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

2014

• Liu, Qingfu & An, Yunbi, 2014, "Risk contributions of trading and non-trading hours: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, volume 30, issue C, pages 17-29, DOI: 10.1016/j.pacfin.2014.07.005.
• Hammoudeh, Shawkat & Mensi, Walid & Reboredo, Juan Carlos & Nguyen, Duc Khuong, 2014, "Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors," Pacific-Basin Finance Journal, Elsevier, volume 30, issue C, pages 189-206, DOI: 10.1016/j.pacfin.2014.10.001.
• León, Carlos & Leiton, Karen & Pérez, Jhonatan, 2014, "Extracting the sovereigns’ CDS market hierarchy: A correlation-filtering approach," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 415, issue C, pages 407-420, DOI: 10.1016/j.physa.2014.08.020.
• Marfatia, Hardik A., 2014, "Impact of uncertainty on high frequency response of the U.S. stock markets to the Fed's policy surprises," The Quarterly Review of Economics and Finance, Elsevier, volume 54, issue 3, pages 382-392, DOI: 10.1016/j.qref.2013.12.003.
• Bakas, Dimitrios & Papapetrou, Evangelia, 2014, "Unemployment in Greece: Evidence from Greek regions using panel unit root tests," The Quarterly Review of Economics and Finance, Elsevier, volume 54, issue 4, pages 551-562, DOI: 10.1016/j.qref.2014.03.002.
• Sebri, Maamar & Ben-Salha, Ousama, 2014, "On the causal dynamics between economic growth, renewable energy consumption, CO2 emissions and trade openness: Fresh evidence from BRICS countries," Renewable and Sustainable Energy Reviews, Elsevier, volume 39, issue C, pages 14-23, DOI: 10.1016/j.rser.2014.07.033.
• Hacker, R. Scott & Karlsson, Hyunjoo Kim & Månsson, Kristofer, 2014, "An investigation of the causal relations between exchange rates and interest rate differentials using wavelets," International Review of Economics & Finance, Elsevier, volume 29, issue C, pages 321-329, DOI: 10.1016/j.iref.2013.06.004.
• Fang, Chung-Rou & You, Shih-Yi, 2014, "The impact of oil price shocks on the large emerging countries' stock prices: Evidence from China, India and Russia," International Review of Economics & Finance, Elsevier, volume 29, issue C, pages 330-338, DOI: 10.1016/j.iref.2013.06.005.
• Tsai, Hsiu-Jung & Chen, Ming-Chi & Yang, Chih-Yuan, 2014, "A time-varying perspective on the CAPM and downside betas," International Review of Economics & Finance, Elsevier, volume 29, issue C, pages 440-454, DOI: 10.1016/j.iref.2013.07.006.
• Khalifa, Ahmed A.A. & Hammoudeh, Shawkat & Otranto, Edoardo, 2014, "Patterns of volatility transmissions within regime switching across GCC and global markets," International Review of Economics & Finance, Elsevier, volume 29, issue C, pages 512-524, DOI: 10.1016/j.iref.2013.08.002.
• Herrerias, M.J. & Ordóñez, J., 2014, "If the United States sneezes, does the world need “pain-killers”?," International Review of Economics & Finance, Elsevier, volume 31, issue C, pages 159-170, DOI: 10.1016/j.iref.2014.01.015.
• Xie, Zixiong & Chen, Shyh-Wei, 2014, "Untangling the causal relationship between government budget and current account deficits in OECD countries: Evidence from bootstrap panel Granger causality," International Review of Economics & Finance, Elsevier, volume 31, issue C, pages 95-104, DOI: 10.1016/j.iref.2014.01.014.
• Ma, Jun & Wohar, Mark E., 2014, "Determining what drives stock returns: Proper inference is crucial: Evidence from the UK," International Review of Economics & Finance, Elsevier, volume 33, issue C, pages 371-390, DOI: 10.1016/j.iref.2014.02.006.
• Peri, Massimo & Vandone, Daniela & Baldi, Lucia, 2014, "Internet, noise trading and commodity futures prices," International Review of Economics & Finance, Elsevier, volume 33, issue C, pages 82-89, DOI: 10.1016/j.iref.2014.03.006.
• Chan, Kenneth S. & Zhou, Xianbo & Pan, Zhewen, 2014, "The growth and inequality nexus: The case of China," International Review of Economics & Finance, Elsevier, volume 34, issue C, pages 230-236, DOI: 10.1016/j.iref.2014.08.004.
• Aboura, Sofiane & Chevallier, Julien, 2014, "Cross-market spillovers with ‘volatility surprise’," Review of Financial Economics, Elsevier, volume 23, issue 4, pages 194-207, DOI: 10.1016/j.rfe.2014.08.002.
