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

2013

• H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013, "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers, University of Copenhagen. Department of Economics, number 13-13, Nov.
• Katarina Juselius, 2013, "Testing for Near I (2) Trends When the Signal to Noise Ratio is Small," Discussion Papers, University of Copenhagen. Department of Economics, number 14-01, Dec.
• Manabu Asai & Michael McAleer, 2013, "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," KIER Working Papers, Kyoto University, Institute of Economic Research, number 840, Jan.
• Manabu Asai & Michael McAleer, 2013, "A Fractionally Integrated Wishart Stochastic Volatility Model," KIER Working Papers, Kyoto University, Institute of Economic Research, number 848, Feb.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things You Should Know About DCC," KIER Working Papers, Kyoto University, Institute of Economic Research, number 854, Mar.
• Massimiliano Caporin & Michael McAleer, 2013, "Ten Things You Should Know About the Dynamic Conditional Correlation Representation," KIER Working Papers, Kyoto University, Institute of Economic Research, number 870, Jun.
• Chia-Lin Chang & David E. Allen & Michael McAleer & Teodosio Perez Amaral, 2013, "Risk Modelling and Management: An Overview," KIER Working Papers, Kyoto University, Institute of Economic Research, number 872, Jul.
• Stephen Hall & George Hondroyiannis & Amangeldi Kenjegaliev & P.A.V.B. Swamy & George S. Tavlas, 2013, "Is the Relationship Between Prices and Exchange Rates Homogeneous?," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 13/13, Jul.
• Benjamin HAMIDI & Bertrand MAILLET & Jean-Luc PRIGENT, 2013, "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 164.
• Andreas Brunhart, 2013, "Der Klein(st)staat Liechtenstein und seine grossen Nachbarländer: Eine wachstums- und konjunkturanalytische Gegenüberstellung," Arbeitspapiere, Liechtenstein-Institut, number 44.
• Khaled Guesmi & Duc Khuong Nguyen & Frédéric Teulon, 2013, "Further evidence on the determinants of regional stock market integration in Latin America," European Journal of Comparative Economics, Cattaneo University (LIUC), volume 10, issue 3, pages 397-413, December.
• Lehmann, Robert & Wohlrabe, Klaus, 2013, "Forecasting GDP at the regional level with many predictors," Discussion Papers in Economics, University of Munich, Department of Economics, number 17104, Sep.
• Vincent Bodart & Bertrand Candelon & Jean-François Carpantier, 2013, "Real exchange rates, commodity prices and structural factors in developing countries," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 13-09.
• Marco Cacciotti & Cecilia Frale & Serena Teobaldo, 2013, "A new methodology for a quarterly measure of the Output Gap," Working Papers LuissLab, Dipartimento di Economia e Finanza, LUISS Guido Carli, number 13103.
• Guglielmo Maria Caporale & Alessandro Girardi, 2013, "Fiscal Spillovers in the Euro Area," Working Papers LuissLab, Dipartimento di Economia e Finanza, LUISS Guido Carli, number 13109.
• Wesselhöft Jan-Erik, 2013, "The Effect of Public Capital on Aggregate Output: – Empirical Evidence for 22 OECD Countries –," Review of Economics, De Gruyter, volume 64, issue 1, pages 51-72, April, DOI: 10.1515/roe-2013-0104.
• Georges Dionne & Olfa Maalaoui Chun, 2013, "Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period," Cahiers de recherche, CIRPEE, number 1322.
• Jean Boivin & Marc P. Giannoni & Dalibor Stevanovic, 2013, "Dynamic Effects of Credit Shocks in a Data-Rich Environment," Cahiers de recherche, CIRPEE, number 1324.
• Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013, "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201325.
• Karami, Hooman & Bayat, Saeed, 2013, "Evaluating and Comparing the Methods of Measuring Core Inflation in Iran," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 6, issue 17, pages 83-103, December.
• John W. Keating, 2013, "Interpreting Permanent Shocks to Output When Aggregate Demand May Not Be Neutral in the Long Run," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 4, pages 747-756, June.
• Anindya Banerjee & Victor Bystrov & Paul Mizen, 2013, "How Do Anticipated Changes to Short-Term Market Rates Influence Banks' Retail Interest Rates? Evidence from the Four Major Euro Area Economies," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 7, pages 1375-1414, October.
• Chetan Dave & Scott J. Dressler & Lei Zhang, 2013, "The Bank Lending Channel: A FAVAR Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 8, pages 1705-1720, December.
