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

• Javier Hualde & Javier Gómez Biscarri, 2015, "A Residual-Based ADF Test for Stationary Cointegration in I (2) Settings," Working Papers, Barcelona School of Economics, number 779, Sep.
• Javier Hualde & Javier Gómez Biscarri, 2015, "Regression-based analysis of cointegration systems," Working Papers, Barcelona School of Economics, number 780, Sep.
• Dejan Živkov & Jovan Njegic & Marko Pecanac, 2014, "Bidirectional linkage between inflation and inflation uncertainty – the case of Eastern European countries," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, volume 14, issue 1-2, pages 124-139, December.
• Gertrud Errit & Lenno Uusküla, 2014, "Euro area monetary policy transmission in Estonia," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, volume 14, issue 1-2, pages 55-77, December.
• James Rude & Yves Surry, 2014, "Canadian Hog Supply Response: A Provincial Level Analysis," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, volume 62, issue 2, pages 149-169, June.
• Sangho Kim, 2014, "Estimating Productivity Growth In The Korean Economy Without Restrictive Assumptions," Contemporary Economic Policy, Western Economic Association International, volume 32, issue 2, pages 520-532, April.
• Hyeon-Seung Huh & David Kim, 2014, "Do SVAR Models Justify Discarding the Technology-Shock-Driven Real Business Cycle Hypothesis?," The Economic Record, The Economic Society of Australia, volume 90, issue 288, pages 98-118, March.
• Oscar Parkyn & Tugrul Vehbi, 2014, "The Effects of Fiscal Policy in New Zealand: Evidence from a VAR Model with Debt Constraints," The Economic Record, The Economic Society of Australia, volume 90, issue 290, pages 345-364, September.
• Mardi Dungey & Denise Osborn & Mala Raghavan, 2014, "International Transmissions to Australia: The Roles of the USA and Euro Area," The Economic Record, The Economic Society of Australia, volume 90, issue 291, pages 421-446, December.
• Gunther Capelle†Blancard & Stéphanie Monjon, 2014, "The Performance of Socially Responsible Funds: Does the Screening Process Matter?," European Financial Management, European Financial Management Association, volume 20, issue 3, pages 494-520, June, DOI: 10.1111/j.1468-036X.2012.00643.x.
• Masagus M. Ridhwan & Henri L. F. Groot & Piet Rietveld & Peter Nijkamp, 2014, "The Regional Impact of Monetary Policy in Indonesia," Growth and Change, Wiley Blackwell, volume 45, issue 2, pages 240-262, June.
• Stavros Degiannakis & Pamela Dent & Christos Floros, 2014, "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, volume 82, issue 1, pages 71-102, January.
• Hilde C. Bjørnland & Jørn I. Halvorsen, 2014, "How does Monetary Policy Respond to Exchange Rate Movements? New International Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 76, issue 2, pages 208-232, April.
• Matthijs Lof, 2014, "GMM Estimation with Non-causal Instruments under Rational Expectations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 76, issue 2, pages 279-286, April.
• Matteo Fragetta & Emanuel Gasteiger, 2014, "Fiscal Foresight, Limited Information and the Effects of Government Spending Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 76, issue 5, pages 667-692, October.
• Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2014, "Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 76, issue 5, pages 693-714, October.
• Markku Lanne & Jani Luoto, 2014, "Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 76, issue 5, pages 715-726, October.
• Martin Feldkircher & Iikka Korhonen, 2014, "The Rise of China and Its Implications for the Global Economy: Evidence from a Global Vector Autoregressive Model," Pacific Economic Review, Wiley Blackwell, volume 19, issue 1, pages 61-89, February.
• Justin Doran & Bernard Fingleton, 2014, "Economic shocks and growth: Spatio-temporal perspectives on Europe's economies in a time of crisis," Papers in Regional Science, Wiley Blackwell, volume 93, issue , pages 137-165, November.
• Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2014, "Time-Varying Spot and Futures Oil Price Dynamics," Scottish Journal of Political Economy, Scottish Economic Society, volume 61, issue 1, pages 78-97, February.
• Stavros Degiannakis & David Duffy & George Filis, 2014, "Business Cycle Synchronization in EU: A Time-Varying Approach," Scottish Journal of Political Economy, Scottish Economic Society, volume 61, issue 4, pages 348-370, September.
• Tolga Omay, 2014, "A Survey about Smooth Transition Panel Data Analysis," Econometrics Letters, Bilimsel Mektuplar Organizasyonu (Scientific letters), volume 1, issue 1, pages 18-29.