• Oueslati, Abdelmonem & Hammami, Yacine & Jilani, Faouzi, 2014, "The timing ability and global performance of Tunisian mutual fund managers: A multivariate GARCH approach," Research in International Business and Finance, Elsevier, volume 31, issue C, pages 57-73, DOI: 10.1016/j.ribaf.2013.11.003.
• Albaladejo, Isabel P. & González-Martínez, María Isabel & Martínez-García, María Pilar, 2014, "Quality and endogenous tourism: An empirical approach," Tourism Management, Elsevier, volume 41, issue C, pages 141-147, DOI: 10.1016/j.tourman.2013.09.006.
• Wang, Yu Shan, 2014, "Effects of budgetary constraints on international tourism expenditures," Tourism Management, Elsevier, volume 41, issue C, pages 9-18, DOI: 10.1016/j.tourman.2013.08.006.
• Joshua C.C. Chan & Angelia L. Grant, 2014, "Fast Computation of the Deviance Information Criterion for Latent Variable Models," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2014-09, Jan.
• Mariano Kulish & Adrian Pagan, 2014, "Estimation and Solution of Models with Expectations and Structural Changes," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2014-15, Feb.
• Thomas A. Lubik & Christian Matthes, 2014, "Indeterminacy and Learning: An Analysis of Monetary Policy in the Great Inflation," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2014-16, Feb.
• Eric Eisenstat & Rodney W. Strachan, 2014, "Modelling Inflation Volatility," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2014-21, Feb.
• Tatsuyoshi Okimoto, 2014, "Asymmetric Increasing Trends in Dependence in International Equity Markets," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2014-44, May.
• Varang Wiriyawit & Benjamin Wong, 2014, "Structural VARs, Deterministic and Stochastic Trends: Does Detrending Matter?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2014-46, Jun.
• Lamazoshvili Beka, 2014, "Effects of Oil Shocks on Oil-Importing Developing Economies: The Case of Georgia and Armenia," EERC Working Paper Series, EERC Research Network, Russia and CIS, number 14/06e, Nov.
• Senay ACIKGOZ & Anil AKCAGLAYAN, 2014, "Turkiye’de Cari Islemler Aciginin Surdurulebilirligi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 14, issue 1, pages 83-97.
• Mehmet BALCILAR & Harun BAL & Nese ALGAN & Mehmet DEMIRAL, 2014, "Turkiye’nin Ihracat Performansi: Ihracat Hacminin Temel Belirleyicilerinin Incelenmesi (1995-2012)," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 14, issue 3, pages 451-462.
• Burcu BERKE & Burcu OZCAN & Hatice Isin DIZDARLAR, 2014, "Doviz Piyasasinin Etkinligi: Turkiye icin Bir Analiz," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 14, issue 4, pages 621-636.
• Haberis, Alex & Sokol, Andrej, 2014, "A procedure for combining zero and sign restrictions in aVAR-identification scheme," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 58077, Jun.
• Londoño Yarce, Juan Miguel & Regúlez Castillo, Marta & Vázquez Pérez, Jesús, 2014, "An Alternative View of the US Price-Dividend Ratio Dynamics," DFAEII Working Papers, University of the Basque Country - Department of Foundations of Economic Analysis II, number 1988-088X, Dec.
• Antonio Ribba & Antonella Cavallo, 2014, "Common Macroeconomic Shocks and Business Cycle Fluctuations in Euro Area Countries," EcoMod2014, EcoMod, number 6739, Jul.
• Salman Huseynov & Vugar Ahmadov, 2014, "Business Cycles in Oil Exporting Countries: A Declining Role for Oil?," 2nd International Conference on Energy, Regional Integration and Socio-Economic Development, EcoMod, number 7369, Oct.
• Yixiao Sun, 2014, "Fixed-smoothing Asymptotics and AsymptoticFandtTests in the Presence of Strong Autocorrelation," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Peter C. B. Phillips", DOI: 10.1108/S0731-905320140000033002.
• Eric Ghysels & J. Isaac Miller, 2014, "On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Peter C. B. Phillips", DOI: 10.1108/S0731-905320140000033004.
• Liang Hu & Yongcheol Shin, 2014, "Testing for Cointegration in Markov Switching Error Correction Models," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Peter C. B. Phillips", DOI: 10.1108/S0731-905320140000033005.
• Martin Burda, 2014, "Parallel Constrained Hamiltonian Monte Carlo for BEKK Model Comparison," Advances in Econometrics, Emerald Group Publishing Limited, "Bayesian Model Comparison", DOI: 10.1108/S0731-905320140000034008.
• Guillaume Weisang, 2014, "Factor Selection in Dynamic Hedge Fund Replication Models: A Bayesian Approach," Advances in Econometrics, Emerald Group Publishing Limited, "Bayesian Model Comparison", DOI: 10.1108/S0731-905320140000034009.
