "Energy Demand, Substitution and a Potential for Electrification: An econometric analysis of eight Danish subsectors," MPRA Paper, University Library of Munich, Germany, number 69931, Dec.
• Omojolaibi, Joseph & Mesagan, Ekundayo & Olaifa, Adeyemi, 2015, "The Impact of Non-oil Export on Domestic Investment in Nigeria," MPRA Paper, University Library of Munich, Germany, number 70201, Sep.
• Guesmi, Khaled & Kablan, Sandrine, 2015, "Financial integration and Japanese stock market," MPRA Paper, University Library of Munich, Germany, number 70206.
• Guesmi, Khaled & Kablan, Sandrine & Belgacem, Aymen, 2015, "The regional pricing of risk: An empirical investigation of the MENA equity determinants," MPRA Paper, University Library of Munich, Germany, number 70271, revised 2015.
• Kiptui, Moses C. & Ndirangu, Lydia, 2015, "Determinants of Equilibrium Real Exchange Rate and its Misalignment in Kenya: A Behavioral Equilibrium Exchange Rate Approach," MPRA Paper, University Library of Munich, Germany, number 70542, Jul, revised 06 Apr 2016.
• Liu, Jia & Maheu, John M, 2015, "Improving Markov switching models using realized variance," MPRA Paper, University Library of Munich, Germany, number 71120, Sep.
• Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2015, "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," MPRA Paper, University Library of Munich, Germany, number 72082, Oct.
• Degiannakis, Stavros & Filis, George & Palaiodimos, George, 2015, "Investments and uncertainty revisited: The case of the US economy," MPRA Paper, University Library of Munich, Germany, number 72083, Jul.
• Fengler, Matthias R. & Herwartz, Helmut, 2015, "Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models," MPRA Paper, University Library of Munich, Germany, number 72197, Mar, revised 10 Jun 2016.
• Bataa, Erdenebat & Wohar, Mark & Vivian, Andrew, 2015, "Changes in the relationship between short-term interest rate, inflation and growth: Evidence from the UK, 1820-2014," MPRA Paper, University Library of Munich, Germany, number 72422, Sep.
• Ellul, Reuben, 2015, "Analysing correlation between the MSE index and global stock markets," MPRA Paper, University Library of Munich, Germany, number 72464, Dec.
• Dinda, Soumyananda, 2015, "Impact of China’s slowdown on the Global Economy: Modified GVAR Approach," MPRA Paper, University Library of Munich, Germany, number 72472, Aug, revised 11 Sep 2015.
• Ülke, Volkan, 2015, "The Degree of Currency Substitution and Exchange Rate Pass-Through," MPRA Paper, University Library of Munich, Germany, number 75633, Sep, revised 15 Dec 2015.
• Bekiros, Stelios & Boubaker, Sabri & Nguyen, Duc Khuong & Uddin, Gazi Salah, 2015, "Black Swan Events and Safe Havens: The role of Gold in Globally Integrated Emerging Markets," MPRA Paper, University Library of Munich, Germany, number 75740, Oct, revised Nov 2016.
• BIKAI, J. Landry & KENKOUO, Guy Albert, 2015, "Analysis and evaluation of the Monetary Policy Transmission Channels in the CEMAC: A SVAR and SPVAR Approaches," MPRA Paper, University Library of Munich, Germany, number 78227, Jan.
• Heidari, Hassan & Ebrahimi Torki, Mahyar & Babaei Balderlou, Saharnaz, 2015, "How Do Different Oil Price Shocks Affect the Relationship Between Oil and Stock Markets?," MPRA Paper, University Library of Munich, Germany, number 80273, Jan, revised 24 Dec 2016.
• Angelidis, Timotheos & Degiannakis, Stavros & Filis, George, 2015, "US stock market regimes and oil price shocks," MPRA Paper, University Library of Munich, Germany, number 80436.
• Slimani, Slah & Bakari, Sayef & Othmani, Abdelhafidh, 2015, "Croissance et Soutenabilité de la Dette Extérieure Tunisienne pour la Période 1970-2012 : Une Analyse Dynamique
  [Growth and Sustainability of Tunisian External Debt for the Period 1970-2012: A Dynamic Analysis]," MPRA Paper, University Library of Munich, Germany, number 80954, Oct.