• Claudia Foroni & Massimiliano Marcellino, 2014, "Mixed frequency structural VARs," Working Paper, Norges Bank, number 2014/01, Jan.
• Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014, "Forecasting recessions in real time," Working Paper, Norges Bank, number 2014/02, Feb.
• Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz, 2014, "Identification of financial factors in economic fluctuations," Working Paper, Norges Bank, number 2014/09, Jul.
• Hilde C. Bjørnland & Leif Anders Thorsrud, 2014, "Boom or gloom? Examining the Dutch disease in two-speed economies," Working Paper, Norges Bank, number 2014/12, Aug.
• Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014, "Combined Density Nowcasting in an uncertain economic environment," Working Paper, Norges Bank, number 2014/17, Dec.
• Hilde C. Bjørnland & Leif Anders Thorsrud, 2014, "Boom or gloom? Examining the Dutch disease in two-speed economies," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 6/2014, Sep.
• Konstantinos Theodoridis & Francesco Zanetti, 2014, "News and labour market dynamics in the data and in matching models," Bank of England working papers, Bank of England, number 488, Mar.
• Timothy Fuerst & Charles Carlstrom & Matthias Paustian, 2014, "Optimal contracts, aggregate risk and the financial accelerator," Bank of England working papers, Bank of England, number 517, Nov.
• Athanasios O. Tagkalakis, 2014, "Assessing the variability of indirect tax elasticity in Greece," Working Papers, Bank of Greece, number 171, Jan.
• Ioanna C. Bardakas, 2014, "Financing exports of goods: a constraint on Greek economic growth," Working Papers, Bank of Greece, number 178, Mar.
• Athanasios O. Tagkalakis, 2014, "The determinants of vat revenue efficiency: recent evidence from Greece," Working Papers, Bank of Greece, number 181, May.
• Hail Park & Yongcheol Shin, 2014, "Mapping Korea's International Linkages using Generalised Connectedness Measures," Working Papers, Economic Research Institute, Bank of Korea, number 2014-16, Jun.
• Suleyman Hilmi Kal & Nuran Arslaner & Ferhat Arslaner, 2014, "Inflation Dynamics and Business Cycles," BIFEC Book of Abstracts & Proceedings, Research and Business Development Department, Borsa Istanbul, volume 1, issue 2, pages 121-129, March.
• Carnero M. Angeles & Eratalay M. Hakan, 2014, "Estimating VAR-MGARCH models in multiple steps," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 18, issue 3, pages 339-365, May, DOI: 10.1515/snde-2012-0065.
• Ravazzolo Francesco & Vahey Shaun P., 2014, "Forecast densities for economic aggregates from disaggregate ensembles," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 18, issue 4, pages 367-381, September, DOI: 10.1515/snde-2012-0088.
• Wang Xia & Shang Yuhuang & Zheng Tingguo, 2014, "An extensive study on Markov switching models with endogenous regressors," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 18, issue 4, pages 403-418, September, DOI: 10.1515/snde-2012-0071.
• Porqueddu Mario & Venditti Fabrizio, 2014, "Do food commodity prices have asymmetric effects on euro-area inflation?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 18, issue 4, pages 419-443, September, DOI: 10.1515/snde-2012-0077.
• Davide Pettenuzzo & Rossen Valkanov & Allan Timmermann, 2014, "A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics," Working Papers, Brandeis University, Department of Economics and International Business School, number 76, Jul.
• Zsolt Darvas, 2014, "Does Money Matter in the Euro area? Evidence from a new Divisia Index," Bruegel Working Papers, Bruegel, number 854, Nov.
• Gabriel Godofredo Fiuza de Bragança & Marcelo de Sales Pessoa & Katia Rocha, 2014, "Brazilian Regulatory Interventions, Volatility and Contagion: A VIRF analysis," Brazilian Review of Finance, Brazilian Society of Finance, volume 12, issue 3, pages 385-409.
• José M. Fernández, 2014, "Long Run Dynamics of World Food, Crude Oil Prices and Macroeconomic Variables: A Cointegration VAR Analysis," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 14/646, Nov.
• Seyed Nezamuddin Makiyan & Marjan Habibi, 2014, "Relationship Between Divorce And Some Economic & Socioeconomic Variables In Iran: An Application Of The Ardl Model," Almanach (Actual Issues in World Economics and Politics), Ekonomická univerzita, Fakulta medzinárodných vzťahov, volume 9, issue 1, pages 62-72.