• Panayiotis F. Diamandis & Anastassios A. Drakos & Georgios P. Kouretas, 2014, "Exchange Rates, Fundamentals, and Nonlinearities: A Review and Some Further Evidence from a Century of Data," International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited, "Macroeconomic Analysis and International Finance", DOI: 10.1108/S1571-038620140000023004.
• Emanuele Millemaci & Ferdinando Ofria, 2014, "Kaldor-Verdoorn's law and increasing returns to scale," Journal of Economic Studies, Emerald Group Publishing Limited, volume 41, issue 1, pages 140-162, January, DOI: 10.1108/JES-02-2012-0026.
• Rangan Gupta & Charl Jooste & Kanyane Matlou, 2014, "A time-varying approach to analysing fiscal policy and asset prices in South Africa," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 6, issue 1, pages 46-63, April, DOI: 10.1108/JFEP-01-2013-0003.
• Debasish Maitra, 2014, "Do volume and open interest explain volatility?," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 6, issue 3, pages 226-243, July, DOI: 10.1108/JFEP-04-2013-0012.
• McAleer, M.J., 2014, "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2014-06, Feb.
• Mehmet Balcilar & Riza Demirer & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014, "Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-10.
• Mehmet Balcilar & Kirsten Thompson & Rangan Gupta & Renee van Eyden, 2014, "Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-11.
• Mehmet Balcilar & Reneé van Eyden & Josine Uwilingiye & Rangan Gupta, 2014, "The impact of oil price on South African GDP growth: A Bayesian Markov Switching-VAR analysis," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-13.
• Vassilios Babalos & Mehmet Balcilar & Rangan Gupta & Nikolaos Philippas, 2014, "Revisiting Herding Behavior in REITs: A RegimeSwitching Approach," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-15.
• Mehmet Balcilar & Kirsten Thompson & Rangan Gupta & Renee van Eyden, 2014, "Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-18.
• Pejman Bahramian & Mehmet Balcilar & Rangan Gupta & Patrick T. kanda, 2014, "Forecasting South African Inflation Using Non-Linear Models: A Weighted Loss-Based Evaluation," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-19.
• Goodness C. Aye & Mehmet Balcilar Author-Name-First Mehmet & Rangan Gupta & Anandamayee Majumdar, 2014, "Forecasting Aggregate Retail Sales: The Case of South Africa," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-21.
• Goodness C. Aye & Mehmet Balcilar Author-Name-First Mehmet & Adel Bosch & Rangan Gupta, 2014, "Housing and the Business Cycle in South Africa," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-22.
• Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Charl Jooste & Stephen M. Miller & Zeynel Abidin Ozdemir, 2014, "Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-24.
• Marco Antonio del Río Rivera & Casto Martín Montero Kuscevic, 2014, "Desdolarización financiera en Bolivia," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 29, issue 1, pages 3-25.
• Rodolfo Cermeño & María José Roa, 2014, "Desarrollo financiero, crecimiento y volatilidad: una breve revisión de la literatura reciente," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, volume 29, issue 1, pages 85-105.
• Abderrahim Chibi & Mohamed Benbouziane & Sidi Mohamed Chekouri, 2014, "The Impact of Fiscal Policy on Economic Activity Over the Bsiness Cycle: An Emirical Investigation in the Case of Algeria," Working Papers, Economic Research Forum, number 845, Oct, revised Oct 2014.
• IIBOSHI Hirokuni & MATSUMAE Tatsuyoshi & NISHIYAMA Shin-Ichi, 2014, "Sources of the Great Recession：A Bayesian Approach of a Data-Rich DSGE model with Time-Varying Volatility Shocks," ESRI Discussion paper series, Economic and Social Research Institute (ESRI), number 313, Dec.
• Joris TIELENS & Bas VAN AARLE & Jan VAN HOVE, 2014, "Effects of Eurobonds: a stochastic sovereign debt sustainability analysis for Portugal, Ireland and Greece," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces14.10, May.
• Mei-Yu LEE, 2014, "The Effect of Nonzero Autocorrelation Coefficients on the Distributions of Durbin-Watson Test Estimator: Three Autoregressive Models," Expert Journal of Economics, Sprint Investify, volume 2, issue 3, pages 85-99.
• Antonio Baselice & Antonio Stasi & Francesco Diotallevi & Andrea Marchini & Gianluca Nardone, 2014, "Crescita nei consumi di IV gamma. Un?applicazione del modello AIDS alla domanda italiana di ortofrutta," Economia agro-alimentare, FrancoAngeli Editore, volume 16, issue 2, pages 11-30.
• Yen-Hsien Lee & Hao Fang & Wei-Fan SU, 2014, "Effectiveness of Portfolio Diversification and the Dynamic Relationship between Stock and Currency Markets in the Emerging Eastern European and Russian Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 64, issue 4, pages 296-311, September.