• Onanuga, Abayomi & Oshinloye, Michael & Onanuga, Olaronke, 2015, "Monetary Policy-Making in Nigeria: Does evidence support augmented Taylor Rule?," MPRA Paper, University Library of Munich, Germany, number 83329, Dec.
• Koop, Gary & Korobilis, Dimitris, 2015, "Forecasting with High-Dimensional Panel VARs," MPRA Paper, University Library of Munich, Germany, number 84275, Dec, revised 31 Jan 2018.
• Jawad, Muhammad & Qayyum, Abdul, 2015, "Modelling the Impact of Policy Environment on Inflows of Worker’s Remittances in Pakistan: A Multivariate Analysis," MPRA Paper, University Library of Munich, Germany, number 85497.
• Yin, Ming, 2015, "Estimating Gaussian Mixture Autoregressive model with Sequential Monte Carlo algorithm: A parallel GPU implementation," MPRA Paper, University Library of Munich, Germany, number 88111, Dec, revised 2018.
• Mansur, Alfan & Liu, Yichang & Zaman, Kazi Arif Uz, 2015, "Portfolio Shocks and the Dynamics of the Real Economy of Australia (1980-2014): A Structural Vector Autoregressive Model Approach," MPRA Paper, University Library of Munich, Germany, number 93992, May, revised 17 May 2015.
• Mansur, Alfan, 2015, "Identifying Shocks on the Economic Fluctuations in Indonesia and US: The Role of Oil Price Shocks in a Structural Vector Autoregression Model," MPRA Paper, University Library of Munich, Germany, number 94018, Jun, revised 09 Jun 2015.
• Degiannakis, Stavros, 2015, "A Probit Model for the State of the Greek GDP Growth," MPRA Paper, University Library of Munich, Germany, number 96280.
• Omotosho, Babatunde S., 2015, "Is Real Exchange Rate Misalignment a Leading Indicator of Currency Crises in Nigeria?," MPRA Paper, University Library of Munich, Germany, number 98353.
• Luis A Gil-Alana & Christophe André & Rangan Gupta & Tsangyao Chang & Omid Ranjbar, 2015, "The Feldstein-Horioka Puzzle in South Africa: A Fractional Cointegration Approach," Working Papers, University of Pretoria, Department of Economics, number 201501, Jan.
• Mulatu F. Zehirun & Marthinus C. Breitenbach & Francis M. Kemegue, 2015, "Assessment of Monetary Union in SADC: Evidence from Cointegration and Panel Unit Root Tests," Working Papers, University of Pretoria, Department of Economics, number 201502, Jan.
• Stelios Bekiros & Rangan Gupta, 2015, "Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach," Working Papers, University of Pretoria, Department of Economics, number 201505, Feb.
• Stelios Bekiros & Rangan Gupta & Clement Kyei, 2015, "On Economic Uncertainty, Stock Market Predictability and Nonlinear Spillover Effects," Working Papers, University of Pretoria, Department of Economics, number 201508, Feb.
• Nikolaos Antonakakis & Rangan Gupta & Christophe Andre, 2015, "Dynamic Co-movements between Economic Policy Uncertainty and Housing Market Returns," Working Papers, University of Pretoria, Department of Economics, number 201509, Feb.
• Vassilios Babalos & Clement Kyei & Evangelos I. Poutos, 2015, "Causality and Contagion in EMU Sovereign Bonds Revisited: Novel Evidence from Nonlinear Causality Tests," Working Papers, University of Pretoria, Department of Economics, number 201514, Mar.
• Lumengo Bonga-Bonga & Rangan Gupta & Charl Jooste, 2015, "The Macroeconomic Effects of Uncertainty Shocks in India," Working Papers, University of Pretoria, Department of Economics, number 201516, Mar.
• Mehmet Balcilar & Rangan Gupta & Renee van Eyden & Kirsten Thompson & Anandamayee Majumdar, 2015, "Comparing the Forecasting Ability of Financial Conditions Indices: The Case of South Africa," Working Papers, University of Pretoria, Department of Economics, number 201517, Mar.
• Stelios Bekiros & Rangan Gupta & Alessia Paccagnini, 2015, "Oil Price Forecastability and Economic Uncertainty," Working Papers, University of Pretoria, Department of Economics, number 201518, Mar.
