Research classified by Journal of Economic Literature (JEL) codes

---

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

---

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

• 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.
• Francis M. Kemegue & Marthinus C. Breitenbach & Mulatu F. Zerihun, 2014, "Nonlinear Econometric Approaches in Testing PPP of SADC Economies towards Monetary Union," ERSA Working Paper Series, Economic Research Southern Africa, number 420, Feb.
• Greg Farrell & Jessica Kramer, 2014, "The reliability of South African real-time output gap estimates," ERSA Working Paper Series, Economic Research Southern Africa, number 428, Apr.
• Leroi Raputsoane, 2014, "Disaggregated Credit Extension and Financial Distress in South Africa," ERSA Working Paper Series, Economic Research Southern Africa, number 435, Jun.
• Leroi Raputsoane, 2014, "Financial Stress Indicator Variables and Monetary Policy in South Africa," ERSA Working Paper Series, Economic Research Southern Africa, number 443, Jul.
• Eric Schaling & James Bernstein & Leroi Raputsoane, 2014, "Credit Procyclicality and Financial Regulation in South Africa," ERSA Working Paper Series, Economic Research Southern Africa, number 445, Jul.
• Elie Bouri & Georges Azzi, 2014, "On the Dynamic Transmission of Mean and Volatility across the Arab Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 13, issue 3, pages 279-304, December, DOI: 10.1177/0972652714552041.
• Stavros Degiannakis & George Filis & Renatas Kizys, 2014, "The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data," The Energy Journal, , volume 35, issue 1, pages 35-56, January, DOI: 10.5547/01956574.35.1.3.
• Fanny Henriet & Nicolas Maggiar & Katheline Schubert, 2014, "A Stylized Applied Energy-Economy Model for France," The Energy Journal, , volume 35, issue 4, pages 1-38, October, DOI: 10.5547/01956574.35.4.1.
• Stephan B. Bruns & Christian Gross & David I. Stern, 2014, "Is There Really Granger Causality between Energy Use and Output?," The Energy Journal, , volume 35, issue 4, pages 101-134, October, DOI: 10.5547/01956574.35.4.5.
• Satyananda Sahoo, 2014, "Financial Intermediation and Growth: Bank-Based versus Market-Based Systems," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 8, issue 2, pages 93-114, May, DOI: 10.1177/0973801013519998.
• Ranajoy Bhattacharyya & Jaydeep Mukherjee, 2014, "Do Exchange Rates Affect Exports in India?," South Asian Journal of Macroeconomics and Public Finance, , volume 3, issue 2, pages 175-193, December, DOI: 10.1177/2277978714548631.
• Krishanu Pradhan, 2014, "Is India’s Public Debt Sustainable?," South Asian Journal of Macroeconomics and Public Finance, , volume 3, issue 2, pages 241-266, December, DOI: 10.1177/2277978714548637.
• Navaratnam Ravinthirakumaran, 2014, "Applicability of Openness-led Growth Hypothesis in Sri Lanka," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, volume 15, issue 2, pages 241-263, September, DOI: 10.1177/1391561414548951.
• Massimo Franchi & Paolo Paruolo, 2014, "Inverting a matrix function around a singularity via local rank factorization," DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome, number 2014/6, Dec.
• Dongkoo Chang & Jami'ah Jaffar, 2014, "Monetary Policy Towards Inclusive Growth: The Case of Korea," Working Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number wp05, Jun.
• 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.
• Paolo Canofari & Giancarlo Marini & Giovanni Piersanti, 2014, "Expectations and systemic risk in EMU government bond spreads," CIMEO Working Paper Series, Centre for Investigation and Modelling of Experimental Observations (CIMEO), number 113, 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.
• Goodness C. Aye & Rangan Gupta & Stephen M. Miller & Mehmet Balcilar, 2014, "Forecasting US Real Private Residential Fixed Investment Using a Large Number of Predictors," Working papers, University of Connecticut, Department of Economics, number 2014-10, May.
• Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014, "A Time-Varying Approach of the US Welfare Cost of Inflation," Working papers, University of Connecticut, Department of Economics, number 2014-11, May.
• Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014, "Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013," Working papers, University of Connecticut, Department of Economics, number 2014-26, Sep.
• Magali Jaoul-Grammare, 2014, "Prestige social des professions et substituabilité des filières universitaires," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2014-01.
• Gabriela Mordecki, 2014, "Determinants of Argentinean tourism demand in Uruguay," Documentos de Trabajo (working papers), Instituto de Economía - IECON, number 14-17, Nov.
• Eric Ghysels & J. Isaac Miller, 2014, "On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests," Working Papers, Department of Economics, University of Missouri, number 1403, Jan.