• Agata Kliber, 2014, "The Dynamics of Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Selected Central European Economies," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 64, issue 4, pages 330-350, September.
• Eduard Baumöhl & Štefan Lyócsa, 2014, "Risk-Return Convergence in CEE Stock Markets: Structural Breaks and Market Volatility," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 64, issue 5, pages 352-373, November.
• Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance & Francesco Saraceno, 2014, "Assessing the link between price and financial stability," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2014-02, Feb.
• Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2014, "Forecasting the Oil-gasoline Price Relationship: Should We Care about the Rockets and the Feathers?," Working Papers, Fondazione Eni Enrico Mattei, number 2014.21, Mar.
• Jonas E. Arias & Juan F. Rubio-Ramirez & Daniel F. Waggoner, 2014, "Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2014-1, Feb.
• Mark J. Jensen & John M. Maheu, 2014, "Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2014-6, Jun.
• Nikolay Gospodinov & Ibrahim Jamali, 2014, "The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2014-14, Aug.
• Daniel F. Waggoner & Hongwei Wu & Tao Zha, 2014, "The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2014-21, Nov.
• Todd E. Clark & Michael W. McCracken, 2014, "Evaluating Conditional Forecasts from Vector Autoregressions," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1413, Oct, DOI: 10.26509/frbc-wp-201413.
• Mark Bognanni & Edward P. Herbst, 2014, "Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1427, Nov, DOI: 10.26509/frbc-wp-201427.
• Richard Ashley & Kwok Ping Tsang & Randal J. Verbrugge, 2014, "Frequency Dependence in a Real-Time Monetary Policy Rule," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1430, Nov, DOI: 10.26509/frbc-wp-201430.
• Alexander Chudik & M. Hashem Pesaran, 2014, "Theory and practice of GVAR modeling," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 180, May, DOI: 10.24149/gwp180.
• Don H. Kim & Jonathan H. Wright, 2014, "Jumps in Bond Yields at Known Times," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-100, Nov.
• Taisuke Nakata & Christopher Tonetti, 2014, "Small Sample Properties of Bayesian Estimators of Labor Income Processes," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-25, Mar.
• Jonas E. Arias & Juan F. Rubio-Ramirez & Daniel F. Waggoner, 2014, "Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1100, Apr.
• Sean P. Grover & Michael W. McCracken, 2014, "Factor-based prediction of industry-wide bank stress," Review, Federal Reserve Bank of St. Louis, volume 96, issue 2, pages 173-194.
• Neville Francis & Laura E. Jackson & Michael T. Owyang, 2014, "How Has Empirical Monetary Policy Analysis Changed After the Financial Crisis?," Working Papers, Federal Reserve Bank of St. Louis, number 2014-19, Aug, DOI: 10.20955/wp.2014.019.
• Ana B. Galvão & Michael T. Owyang, 2014, "Financial stress regimes and the macroeconomy," Working Papers, Federal Reserve Bank of St. Louis, number 2014-20, Jul, DOI: 10.20955/wp.2014.020.
• Todd E. Clark & Michael W. McCracken, 2014, "Evaluating Conditional Forecasts from Vector Autoregressions," Working Papers, Federal Reserve Bank of St. Louis, number 2014-25, Sep, DOI: 10.20955/wp.2014.025.
• Jerome Lahaye & Christopher J. Neely, 2014, "The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited," Working Papers, Federal Reserve Bank of St. Louis, number 2014-034, Oct, DOI: 10.20955/wp.2014.034.
• Hacer Simay Karaalp & Sevcan Güne?, 2014, "The Effect of International Trade on Manufacturing Industry Wages: The Case of Turkey," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 0702207, Oct.
• Munoz Lucie & Boudet Florian & Galano Victoria & Gmira Douaa & Reina Alizée, 2014, "Co-integrated Commodity Forward Pricing Model," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 0401426, Jul.
• Gurrola Ríos, César & Santillán Salgado, Roberto Joaquín & Jiménez Preciado, Ana Lorena, 2014, "Interrelaciones y causalidad entre los principales mercados de capitales en América Latina : un enfoque de series de tiempo / Interrelations and causality among the main capital markets in Latin America : a Time Series approach," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 4, issue 1, pages 63-86, enero-jun.
• Rendón De la Torre, Stephanie, 2014, "Aplicación de análisis multifractal de exponentes de Hölder en mercados financieros mexicanos : índice accionario IPC y tipo de cambio USD/MXN / A Multifractal Analysis Application of Hölder Exponents in Mexican Financial Markets: Mexican Stock Index," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 4, issue 2, pages 191-208, julio-dic.
• Bertille Antoine & Eric Renault, 2014, "On the relevance of weaker instruments," Discussion Papers, Department of Economics, Simon Fraser University, number dp14-04, Jul, revised 10 Oct 2016.