• Ghassen El Montasser & Rangan Gupta & Charl Jooste & Stephen M. Miller, 2015, "The Time-Series Linkages between US Fiscal Policy and Asset Prices," Working Papers, University of Pretoria, Department of Economics, number 201519, Mar.
• Yoseph Getachew & Stephen Turnovsky, 2015, "Productive Government Spending and its Consequences for the Growth–Inequality Tradeoff," Working Papers, University of Pretoria, Department of Economics, number 201520, Apr.
• Nikolaos Antonakakis & Christophe Andre & Rangan Gupta, 2015, "Dynamic Spillovers in the United States: Stock Market, Housing, Uncertainty and the Macroeconomy," Working Papers, University of Pretoria, Department of Economics, number 201521, Apr.
• Mehmet Balcilar & Stelios Bekiros & Rangan Gupta, 2015, "The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method," Working Papers, University of Pretoria, Department of Economics, number 201522, Apr.
• Goodness C. Aye & Mehmet Balcilar & Rangan Gupta, 2015, "International Stock Return Predictability: Is the Role of U.S. Time-Varying?," Working Papers, University of Pretoria, Department of Economics, number 201524, Apr.
• Rangan Gupta & Kevin Kotze, 2015, "The Role of Oil Prices in the Forecasts of South African Interest Rates: A Bayesian Approach," Working Papers, University of Pretoria, Department of Economics, number 201531, May.
• Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil - Alana & Rangan Gupta, 2015, "The Relationship between Healthcare expenditures and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis," Working Papers, University of Pretoria, Department of Economics, number 201532, May.
• Stelios Bekiros & Rangan Gupta & Clement Kyei, 2015, "A Nonlinear Approach for Predicting Stock Returns and Volatility with the Use of Investor Sentiment Indices," Working Papers, University of Pretoria, Department of Economics, number 201536, Jun.
• Franz Ruch & Mehmet Balcilar & Mampho P. Modise & Rangan Gupta, 2015, "Forecasting Core Inflation: The Case of South Africa," Working Papers, University of Pretoria, Department of Economics, number 201543, Jun.
• Rangan Gupta, 2015, "Forecasting Inflation in an Inflation Targeting Economy: Structural Versus Non-Structural Models," Working Papers, University of Pretoria, Department of Economics, number 201547, Jun.
• Mehmet Balcilar & Rangan Gupta & Mawuli Segnon, 2015, "The Role of Economic Policy Uncertainty in Predicting U.S. Recessions: A Mixed-Frequency Markov-Switching Vector Autoregressive Approach," Working Papers, University of Pretoria, Department of Economics, number 201558, Aug.
• Hossein Hassani & Emmanuel Sirimal Silva & Rangan Gupta & Sonali Das, 2015, "Predicting Global Temperature Anomaly: A Definitive Investigation Using an Ensemble of Twelve Competing Forecasting Models," Working Papers, University of Pretoria, Department of Economics, number 201561, Aug.
• Giovanni Bonaccolto & Massimiliano Caporin & Rangan Gupta, 2015, "The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk," Working Papers, University of Pretoria, Department of Economics, number 201564, Sep.
• Mulatu F. Zerihun & Juncal Cunado & Rangan Gupta, 2015, "Are Health Care Expenditures and Personal Disposable Income Characterised by Asymmetric Behaviour? Evidence from US State-Level Data," Working Papers, University of Pretoria, Department of Economics, number 201566, Sep.
• Mehmet Balcilar & Rangan Gupta & Clement Kyei, 2015, "South African Stock Returns Predictability using Domestic and Global Economic Policy Uncertainty: Evidence from a Nonparametric Causality-in-Quantiles Approach," Working Papers, University of Pretoria, Department of Economics, number 201570, Oct.
• Luis A. Gil-Alana & Juncal Cunado & Rangan Gupta, 2015, "Persistence, Mean-Reversion and Non-Linearities in Infant Mortality Rates," Working Papers, University of Pretoria, Department of Economics, number 201574, Oct.
• Mehmet Balcilar & Rangan Gupta & Clement Kyei, 2015, "Predicting Stock Returns and Volatility with Investor Sentiment Indices: A Reconsideration using a Nonparametric Causality-in-Quantiles Test," Working Papers, University of Pretoria, Department of Economics, number 201575, Oct.
