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

2012

• Bogdan-Gabriel MOINESCU, 2012, "Determinants Of Nonperforming Loans In Central And Eastern European Countries: Macroeconomic Indicators And Credit Discipline," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 47-58, December.
• Constantin BELU, 2012, "Pricing Patterns And Implications For Competition Policy," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 97-103, December.
• Marcel Aloy & Gilles de Truchis, 2012, "Estimation and Testing for Fractional Cointegration," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1215, Jun.
• Gilles de Truchis, 2012, "Approximate Whittle Analysis of Fractional Cointegration and the Stock Market Synchronization Issue," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1220, Jul.
• Lambert, Philippe & Laurent, Sebastien & Veredas, David, 2012, "Testing conditional asymmetry: A residual-based approach," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012006, Jan.
• Bauwens, L. & Hafner, C. & Laurent, S., 2012, "Volatility Models," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2012028, Jan.
• Ricardo Bebczuk & Maria Lorena Garegnani, 2012, "Real State as Housing and as Financial Investment: A First Assessment for Argentina," IIE, Working Papers, IIE, Universidad Nacional de La Plata, number 095, Nov.
• Mehmet Cural & Recep Emre Ericok & Veli Yilanci, 2012, "The Effect Of Public Investments On Private Sector Investments In Turkey:1970-2009," Anadolu University Journal of Social Sciences, Anadolu University, volume 12, issue 1, pages 73-88, March.
• Elcyon Caiado Rocha Lima & Alexis Maka & Amadeu Pumar, 2012, "The Effects of Fiscal Policy and its Interactions with Monetary Policy in Brazil," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 13, issue 1, pages 149-180.
• Igor Ézio Maciel Silva & Ricardo Chaves Lima & Jocildo Fernandes Bezerra, 2012, "As Exportações Promovem a Produtividade? Evidência Empírica para Indústria de Transformação do Brasil Utilizando Vetores Autoregressivos com Correção de Erro (VEC)," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 13, issue 1, pages .67-91.
• Akihiko Noda, 2012, "A Test of the Adaptive Market Hypothesis using a Time-Varying AR Model in Japan," Papers, arXiv.org, number 1207.1842, Jul, revised Jan 2016.
• Luca Gambetti, 2012, "Shocking Policy Coefficients," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 906.12, Jun.
• Luca Gambetti, 2012, "Fiscal Foresight, Forecast Revisions and the Effects of Government Spending in the Open Economy," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 907.12, Jun.
• Christopher Heiberger & Torben Klarl & Alfred Maussner, 2012, "System Reduction and the Accuracy of Solutions of DSGE Models: A Note," Discussion Paper Series, Universitaet Augsburg, Institute for Economics, number 320, Dec.
• Conrad, Christian & Loch, Karin & Rittler, Daniel, 2012, "On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation," Working Papers, University of Heidelberg, Department of Economics, number 0525, Mar.
• Xiaohong Chen & Jinyong Hahn, 2012, "Asymptotic efficiency of semiparametric two-step GMM," CeMMAP working papers, Institute for Fiscal Studies, number 31/12, Oct, DOI: 10.1920/wp.cem.2012.3112.
• Philipp Matros & Johannes Vilsmeier, 2012, "Measuring Option Implied Degree of Distress in the US Financial Sector Using the Entropy Principle," Working Papers, Bavarian Graduate Program in Economics (BGPE), number 123, Aug.
• Jahn, Elke & Weber, Enzo, 2012, "Identifying the Substitution Effect of Temporary Agency Employment," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 463, Mar.
• Trenkler, Carsten & Weber, Enzo, 2012, "Identifying the Shocks behind Business Cycle Asynchrony in Euroland," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 466, Jun.
• Trenkler, Carsten & Weber, Enzo, 2012, "Codependent VAR Models and the Pseudo-Structural Form," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 465, Jun.
• Soloschenko, Max & Weber, Enzo, 2012, "Trend-Cycle Interactions and the Subprime Crisis: Analysis of US and Canadian Output," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics, number 470, Dec.