• Mirko Abbritti & Salvatore Dell'Erba & ​Antonio Moreno & Sergio Sola, 2014, "Global Factors in the Term Structure of Interest Rates," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 01/14, Jan.
• Smeekes, S. & Urbain, J.R.Y.J., 2014, "A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 008, Jan, DOI: 10.26481/umagsb.2014008.
• Duplinskiy, A., 2014, "Is regularization necessary? A Wald-type test under non-regular conditions," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 025, Jan, DOI: 10.26481/umagsb.2014025.
• Götz, T.B. & Hecq, A.W., 2014, "Testing for Granger causality in large mixed-frequency VARs," Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE), number 028, Jan, DOI: 10.26481/umagsb.2014028.
• Javier Gómez Biscarri & Javier Hualde, 2014, "A residual-based ADF test for stationary cointegration in I (2) settings," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1439, Sep.
• Fengler, Matthias R. & Gisler, Katja I. M., 2014, "A variance spillover analysis without covariances: what do we miss?," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1409, Apr.
• Trojan, Sebastian, 2014, "Multivariate Stochastic Volatility with Dynamic Cross Leverage," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1424, Aug.
• Trojan, Sebastian, 2014, "Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1425, Aug.
• Marc K Chan & Simon Kwok, 2014, "Capital Account Liberalization and Dynamic Price Discovery: Evidence from Chinese Cross-Listed Stocks," Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney, number 24, Aug.
• Dirk G Baur & Isaac Miyakawa, 2014, "The Stock Market, the Real Economy and Contagion," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 179, Jan.
• Changyou Sun & Zhuo Ning, 2014, "Timber Restrictions, Financial Crisis, and Price Transmission in North American Softwood Lumber Markets," Land Economics, University of Wisconsin Press, volume 90, issue 2, pages 306-323.
• Yamin Ahmad & Ivan Paya, 2014, "Temporal Aggregation of Random Walk Processes and Implications for Asset Prices," Working Papers, UW-Whitewater, Department of Economics, number 14-01, Jan.
• Roberto Casarin & Monica Billio & Anthony Osuntuyi, 2014, "Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:07.
• Roberto Casarin & Komla Mawulom Agudze & Monica Billio & Eric Girardin, 2014, "Growth-cycle phases in China�s provinces: A panel Markov-switching approach," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2014:19.
• Lorenza Alexandra Lorenzetti, 2014, "Unravelling the magnitude of Sub-Saharan Africa cotton quality in sector reform outcomes," Rivista Internazionale di Scienze Sociali, Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore, volume 122, issue 4, pages 401-430.
• Stefano Scalone, 2014, "Embedding Liquidity Information in Estimating Potential Output," Working Papers, University of Verona, Department of Economics, number 20/2014, Dec.
• Rizwan Mushtaq & Syed Zulfiqar Ali Shah, 2014, "International Portfolio Diversification: United States and South Asian Equity Markets," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 61, issue 2, pages 241-252.
• Taner Turan & Mesut Karakas & Halit Yanikkaya, 2014, "Tax Smoothing Hypothesis: A Turkish Case," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 61, issue 4, pages 487-501.
• Samir Abdelhafidh, 2014, "External Debt and Economic Growth in Tunisia," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 61, issue 6, pages 669-689.
• Prashant Joshi, 2014, "Analyzing Performance Of Garch Models In Nse," Working papers, Voice of Research, number 2014-09-16, Sep.
• Janiga-Ćmiel Anna, 2014, "Detecting Shocks in The Economic Development Dynamics of Selected Countries," Folia Oeconomica Stetinensia, Paradigm, volume 13, issue 2, pages 120-133, July, DOI: 10.2478/foli-2013-0018.
• Moral-Benito, Enrique & Serven, Luis, 2014, "Testing weak exogeneity in cointegrated panels," Policy Research Working Paper Series, The World Bank, number 7045, Sep.
• Rajmund Mirdala, 2014, "Exchange Rate Pass-Through to Domestic Prices under Different Exchange Rate Regimes," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp1070, Jan.
• Eduard Baum??hl & ??tefan Ly??csa, 2014, "How smooth is the stock market integration of CEE-3?," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp1079, Jun.
• Florian Huber & Jesus Crespo-Cuaresma & Martin Feldkircher, 2014, "Forecasting with Bayesian Global Vector Autoregressions," ERSA conference papers, European Regional Science Association, number ersa14p25, Nov.
• Marc Francke & Alex van de Minne & Johan Verbruggen, 2014, "The effect of Credit Conditions on the Dutch Housing Market," ERSA conference papers, European Regional Science Association, number ersa14p506, Nov.
• Nikolaos Antonakakis & Ioannis Chatziantoniou & George Filis, 2014, "Dynamic Spillovers of Oil Price Shocks and Policy Uncertainty," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp166, Feb.