• Nikolaos Antonakakis & Vassilios Babalos & Clement Kyei, 2015, "Predictability of Sustainable Investments and the Role of Uncertainty: Evidence from a Non-Parametric Causality-in-Quantiles Test," Working Papers, University of Pretoria, Department of Economics, number 201576, Oct.
• Mehmet Balcilar & Rangan Gupta & Ricardo M. Sousa & Mark E. Wohar, 2015, "The Predictability of cay and cayMS for Stock and Housing Returns: A Nonparametric Causality in Quantile Test," Working Papers, University of Pretoria, Department of Economics, number 201577, Oct.
• Nikolaos Antonakakis & Rangan Gupta & John W. Muteba Mwamba, 2015, "Dynamic Comovements between Housing and Oil Markets in the US over 1859 to 2013: A Note," Working Papers, University of Pretoria, Department of Economics, number 201579, Oct.
• Christophe André & Lumengo Bonga-Bonga & Rangan Gupta & John W. Muteba Mwamba, 2015, "The Impact of Economic Policy Uncertainty on US Real Housing Returns and their Volatility: A Nonparametric Approach," Working Papers, University of Pretoria, Department of Economics, number 201582, Nov.
• Rangan Gupta & Eric Olson & Mark E. Wohar, 2015, "Forecasting Key US Macroeconomic Variables with a Factor-Augmented Qual VAR," Working Papers, University of Pretoria, Department of Economics, number 201585, Nov.
• Mehmet Balcilar & Rangan Gupta & Won Joong Kim & Clement Kyei, 2015, "The Role of Domestic and Global Economic Policy Uncertainties in Predicting Stock Returns and their Volatility for Hong Kong, Malaysia and South Korea: Evidence from a Nonparametric Causality-in-Quantiles Approach," Working Papers, University of Pretoria, Department of Economics, number 201586, Nov.
• Rangan Gupta & Mark E. Wohar, 2015, "Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data," Working Papers, University of Pretoria, Department of Economics, number 201589, Dec.
• Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch, 2015, "Does Uncertainty Move the Gold Price? New Evidence from a Nonparametric Causality-in-Quantiles Test," Working Papers, University of Pretoria, Department of Economics, number 201592, Dec.
• Mehmet Balcilar & Rangan Gupta & Duc K. Nguyen & Mark E. Wohar, 2015, "Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach," Working Papers, University of Pretoria, Department of Economics, number 201595, Dec.
• Mehmet Balcilar & Rangan Gupta & Mampho P. Modise & John W. Muteba Mwamba, 2015, "Predicting South African Equity Premium using Domestic and Global Economic Policy Uncertainty Indices: Evidence from a Bayesian Graphical Model," Working Papers, University of Pretoria, Department of Economics, number 201596, Dec.
• Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch, 2015, "On Exchange-Rate Movements and Gold-Price Fluctuations: Evidence for Gold-Producing Countries from a Nonparametric Causality-in-Quantiles Test," Working Papers, University of Pretoria, Department of Economics, number 201598, Dec.
• Mehmet Balcilar & Rangan Gupta & Clement Kyei & Mark Wohar, 2015, "Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test," Working Papers, University of Pretoria, Department of Economics, number 201599, Dec.
• Alina Kulai, 2015, "Integrational Models and Forms of Inter-State Public-Private Partnership: Aspects of Financial Convergence," ACTA VSFS, University of Finance and Administration, volume 9, issue 1, pages 42-58.
• Saša Obradović & Milka Grbić, 2015, "Causality Relationship between Financial Intermediation by Banks and Economic Growth: Evidence from Serbia," Prague Economic Papers, Prague University of Economics and Business, volume 2015, issue 1, pages 60-72, DOI: 10.18267/j.pep.500.
• Radek Hendrych & Tomáš Cipra, 2015, "Econometric Model of the Czech Life Insurance Market," Prague Economic Papers, Prague University of Economics and Business, volume 2015, issue 2, pages 173-191, DOI: 10.18267/j.pep.507.
• Gábor Dávid Kiss & Tamás Schuszter, 2015, "The Euro Crisis and Contagion among Central and Eastern European Currencies: Recommendations for Avoiding Lending in a Safe Haven Currency such as CHF," Prague Economic Papers, Prague University of Economics and Business, volume 2015, issue 6, pages 678-698, DOI: 10.18267/j.pep.530.