• Alexander Chudik & M. Hashem Pesaran, 2014, "Theory and Practice of GVAR Modeling," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1408, May.
• Paul Cashin & Kamiar Mohaddes & Mehdi Raissi, 2014, "Fair Weather or Foul? The Macroeconomic Effects of El Niño," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1418, Jun.
• Cherry Muijsson, 2014, "Assessing Interbank Connectedness Using Transmission Decomposition Techniques: an Application to Eurozone SIFIs," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1438, Nov.
• Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014, "Multivariate Variance Ratio Statistics," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1459, Jun.
• Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2014, "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1464, Oct.
• Ludovit Odor & Judita Jurasekova Kucserova, 2014, "Finding Yeti: More robust estimates of output gap in Slovakia," Working Papers, Council for Budget Responsibility, number Working Paper No. 2/2014, Jan.
• Sanja Vuković, 2014, "Stress Testing of the Montenegrin Banking System with Aggregated and Bank-Specific Data," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 3, issue 2, pages 85-119.
• Michael McAleer, 2014, "Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/09, Feb.
• Manabu Asai & Michael McAleer, 2014, "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/10, Mar.
• W. Robert Reed, 2014, "Unit Root Tests, Size Distortions, and Cointegrated Data," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 14/28, Dec.
• Catherine ARAUJO BONJEAN & Jean-François BRUN, 2014, "Chocolate price fluctuations may cause depression: an analysis of price pass-through in the cocoa chain," Working Papers, CERDI, number 201420, Sep.
• Elliott, Graham & Müller, Ulrich K, 2014, "Pre and post break parameter inference," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt4j733246, Jun.
• Sun, Yixiao, 2014, "Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt8479f4s2, May.
• 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, Universidad del CEMA, volume 17, pages 373-400, November.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2014, "Testing Unemployment Theories: A Multivariate Long Memory Approach," CESifo Working Paper Series, CESifo, number 4570.
• Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014, "Confidence Bands for Impulse Responses: Bonferroni versus Wald," CESifo Working Paper Series, CESifo, number 4634.
• Helmut Lütkepohl & Anton Velinov, 2014, "Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity," CESifo Working Paper Series, CESifo, number 4651.
• Alexander Rathke & Samad Sarferaz, 2014, "Malthus and the Industrial Revolution: Evidence from a Time-Varying VAR," CESifo Working Paper Series, CESifo, number 4667.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2014, "Youth Unemployment in Europe: Persistence and Macroeconomic Determinants," CESifo Working Paper Series, CESifo, number 4696.
• Gert Peersman & Wolf Wagner, 2014, "Shocks to Bank Lending, Risk-Taking, Securitization, and their Role for U.S. Business Cycle Fluctuations," CESifo Working Paper Series, CESifo, number 4701.
• Alexander Chudik & M. Hashem Pesaran, 2014, "Theory and Practice of GVAR Modeling," CESifo Working Paper Series, CESifo, number 4807.
• Guglielmo Maria Caporale & Faek Menla Ali & Nicola Spagnolo, 2014, "Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach," CESifo Working Paper Series, CESifo, number 4881.
• Jef Boeckx & Maarten Dossche & Gert Peersman, 2014, "Effectiveness and Transmission of the ECB's Balance Sheet Policies," CESifo Working Paper Series, CESifo, number 4907.
• Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014, "Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis," CESifo Working Paper Series, CESifo, number 4912.
• Steffen Henzel & Malte Rengel, 2014, "Dimensions of Macroeconomic Uncertainty: A Common Factor Analysis," CESifo Working Paper Series, CESifo, number 4991.
• Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014, "Macro News and Bond Yield Spreads in the Euro Area," CESifo Working Paper Series, CESifo, number 5008.
• Bruno Chiarini & Elisabetta Marzano, 2014, "Urbanization and Growth: Why Did the Splendor of the Italian Cities in the Sixteenth Century not Lead to Transition?," CESifo Working Paper Series, CESifo, number 5038.
• Oliver Hossfeld & Ronald MacDonald, 2014, "Carry Funding and Safe Haven Currencies: A Threshold Regression Approach," CESifo Working Paper Series, CESifo, number 5117.
• Max Gillman & Michal Kejak & Giulia Ghiani, 2014, "Money, Banking and Interest Rates: Monetary Policy Regimes with Markov-Switching VECM Evidence," CEU Working Papers, Department of Economics, Central European University, number 2014_3, Oct.
