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

• Ahamada, Ibrahim & Diaz Sanchez, Jose Luis, 2013, "A retrospective analysis of the house prices macro-relationship in the United States," Policy Research Working Paper Series, The World Bank, number 6549, Jul.
• Rajmund Mirdala, 2013, "Lessons Learned from Tax vs. Expenditure Based Fiscal Consolidation in the European Transition Economies," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp1058, Sep.
• Rajmund Mirdala, 2013, "Real Output and Prices Adjustments Under Different Exchange Rate Regimes," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp1064, Nov.
• Rajmund Mirdala, 2013, "Fiscal Imbalances and Current Account Adjustments in the European Transition Economies," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp1065, Nov.
• Nuno Carlos Leitão & Muhammad Shahbaz, 2013, "Carbon Dioxide Emissions, Urbanization And Globalization: A Dynamic Panel Data," Economic Research Guardian, Mutascu Publishing, volume 3, issue 1, pages 22-32, June.
• Robert Lehmann & Klaus Wohlrabe, 2013, "Forecasting GDP at the regional level with many predictors," ERSA conference papers, European Regional Science Association, number ersa13p15, Nov.
• Mercedes Castro-Nuno & José I. Castillo-Manzano & Diego J. Pedregal-Tercero, 2013, "The Speed Limits Debate: Is Effective A Temporary Change? The Case Of Spain," ERSA conference papers, European Regional Science Association, number ersa13p160, Nov.
• Eskandar Elmarzougui & Bruno Larue, 2013, "On the Evolving Relationship Between Corn and Oil Prices," Agribusiness, John Wiley & Sons, Ltd., volume 29, issue 3, pages 344-360, June.
• Rodney W. Strachan & Herman K. Van Dijk, 2013, "Evidence On Features Of A Dsge Business Cycle Model From Bayesian Model Averaging," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 54, issue 1, pages 385-402, February, DOI: 10.1111/j.1468-2354.2012.00737.x.
• Markus Jochmann & Gary Koop & Roberto Leon‐Gonzalez & Rodney W. Strachan, 2013, "Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 28, issue 1, pages 62-81, January.
• Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2013, "Macroeconomic forecasting and structural change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 28, issue 1, pages 82-101, January.
• Gary M. Koop, 2013, "Forecasting with Medium and Large Bayesian VARS," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 28, issue 2, pages 177-203, March.
• Dimitris Korobilis, 2013, "Var Forecasting Using Bayesian Variable Selection," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 28, issue 2, pages 204-230, March.
• Haroon Mumtaz & Laura Sunder‐Plassmann, 2013, "Time‐Varying Dynamics Of The Real Exchange Rate: An Empirical Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 28, issue 3, pages 498-525, April.
• Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013, "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 28, issue 5, pages 743-761, August.
• Axel Groß‐KlußMann & Nikolaus Hautsch, 2013, "Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models," Journal of Forecasting, John Wiley & Sons, Ltd., volume 32, issue 8, pages 724-742, December.
• Jean‐Francois Carpantier & Besik Samkharadze, 2013, "The Asymmetric Commodity Inventory Effect on the Optimal Hedge Ratio," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 33, issue 9, pages 868-888, September.
• 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, DOI: 10.1111/jmcb.12056.
• 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, DOI: 10.1111/jmcb.12067.
• Chun-Ping Chang & Chien-Chiang Lee, 2013, "The Economic Voting Hypothesis In The Presence Of Threshold Effects: Evidence From Asymmetric Modeling," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 58, issue 01, pages 1-29, DOI: 10.1142/S0217590813500045.
• Hahn Shik Lee & Soo In Kim, 2013, "Common Features In East Asian Stock Markets: Long-Term And Short-Term Comovements Between China And Korea," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 58, issue 03, pages 1-22, DOI: 10.1142/S0217590813500185.
• Mina Dragouni & George Filis & Nikolaos Antonakakis, 2013, "Time-Varying Interdependencies of Tourism and Economic Growth: Evidence from European Countries," FIW Working Paper series, FIW, number 128, Aug.
• Katarzyna Maciejowska & Rafal Weron, 2013, "Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/13/01, Feb, revised 15 Apr 2013.