• Martin Komrska, 2015, "Rakouská teorie hospodářského cyklu: VAR analýza pro USA v letech 1978-2013
  [The Austrian Business Cycle Theory: VAR Analysis for USA between 1978-2013]," Politická ekonomie, Prague University of Economics and Business, volume 2015, issue 1, pages 57-73, DOI: 10.18267/j.polek.988.
• Justyna Wróblewska, 2015, "Common Trends and Common Cycles – Bayesian Approach," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 7, issue 2, pages 91-110, June.
• João Valle e Azevedo & Inês Maria Gonçalves, 2015, "Macroeconomic Forecasting Starting from Survey Nowcasts," Working Papers, Banco de Portugal, Economics and Research Department, number w201502.
• Antonello D’Agostino, 2015, "Expectation-Driven Cycles: Time-varying Effects," Working Papers, Banco de Portugal, Economics and Research Department, number w201504.
• Sepideh Dolatabadi & Ke Xu & Morten Ø. Nielsen, 2015, "A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets," Working Paper, Economics Department, Queen's University, number 1327, Nov.
• Morten Ørregaard Nielsen & Sergei S. Shibaev, 2015, "Forecasting daily political opinion polls using the fractionally cointegrated VAR model," Working Paper, Economics Department, Queen's University, number 1340, Jun.
• Ching-Wai (Jeremy) Chiu & Haroon Mumtaz & Gabor Pinter, 2015, "Forecasting with VAR Models: Fat Tails and Stochastic Volatility," CReMFi Discussion Papers, CReMFi, School of Economics and Finance, QMUL, number 2, Feb.
• Haroon Mumtaz & Gabor Pinter & Konstantinos Theodoridis, 2015, "What do VARs Tell Us about the Impact of a Credit Supply Shock?," Working Papers, Queen Mary University of London, School of Economics and Finance, number 739, Mar.
• Haroon Mumtaz & Konstantinos Theodoridis, 2015, "Common and Country Specific Economic Uncertainty," Working Papers, Queen Mary University of London, School of Economics and Finance, number 752, Aug.
• Zeyyad Mandalinci & Haroon Mumtaz, 2015, "Global Economic Divergence and Portfolio Capital Flows to Emerging Markets," Working Papers, Queen Mary University of London, School of Economics and Finance, number 757, Oct.
• Zeyyad Mandalinci, 2015, "Effects of Monetary Policy Shocks on UK Regional Activity: A Constrained MFVAR Approach," Working Papers, Queen Mary University of London, School of Economics and Finance, number 758, Oct.
• Stan Hurn & Peter C B Phillips & Shuping Shi, 2015, "Change Detection and the Casual Impact of the Yield Curve," NCER Working Paper Series, National Centre for Econometric Research, number 107, Aug.
• Annastiina Silvennoinen & Timo Terasvirta, 2015, "Testing constancy of unconditional variance in volatility models by misspecification and specification tests," NCER Working Paper Series, National Centre for Econometric Research, number 108, Oct.
• Nathan Viles & Alexandra Rush & Thomas Rohling, 2015, "The Social Costs of Currency Counterfeiting," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2015-05, May.
• Jonathan Hambur & Lynne Cockerell & Christopher Potter & Penelope Smith & Michelle Wright, 2015, "Modelling the Australian Dollar," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2015-12, Oct.
• Pérez, Fernando & Vega, Marco, 2015, "Asymmetric exchange rate pass-through: Evidence from Peru," Working Papers, Banco Central de Reserva del Perú, number 2015-011, Nov.
• Vílchez, Diego, 2015, "Evaluando las Dinámicas de Precios en el Sector Inmobiliario: Evidencia para Perú," Working Papers, Banco Central de Reserva del Perú, number 2015-013, Dec.
• Flores, Jairo, 2015, "Transmisión de Choques de Política Monetaria de Estados Unidos sobre América Latina: Un Enfoque GVAR," Working Papers, Banco Central de Reserva del Perú, number 2015-018, Dec.
• Anna Creti & Khaled Guesmi, 2015, "International CAPM and Oil Price: Evidence from Selected OPEC Countries," Bankers, Markets & Investors, ESKA Publishing, issue 136-137, pages 64-78, May-June.
