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

• Raviv, Eran & Bouwman, Kees E. & van Dijk, Dick, 2015, "Forecasting day-ahead electricity prices: Utilizing hourly prices," Energy Economics, Elsevier, volume 50, issue C, pages 227-239, DOI: 10.1016/j.eneco.2015.05.014.
• Chang, Chun-Ping & Lee, Chien-Chiang, 2015, "Do oil spot and futures prices move together?," Energy Economics, Elsevier, volume 50, issue C, pages 379-390, DOI: 10.1016/j.eneco.2015.02.014.
• Prasad Bal, Debi & Narayan Rath, Badri, 2015, "Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India," Energy Economics, Elsevier, volume 51, issue C, pages 149-156, DOI: 10.1016/j.eneco.2015.06.013.
• Iyke, Bernard Njindan, 2015, "Electricity consumption and economic growth in Nigeria: A revisit of the energy-growth debate," Energy Economics, Elsevier, volume 51, issue C, pages 166-176, DOI: 10.1016/j.eneco.2015.05.024.
• Yu, Lean & Li, Jingjing & Tang, Ling & Wang, Shuai, 2015, "Linear and nonlinear Granger causality investigation between carbon market and crude oil market: A multi-scale approach," Energy Economics, Elsevier, volume 51, issue C, pages 300-311, DOI: 10.1016/j.eneco.2015.07.005.
• Avdulaj, Krenar & Barunik, Jozef, 2015, "Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data," Energy Economics, Elsevier, volume 51, issue C, pages 31-44, DOI: 10.1016/j.eneco.2015.05.018.
• Papież, Monika & Śmiech, Sławomir, 2015, "Dynamic steam coal market integration: Evidence from rolling cointegration analysis," Energy Economics, Elsevier, volume 51, issue C, pages 510-520, DOI: 10.1016/j.eneco.2015.08.006.
• Bouri, Elie, 2015, "Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis," Energy Economics, Elsevier, volume 51, issue C, pages 590-598, DOI: 10.1016/j.eneco.2015.09.002.
• Benth, Fred Espen & Koekebakker, Steen, 2015, "Pricing of forwards and other derivatives in cointegrated commodity markets," Energy Economics, Elsevier, volume 52, issue PA, pages 104-117, DOI: 10.1016/j.eneco.2015.09.009.
• Wan, Jer-Yuh & Kao, Chung-Wei, 2015, "Interactions between oil and financial markets — Do conditions of financial stress matter?," Energy Economics, Elsevier, volume 52, issue PA, pages 160-175, DOI: 10.1016/j.eneco.2015.10.003.
• Jiang, Jingze & Marsh, Thomas L. & Tozer, Peter R., 2015, "Policy induced price volatility transmission: Linking the U.S. crude oil, corn and plastics markets," Energy Economics, Elsevier, volume 52, issue PA, pages 217-227, DOI: 10.1016/j.eneco.2015.10.008.
• Bumpass, Donald & Ginn, Vance & Tuttle, M.H., 2015, "Retail and wholesale gasoline price adjustments in response to oil price changes," Energy Economics, Elsevier, volume 52, issue PA, pages 49-54, DOI: 10.1016/j.eneco.2015.08.030.
• Michael D. Bordo & Pierre L. Siklos, 2015, "Central Bank Credibility: An Historical and Quantitative Exploration," NBER Working Papers, National Bureau of Economic Research, Inc, number 20824, Jan.
• Stefano Giglio & Bryan T. Kelly & Seth Pruitt, 2015, "Systemic Risk and the Macroeconomy: An Empirical Evaluation," NBER Working Papers, National Bureau of Economic Research, Inc, number 20963, Feb.
• Francesco Bianchi, 2015, "The Great Depression and the Great Recession: A View from Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 21056, Mar.
• Christopher R. Knittel & Ben S. Meiselman & James H. Stock, 2015, "The Pass-Through of RIN Prices to Wholesale and Retail Fuels under the Renewable Fuel Standard," NBER Working Papers, National Bureau of Economic Research, Inc, number 21343, Jul.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2015, "Leveraged Bubbles," NBER Working Papers, National Bureau of Economic Research, Inc, number 21486, Aug.
• Ulrich K. Müller & Mark W. Watson, 2015, "Low-Frequency Econometrics," NBER Working Papers, National Bureau of Economic Research, Inc, number 21564, Sep.
• Trunin, P. & Vashchelyuk, N., 2015, "The Analysis of Money Supply Endogeneity in Russia," Journal of the New Economic Association, New Economic Association, volume 25, issue 1, pages 103-131.
• Travkin, A., 2015, "Estimating Pair-Copula Constructions Using Empirical Tail Dependence Functions: an Application to Russian Stock Market," Journal of the New Economic Association, New Economic Association, volume 25, issue 1, pages 39-55.
• Perevyshina, E. & Perevyshin, Y., 2015, "Evaluation of Credit Channel in Russia," Journal of the New Economic Association, New Economic Association, volume 28, issue 4, pages 96-110.
• Yoichi Arai, 2015, "Testing for Linearity in Regressions with I(1) Processes," GRIPS Discussion Papers, National Graduate Institute for Policy Studies, number 15-11, Aug.
• Vítor Manuel de Sousa Gabriel & José Ramos Pires Manso, 2015, "Ligações e transmissão de volatilidade intradiária entre mercados bolsistas europeus no âmbito da crise financeira global [Connections and transmission of intraday volatility among European stock markets within the global financial crisis]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 25, issue 2, pages 291-310, May-Augus.
• Bhanumurthy, N.R. & Bose, Sukanya & Adhikari, Parma Devi, 2015, "Targeting Debt and Deficits in India: A Structural Macroeconometric Approach," Working Papers, National Institute of Public Finance and Policy, number 15/148, May.
• B. Campagne & V. Alhenc-Gelas & J.-B. Bernard, 2015, "No evidence of financial accelerator in France," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2015-07.
• Nicolae-Marius JULA, 2015, "Modelling loans and deposits during electoral years in Romania," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, volume 3, issue 1, pages 43-48, June.
• Ioana Viașu, 2015, "The long-term causality. A comparative study for some EU countries," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, volume 3, issue 2, pages 28-35, December.
• Luis Alberiko Gil-Alaña & Borja Balprad & Guglielmo Maria Caporale & Hector Carcel, 2015, "Exchange Rate Dynamics and Monetary Unions in Africa: A Fractional Integration and Cointegration Analysis," NCID Working Papers, Navarra Center for International Development, University of Navarra, number 11/2015, Sep.
• Benjamin Wong, 2015, "Do inflation expectations propagate the inflationary impact of real oil price shocks?: Evidence from the Michigan survey," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2015/01, Apr.
• Benjamin Wong & Varang Wiriyawit, 2015, "Structural VARs, deterministic and stochastic trends: Does detrending matter?," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2015/02, Apr.
• Leo Krippner & Sandra Eickmeier & Julia von Borstel, 2015, "The interest rate pass-through in the euro area during the sovereign debt crisis," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2015/03, May.
• Rodríguez, Xosé A. & Arias, Carlos & Rodríguez-González, Ana, 2015, "Physical versus economic depletion of a nonrenewable natural resource," Efficiency Series Papers, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG), number 2015/01.
• Ludmila Fadejeva & Martin Feldkircher & Thomas Reininger, 2015, "Spillovers from Euro Area and U.S. Credit and Demand Shocks: Comparing Emerging Europe on the Basis of a GVAR Model," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 198, Jan.
• 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.