• Emenike Kalu O., 2014, "Volatility Transmission Between Stock and Foreign Exchange Markets: Evidence from Nigeria," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 1, issue 1, pages 59-72, DOI: 10.7172/2353-6845.jbfe.2014.1.4.
• Franz Seitz & Julian von Landesberger, 2014, "Household Money Holdings in the Euro Area: An Explorative Investigation," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 2, issue 2, pages 83-115, DOI: 10.7172/2353-6845.jbfe.2014.2.4.
• Andras Fulop & Jun Yu, 2014, "Bayesian Analysis of Bubbles in Asset Prices," Working Papers, Singapore Management University, School of Economics, number 04-2014, Jul.
• Atsushi Inoue & Lutz Kilian, 2014, "Joint Confidence Sets for Structural Impulse Responses," Departmental Working Papers, Southern Methodist University, Department of Economics, number 1401, Feb.
• Atsushi Inoue & Mototsugu Shintania, 2014, "Quasi-Bayesian Model Selection," Departmental Working Papers, Southern Methodist University, Department of Economics, number 1402, Feb.
• Matthias Gubler, 2014, "Carry Trade Activities: A Multivariate Threshold Model Analysis," Working Papers, Swiss National Bank, number 2014-06.
• Gregor Bäurle & Daniel Kaufmann, 2014, "Exchange rate and price dynamics in a small open economy - the role of the zero lower bound and monetary policy regimes," Working Papers, Swiss National Bank, number 2014-10.
• Zafer KANBEROĞLU & Mehmet Akif ARVAS, 2014, "Finansal Kalkınma ve Gelir Eşitsizliği: Türkiye Örneği, 1980–2012," Sosyoekonomi Journal, Sosyoekonomi Society, issue 21(21).
• Seyfettin ARTAN & Pınar HAYALOĞLU, 2014, "Kurumsal Yapı ve İktisadi Büyüme İlişkisi: Türkiye Örneği," Sosyoekonomi Journal, Sosyoekonomi Society, issue 22(22).
• Laura Carvalho & Armon Rezai, 2014, "Personal Income Inequality and Aggregate Demand," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2014_23, Oct.
• Nikolaos D. Geomelos & Evangelos Xideas, 2014, "Ex-Post and Ex-Ante Forecasts of Spot Prices in Bulk Shipping in a Period of Economic Crisis using Simultaneous Equation Models," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, volume 64, issue 2, pages 14-39, April-Jun.
• Nektarios Aslanidis & Stilianos Fountas, 2014, "Is real GDP stationary? Evidence from a panel unit root test with cross-sectional dependence and historical data," Empirical Economics, Springer, volume 46, issue 1, pages 101-108, February, DOI: 10.1007/s00181-012-0668-z.
• Piyachart Phiromswad, 2014, "Measuring monetary policy with empirically grounded identifying restrictions," Empirical Economics, Springer, volume 46, issue 2, pages 681-699, March, DOI: 10.1007/s00181-013-0692-7.
• Selva Demiralp & Kevin Hoover & Stephen Perez, 2014, "Still puzzling: evaluating the price puzzle in an empirically identified structural vector autoregression," Empirical Economics, Springer, volume 46, issue 2, pages 701-731, March, DOI: 10.1007/s00181-013-0694-5.
• Petre Caraiani, 2014, "Do money and financial variables help forecasting output in emerging European Economies?," Empirical Economics, Springer, volume 46, issue 2, pages 743-763, March, DOI: 10.1007/s00181-013-0686-5.
• Kashif Munir & Abdul Qayyum, 2014, "Measuring the effects of monetary policy in Pakistan: a factor-augmented vector autoregressive approach," Empirical Economics, Springer, volume 46, issue 3, pages 843-864, May, DOI: 10.1007/s00181-013-0702-9.
• Diego Winkelried, 2014, "Exchange rate pass-through and inflation targeting in Peru," Empirical Economics, Springer, volume 46, issue 4, pages 1181-1196, June, DOI: 10.1007/s00181-013-0715-4.
• George Kapetanios & Tony Yates, 2014, "Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change," Empirical Economics, Springer, volume 47, issue 1, pages 305-345, August, DOI: 10.1007/s00181-013-0743-0.
• Johan Lyhagen & Johanna Rickne, 2014, "Income inequality between Chinese regions: newfound harmony or continued discord?," Empirical Economics, Springer, volume 47, issue 1, pages 93-110, August, DOI: 10.1007/s00181-013-0745-y.
• Yasutomo Murasawa, 2014, "Measuring the natural rates, gaps, and deviation cycles," Empirical Economics, Springer, volume 47, issue 2, pages 495-522, September, DOI: 10.1007/s00181-013-0747-9.
• Gaetano D’Adamo, 2014, "Wage spillovers across sectors in Eastern Europe," Empirical Economics, Springer, volume 47, issue 2, pages 523-552, September, DOI: 10.1007/s00181-013-0744-z.