• Florian Huber, 2014, "Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility," Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics, number wuwp179, Jul.
• Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2014, "Dynamic Spillovers of Oil Price Shocks and Policy Uncertainty," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 166, Feb.
• Huber, Florian, 2014, "Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility," Department of Economics Working Paper Series, WU Vienna University of Economics and Business, number 179, Jul.
• Maggie E. C. Jones & Morten Ørregaard Nielsen & Michał Ksawery Popiel, 2014, "A fractionally cointegrated VAR analysis of economic voting and political support," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 47, issue 4, pages 1078-1130, November, DOI: 10.1111/caje.12115.
• Mario Forni & Luca Gambetti & Luca Sala, 2014, "No News in Business Cycles," Economic Journal, Royal Economic Society, volume 124, issue 581, pages 1168-1191, December.
• Rasmus S. Pedersen & Anders Rahbek, 2014, "Multivariate variance targeting in the BEKK–GARCH model," Econometrics Journal, Royal Economic Society, volume 17, issue 1, pages 24-55, February.
• Hadi Salehi Esfahani & Kamiar Mohaddes & M. Hashem Pesaran, 2014, "An Empirical Growth Model For Major Oil Exporters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 29, issue 1, pages 1-21, January, DOI: 10.1002/jae.2294.
• James G. MacKinnon & Morten Ørregaard Nielsen, 2014, "Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 29, issue 1, pages 161-171, January, DOI: 10.1002/jae.2295.
• Borus Jungbacker & Siem Jan Koopman & Michel Wel, 2014, "Smooth Dynamic Factor Analysis With Application To The Us Term Structure Of Interest Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 29, issue 1, pages 65-90, January, DOI: 10.1002/jae.2319.
• Helmut Lütkepohl & Aleksei NetŠunajev, 2014, "Disentangling Demand And Supply Shocks In The Crude Oil Market: How To Check Sign Restrictions In Structural Vars," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 29, issue 3, pages 479-496, April.
• Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014, "Forecasting interest rates with shifting endpoints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 29, issue 5, pages 693-712, August.
• Nikolay Gospodinov & Damba Lkhagvasuren, 2014, "A Moment‐Matching Method For Approximating Vector Autoregressive Processes By Finite‐State Markov Chains," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 29, issue 5, pages 843-859, August.
• Vasco Cúrdia & Marco Del Negro & Daniel L. Greenwald, 2014, "Rare Shocks, Great Recessions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 29, issue 7, pages 1031-1052, November, DOI: 10.1002/jae.2395.
• Nalan Baştürk & Cem Çakmakli & S. Pinar Ceyhan & Herman K. Van Dijk, 2014, "Posterior‐Predictive Evidence On Us Inflation Using Extended New Keynesian Phillips Curve Models With Non‐Filtered Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 29, issue 7, pages 1164-1182, November, DOI: 10.1002/jae.2411.
• Klaus Wohlrabe & Teresa Buchen, 2014, "Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area and Germany," Journal of Forecasting, John Wiley & Sons, Ltd., volume 33, issue 4, pages 231-242, July.
• Chang‐Jin Kim & Pym Manopimoke & Charles R. Nelson, 2014, "Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve," Journal of Money, Credit and Banking, Blackwell Publishing, volume 46, issue 2-3, pages 253-266, March, DOI: 10.1111/jmcb.12105.
• Leonardo Gambacorta & Boris Hofmann & Gert Peersman, 2014, "The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross‐Country Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, volume 46, issue 4, pages 615-642, June, DOI: 10.1111/jmcb.12119.
• Christiane Nickel & Andreas Tudyka, 2014, "Fiscal Stimulus in Times of High Debt: Reconsidering Multipliers and Twin Deficits," Journal of Money, Credit and Banking, Blackwell Publishing, volume 46, issue 7, pages 1313-1344, October, DOI: 10.1111/jmcb.12148.
• Sofiane Aboura & Julien Chevallier, 2014, "Cross‐market spillovers with ‘volatility surprise’," Review of Financial Economics, John Wiley & Sons, volume 23, issue 4, pages 194-207, November, DOI: 10.1016/j.rfe.2014.08.002.
• WenShwo Fang & Stephen M. Miller, 2014, "Output Growth and its Volatility: The Gold Standard through the Great Moderation," Southern Economic Journal, John Wiley & Sons, volume 80, issue 3, pages 728-751, January, DOI: 10.4284/0038-4038-2012.161.
• Chia-Lin Chang & Yu-Pei Ke, 2014, "Testing Price Pressure, Information, Feedback Trading, And Smoothing Effects For Energy Exchange Traded Funds," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 02, pages 1-26, DOI: 10.1142/S2010495214400065.
• A. Saichev & D. Sornette, 2014, "A simple microstructure return model explaining microstructure noise and Epps effects," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., volume 25, issue 06, pages 1-36, DOI: 10.1142/S0129183114500120.