• Marian Vavra, 2012, "Testing Non-linearity Using a Modified Q Test," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1204, Mar.
• Christiane Baumeister & Luca Benati, 2012, "Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound," Staff Working Papers, Bank of Canada, number 12-21, DOI: 10.34989/swp-2012-21.
• Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci & TengTeng Xu, 2012, "China’s Emergence in the World Economy and Business Cycles in Latin America," Staff Working Papers, Bank of Canada, number 12-32, DOI: 10.34989/swp-2012-32.
• TengTeng Xu, 2012, "The Role of Credit in International Business Cycles," Staff Working Papers, Bank of Canada, number 12-36, DOI: 10.34989/swp-2012-36.
• Soojin Jo, 2012, "The Effects of Oil Price Uncertainty on the Macroeconomy," Staff Working Papers, Bank of Canada, number 12-40, DOI: 10.34989/swp-2012-40.
• Paolo Guarda & Philippe Jeanfils, 2012, "Macro-financial linkages: Evidence from country-specific VARs," BCL working papers, Central Bank of Luxembourg, number 71, Mar.
• Ebru SONBUL ISKENDER, 2012, "Credit Risk Macro Stress Test Model for Turkish Banking Industry," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 6, issue 1, pages 9-44.
• Lorenzo Ricci & David Veredas, 2012, "TailCoR," Working Papers, Banco de España, number 1227, Jul.
• Matteo Luciani & David Veredas, 2012, "A model for vast panels of volatilities," Working Papers, Banco de España, number 1230, Sep.
• Alessio Anzuini & Marco J. Lombardi & Patrizio Pagano, 2012, "The impact of monetary policy shocks on commodity prices," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 851, Feb.
• Christoffer Kok S�rensen & David Marqu�s Ib��ez & Carlotta Rossi, 2012, "Modelling loans to non-financial corporations in the euro area," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 857, Feb.
• Mario Porqueddu & Fabrizio Venditti, 2012, "Do food commodity prices have asymmetric effects on Euro-Area inflation?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 878, Sep.
• Jorge Andrés Tamayo Castaño, 2012, "Asimetrías en la demanda por trabajo en Colombia: el papel del ciclo económico," Borradores de Economia, Banco de la Republica de Colombia, number 689, Jan, DOI: 10.32468/be.689.
• Martha López & Fernando Tenjo & Héctor Zárate, 2012, "The Risk-Taking Channel in Colombia Revisited," Borradores de Economia, Banco de la Republica de Colombia, number 690, Feb, DOI: 10.32468/be.690.
• Hernando Vargas & Andrés González & Ignacio Lozano, 2012, "Macroeconomic Effects of Structural Fiscal Policy Changes in Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 691, Feb, DOI: 10.32468/be.691.
• Enrique López & Enrique Montes & Aarón Garavito & María Mercedes Collazos, 2012, "La economía petrolera en Colombia Marco legal - contractual y sus principales efectos sobre la actividad económica del país (parte I)," Borradores de Economia, Banco de la Republica de Colombia, number 692, Feb, DOI: 10.32468/be.692.
• Carlos Gustavo Cano Sanz & César Vallejo Mejía & Edgar Caicedo García & Juan Sebastian Amador Torres & Evelyn Yohana Tique Calderón, 2012, "El mercado mundial del café y su impacto en Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 710, May, DOI: 10.32468/be.710.
• Héctor M. Zárate Solano & Norberto Rodríguez Niño & Margarita Marín Jaramillo, 2012, "El tamaño de las empresas y la transmisión de la política monetaria en Colombia: una aplicación con la encuesta mensual de expectativas económicas," Borradores de Economia, Banco de la Republica de Colombia, number 721, Jul, DOI: 10.32468/be.721.
• Rubén Albeiro Loaiza Maya & José Eduardo Gómez-González & Luis Fernando Melo Velandia, 2012, "Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach," Borradores de Economia, Banco de la Republica de Colombia, number 729, Aug, DOI: 10.32468/be.729.