• Katarzyna Maciejowska & Rafal Weron, 2013, "Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/13/11, Dec.
• 方颖 & 郭萌萌, 2013, "中国主要宏观变量的稳定性检验：基于非参数估计与Bootstrapping的一个方法," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.
• Riané de Bruyn & Rangan Gupta & Lardo Stander, 2013, "Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data," Contemporary Economics, Vizja University, volume 7, issue 1, March.
• Hyeon-seung Huh & David Kim, 2013, "Do SVAR Models Justify Discarding the Technology Shock-Driven Real Business Cycle Hypothesis?," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2013rwp-59, Dec.
• Lance A. Fisher & Hyeon-seung Huh & Adrian R. Pagan, 2013, "Econometric Issues when Modelling with a Mixture of I(1) and I(0) Variables," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2013rwp-61, Dec.
• Hyeon-seung Huh & Cyn-Young Park, 2013, "Examining the determinants of food prices in developing Asia," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2013rwp-62, Dec.
• Milan Deskar-Škrbić & Hrvoje Šimović & Tomislav Ćorić, 2013, "Effects of Fiscal Policy in a Small Open Economy: Evidence of Croatia," EFZG Working Papers Series, Faculty of Economics and Business, University of Zagreb, number 1302, Oct.
• Ana Grdović Gnip, 2013, "Empirical assessment of stabilization effects of fiscal policy in Croatia," EFZG Working Papers Series, Faculty of Economics and Business, University of Zagreb, number 1306, Nov.
• Crowley, Patrick M. & Habibdoust, Amir, 2013, "Assessing the exchange rate exposure of US multinationals," Bank of Finland Research Discussion Papers, Bank of Finland, number 34/2013.
• Prieto, Esteban & Eickmeier, Sandra & Marcellino, Massimiliano, 2013, "Time variation in macro-financial linkages," Discussion Papers, Deutsche Bundesbank, number 13/2013.
• Bodnar, Taras & Hautsch, Nikolaus, 2013, "Copula-based dynamic conditional correlation multiplicative error processes," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/19.
• Vyrost, Tomas & Baumöhl, Eduard & Lyocsa, Stefan, 2013, "What Drives the Stock Market Integration in the CEE-3?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 61, issue 1, pages 67-81.
• Marczak, Martyna & Gómez, Victor, 2013, "Monthly US business cycle indicators: A new multivariate approach based on a band-pass filter," FZID Discussion Papers, University of Hohenheim, Center for Research on Innovation and Services (FZID), number 64-2013.
• Reicher, Christopher Phillip, 2013, "A note on the identification of dynamic economic models with generalized shock processes," Kiel Working Papers, Kiel Institute for the World Economy, number 1821.
• Beckmann, Joscha & Czudaj, Robert, 2013, "Is there a Homogeneous Causality Pattern between Oil Prices and Currencies of Oil Importers and Exporters?," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 431, DOI: 10.4419/86788487.
• Bibinger, Markus & Mykland, Per A., 2013, "Inference for multi-dimensional high-frequency data: Equivalence of methods, central limit theorems, and an application to conditional independence testing," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-006.
• Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2013, "Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-017.
• Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2013, "Comparison of methods for constructing joint confidence bands for impulse response functions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-031.
• Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K., 2013, "Goodness-of-fit test for specification of semiparametric copula dependence models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2013-041.
• Ludwig, Alexander, 2013, "Sovereign risk contagion in the Eurozone: A time-varying coefficient approach," Dresden Discussion Paper Series in Economics, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics, number 02/13.
• Lemke, Wolfgang & Strohsal, Till, 2013, "What Can Break-Even Inflation Rates Tell Us about the Anchoring of Inflation Expectations in the Euro Area?," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79794.
• Krätschell, Karoline & Schmidt, Torsten, 2013, "Long-run trends or short-run fluctuations What establishes the correlation between oil and food prices?," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79798.
• Gehrke, Britta & Yao, Fang, 2013, "Sources of Real Exchange Rate Fluctuations: The Role of Supply Shocks Revisited," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79821.
• Gribisch, Bastian, 2013, "A latent dynamic factor approach to forecasting multivariate stock market volatility," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79823.