• Jorge Miguel Lopo Gonçalves Andraz, 2014, "On the Long-Term Macroeconomic Effects of Social Security Spending: Evidence for 12 EU Countries," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal), number 2014_08.
• Alex Haberis & Andrej Sokol, 2014, "A procedure for combining zero and sign restrictions in a VAR-identification scheme," Discussion Papers, Centre for Macroeconomics (CFM), number 1410, Jun.
• Juan Antolin-Diaz & Thomas Drechsel & Ivan Petrella, 2014, "Tracking the Slowdown in Long-Run GDP Growth," Discussion Papers, Centre for Macroeconomics (CFM), number 1604, Oct, revised Jan 2016.
• Mario Alloza, 2014, "Is Fiscal Policy More Effective in Uncertain Times or During Recessions?," Discussion Papers, Centre for Macroeconomics (CFM), number 1631, Apr, revised Oct 2016.
• Jean-Pierre Allegret & Valérie Mignon & Audrey Sallenave, 2014, "Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies," Working Papers, CEPII research center, number 2014-01, Jan.
• Virginie Coudert & Cyriac Guillaumin & Hélene Raymond, 2014, "Looking at the Other Side of Carry Trades: Are there any Safe Haven Currencies?," Working Papers, CEPII research center, number 2014-03, Feb.
• Khaled Guesmi & Frédéric Teulon, 2014, "The determinants of regional stock market integration in middle east: A conditional ICAPM approach," International Economics, CEPII research center, issue 137, pages 22-31.
• Maggie E. C. Jones & Morten Ørregaard Nielsen & Micha Ksawery Popiel, 2014, "A fractionally cointegrated VAR analysis of economic voting and political support," Canadian Journal of Economics, Canadian Economics Association, volume 47, issue 4, pages 1078-1130, November, DOI: 10.1111/caje.12115.
• Olga Efimova & Apostolos Serletis, , "Energy Markets Volatility Modelling using GARCH," Working Papers, Department of Economics, University of Calgary, number 2014-39, revised 24 Feb 2014.
• Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014, "A Spectral EM Algorithm for Dynamic Factor Models," Working Papers, CEMFI, number wp2014_1411, Dec.
• Tomas Adam & Miroslav Plasil, 2014, "The Impact of Financial Variables on Czech Macroeconomic Developments: An Empirical Investigation," Working Papers, Czech National Bank, Research and Statistics Department, number 2014/11, Dec.
• Guillermo Andr√©s Cangrejo Jim√©nez, 2014, "La Estructura a Plazos del Riesgo Interbancario," Documentos de Trabajo, Universidad del Rosario, number 12172, Sep.
• Rub�n Albeiro Loaiza Maya & Jos� Eduardo G�mez-Gonz�lez & Luis Fernando Melo Velandia, 2014, "Exchange Rates Contagion in Latin America," Borradores de Economia, Banco de la Republica, number 12105, Sep.
• Esteban Gómez & Andr�s Murcia & Nancy Zamudio, 2014, "Foreign Debt Flows and the Credit Market: A Principal Agent Approach," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 32, issue 73, pages 87-103, DOI: 10.1016/S0120-4483(14)70021-1.
• Sylvia Beatriz Guillermo Peón & Mart�n Alberto Rodr�guez Brindis, 2014, "Analyzing the Exchange Rate Pass-through in Mexico: Evidence Post Inflation Targeting Implementation," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 32, issue 74, pages 18-35, DOI: 10.1016/S0120-4483(14)70025-9.
• Oscar Andrés Espinosa Acuna & Paola Andrea Vaca Gonz�lez, 2014, "Causas del desempleo en Colombia en el siglo XXI: Evidencia a partir de un modelo var-x cointegrado," Revista de Economía del Caribe, Universidad del Norte, volume 0, issue 0, pages 1-24.
• Eloy Fisher, 2014, "La inflación en Panamá (2006-2012): Un estudio descriptivo y econométrico," Coyuntura Económica, Fedesarrollo.
• BAUWENS, Luc & GRIGORYEVA, Lyudmila & ORTEGA, Juan-Pablo, 2014, "Estimation and empirical performance of non-scalar dynamic conditional correlation models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014012, Jun.
• YANG, Yukai, 2014, "Testing constancy of the error covariance matrix in vector models against parametric alternatives using a spectral decomposition," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014017, Jun.
• BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2014, "Forecasting comparison of long term component dynamic models for realized covariance matrices," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014053, Nov.