• Carolina Arteaga & Joan Camilo Granados & Jair Ojeda Joya, 2012, "El comportamiento del tipo de cambio real en Colombia: ¿Explicado por sus fundamentales?," Borradores de Economia, Banco de la Republica de Colombia, number 742, Oct, DOI: 10.32468/be.742.
• Edgberto Alexander Riveros, 2012, "¿Responde el Banco de la República a los movimientos en la tasa de cambio real?," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 30, issue 69, pages 150-194, December, DOI: 10.32468/Espe.6904.
• Banerjee, A. & Bystrov, V. & Mizen, P., 2012, "How do anticipated changes to short-term market rates influence banks' retail interest rates? Evidence from the four major euro area economies," Working papers, Banque de France, number 361.
• Anindya Banerjee & Sheheryar Malik, 2012, "The changing role of expectations in US monetary policy: A new look using the Livingston Survey," Working papers, Banque de France, number 376.
• Patrick Fève & Julien Matheron & Jean-Guillaume Sahuc, 2012, "A Pitfall with DSGE-Based, Estimated, Government Spending Multipliers," Working papers, Banque de France, number 379.
• Alain Schlaepfer & Fabio Canova, 2015, "Has the Euro-Mediterranean Partnership Affected Mediterranean Business Cycles?," Working Papers, Barcelona School of Economics, number 548, Sep.
• Sumru Altug & Fabio Canova, 2015, "Do Institutions and Culture Matter for Business Cycles?," Working Papers, Barcelona School of Economics, number 627, Sep.
• Luca Gambetti, 2015, "Fiscal Foresight, Forecast Revisions and the Effects of Government Spending in the Open Economy," Working Papers, Barcelona School of Economics, number 644, Sep.
• Luca Gambetti & Giacomo De Giorgi, 2015, "The Effects of Government Spending on the Distribution of Consumption," Working Papers, Barcelona School of Economics, number 645, Sep.
• Luca Gambetti, 2015, "Shocking Policy Coefficients," Working Papers, Barcelona School of Economics, number 647, Sep.
• Kemal Bagzibagli, 2012, "Monetary Transmission Mechanism and Time Variation in the Euro Area," Discussion Papers, Department of Economics, University of Birmingham, number 12-12, Nov.
• Rokon Bhuiyan, 2012, "Identifying a Forward-looking Monetary Policy in an Open Economy," Economica, London School of Economics and Political Science, volume 79, issue 315, pages 576-599, July.
• Emmanuel De Veirman & Ashley Dunstan, 2012, "Debt Dynamics and the Relationship Between Consumption and Cyclical Wealth Changes," The Economic Record, The Economic Society of Australia, volume 88, issue 282, pages 330-340, September, DOI: j.1475-4932.2012.00812.x.
• Kevin Lee & Nilss Olekalns & Kalvinder Shields & Zheng Wang, 2012, "Australian Real-Time Database: An Overview and an Illustration of its Use in Business Cycle Analysis," The Economic Record, The Economic Society of Australia, volume 88, issue 283, pages 495-516, December, DOI: 10.1111/ecor.2012.88.issue-283.
• Sumru Altug & Bilin Neyapti & Mustafa Emin, 2012, "Institutions and Business Cycles," International Finance, Wiley Blackwell, volume 15, issue 3, pages 347-366, December, DOI: 10.1111/j.1468-2362.2013.12000.x.
• Massimiliano Caporin & Michael McAleer, 2012, "Do We Really Need Both Bekk And Dcc? A Tale Of Two Multivariate Garch Models," Journal of Economic Surveys, Wiley Blackwell, volume 26, issue 4, pages 736-751, September, DOI: j.1467-6419.2011.00683.x.
• Francesco Lippi & Andrea Nobili, 2012, "Oil And The Macroeconomy: A Quantitative Structural Analysis," Journal of the European Economic Association, European Economic Association, volume 10, issue 5, pages 1059-1083, October, DOI: j.1542-4774.2012.01079.x.