• Kemal Bagzibagli, 2014, "Monetary transmission mechanism and time variation in the Euro area," Empirical Economics, Springer, volume 47, issue 3, pages 781-823, November, DOI: 10.1007/s00181-013-0768-4.
• Bjørnar Kivedal, 2014, "A DSGE model with housing in the cointegrated VAR framework," Empirical Economics, Springer, volume 47, issue 3, pages 853-880, November, DOI: 10.1007/s00181-013-0765-7.
• Marco Lau & Yongyang Su & Na Tan & Zhe Zhang, 2014, "Hedging China’s energy oil market risks," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 4, issue 1, pages 99-112, June, DOI: 10.1007/s40822-014-0003-4.
• Surajit Das & Sukanya Bose & N. R. Bhanumurthy, 2014, "Oil Price Shock, Pass-Through Policy and its Impact on India," India Studies in Business and Economics, Springer, chapter 13, in: Ratan Khasnabis & Indrani Chakraborty, "Market, Regulations and Finance", DOI: 10.1007/978-81-322-1795-4_13.
• Robert Lehmann & Klaus Wohlrabe, 2014, "Forecasting gross value-added at the regional level: are sectoral disaggregated predictions superior to direct ones?," Review of Regional Research: Jahrbuch für Regionalwissenschaft, Springer;Gesellschaft für Regionalforschung (GfR), volume 34, issue 1, pages 61-90, February, DOI: 10.1007/s10037-013-0083-8.
• MeiChi Huang, 2014, "Monetary policy implications of housing shift-contagion across regional markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 38, issue 4, pages 589-608, October, DOI: 10.1007/s12197-012-9237-8.
• Matthew Oremland & Reinhard Laubenbacher, 2014, "Using difference equations to find optimal tax structures on the SugarScape," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 9, issue 2, pages 233-253, October, DOI: 10.1007/s11403-014-0133-5.
• Roula Inglesi-Lotz & Mehmet Balcilar & Rangan Gupta, 2014, "Time-varying causality between research output and economic growth in US," Scientometrics, Springer;Akadémiai Kiadó, volume 100, issue 1, pages 203-216, July, DOI: 10.1007/s11192-014-1257-z.
• Rangan Gupta & Alain Kabundi & Stephen Miller & Josine Uwilingiye, 2014, "Using large data sets to forecast sectoral employment," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 23, issue 2, pages 229-264, June, DOI: 10.1007/s10260-013-0243-6.
• Joshua C C Chan & Eric Eisenstat & Gary Koop, 2014, "Large Bayesian VARMAs," Working Papers, University of Strathclyde Business School, Department of Economics, number 1409, Sep.
• Ludovit Odor & Judita Jurasekova Kucserova, 2014, "Finding Yeti: More robust estimates of output gap in Slovakia," Working and Discussion Papers, Research Department, National Bank of Slovakia, number WP 1/2014, Mar.
• Steven Fazzari & James Morley & Irina Panovska, 2014, "State-Dependent Effects of Fiscal Policy," Discussion Papers, School of Economics, The University of New South Wales, number 2012-27C, Aug.
• Minxian Yang, 2014, "The Risk Return Relationship: Evidence from Index Return and Realised Variance Series," Discussion Papers, School of Economics, The University of New South Wales, number 2014-16, Mar.
• Mariano Kulish & James Morley & Tim Robinson, 2014, "Estimating the expected duration of the zero lower bound in DSGE models with forward guidance," Discussion Papers, School of Economics, The University of New South Wales, number 2014-32, Jun.
• Chan, Mark K. & Kwok, Simon, 2014, "Capital Account Liberalization and Dynamic Price Discovery: Evidence from Chinese Cross-Listed Stocks," Working Papers, University of Sydney, School of Economics, number 2014-08, Aug.
• Juan Carlos Cuestas & Javier Ord��ez, 2014, "Smooth transitions, asymmetric adjustment and unit roots," Applied Economics Letters, Taylor & Francis Journals, volume 21, issue 14, pages 969-972, September, DOI: 10.1080/13504851.2014.902016.
• P�r Österholm & P�r Stockhammar, 2014, "The euro crisis and Swedish GDP growth - a study of spillovers," Applied Economics Letters, Taylor & Francis Journals, volume 21, issue 16, pages 1105-1110, November, DOI: 10.1080/13504851.2014.912028.
• Michał Brzoza-Brzezina & Jacek Kotłowski, 2014, "Measuring the natural yield curve," Applied Economics, Taylor & Francis Journals, volume 46, issue 17, pages 2052-2065, June, DOI: 10.1080/00036846.2013.829204.
• Florin G. Maican & Richard J. Sweeney, 2014, "Costs of misspecification in break-model unit-root tests," Applied Economics, Taylor & Francis Journals, volume 46, issue 1, pages 111-118, January, DOI: 10.1080/00036846.2013.831171.
• Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014, "Housing and the Great Depression," Applied Economics, Taylor & Francis Journals, volume 46, issue 24, pages 2966-2981, August, DOI: 10.1080/00036846.2014.916393.
• Sule Akkoyunlu & Boriss Siliverstovs, 2014, "Does the law of one price hold in a high-inflation environment? A tale of two cities in Turkey," Applied Economics, Taylor & Francis Journals, volume 46, issue 26, pages 3236-3245, September, DOI: 10.1080/00036846.2014.925190.
• Sophocles N. Brissimis & Eugenie N. Garganas & Stephen G. Hall, 2014, "Consumer credit in an era of financial liberalization: an overreaction to repressed demand?," Applied Economics, Taylor & Francis Journals, volume 46, issue 2, pages 139-152, January, DOI: 10.1080/00036846.2013.835482.
• Mehmet Balcilar & Rene頶an Eyden & Roula Inglesi-Lotz & Rangan Gupta, 2014, "Time-varying linkages between tourism receipts and economic growth in South Africa," Applied Economics, Taylor & Francis Journals, volume 46, issue 36, pages 4381-4398, December, DOI: 10.1080/00036846.2014.957445.
• Goodness C. Aye & Mehmet Balcilar & John P. Dunne & Rangan Gupta & Rene� van Eyden, 2014, "Military expenditure, economic growth and structural instability: a case study of South Africa," Defence and Peace Economics, Taylor & Francis Journals, volume 25, issue 6, pages 619-633, December, DOI: 10.1080/10242694.2014.886432.
• Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2014, "Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models," Econometric Reviews, Taylor & Francis Journals, volume 33, issue 5-6, pages 606-650, August, DOI: 10.1080/07474938.2013.825175.
• Ioannis Kasparis & Peter C. B. Phillips & Tassos Magdalinos, 2014, "Nonlinearity Induced Weak Instrumentation," Econometric Reviews, Taylor & Francis Journals, volume 33, issue 5-6, pages 676-712, August, DOI: 10.1080/07474938.2013.825181.
• Philipp Matros & Enzo Weber, 2014, "Non-stationary Interest Rate Differentials and the Role of Monetary Policy," International Economic Journal, Taylor & Francis Journals, volume 28, issue 3, pages 497-512, September, DOI: 10.1080/10168737.2014.912248.
• Esti Van Wyk de Vries & Rangan Gupta & Reneé Van Eyden, 2014, "Intertemporal portfolio allocation and hedging demand: an application to South Africa," Journal of Business Economics and Management, Taylor & Francis Journals, volume 15, issue 4, pages 744-775, September, DOI: 10.3846/16111699.2012.688855.
• Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2014, "Nowcasting GDP in Real Time: A Density Combination Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 32, issue 1, pages 48-68, January, DOI: 10.1080/07350015.2013.844155.
• Cristina Amado & Timo Teräsvirta, 2014, "Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 32, issue 1, pages 69-87, January, DOI: 10.1080/07350015.2013.847376.
• André Lucas & Bernd Schwaab & Xin Zhang, 2014, "Conditional Euro Area Sovereign Default Risk," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 32, issue 2, pages 271-284, April, DOI: 10.1080/07350015.2013.873540.
• Till Strohsal & Enzo Weber, 2014, "Mean-variance cointegration and the expectations hypothesis," Quantitative Finance, Taylor & Francis Journals, volume 14, issue 11, pages 1983-1997, November, DOI: 10.1080/14697688.2013.814974.
• Ariel M. Viale & David A. Bessler & James W. Kolari, 2014, "On the Structure of Financial Contagion: Econometric Tests and Mercosur Evidence," Journal of Applied Economics, Taylor & Francis Journals, volume 17, issue 2, pages 373-400, November, DOI: 10.1016/S1514-0326(14)60017-9.
• Raghavan, Mala & Dungey, Mardi, 2014, "Should ASEAN-5 Monetary Policymakers Act Pre-emptively Against Stock Market Bubbles?," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2014-04, revised 2014.
• Raghavan, Mala & Athanasopoulos, George & Silvapulle, Param, 2014, "Canadian monetary policy analysis using a structural VARMA model," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2014-06, revised 2014.
• Athanasopouolos, George & Poskitt, Don & Vahid, Farshid & Yao, Wenying, 2014, "Forecasting with EC-VARMA models," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2014-07, Feb, revised 22 Feb 2014.
• Yao, Wenying & Kam, Timothy & Vahid, Farshid, 2014, "VAR(MA), what is it good for? more bad news for reduced-form estimation and inference," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2014-14.
• Serkan Cicek & Cuneyt Akar, 2014, "Do Inflation Expectations Converge Toward Inflation Target or Actual Inflation? Evidence from Expectation Gap Persistence," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 14, issue 1, pages 15-21.