• Terasvirta, Timo & Yang, Yukai, 2014, "Linearity and misspecification tests for vector smooth transition regression models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014061, Nov.
• Terasvirta, Timo & Yang, Yukai, 2014, "Specification, estimation and evaluation of vector smooth transition autoregressive models with applications," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014062, Nov.
• Annette Zeilstra & Adam Elbourne, 2014, "Follow the leader? Public and private wages in the Netherlands," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 274, Apr.
• Arias, Jonas E. & Rubio-Ramírez, Juan F. & Waggoner, Daniel F., 2014, "Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications," Dynare Working Papers, CEPREMAP, number 30, Jan.
• Sergey, Ivashchenko, 2014, "Estimating nonlinear DSGE models with moments based methods," Dynare Working Papers, CEPREMAP, number 32, Jan.
• Kulish, Mariano & Pagan, Adrian, 2014, "Estimation and Solution of Models with Expectations and Structural Changes," Dynare Working Papers, CEPREMAP, number 34, Feb.
• Nikolay, Iskrev, 2014, "Choosing the variables to estimate singular DSGE models: Comment," Dynare Working Papers, CEPREMAP, number 41, Oct.
• Andrzej Geise & Mariola Pilatowska, 2014, "Oil Prices, Production and Inflation in the Selected EU Countries: Threshold Cointegration Approach," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 14, pages 71-91.
• Claude Diebolt, 2014, "Kuznets versus kondratieff An essay in historical macroeconometrics," Cahiers d’économie politique / Papers in Political Economy, L'Harmattan, issue 67, pages 81-118.
• Canova, Fabio & Schlaepfer, Alan, 2014, "Has the Euro-Mediterranean partnership affected Mediterranean business cycles?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10023, Jun.
• Forni, Mario & Gambetti, Luca, 2014, "Government Spending Shocks in Open Economy VARs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10115, Aug.
• Rossi, Barbara & Inoue, Atsushi & Kuo, Chun-Hung, 2014, "Identifying the Sources of Model Misspecification," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10140, Sep.
• Timmermann, Allan & Pettenuzzo, Davide & Valkanov, Rossen, 2014, "A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10160, Sep.
• Petrella, Ivan & Drechsel, Thomas & Antolin-Diaz, Juan, 2014, "Following the Trend: Tracking GDP when Long-Run Growth is Uncertain," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10272, Nov.
• Kilian, Lutz & Inoue, Atsushi & Guerron-Quintana, Pablo A., 2014, "Impulse Response Matching Estimators for DSGE Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10298, Dec.
• Petrella, Ivan & Juvenal, Luciana, 2014, "Speculation in the Oil Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9808, Feb.
• Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2014, "No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9848, Mar.
• Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2014, "Structural FECM: Cointegration in large-scale structural FAVAR models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9858, Mar.
• Kilian, Lutz & Inoue, Atsushi, 2014, "Joint Confidence Sets for Structural Impulse Responses," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9892, Mar.
• Tino Berger & Bernd Kempa, 2014, "Time-varying equilibrium rates in small open economies: Evidence for Canada," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 3414, Oct.
• Martin T. Bohl & Jeanne Diesteldorf & Christian A. Salm & Bernd Wilfling, 2014, "Spot Market Volatility and Futures Trading: The Pitfalls of Using a Dummy Variable Approach," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 3514, Oct.
• Tatsuyoshi Okimoto, 2014, "Asymmetric Increasing Trends in Dependence in International Equity Markets," AJRC Working Papers, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University, number 1405.
• Russel Davidson & Andrea Monticini, 2014, "Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping," DISCE - Working Papers del Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number def012, Mar.

2013

• Sharafat Ali, 2013, "The Small and Medium Enterprises and Poverty in Pakistan: An Empirical Analysis," European Journal of Business and Economics, Central Bohemia University, volume 8, issue 2, pages 25-301:8, July, DOI: 10.12955/ejbe.v8i2.376.
• Tom Engsted & Thomas Q. Pedersen, 2013, "Housing market volatility in the OECD area: Evidence from VAR based return decompositions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-04, 02.
• Katarzyna Lasak & Carlos Velasco, 2013, "Fractional cointegration rank estimation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-08, 03.
• Daniela Osterrieder, 2013, "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-17, 05.
• Kirstin Hubrich & Timo Teräsvirta, 2013, "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-18, Jun.
• Niels S. Hansen & Asger Lunde, 2013, "Analyzing Oil Futures with a Dynamic Nelson-Siegel Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-36, 10.