• Conrad, Christian & Weber, Enzo, 2013, "Measuring Persistence in Volatility Spillovers," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79850.
• Kaufmann, Daniel & Bäurle, Gregor, 2013, "Exchange Rate and Price Dynamics at the Zero Lower Bound," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79872.
• Strohsal, Till & Weber, Enzo, 2013, "Identifying Volatility Signals from Time-Varying Simultaneous Stock Market Interaction," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79903.
• Riedel, Jana, 2013, "Real interest rate convergence among G7 countries," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 79928.
• Hartmann, Philipp & Hubrich, Kirstin & Kremer, Manfred & Tetlow, Robert J., 2013, "Melting down: Systemic financial instability and the macroeconomy," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order, Verein für Socialpolitik / German Economic Association, number 80487.
• Schleer, Frauke, 2013, "Finding starting-values for maximum likelihood estimation of vector STAR models," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 13-076.
• Beaudry, Paul & Portier, Franck & Seymen, Atılım, 2013, "Comparing two methods for the identification of news shocks," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 13-110.
• Seymen, Atılım, 2013, "Sequential identification of technological news shocks," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 13-111.

2012

• Toke, Ioane Muni & Pomponio, Fabrizio, 2012, "Modelling trades-through in a limit order book using hawkes processes," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 6, pages 1-23, DOI: 10.5018/economics-ejournal.ja.2012-.
• Tillmann, Peter & Wolters, Maik Hendrik, 2012, "The changing dynamics of US inflation persistence: A quantile regression approach," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 60.
• Devaney, Steven & Holtemöller, Oliver & Schulz, Rainer, 2012, "Efficiency in the UK Commercial Property Market: A Long-run Perspective," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 15/2012.
• El-Shagi, Makram & Giesen, Sebastian & Kelly, Logan J., 2012, "Monetary Policy in a World Where Money (Also) Matters," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 6/2012.
• Brunhart, Andreas, 2012, "Identification of Liechtenstein's historic economic growth and business cycles by econometric extensions of data series," KOFL Working Papers, Konjunkturforschungsstelle Liechtenstein (KOFL), Vaduz, number 14.
• Brunhart, Andreas, 2012, "Stock market's reactions to revelation of tax evasion: An empirical assessment," KOFL Working Papers, Konjunkturforschungsstelle Liechtenstein (KOFL), Vaduz, number 9 [rev.].
• Krämer, Walter & Messow, Philip, 2012, "Structural Change and Spurious Persistence in Stochastic Volatility," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 310, DOI: 10.4419/86788357.
• Belke, Ansgar & Bordon, Ingo G. & Volz, Ulrich, 2012, "Effects of Global Liquidity on Commodity and Food Prices," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 323, DOI: 10.4419/86788372.
• Diermeier, Matthias & Schmidt, Torsten, 2012, "Oil Price Effects on Land Use Competition – An Empirical Analysis," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 340, DOI: 10.4419/86788392.
• Krätschell, Karoline & Schmidt, Torsten, 2012, "Long-run Trends or Short-run Fluctuations – What Establishes the Correlation between Oil and Food Prices?The Interplay of Standardized Tests and Incentives – An Econometric Analysis with Data from PIS," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 357, DOI: 10.4419/86788411.
• Schmidt, Torsten & Zwick, Lina, 2012, "In Search for a Credit Crunch in Germany," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 361, DOI: 10.4419/86788415.
• Beckmann, Joscha & Czudaj, Robert, 2012, "Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 362, DOI: 10.4419/86788416.
• Strohsal, Till & Winkelmann, Lars, 2012, "Assessing the anchoring of inflation expectations," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-022.
• Dickhaus, Thorsten, 2012, "Simultaneous statistical inference in dynamic factor models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-033.
• Strohsal, Till & Weber, Enzo, 2012, "The signal of volatility," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-043.
• Bodnar, Taras & Hautsch, Nikolaus, 2012, "Copula-based dynamic conditional correlation multiplicative error processes," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-044.