• Syed Abul Basher & Elsayed Mousa Elsamadisy, 2012, "Country heterogeneity and long-run determinants of inflation in the Gulf Arab states," OPEC Energy Review, Organization of the Petroleum Exporting Countries, volume 36, issue 2, pages 170-203, June, DOI: j.1753-0237.2011.00208.x.
• Luiz de Mello & Pier Carlo Padoan & Linda Rousová, 2012, "Are Global Imbalances Sustainable? Shedding Further Light on the Causes of Current Account Reversals," Review of International Economics, Wiley Blackwell, volume 20, issue 3, pages 489-516, August, DOI: j.1467-9396.2012.01035.x.
• Audrone Jakaitiene & Stephane Dees, 2012, "Forecasting the World Economy in the Short Term," The World Economy, Wiley Blackwell, volume 35, issue 3, pages 331-350, March, DOI: j.1467-9701.2011.01433.x.
• Anders C. Johansson, 2012, "China’s Growing Influence in Southeast Asia – Monetary Policy and Equity Markets," The World Economy, Wiley Blackwell, volume 35, issue 7, pages 816-837, July, DOI: j.1467-9701.2012.01435.x.
• BANU Ilie & BUTIUC Ioana-Madalina, 2012, "Optimal Fiscal System And Public Finance Sustainability Indicators In East European Countries Within The Eu27," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 63, issue 4-5, pages 121-136.
• Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud, 2012, "What drives oil prices? Emerging versus developed economies," Working Paper, Norges Bank, number 2012/11, Nov.
• Hilde C. Bjørnland & Dag Henning Jacobsen, 2012, "House prices and stock prices: Different roles in the U.S. monetary transmission mechanism," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 1/2012, Aug.
• Knut Are Aastveit & Hilde C. Bjørnland & Leif Anders Thorsrud, 2012, "What drives oil prices? Emerging versus developed economies," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 2/2012, Dec.
• Jonathan Bridges & Ryland Thomas, 2012, "The impact of QE on the UK economy – some supportive monetarist arithmetic," Bank of England working papers, Bank of England, number 442, Jan.
• George Kapetanios & Haroon Mumtaz & Ibrahim Stevens & Konstantinos Theodoridis, 2012, "Assessing the economy-wide effects of quantitative easing," Bank of England working papers, Bank of England, number 443, Jan.
• Alina Barnett & Haroon Mumtaz & Konstantinos Theodoridis, 2012, "Forecasting UK GDP growth, inflation and interest rates under structural change: a comparison of models with time-varying parameters," Bank of England working papers, Bank of England, number 450, May.
• Haroon Mumtaz & Konstantinos Theodoridis, 2012, "The international transmission of volatility shocks: an empirical analysis," Bank of England working papers, Bank of England, number 463, Oct.
• Haroon Mumtaz & Francesco Zanetti, 2012, "Factor adjustment costs: a structural investigation," Bank of England working papers, Bank of England, number 467, Oct.
• Zacharias Bragoudakis & Dimitrios Sideris, 2012, "Do retail gasoline prices adjust symmetrically to crude oil price changes? the case of the Greek oil market," Economic Bulletin, Bank of Greece, issue 37, pages 7-21, December.
• Evangelia Papapetrou & Dimitrios Bakas, 2012, "Unemployment in Greece: evidence from Greek regions," Working Papers, Bank of Greece, number 146, Jun.
• Sophocles Brissimis & Eugenie Garganas & Stephen G. Hall, 2012, "Consumer credit in an era of financial liberalisation: an overreaction to repressed demand?," Working Papers, Bank of Greece, number 148, Oct.
• Cheonggu Cho, 2012, "Asymmetry and Non-Linearity in the Exchange Rate Pass-Through to Korean Export Prices (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, volume 18, issue 4, pages 85-132, December.
• Pierre Perron & Francisco Estrada, 2012, "Breaks, trends and the attribution of climate change: a time-series analysis," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2012-013, Jan.
• Ye Li & Pierre Perron, 2012, "Inference on Locally Ordered Breaks in Multiple Regressions," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2015-013, Nov, revised 02 Feb 2015.