• Maria Christisou & Theodore Panagiotidis & Abhijit Sharma, 2013, "On the stationarity of per capita carbon dioxide emissions over a century," Discussion Paper Series, Department of Economics, University of Macedonia, number 2013_02, Dec, revised Dec 2013.
• Elias Soukiazis & Pedro Cerqueira & Micaela Antunes, 2013, "Growth rates constrained by internal and external imbalances and the role of relative prices: empirical evidence from Portugal," Journal of Post Keynesian Economics, Taylor & Francis Journals, volume 36, issue 2, pages 275-298, DOI: 10.2753/PKE0160-3477360205.
• M.Fatih Oztek & Nadir Ocal, 2013, "Financial Crises, Financialization of Commodity Markets and Correlation of Agricultural Commodity Index with Precious Metal Index and S&P500," ERC Working Papers, ERC - Economic Research Center, Middle East Technical University, number 1302, Feb, revised Feb 2013.
• Afsin Sahin & Aysit Tansel & M.Hakan Berument, 2013, "Output-Employment Relationship across Sectors:A Long- versus Short-Run Perspective," ERC Working Papers, ERC - Economic Research Center, Middle East Technical University, number 1305, May, revised May 2013.
• Dimitris Kenourgios & Dimitrios Dimitriou & Apostolos Christopoulos, 2013, "Asset Markets Contagion During the Global Financial Crisis," Multinational Finance Journal, Multinational Finance Journal, volume 17, issue 1-2, pages 49-76, March - J.
• Piotr Gurgul & Robert Syrek, 2013, "Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data," Managing Global Transitions, University of Primorska, Faculty of Management Koper, volume 11, issue 4 (Winter, pages 353-373.
• Stelios Bekiros & Alessia Paccagnini, 2013, "Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models," Working Papers, University of Milano-Bicocca, Department of Economics, number 236, Feb, revised Feb 2013.
• Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2013, "Futures price volatility in commodities markets: The role of short term vs long term speculation," Working Papers, University of Milano-Bicocca, Department of Economics, number 243, May, revised May 2013.
• Rangan Gupta & Patrick Kanda & Mampho Modise & Alessia Paccagnini, 2013, "DGSE Model-Based Forecasting of Modeled and Non-Modeled Inflation Variables in South Africa," Working Papers, University of Milano-Bicocca, Department of Economics, number 259, Nov, revised Nov 2013.
• Balázs Varga, 2013, "Time Varying NAIRU Estimates in Central Europe," Working Papers, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest, number 1306, Jun.
• Shuyun May Li & Roshan Perera & Kalvinder Shields, 2013, "Misspecification, Identification or Measurement? Another Look at the Price Puzzle," Department of Economics - Working Papers Series, The University of Melbourne, number 1169.
• Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013, "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers, University of Mannheim, Department of Economics, number 32993.
• Canova, Fabio & Altug, Sumru, 2013, "Do Institutions and Culture Matter for Business Cycles?," CEPR Discussion Papers, Centre for Economic Policy Research, number 9382, Mar.
• Marcellino, Massimiliano & Eickmeier, Sandra & Prieto, Esteban, 2013, "Time Variation in Macro-Financial Linkages," CEPR Discussion Papers, Centre for Economic Policy Research, number 9436, Apr.
• Giannoni, Marc & Boivin, Jean & Stevanovic, Dalibor, 2013, "Dynamic Effects of Credit Shocks in a Data-Rich Environment," CEPR Discussion Papers, Centre for Economic Policy Research, number 9470, May.
• Lippi, Marco & Forni, Mario & Sala, Luca & Gambetti, Luca, 2013, "Noise Bubbles," CEPR Discussion Papers, Centre for Economic Policy Research, number 9532, Jun.
• Andreou, Elena & Kasparis, Ioannis & Phillips, Peter C. B., 2013, "Nonparametric Predictive Regression," CEPR Discussion Papers, Centre for Economic Policy Research, number 9570, Jul.
• Werker, Bas J M & Andreou, Elena, 2013, "Residual-based Rank Specification Tests for AR-GARCH type models," CEPR Discussion Papers, Centre for Economic Policy Research, number 9583, Aug.
• Lippi, Marco & Forni, Mario & Sala, Luca & Gambetti, Luca, 2013, "Noisy News in Business cycles," CEPR Discussion Papers, Centre for Economic Policy Research, number 9601, Aug.
• Ghysels, Eric & Miller, J. Isaac, 2013, "Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series," CEPR Discussion Papers, Centre for Economic Policy Research, number 9654, Sep.
• Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2013, "Testing for Granger Causality with Mixed Frequency Data," CEPR Discussion Papers, Centre for Economic Policy Research, number 9655, Sep.
• Mackowiak, Bartosz & Jarocinski, Marek, 2013, "Granger-Causal-Priority and Choice of Variables in Vector Autoregressions," CEPR Discussion Papers, Centre for Economic Policy Research, number 9686, Oct.
• Giacomini, Raffaella & Ragusa, Giuseppe & Gallant, A. Ronald, 2013, "Generalized Method of Moments with Latent Variables," CEPR Discussion Papers, Centre for Economic Policy Research, number 9692, Oct.
• Bianchi, Francesco, 2013, "Methods for Measuring Expectations and Uncertainty in Markov-Switching Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 9705, Oct.
• Van den Berg, Gerard & van der Klaauw, Bas, 2013, "Structural Empirical Evaluation of Job Search Monitoring," CEPR Discussion Papers, Centre for Economic Policy Research, number 9751, Nov.
• Dikaios Tserkezos, 2013, "Temporal Aggregation and the Ramsey's Test for Functional Form: Results from Empirical and Monte Carlo experiment," Working Papers, University of Crete, Department of Economics, number 1309, Dec.
• Dikaios Tserkezos, 2013, "Temporal Aggregation and Systematic Sampling Effects on Non Linear Granger Causality Tests between Trade Volume and Returns. Some Monte Carlo and Empirical Results from the Athens Stocks Exchange," Working Papers, University of Crete, Department of Economics, number 1310, Dec.
• Masao Ogaki & Bruce E. Hansen & Ippei Fujiwara & Hyeongwoo Kim, 2013, "Purchasing power parity and the Taylor rule," AJRC Working Papers, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University, number 1305.
• Lanne, Markku & Saikkonen, Pentti, 2013, "Noncausal Vector Autoregression," Econometric Theory, Cambridge University Press, volume 29, issue 3, pages 447-481, June.
• Vogelsang, Timothy J. & Wagner, Martin, 2013, "A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS," Econometric Theory, Cambridge University Press, volume 29, issue 3, pages 609-628, June.
• Kristensen, Dennis & Rahbek, Anders, 2013, "Testing And Inference In Nonlinear Cointegrating Vector Error Correction Models," Econometric Theory, Cambridge University Press, volume 29, issue 6, pages 1238-1288, December.
• Lynch, Anthony W. & Wachter, Jessica A., 2013, "Using Samples of Unequal Length in Generalized Method of Moments Estimation," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 48, issue 1, pages 277-307, February.
• Dreger, Christian & Zhang, Yanqun, 2013, "Inflation in China Increasingly Driven by Domestic Factors," National Institute Economic Review, National Institute of Economic and Social Research, volume 223, issue , pages 35-38, February.
• Peter C.B. Phillips & Degui Li & Jiti Gao, 2013, "Estimating Smooth Structural Change in Cointegration Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1910, Sep.
• Xiaohong Chen & Timothy Christensen, 2013, "Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1923, Nov.
• Xiaohong Chen & Timothy Christensen, 2013, "Optimal Sup-norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1923R, Nov, revised Apr 2015.
• Degui Li & Peter C.B. Phillips & Jiti Gao, 2013, "Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1929, Dec.
• Aris Spanos & Niki Papadopoulou, 2013, "A Small Macroeconometric Model for the Cyprus Economy," Working Papers, Central Bank of Cyprus, number 2013-2, Aug.
• Jing Cao & Felix Groba, 2013, "Chinese Renewable Energy Technology Exports: The Role of Policy, Innovation and Markets," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1263.
• Guglielmo Maria Caporale & John Hunter & Faek Menla Ali, 2013, "On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1289.
• Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013, "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1292.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2013, "Testing Unemployment Theories: A Multivariate Long Memory Approach," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1345.
• Anton Velinov, 2013, "Can Stock Price Fundamentals Properly be Captured?: Using Markov Switching in Heteroskedasticity Models to Test Identification Schemes," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1350.
• Nikolaos Zirogiannis & Yorghos Tripodis, 2013, "A Generalized Dynamic Factor Model for Panel Data: Estimation with a Two-Cycle Conditional Expectation-Maximization Algorithm," Working Papers, University of Massachusetts Amherst, Department of Resource Economics, number 2013-1, Jan.
• Henri Audigé, 2013, "A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2013-2.