• Heni Boubaker & Nadia Sghaier, 2015, "On the Dynamic Dependence between US and other Developed Stock Markets: An Extreme-value Time-varying Copula Approach," Bankers, Markets & Investors, ESKA Publishing, issue 136-137, pages 80-93, May-June.
• Bartosz Mackowiak, 2015, "Granger-Causal-Priority and Choice of Variables in Vector Autoregressions," 2015 Meeting Papers, Society for Economic Dynamics, number 66.
• Moritz Schularick & Alan Taylor & Oscar Jorda, 2015, "Leveraged Bubbles," 2015 Meeting Papers, Society for Economic Dynamics, number 910.
• Rana Hosni, 2015, "An Assessment of the Real Exchange Rate Misalignment in Egypt: A Structural VAR Approach," Applied Economics and Finance, Redfame publishing, volume 2, issue 3, pages 37-50, August.
• Ghada Gomaa A. Mohamed & Morrison Handley-Schachler, 2015, "Modeling FDI Flows from the USA to Canada:Two Main International Financial Variables Affect the Long-Run Economic Growth," Applied Economics and Finance, Redfame publishing, volume 2, issue 4, pages 85-94, November.
• G. Bampinas & T. Panagiotidis, 2015, "Are Gold and Silver a Hedge against Inflation? A Two Century Perspective," Working Paper series, Rimini Centre for Economic Analysis, number 15-02, Feb.
• Georgios Bampinas & Stilianos Fountas & Theodore Panagiotidis, 2015, "The Day-of-the-Week Effect is Weak: Evidence from the European Real Estate Sector," Working Paper series, Rimini Centre for Economic Analysis, number 15-19, May.
• Joshua Chan & Eric Eisenstat & Gary Koop, 2015, "Large Bayesian VARMAs," Working Paper series, Rimini Centre for Economic Analysis, number 15-36, Sep.
• Jong Woo Kang, 2015, "Interrelation between Growth and Inequality," ADB Economics Working Paper Series, Asian Development Bank, number 447, Aug.
• Matteo Luciani & Madhavi Pundit & Arief Ramayandi & Giovanni Veronese, 2015, "Nowcasting Indonesia," ADB Economics Working Paper Series, Asian Development Bank, number 471, Dec.
• Farhad Taghizadeh-Hesary & Ehsan Rasolinezhad & Yoshikazu Kobayashi, 2015, "Oil Price Fluctuations and Oil Consuming Sectors: An Empirical Analysis of Japan," ADBI Working Papers, Asian Development Bank Institute, number 539, Oct.
• Arcade Ndoricimpa, 2015, "Inflation, output growth and their uncertainties in South Africa: Empirical evidence from an asymmetric multivariate GARCH-M model," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 39, issue 3, pages 5-17.
• Fatih Çiftci & Rıfat Yıldız, 2015, "The Economic Determinants of Foreign Direct Investment: A Time Series Analysis on the Turkish Economy," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 6, issue 4, pages 71-95.
• İsmail Şahin & Muhammet Karanfil, 2015, "The Effect of Money Supply on the Inflation the Period between 1980-2013 in Turkey Economy," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 6, issue 4, pages 97-113.
• Daehyoung Cho & Kyongwook Choi, 2015, "Time-varying Co-movements and Contagion Effects in Asian Sovereign CDS Markets," East Asian Economic Review, Korea Institute for International Economic Policy, volume 19, issue 4, pages 357-379, DOI: 10.11644/KIEP.JEAI.2015.19.4.301.
• Parvesh K. Chopra, 2015, "Country Risk: A Theoretical and Empirical Analysis with Special Reference to Northern African Economies - Il rischio paese: un’analisi teorica e empirica con particolare riferimento ai paesi del Nord," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 68, issue 1, pages 81-137.
• Bernardina Algieri, 2015, "An Analysis of Regional Export Patterns: The Case of Calabria in Southern Italy - Un’analisi dei modelli di esportazione regionale: il caso della Calabria," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 68, issue 3, pages 297-322.
• Lumengo Bonga-Bonga & Rangan Gupta & Charl Jooste, 2015, "The Macroeconomic Effects of Uncertainty Shocks in India - Gli effetti macroeconomici degli shock di incertezza in India," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 68, issue 3, pages 373-383.