• Horvath Roman & Poldauf Petr, 2012, "International Stock Market Comovements: What Happened during the Financial Crisis?," Global Economy Journal, De Gruyter, volume 12, issue 1, pages 1-21, March, DOI: 10.1515/1524-5861.1788.
• Zsolt Darvas, 2012, "Monetary transmission in three central European economies- evidence from time-varying coefficient vector autoregressions," Bruegel Working Papers, Bruegel, number 722, May.
• Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012, "Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach," Brazilian Review of Finance, Brazilian Society of Finance, volume 10, issue 4, pages 529-550.
• Imran Shah, 2012, "Revisiting the Dynamic Effects of Oil Price Shock on Small Developing Economies," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 12/626, Aug.
• Salem Boubakri, 2012, "The Impact of the Financial Crisis on the Currency Risk Premium Dynamics within the G20 :Evidence from the ICAPM," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 55, issue 1, pages 33-73.
• Romain Legrand, 2012, "L'effet dynamique des chocs d'offre et de demande agrégés. Une étude sur le cas allemand," Revue économique, Presses de Sciences-Po, volume 63, issue 1, pages 129-155.
• Xu, T.T., 2012, "The role of credit in international business cycles," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1202, Jan.
• Bailey, N. & Kapetanios, G. & Pesaran, M. H., 2012, "Exponent of Cross-sectional Dependence: Estimation and Inference," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1206, Jan.
• Esfahani, H. S. & Mohaddes, K. & Pesaran, M. H., 2012, "An Empirical Growth Model for Major Oil Exporters," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1215, Mar.
• Cashin, P. & Mohaddes, K. & Raissi, M. & Raissi, M., 2012, "The Differential Effects of Oil Demand and Supply Shocks on the Global Economy," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1249, Nov.
• Cashin, P. & Mohaddes, K. & Raissi, M., 2012, "The Global Impact of the Systemic Economies and MENA Business Cycles," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1250, Nov.
• Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012, "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 12/04, Mar.
• Warwick Anderson, 2012, "Dealing with Trading Thinness in Event Studies: An Improved Trade-to-Trade Model," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 12/18, Dec.
• Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick, 2012, "What causes banking crises? An empirical investigation," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2012/14, Jun, revised Apr 2013.
• Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2012, "Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2012/15, Jun.
• Meenagh, David & Minford, Patrick & Wickens, Michael, 2012, "Testing macroeconomic models by indirect inference on unfiltered data," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2012/17, Jul.
• Artu , Erhan & Pourpourides, Panayiotis M., 2012, "R&D and Aggregate Fluctuations," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2012/2, Jan.
• Liu, Chunping & Minford, Patrick, 2012, "Comparing behavioural and rational expectations for the US post-war economy," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2012/21, Aug.
• Youssouf KIENDREBEOGO, 2012, "Understanding the Causal Links between Financial Development and International Trade," Working Papers, CERDI, number 201234.
• Granger, Clive W.J., 2004, "Time Series Analysis, Cointegration, and Applications," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt2nb9f668, Jan.
• Granger, Clive W.J. & Teräsvirta, Timo & Patton, Andrew J, 2002, "Common Factors in Conditional Distributions," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt3bd1n1x5, Nov.
• Bowdler, Christopher & Jansen, Eilev S., 2004, "Testing for a time-varying price-cost markup in the Euro area inflation process," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt4s75w541, May.
• Engle, Robert F & Sheppard, Kevin K, 2001, "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt5s2218dp, Sep.
• Komunjer, Ivana & OWYANG, MICHAEL, 2007, "Multivariate Forecast Evaluation And Rationality Testing," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt81w8m5sf, Nov.
• Bruno de Paula Rocha & Igor Viveiros de Souza, 2012, "Algumas evidências internacionais sobre a relação entre sistema financeiro e crescimento econômico no domínio da frequência," Textos para Discussão Cedeplar-UFMG, Cedeplar, Universidade Federal de Minas Gerais, number 461, Apr.