• Nadine Levratto & Aziza Garsaa & Luc Tessier, 2013, "La Corse est-elle soluble dans le modèle méditerranéen ? Une analyse à partir d’une régression quantile sur données d’entreprises en panel entre 2004 et 2010. Is the Corsican economy a part of the Mediterranean world ? An analysis from a quantile reg," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2013-20.
• Pami Dua & Partha Sen, 2013, "Capital Flows and Exchange Rates: The Indian Experience," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 48, issue 1, pages 189-220.
• Sanjay Singh & S. Majumdar, 2013, "Macro Stress Testing for Indian Banking: VAR Approach," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 48, issue 2, pages 275-296.
• Jia Li & Andrew J. Patton, 2013, "Asymptotic Inference about Predictive Accuracy Using High Frequency Data," Working Papers, Duke University, Department of Economics, number 13-27.
• Irving Arturo De Lira Salvatierra & Andrew J. Patton, 2013, "Dynamic Copula Models and High Frequency Data," Working Papers, Duke University, Department of Economics, number 13-28.
• Dong Hwan Oh & Andrew J. Patton, 2013, "Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads," Working Papers, Duke University, Department of Economics, number 13-30.
• Chevillon, Guillaume, 2013, "Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1320, Nov.
• Robert Kollmann, 2013, "Estimating the State Vector of Linearized DSGE Models without the Kalman Filter," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-08, Jan.
• Matteo Luciani & Lorenzo Ricci, 2013, "Nowcasting Norway," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2013-10, Feb.
• Henry, Jérôme & Zimmermann, Maik & Leber, Miha & Kolb, Markus & Grodzicki, Maciej & Amzallag, Adrien & Vouldis, Angelos & Hałaj, Grzegorz & Pancaro, Cosimo & Gross, Marco & Baudino, Patrizia & Sydow, , 2013, "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series, European Central Bank, number 152, Oct.
• Beyer, Andreas & Dewald, William G. & Haug, Alfred A., 2009, "Structural breaks, cointegration and the Fisher effect," Working Paper Series, European Central Bank, number 1013, Feb.
• Hiebert, Paul & Vansteenkiste, Isabel, 2009, "Do house price developments spill over across euro area countries? Evidence from a Global VAR," Working Paper Series, European Central Bank, number 1026, Mar.
• Hubrich, Kirstin & West, Kenneth D., 2009, "Forecast evaluation of small nested model sets," Working Paper Series, European Central Bank, number 1030, Mar.
• Jakaitiene, Audrone & Dées, Stéphane, 2009, "Forecasting the world economy in the short-term," Working Paper Series, European Central Bank, number 1059, Jun.
• Lombardi, Marco J. & Galesi, Alessandro, 2009, "External shocks and international inflation linkages: a global VAR analysis," Working Paper Series, European Central Bank, number 1062, Jun.
• Marques, Carlos Robalo & Duarte, Rita, 2009, "The dynamic effects of shocks to wages and prices in the United States and the euro area," Working Paper Series, European Central Bank, number 1067, Jul.
• de Bondt, Gabe, 2009, "Euro area money demand: empirical evidence on the role of equity and labour markets," Working Paper Series, European Central Bank, number 1086, Sep.
• Fernàndez-de-Córdoba, Gonzalo & Pérez, Javier J. & Torres, José L., 2009, "Public and private sector wages interactions in a general equilibrium model," Working Paper Series, European Central Bank, number 1099, Oct.
• Kolasa, Marcin & Rubaszek, Michał & Skrzypczyński, Paweł, 2009, "Putting the New Keynesian DSGE model to the real-time forecasting test," Working Paper Series, European Central Bank, number 1110, Nov.
• Beyer, Andreas, 2009, "A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth," Working Paper Series, European Central Bank, number 1111, Nov.
• Pérez, Javier J. & Sánchez, Jesús, 2010, "Is there a signalling role for public wages? Evidence for the euro area based on macro data," Working Paper Series, European Central Bank, number 1148, Jan.
• Beyer, Andreas & Juselius, Katarina, 2010, "Does it matter how aggregates are measured? The case of monetary transmission mechanisms in the euro area," Working Paper Series, European Central Bank, number 1149, Jan.
• Giannone, Domenico & D'Agostino, Antonello & Gambetti, Luca, 2010, "Macroeconomic forecasting and structural change," Working Paper Series, European Central Bank, number 1167, Apr.
• Ferrucci, Gianluigi & Jiménez-Rodríguez, Rebeca & Onorante, Luca, 2010, "Food price pass-through in the euro area The role of asymmetries and non-linearities," Working Paper Series, European Central Bank, number 1168, Apr.