• Federico Carlini & Paolo Santucci de Magistris, 2013, "On the identification of fractionally cointegrated VAR models with the F(d) condition," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2013-44, Nov.
• Joshua C.C. Chan & Gary Koop, 2013, "Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2013-603, Feb.
• Joshua C.C. Chan & Eric Eisenstat, 2013, "Gibbs Samplers for VARMA and Its Extensions," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics, number 2013-604, Feb.
• María Lorena Marí Del Cristo & Marta Gómez-Puig, 2013, "Fiscal dynamics in a dollarized, oil-exporting country: Ecuador," Working Papers, Asociación Española de Economía y Finanzas Internacionales, number 13-06, Sep.
• Timo Teuber, 2013, "Interpreting Business Cycles as Generalized Two-Dimensional Loops Using Penalized Splines Regression Techniques," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, volume 59, issue 1, pages 1-26, DOI: 10.3790/aeq.59.1.1.
• Ion PARTACHI & Olga PANIS, 2013, "Interaction Between Real And Monetary Sectors Of The Economy In Terms Of Economic Instability," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, volume 2, issue 2, pages 7-19, DECEMBER.
• Tai-kuang Ho & Cheng-chung Lai & Joshua Jr-shiang Gau, 2013, "Equilibrium and adjustment of exchange rates in the Chinese silver standard economy, 1928-1935," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), volume 7, issue 1, pages 87-98, January, DOI: 10.1007/s11698-012-0079-6.
• Jonathan Chipili, 2013, "Monetary Policy, Foreign Exchange Intervention and Exchange Rate Volatility in Zambia," The African Finance Journal, Africagrowth Institute, volume 15, issue 1, pages 36-55.
• Siti Nur Zahara HAMZAH & Evan LAU, 2013, "The role of social factors in explaining crime," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, volume 0, issue 6(583), pages 99-118, June.
• Hahn, William F. & Taha, Fawzi A. & Davis, Christopher G., , "Estimating PIGLOG Demands Using Representative versus Average Expenditure," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C., Agricultural and Applied Economics Association, number 149351, DOI: 10.22004/ag.econ.149351.
• Loy, Jens-Peter & Holm, Thore & Steinhagen, Carsten & Glauben, Thomas, 2013, "Seasonal Quality Premiums for Wheat," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C., Agricultural and Applied Economics Association, number 149744, DOI: 10.22004/ag.econ.149744.
• Gardebroek, Cornelis & Hernandez, Manuel A. & Robles, Miguel, 2013, "Market interdependence and volatility transmission among major crops," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C., Agricultural and Applied Economics Association, number 150119, DOI: 10.22004/ag.econ.150119.
• Leucci, A. C. & Ghinoi, S. & Sgargi, D. & Wesz, V. J., Jr., 2013, "Variation and links among food and energy international prices. An analysis through VAR models from 2000 to 2012," 2013 Second Congress, June 6-7, 2013, Parma, Italy, Italian Association of Agricultural and Applied Economics (AIEAA), number 149923, Jun, DOI: 10.22004/ag.econ.149923.
• Arbulú, I. & Lozano, J. & Rey-Maquieira, J., 2013, "Municipal solid waste generation in mature destinations: An IPAT-type model for Mallorca," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, volume 13, issue 01, DOI: 10.22004/ag.econ.152823.
• Manera, Matteo & Nicolini, Marcella & Vignati, Ilaria, 2013, "Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 151372, May, DOI: 10.22004/ag.econ.151372.
• Julien, Chevallier & Sévi, Benoît, 2013, "A Fear Index to Predict Oil Futures Returns," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 156489, Jun, DOI: 10.22004/ag.econ.156489.
• Rude, James & Surry, Yves, 2013, "Canadian Hog Supply Respose: A Provincial Level Analysis," Working Papers, Structure and Performance of Agriculture and Agri-products Industry (SPAA), number 148590, Feb, DOI: 10.22004/ag.econ.148590.
• Yannick Le Pen & Benoît Sévi, 2013, "Futures Trading and the Excess Comovement of Commodity Prices," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1301, Jan, revised Jan 2013.
• Gilles Dufrénot & Benjamin Keddad, 2013, "Business Cycles Synchronization in East Asia: A Markov-Switching Approach," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1344, Sep, revised Sep 2013.
• Bucher, Axel & Jaschke, Stefan & Wied, Dominik, 2013, "Nonparametric tests for constant tail dependence with an application to energy and finance," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013033, Jan.