• Hautsch, Nikolaus & Okhrin, Ostap & Ristig, Alexander, 2012, "Modeling time-varying dependencies between positive-valued high-frequency time series," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-054.
• Härdle, Wolfgang Karl & Silyakova, Elena, 2012, "Implied basket correlation dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-066.
• Dorn, Sabrina & Egger, Peter, 2012, "On the Distribution of Exchange Rate Regime Treatment Effects on International Trade," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62054.
• Uebele, Martin & Pfister, Ulrich & Riedel, Jana, 2012, "Real wages and the origins of modern economic growth in Germany, 16th to 19th centuries," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62076.
• Heinlein, Reinhold & Krolzig, Hans-Martin, 2012, "On the construction of two-country cointegrated VAR models with an application to the UK and US," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62310.
• Michael Wolf & Dan Wunderli, 2012, "Bootstrap joint prediction regions," ECON - Working Papers, Department of Economics - University of Zurich, number 064, Feb, revised May 2013.
• Alexandros Kontonikas & Ronald MacDonald & Aman Saggu, 2012, "Stock market reaction to fed funds rate surprises: state dependence and the financial crisis," Working Papers, Business School - Economics, University of Glasgow, number 2012_11, Sep.
• Dimitris Korobilis, 2012, "Bayesian forecasting with highly correlated predictors," Working Papers, Business School - Economics, University of Glasgow, number 2012_12, Jul.
• Elias Soukiazis & Pedro Cerqueira & Micaela Antunes, 2012, "Causes of the Decline of Economic Growth in Italy and the Responsibility of EURO: A Balance-of-Payments Approach," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2012-03, Feb.
• Elias Soukiazis & Pedro André Cerqueira & Micaela Antunes, 2012, "Growth rates constrained by internal and external imbalances and the role of relative prices: Empirical evidence from Portugal," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2012-08, Jul.
• Friederike Greb & Nelissa Jamora & Carolin Mengel & Stephan von Cramon-Taubadel & Nadine Würriehausen, 2012, "Price transmission from international to domestic markets," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers, Courant Research Centre PEG, number 125, Sep, revised 08 Oct 2012.
• Fakhri Hasanov, 2012, "The impact of the real exchange rate on non-oil exports. Is there an asymmetric adjustment towards the equilibrium?," Working Papers, The George Washington University, The Center for Economic Research, number 2012-005, May.
• Neil R. Ericsson & Erica L. Reisman, 2012, "Evaluating a Global Vector Autoregression for Forecasting," Working Papers, The George Washington University, The Center for Economic Research, number 2012-006, Nov.
• Aysen Arac & Funda Telatar & Erdinc Telatar, 2012, "Investigating the Time Varying Nature of the Link between Inflation and Currency Substitution in the Turkish Economy," Hacettepe University Department of Economics Working Papers, Hacettepe University, Department of Economics, number 20122.
• Mubariz Hasanov & Aysen Arac & Funda Telatar, 2012, "Nonlinearity and Structural Stability in the Phillips Curve: Evidence from Turkey," Hacettepe University Department of Economics Working Papers, Hacettepe University, Department of Economics, number 20123.
• Mubariz Hasanov & Tolga Omay, 2012, "The Relationship between Inflation, output growth, and their Uncertainties: Evidence from selected CEE countries," Hacettepe University Department of Economics Working Papers, Hacettepe University, Department of Economics, number 20128.
• Youssouf Kiendrebeogo, 2012, "Understanding the Causal Links between Financial Development and International Trade," CERDI Working papers, HAL, number halshs-00747618, Oct.
• Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012, "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00638440, DOI: 10.1162/REST_a_00225.
• Lanouar Charfeddine & Dominique Guegan, 2012, "Breaks or long memory behavior: An empirical investigation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01314013, Nov, DOI: 10.1016/j.physa.2012.06.036.
• Ibrahim Ahamada & Djamel Kirat, 2012, "The impact of phase II of the EU ETS on the electricity-generation sector," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00673918, Jan.
• Ibrahim Ahamada & Djamel Kirat, 2012, "Evidence of a nonlinear effect of the EU ETS on the electricity-generation sector," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00717629, May.