• Burcu Gurcihan Yunculer & Gonul Sengul & Arzu Yavuz, 2014, "A Quest for Leading Indicators of the Turkish Unemployment Rate," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 14, issue 1, pages 23-45.
• Vuslat Us, 2014, "Estimating NAIRU for Turkey Using Extended Kalman Filter Approach," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, volume 14, issue 3, pages 63-94.
• Vuslat Us, 2014, "Estimating Nairu for the Turkish Economy Using Extended Kalman Filter Approach," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1406.
• Joseph Friedman & Yochanan Shachmurove, 2014, "The Responses of the Prime Rate to a Change in Policies of the Federal Reserve," DETU Working Papers, Department of Economics, Temple University, number 1405, Sep.
• Canofari Paolo & Marini Giancarlo & Piersanti Giovanni, 2014, "Expectations and systemic risk in EMU government bond spreads," wp.comunite, Department of Communication, University of Teramo, number 0113, Sep.
• Katarzyna Lasak & Carlos Velasco, 2014, "Fractional Cointegration Rank Estimation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-021/III, Feb.
• Michael McAleer, 2014, "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-025/III, Feb.
• Sait Ozturk & Michel van der Wel, 2014, "Intraday Price Discovery in Fragmented Markets," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-027/III, Feb.
• Siem Jan Koopman & Rutger Lit & André Lucas, 2014, "The Dynamic Skellam Model with Applications," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-032/IV/DSF73, Mar, revised 06 Jul 2015.
• Manabu Asai & Michael McAleer, 2014, "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-037/III, Mar.
• Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk, 2014, "Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-039/III, Mar.
• Federico Carlini & Katarzyna Lasak, 2014, "On an Estimation Method for an Alternative Fractionally Cointegrated Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-052/III, May.
• Siem Jan Koopman & Geert Mesters, 2014, "Empirical Bayes Methods for Dynamic Factor Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-061/III, May.
• Geert Mesters & Bernd Schwaab & Siem Jan Koopman, 2014, "A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-071/III, Jun.
• Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014, "Time Varying Transition Probabilities for Markov Regime Switching Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-072/III, Jun.
• Pawel Janus & André Lucas & Anne Opschoor & Dick J.C. van Dijk, 2014, "New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-073/IV, Jun, revised 19 Aug 2015.
• Geert Mesters & Victor van der Geest & Catrien Bijleveld, 2014, "Crime, Employment and Social Welfare: an Individual-level Study on Disadvantaged Males," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-091/III, Jul.
• Francisco Blasques & Siem Jan Koopman & André Lucas, 2014, "Optimal Formulations for Nonlinear Autoregressive Processes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-103/III, Aug.
• Francisco Blasques & Siem Jan Koopman & Max Mallee, 2014, "Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-105/III, Aug.
• Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg, 2014, "Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-107/III, Aug.
• Irma Hindrayanto & Siem Jan Koopman & Jasper de Winter, 2014, "Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-113/III, Aug.
• István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2014, "Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-118/III, Sep, revised 31 Mar 2016.
• Laurent Callot & Johannes Tang Kristensen, 2014, "Vector Autoregressions with parsimoniously Time Varying Parameters and an Application to Monetary Policy," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-145/III, Nov, revised 09 Apr 2015.
• Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014, "Combined Density Nowcasting in an Uncertain Economic Environment," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 14-152/III, Dec.
• Peersman, G. & Wagner, W.B., 2014, "Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations," Discussion Paper, Tilburg University, Center for Economic Research, number 2014-019.
• Peersman, G. & Wagner, W.B., 2014, "Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations," Other publications TiSEM, Tilburg University, School of Economics and Management, number 59380ba3-4ac2-48ca-8e1e-2.
• Peersman, G. & Wagner, W.B., 2014, "Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8ca05aca-f272-4ad0-9c79-7.
• Fève, Patrick & Sahuc, Jean-Guillaume, 2014, "In search of the transmission mechanism of fiscal policy in the Euro area," TSE Working Papers, Toulouse School of Economics (TSE), number 14-536, Nov, revised Mar 2016.
• Manabu Asai & Michael McAleer, 2014, "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-05, Mar.
• Michael McAleer, 2014, "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2014-18, Jun.
• Stelios D. Bekiros & Alessia Paccagnini, 2014, "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Open Access publications, School of Economics, University College Dublin, number 10197/7588, Oct.
• Dongwon Lee & Yu-chin Chen, 2014, "What Makes a Commodity Currency?," Working Papers, University of California at Riverside, Department of Economics, number 201420, Sep.
• Tae-Hwy Lee & Weiping Yang, 2014, "Money-Income Granger-Causality in Quantiles," Working Papers, University of California at Riverside, Department of Economics, number 201423, Sep, revised Sep 2012.