• Ben Omrane, Walid & Hafner, Christian, 2013, "Macroeconomic news surprises and volatility spillover in foreign exchange markets," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013059, Jan.
• Pierret, D., 2013, "The systemic risk of energy markets," LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2013061, Jan.
• Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI, 2013, "Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 394, Nov.
• Francesca DI IORIO & Stefano FACHIN & Riccardo LUCCHETTI, 2013, "Can you do the wrong thing and still be right? Hypothesis Testing in I(2) and near-I(2) cointegrated VARs," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 395, Nov.
• Tulin Tunc Deveci & Suleyman Degirmen, 2013, "Does Twin Deficits Relationship Affect The Leading Indicators Of Crisis? Analysis Of The Us And Turkey In Light Of The 2008 Global Crisis," Anadolu University Journal of Social Sciences, Anadolu University, volume 13, issue 2, pages 1-14, June.
• Hafiz Saqib Mehmood Najmi & Farrukh Bashir & Saman Maqsood, 2013, "Is Fiscal Policy Effective In Generating Higher Real Output? A Case Of Pakistan," Pakistan Journal of Humanities and Social Sciences, International Research Alliance for Sustainable Development (iRASD), volume 1, issue 2, pages 47-58, December.
• Alessandra Ribeiro & Vladimir K. Teles, 2013, "Taxa Natural de Juros no Brasil," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 14, issue 1c, pages 733-750.
• Krenar Avdulaj & Jozef Barunik, 2013, "Are benefits from oil - stocks diversification gone? New evidence from a dynamic copula and high frequency data," Papers, arXiv.org, number 1307.5981, Jul, revised Feb 2015.
• Xiaohong Chen & Timothy Christensen, 2013, "Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression," Papers, arXiv.org, number 1311.0412, Nov.
• Marek Jarocinski & Albert Marcet, 2013, "Online Appendix to "Priors about Observables in Vector Autoregressions"," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 928.13, Feb.
• Marek Jarocinski & Albert Marcet, 2013, "Priors about Observables in Vector Autoregressions," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 929.13, Mar.
• A Vadivel & M Ramachandran, 2013, "Does Exchange Rate Intervention Trigger Volatility," IEG Working Papers, Institute of Economic Growth, number 328.
• Ron Gallant & Raffaella Giacomini & Giuseppe Ragusa, 2013, "Generalized method of moments with latent variables," CeMMAP working papers, Institute for Fiscal Studies, number 50/13, Oct, DOI: 10.1920/wp.cem.2013.5013.
• Francesca Marino, 2013, "Regional fluctuations and national cohesion in the EU12: a pre-Maastricht assessment," SERIES, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", number 0048, Aug, revised Aug 2013.
• Atef Saad Alshehry & Sarra Ben Slimane, 2013, "On the Optimality of GCC Monetary Union: Asymmetric Shocks Assessments," Review of Economics & Finance, Better Advances Press, Canada, volume 3, pages 49-62, February.
• Wei Yanfeng, 2013, "The Dynamic Relationships between Oil Prices and the Japanese Economy: A Frequency Domain Analysis," Review of Economics & Finance, Better Advances Press, Canada, volume 3, pages 57-67, May.
• Christian Calm¨¨s & Raymond Th¨¦oret, 2013, "Is the Canadian Banking System Really ¡°Stronger¡± than the U.S. One?," Review of Economics & Finance, Better Advances Press, Canada, volume 3, pages 1-18, November.
• Philipp Matros & Johannes Vilsmeier, 2013, "The Multivariate Option iPoD Framework - Assessing Systemic Financial Risk," Working Papers, Bavarian Graduate Program in Economics (BGPE), number 143, Oct.
• Tschernig, Rolf & Weber, Enzo & Weigand, Roland, 2013, "Fractionally Integrated VAR Models with a Fractional Lag Operator and Deterministic Trends: Finite Sample Identification and Two-step Estimation," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 471.
• Conrad, Christian & Weber, Enzo, 2013, "Measuring Persistence in Volatility Spillovers," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 473, Apr.
• Tschernig, Rolf & Weber, Enzo & Weigand, Roland, 2013, "Long- versus medium-run identification in fractionally integrated VAR models," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 476, Dec.
• Hasibe OZGUMUS & Turhan KORKMAZ & Emrah Ismail CEVIK, 2013, "The Impact of Macroeconomic Factors on Futures Contracts: An Application on Turkdex," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 7, issue 1, pages 103-136.