• Lanouar Charfeddine & Dominique Guegan, 2012, "Breaks or long memory behaviour : an empirical investigation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00722032, Jul.
• Gaël Giraud & Florent Mc Isaac & Rossi Abi Rafeh, 2012, "La dette publique française justifie-t-elle l'austérité budgétaire ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00841553, Dec.
• Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012, "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Post-Print, HAL, number hal-00638440, DOI: 10.1162/REST_a_00225.
• Giacomo Sbrana & Andrea Silvestrini, 2012, "Aggregation of exponential smoothing processes with an application to portfolio risk evaluation," Post-Print, HAL, number hal-00779483, DOI: 10.1016/j.jbankfin.2012.06.015.
• Anne-Laure Delatte & Antonia Lòpez-Villavicencio, 2012, "Asymmetric exchange rate pass-through: Evidence from major countries," Post-Print, HAL, number hal-00779761, Sep, DOI: 10.1016/j.jmacro.2012.03.003.
• Julien Chevallier & Benoît Sévi, 2012, "On the volatility-volume relationship in energy futures markets using intraday data," Post-Print, HAL, number hal-00988926, DOI: 10.1016/j.eneco.2012.08.024.
• Lanouar Charfeddine & Dominique Guegan, 2012, "Breaks or long memory behavior: An empirical investigation," Post-Print, HAL, number hal-01314013, Nov, DOI: 10.1016/j.physa.2012.06.036.
• Ilyes Abid & Khaled Guesmi & Olfa Kaabia, 2012, "Does Bayesian Shrinkage Help to Better Reflect What Happened During the Subprime Crisis?," Post-Print, HAL, number hal-01410674.
• V. Bodart & B. Candelon & J.-F. Carpantier, 2012, "Real exchanges rates in commodity producing countries: A reappraisal," Post-Print, HAL, number hal-01821146, DOI: 10.1016/j.jimonfin.2012.0.
• F. Karamé, 2012, "An algorithm for generalized impulse-response functions in Markov-switching structural VAR," Post-Print, HAL, number hal-02877971, Oct, DOI: 10.1016/j.econlet.2012.04.089.
• Riadh Ben Jelili, 2012, "Revisiting the Finance-Growth Nexus: Further Evidence from Tunisia," Post-Print, HAL, number hal-03840566.
• Alain Maurin & Roland Craigwell, 2012, "An Analysis of the Economic Cycles of the English Speaking Caribbean Countries," Post-Print, HAL, number hal-04052129, Nov.
• Wajih Khallouli & René Sandretto, 2012, "Testing for “contagion” of the subprime crisis on the Middle East and North African stock markets : A Markov Switching EGARCH approach," Post-Print, HAL, number halshs-00522683.
• Ibrahim Ahamada & Djamel Kirat, 2012, "The impact of phase II of the EU ETS on the electricity-generation sector," Post-Print, HAL, number halshs-00673918, Jan.
• Ibrahim Ahamada & Djamel Kirat, 2012, "Evidence of a nonlinear effect of the EU ETS on the electricity-generation sector," Post-Print, HAL, number halshs-00717629, May.
• Céline Gimet & Thomas Lagoarde-Segot, 2012, "Financial sector development and access to finance. Does size say it all?," Post-Print, HAL, number halshs-00764518, DOI: 10.1016/j.ememar.2011.11.002.
• Gaël Giraud & Florent Mc Isaac & Rossi Abi Rafeh, 2012, "La dette publique française justifie-t-elle l'austérité budgétaire ?," Post-Print, HAL, number halshs-00841553, Dec.
• Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012, "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-00638440, DOI: 10.1162/REST_a_00225.
• Lanouar Charfeddine & Dominique Guegan, 2012, "Breaks or long memory behavior: An empirical investigation," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-01314013, Nov, DOI: 10.1016/j.physa.2012.06.036.
• Jean-François Carpantier & Besik Samkharadze, 2012, "The asymmetric commodity inventory effect on the optimal hedge ratio," Working Papers, HAL, number hal-01821148, May.
• Roland Craigwell & Alain Maurin, 2012, "An Analysis of the Economic Cycles of the English Speaking Caribbean Countries," Working Papers, HAL, number hal-03944028, Oct.