• Ghassen El Montasser & Kenza Aggad & Louise Clark & Rangan Gupta & Shannon Kemp, 2015, "Causal Link between Oil Price and Uncertainty in India - Relazione di causalità tra prezzo del petrolio e incertezza in India," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 68, issue 4, pages 437-450.
• Rangan Gupta & Patrick T. Kanda, 2015, "Does the Price of Oil Help Predict Inflation in South Africa? Historical Evidence Using a Frequency Domain Approach. - Il prezzo del petrolio predice l’inflazione in Sud Africa? Evidenza storica attra," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 68, issue 4, pages 451-467.
• Rangan Gupta & Gbeada Josiane Seu Epse Kean & Mpho Asnath Tsebe & Nthabiseng Tsoanamatsie & João Ricardo Sato, 2015, "Time-Varying Causality between Oil and Commodity Prices in the Presence of Structural Breaks and Nonlinearity - Causalità time-varying tra petrolio e prezzi delle materie prime in presenza di break st," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 68, issue 4, pages 469-491.
• William Barnett & Soumya Suvra Bhadury & Taniya Ghosh, 2015, "An SVAR Approach to Evaluation of Monetary Policy in India: Solution to the Exchange Rate Puzzles in an Open Economy," Studies in Applied Economics, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise, number 41, Sep.
• Hak K. PYO & Saerang Song, 2015, "The Distribution of Optimal Liquidity for Economic Growth and Stability," Working Papers, Korea Institute for International Economic Policy, number 15-2, Dec, DOI: 10.2139/ssrn.2773354.
• Mohammad Alizadeh & Abolghasem Golkhandan & Sahebeh Mohamadian Mansoor, 2015, "Threshold Effects of External Debt on Economic Growth of Iran: Smooth Transition Regression (STR) Model," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, volume 2, issue 2, pages 1-24.
• Ana GRDOVIĆ GNIP, 2015, "Empirical Assessment Of Stabilization Effects Of Fiscal Policy In Croatia," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 47-69, March.
• Murat CETIN & Ibrahim DOGAN, 2015, "The Impact Of Education And Health On Economic Growth: Evidence From Romania (1980-2011)," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 133-147, June.
• Moisă ALTAR & Adrian IFRIM & Adam-Nelu ALTAR - SAMUEL, 2015, "Eastern Europe In The World Economy : A Global Var Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 5-26, September.
• Moisă Altăr & Alexandru-Adrian Cramer & Adam-Nelu Altăr-Samuel, 2015, "Sovereign Financial Asset Market Linkages across Europe During the Euro Zone Debt Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 29-49, December.
• Corina Saman, 2015, "Asymmetric Interaction between Stock Price Index and Exchange Rates: Empirical Evidence for Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 90-109, December.
• Werner Hölzl & Serguei Kaniovski & Andreas Reinstaller, 2015, "The exposure of technology and knowledge intense sectors to the business cycle," Bulletin of Applied Economics, Risk Market Journals, volume 2, issue 1, pages 1-19.
• Ana-Maria SÃNDICÃ, 2015, "The Role of Monetary and Fiscal Policies in Ensuring Macroeconomic Stability in Romania," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 18, issue 1, pages 110-124, June.
• Mateescu, George Daniel, 2015, "Analiza Datelor Statistice Prin Serii Fourier," Studii Economice, Institutul National de Cercetari Economice (INCE), number 151025, Oct.
• Randall Jackson & Juan Tomas Sayago-Gomez, 2015, "Foundations of the WVU Econometric Input-Output Model," Working Papers, Regional Research Institute, West Virginia University, number Resource Document 2015-02, Sep.
• Altaf Muhammad & Zhang Shuguang, 2015, "Impact Of Structural Shifts on Variance Persistence in Asymmetric Garch Models: Evidence From Emerging Asian and European Markets," Romanian Statistical Review, Romanian Statistical Review, volume 63, issue 1, pages 57-70, March.
• Alessia Naccarato & Andrea Pierini & Stefano Falorsi, 2015, "Using Google Trend Data To Predict The Italian Unemployment Rate," Departmental Working Papers of Economics - University 'Roma Tre', Department of Economics - University Roma Tre, number 0203, Dec.