• Bulent DOGRU, 2013, "The Relationship Between Inflation and Inflation Uncertainty Under Different Monetary Policy Regimes," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 7, issue 2, pages 77-99.
• Enrique Moral-Benito & Luis Serven, 2013, "Testing weak exogeneity in cointegrated panels," Working Papers, Banco de España, number 1307, May.
• Samuel Hurtado, 2013, "DSGE Models and the Lucas critique," Working Papers, Banco de España, number 1310, Aug.
• Carmen Broto & Gabriel Perez-Quiros, 2013, "Disentangling contagion among sovereign cds spreads during the european debt crisis," Working Papers, Banco de España, number 1314, Oct.
• Stefano Neri, 2013, "The impact of the sovereign debt crisis on bank lending rates in the euro area," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 170, Jun.
• Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2013, "Do euro area countries respond asymmetrically to the common monetary policy?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 923, Jul.
• Giacomo Sbrana & Andrea Silvestrini, 2013, "Forecasting aggregate demand: analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 929, Sep.
• Matteo Luciani & Libero Monteforte, 2013, "Uncertainty and heterogeneity in factor models forecasting," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 930, Sep.
• Daniel Vela, 2013, "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia, Banco de la Republica de Colombia, number 761, Mar, DOI: 10.32468/be.761.
• Franz Alonso Hamann Salcedo & Rafael Hernández & Luisa Fernanda Silva EScobar & Fernando Tenjo Galarza, 2013, "Credit Pro-cyclicality and Bank Balance Sheet in Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 762, Apr, DOI: 10.32468/be.762.
• Juan Sebastián Amador Torres & José EDuardo Gómez G. & Andrés Murcia Pabón, 2013, "Loans Growth and Banks’ Risk: New Evidence," Borradores de Economia, Banco de la Republica de Colombia, number 763, Apr, DOI: 10.32468/be.763.
• Carlos Eduardo León Rincón & Karen Julieth Leiton & Jhonatan Perez Villalobos, 2013, "Extracting the sovereigns’ CDS market hierarchy: a correlation-filtering approach," Borradores de Economia, Banco de la Republica de Colombia, number 766, May, DOI: 10.32468/be.766.
• José Eduardo Gómez G. & Jair Ojeda Joya & Fernando Tenjo Galarza & Héctor Manuel Zárate Solano, 2013, "The Interdependence between Credit and Real Business Cycles in Latin American Economies," Borradores de Economia, Banco de la Republica de Colombia, number 768, May, DOI: 10.32468/be.768.
• Wilmer Martínez, 2013, "Metodología de perfiles coincidentes para determinar indicadores líderes y contemporáneos, estudio de caso," Borradores de Economia, Banco de la Republica de Colombia, number 771, Jun, DOI: 10.32468/be.771.
• Paulo Mauricio Sánchez Beltrán & Luis Fernando Melo Velandia, 2013, "Combinación de brechas del producto colombiano," Borradores de Economia, Banco de la Republica de Colombia, number 775, Jul, DOI: 10.32468/be.775.
• Paulo M. Sánchez & Luis Fernando Melo, 2013, "Combinación de brechas del producto colombiano," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 31, issue 72, pages 74-82, December, DOI: 10.1016/S0120-4483(13)70006-X.
• Dzmitry Kruk & Kiryl Haiduk, 2013, "The Outcome of Directed Lending in Belarus: Mitigating Recession or Dampening Long-Run Growth?," BEROC Working Paper Series, Belarusian Economic Research and Outreach Center (BEROC), number 22, Mar.
• Milena Lipovina-Božović, 2013, "A Comparison Of The Var Model And The Pc Factor Model In Forecasting Inflation In Montenegro," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 58, issue 198, pages 115-136, July - Se.
• Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2013, "Dynamic Factor Models: A review of the Literature ," Working papers, Banque de France, number 430.
• Majid M. Al-Sadoon, 2015, "Geometric and Long Run Aspects of Granger Causality," Working Papers, Barcelona School of Economics, number 682, Sep.
• Marek Jarocinski & Albert Marcet, 2015, "Priors about Observables in Vector Autoregressions," Working Papers, Barcelona School of Economics, number 684, Sep.
• Marek Jarocinski & Albert Marcet, 2015, "Online Appendix to 'Priors about Observables in Vector Autoregressions'," Working Papers, Barcelona School of Economics, number 685, Sep.