• Andrea Bonilla, 2012, "Symmetry of External Shock responses within the Andean Community of Nations : A SVAR Approach," Working Papers, HAL, number halshs-00657939, Jan.
• Julien Chevallier & Benoît Sévi, 2012, "On the Stochastic Properties of Carbon Futures Prices," Working Papers, HAL, number halshs-00720166, Mar.
• Lanouar Charfeddine & Dominique Guegan, 2012, "Breaks or long memory behaviour : an empirical investigation," Working Papers, HAL, number halshs-00722032, Jul.
• Youssouf Kiendrebeogo, 2012, "Understanding the Causal Links between Financial Development and International Trade," Working Papers, HAL, number halshs-00747618, Oct.
• Marcel Aloy & Gilles de Truchis, 2012, "Estimation and Testing for Fractional Cointegration," Working Papers, HAL, number halshs-00793206, Jun.
• Gilles de Truchis, 2012, "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," Working Papers, HAL, number halshs-00793220, Sep.
• Zsolt Darvas, 2012, "Monetary transmission in three central European economies: evidence from time-varying coefficient vector autoregressions," CERS-IE WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 1219, Apr.
• Ulrich Pfister & Jana Riedel & Martin Uebele, 2012, "Real Wages and the Origins of Modern Economic Growth in Germany, 16th to 19th Centuries," Working Papers, European Historical Economics Society (EHES), number 0017, Apr.
• Maican, Florin G. & Sweeney, Richard J., 2012, "Cost of Misspecification in Break-Model Unit-Root Tests," Working Papers in Economics, University of Gothenburg, Department of Economics, number 536, Aug.
• Andersson, Per-Åke & Sjö, Bo, 2012, "Successful inflation targeting in Mozambique despite vulnerability to internal and external shocks," Working Papers in Economics, University of Gothenburg, Department of Economics, number 544, Oct.
• Svensson, Emma, 2012, "Regional Effects of Monetary Policy in Sweden," Working Papers, Lund University, Department of Economics, number 2012:9, Apr, revised 01 Mar 2013.
• Li, Dao & He, Changli, 2012, "Testing for Linear Cointegration Against Smooth-Transition Cointegration," Working Papers, Örebro University, School of Business, number 2012:6, Feb.
• Li, Dao & He, Changli, 2012, "Testing Common Nonlinear Features in Nonlinear Vector Autoregressive Models," Working Papers, Örebro University, School of Business, number 2012:7, Feb.
• Karlsson, Sune, 2012, "Forecasting with Bayesian Vector Autoregressions," Working Papers, Örebro University, School of Business, number 2012:12, Aug.
• Biørn, Erik, 2012, "An Econometric Market Model of Capital and Investment Inspired by Haavelmo," Memorandum, Oslo University, Department of Economics, number 11/2012, Apr.
• Lundgren, Jens, 2012, "Market Liberalization and Market Integration - Essays on the Nordic Electricity Market," Umeå Economic Studies, Umeå University, Department of Economics, number 852, Nov.
• Nakajima, Jouchi & Watanabe, Toshiaki, 2012, "Time-Varying Vector Autoregressive Modei-A Survey with the Application to the Japanese Macroeconomic Data-," Economic Review, Hitotsubashi University, volume 63, issue 3, pages 193-208, July, DOI: 10.15057/25864.
• 外木, 暁幸 & Tonogi, Akiyuki, 2012, "大規模posデータの実証分析とフィリップス曲線への含意," Research Center for Price Dynamics Working Paper Series, Research Center for Price Dynamics, Institute of Economic Research, Hitotsubashi University, number 6, Jun.
• Jouchi Nakajima & Toshiaki Watanabe, 2012, "Time-Varying Vector Autoregressive Model - A Survey with the Application to the Japanese Macroeconomic Data -," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-232, Apr.
• Max Meulemann & Martin Uebele & Bernd Wilfling, 2012, "The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-251, Nov.
• Andras Fulop & Junye Li & Jun Yu, 2012, "Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-264, Dec.
• Klinger, Sabine & Weber, Enzo, 2012, "Decomposing Beveridge curve dynamics by correlated unobserved components," IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], number 201228.
• Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2012, "International Linkages of the Korean Economy: The Global Vector Error-Correcting Macroeconometric Modelling Approach," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne, number wp2012n18, Aug.
• Yen-Hsien Lee & Ya-Ling Huang & Hao-Jang Yang, 2012, "The Asymmetric Long-Run Relationship Between Crude Oil And Gold Futures," Global Journal of Business Research, The Institute for Business and Finance Research, volume 6, issue 1, pages 9-15.
• Cesa-Bianchi, Ambrogio, 2012, "Housing Cycles and Macroeconomic Fluctuations: A Global Perspective," IDB Publications (Working Papers), Inter-American Development Bank, number 4085, Oct.
• Ambrogio Cesa-Bianchi, 2012, "Housing Cycles and Macroeconomic Fluctuations: A Global Perspective," Research Department Publications, Inter-American Development Bank, Research Department, number 4810, Oct.
• Fève, Patrick & Jidoud, Ahmat, 2012, "Identifying News Shocks from SVARs," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 706, Mar.
• Fève, Patrick & Jidoud, Ahmat, 2012, "News Shocks, Information Flows and SVARs," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 705, Mar.
• Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2012, "A Pitfall with DSGE-Based, Estimated, Government Spending Multipliers," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 708, Apr.
• Chaudourne, Jeremy & Fève, Patrick & Guay, Alain, 2012, "Understanding the Effect of Technology Shocks in SVARs with Long-Run Restrictions," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 738, Aug.
• Joachim Wilde, 2012, "Effects of simultaneity on testing Granger-causality – a cautionary note about statistical problems and economic misinterpretations," IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University, number 93, Oct.
• Sergio V. Barone & Ricardo Descalzi & Alberto M. Díaz Cafferata, 2012, "Trade variables and Current Account “reversals”: Does the choice of definition matter? An application to Latin American countries," Revista de Economía y Estadística, Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas, volume 50, issue 1, pages 123-141, Diciembre, DOI: 10.55444/2451.7321.2012.v50.n1.1025.
• Juan Benítez & Gabriela Mordecki, 2012, "Fundamentals of Equilibrium Real Exchange Rate," Revista de Economía y Estadística, Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas, volume 50, issue 1, pages 59-92, Diciembre, DOI: 10.55444/2451.7321.2012.v50.n1.1025.
• María Sylvina Porras & Eliana Melognio, 2012, "Elasticidad de la demanda de trabajo en Uruguay," Revista de Economía y Estadística, Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas, volume 50, issue 1, pages 93-121, Diciembre, DOI: 10.55444/2451.7321.2012.v50.n1.1025.
• Alain Durré & Philippe Ledent, 2012, "The Two-tier foreign exchange market and the conduct of monetary policy: The Belgian case during Bretton-Woods era," Working Papers, IESEG School of Management, number 2012-ECO-10, Jun.
• Xiaohong Chen & . . & Yixiao Sun, 2012, "Sieve inference on semi-nonparametric time series models," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP06/12, Feb.
• Xiaohong Chen & Jinyong Hahn, 2012, "Asymptotic efficiency of semiparametric two-step GMM," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP31/12, Oct.
• Costantini, Mauro & Gunter, Ulrich & Kunst, Robert M., 2012, "Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE-VAR System," Economics Series, Institute for Advanced Studies, number 292, Oct.
• Salih BARIŞIK & Rüştü YAYAR, 2012, "Sanayi üretim endeksini etkileyen faktörlerin ekonometrik analizi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 316, pages 53-70.
• Hakan KARA & Fethi ÖĞÜNÇ, 2012, "Döviz kuru ve ithalat fiyatlarının yurt içi fiyatlara etkisi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 317, pages 09-28.
• Levent KORAP & Metin YILDIRIM, 2012, "Testing the Lucas Critique for the Turkish Money Demand Function," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 318, pages 57-82.
• Gianluigi Ferrucci & Rebeca Jiménez-Rodríguez & Luca Onorantea, 2012, "Food Price Pass-Through in the Euro Area: Non-Linearities and the Role of the Common Agricultural Policy," International Journal of Central Banking, International Journal of Central Banking, volume 8, issue 1, pages 179-218, March.
• Carlos Garcia & Andrés Sagner, 2012, "Exceso de Toma de Riesgo Crediticio en Chile," ILADES-UAH Working Papers, Universidad Alberto Hurtado/School of Economics and Business, number inv280, Mar.
• Mr. Fei Han & Mr. Selim A Elekdag, 2012, "What Drives Credit Growth in Emerging Asia?," IMF Working Papers, International Monetary Fund, number 2012/043, Feb.
• Fuad Hasanov & Reda Cherif, 2012, "Public Debt Dynamics: The Effects of Austerity, Inflation, and Growth Shocks," IMF Working Papers, International Monetary Fund, number 2012/230, Sep.
• Mr. Paul Cashin & Mr. Kamiar Mohaddes & Mr. Mehdi Raissi & Maziar Raissi, 2012, "The Differential Effects of Oil Demand and Supply Shocks on the Global Economy," IMF Working Papers, International Monetary Fund, number 2012/253, Oct.
• Mr. Paul Cashin & Mr. Kamiar Mohaddes & Mr. Mehdi Raissi, 2012, "The Global Impact of the Systemic Economies and MENA Business Cycles," IMF Working Papers, International Monetary Fund, number 2012/255, Oct.
• Ignacio Perrotini Hernández & Domingo Rodríguez Benavides, 2012, "Inflación, Incertidumbre Inflacionaria y Crecimiento Económico en México: 1929-2009," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 7, issue 1, pages 1-26, Enero-Jun.
• Ashima Goyal & Shruti Tripathi, 2012, "Regulations and price discovery: oil spot and futures markets," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2012-016, Mar.
• Rodrigo Cajamarca & Hermann Mena, 2012, "Modelación de series económicas mediante métodos automáticos de regresión difusa," Analítika, Analítika - Revista de Análisis Estadístico/Journal of Statistical Analysis, volume 3, issue 1, pages 23-42, Junio.
• Juan Carlos Escanciano & Pei Pei, 2012, "Pitfalls in Backtesting Historical Simulation VaR Models," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2012-003, Feb.
• Villalba-Padilla, Fátima Irina & Flores-Ortega, Miguel, 2012, "Capacidad de predicción de los modelos GARCH simétricos aplicados a variables financieras de México 2001-2011," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 34, pages 81-124, segundo t.
• Alcántara-Lizárraga, José Ángel. & de la Cruz-Gallegos, José Luis., 2012, "Un acercamiento empírico al financiamiento del desarrollo : el caso mexicano," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 15, pages 77-100, segundo s.
• Matteo Fragetta & Emanuel Gasteiger, 2012, "Fiscal Foresight, Limited Information and the Effects of Government Spending Shocks," Working Papers Series 2, ISCTE-IUL, Business Research Unit (BRU-IUL), number 12-02, Jun.
• António Afonso & João Tovar Jalles, 2012, "Revisiting fiscal sustainability: panel cointegration and structural breaks in OECD countries," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2012/29, Sep.
• Matteo Luciani & Libero Monteforte, 2012, "Uncertainty and Heterogeneity in factor models forecasting," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 16, May.
• Raffaella Basile & Bruno Chiarini & Elisabetta Marzano, 2012, "Can we rely upon fiscal policy estimates in countries with unreported production of 15 per cent (or more) of GDP?," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 1, Mar.
• Raffaella Basile & Bruno Chiarini & Elisabetta Marzano, 2012, "Can we rely upon fiscal policy estimates in countries with unreported production of 15 per cent (or more) of GDP?," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 12, Mar.
• Matteo Luciani & Libero Monteforte, 2012, "Uncertainty and Heterogeneity in factor models forecasting," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance, number 5, May.
• M. Angeles Carnero Fernández & M. Hakan Eratalay, 2012, "Estimating VAR-MGARCH models in multiple steps," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2012-10, Mar.
• Bailey, Natalia & Kapetanios, George & Pesaran, M. Hashem, 2012, "Exponent of Cross-sectional Dependence: Estimation and Inference," IZA Discussion Papers, IZA Network @ LISER, number 6318, Jan.