• Astrid Ayala & Juncal Cuñado & Luis Albériko Gil-Alana, 2012, "Unemployment hysteresis: empirical evidence for Latin America," Journal of Applied Economics, Universidad del CEMA, volume 15, pages 213-233, November.
• Javier Hidalgo & Myung Hwan Seo, 2012, "Testing for Structural Stability in the Whole Sample," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE, number 561, Sep.
• Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2012, "Exponent of Cross-sectional Dependence: Estimation and Inference," CESifo Working Paper Series, CESifo, number 3722.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012, "Persistence and Cycles in US Hours Worked," CESifo Working Paper Series, CESifo, number 3767.
• Hadi Salehi Esfahani & Kamiar Mohaddes & M. Hashem Pesaran, 2012, "An Empirical Growth Model for Major Oil Exporters," CESifo Working Paper Series, CESifo, number 3780.
• Guglielmo Maria Caporale & Mauro Costantini & Antonio Paradiso, 2012, "Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal," CESifo Working Paper Series, CESifo, number 3897.
• Carlos Pestana Barros & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012, "Long Memory in German Energy Price Indices," CESifo Working Paper Series, CESifo, number 3935.
• Robert Lehmann & Klaus Wohlrabe, 2012, "Forecasting GDP at the Regional Level with Many Predictors," CESifo Working Paper Series, CESifo, number 3956.
• Michael Berlemann & Julia Freese & Sven Knoth, 2012, "Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control," CESifo Working Paper Series, CESifo, number 3962.
• Guglielmo Maria Caporale & Alessandro Girardi, 2012, "Business Cycles, International Trade and Capital Flows: Evidence from Latin America," CESifo Working Paper Series, CESifo, number 4006.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012, "Persistence and Cycles in the US Federal Funds Rate," CESifo Working Paper Series, CESifo, number 4035.
• Sybille Lehwald, 2012, "Has the Euro Changed Business Cycle Synchronization? Evidence from the Core and the Periphery," ifo Working Paper Series, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 122.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009, "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-162, Aug.
• Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009, "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-175, Oct, revised Nov 2009.
• Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson, 2009, "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-187, Oct.
• Chia-Ling Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2009, "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-190, Nov.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-202, Jan.
• Massimiliano Caporin & Michael McAleer, 2010, "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-217, May.
• Massimiliano Caporin & Michael McAleer, 2010, "Ranking Multivariate GARCH Models by Problem Dimension," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-219, May.
• Sengül Dagdeviren & Ayla Ogu? Binatli & Niloufer Sohrabji, 2012, "Misalignment Under Different Exchange Rate Regimes: the Case of Turkey," International Economics, CEPII research center, issue 130, pages 81-98.
• Jeroen Rombouts & Lars Stentoft & Francesco Violente, 2012, "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options," CIRANO Working Papers, CIRANO, number 2012s-05, Feb.
• Rokon Bhuiyan, 2012, "Monetary transmission mechanisms in a small open economy: a Bayesian structural VAR approach," Canadian Journal of Economics, Canadian Economics Association, volume 45, issue 3, pages 1037-1061, August, DOI: 10.1111/j.1540-5982.2012.01726.x.
• Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012, "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers, CEMFI, number wp2012_1201, Feb.
• Gabriele Fiorentini & Enrique Sentana, 2012, "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers, CEMFI, number wp2012_1211, Oct.
• Alberto Ortiz Bolaños & Jacob Wishart, 2012, "Trend Shocks and Financial Frictions in Small Open Economies Modeling," Documentos de Investigación - Research Papers, CEMLA, number 5, Dec.
• Volha Audzei & Frantisek Brazdik, 2012, "Monetary Policy and Exchange Rate Dynamics: The Exchange Rate as a Shock Absorber," Working Papers, Czech National Bank, Research and Statistics Department, number 2012/09, Oct.
• A. Khalifa & S. Hammoudeh & E. Otranto, 2012, "Volatility Spillover, Interdependence, Comovements across GCC, Oil and U.S. Markets and Portfolio Management Strategies in a Regime-Changing Environment," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201209.
• E. Otranto, 2012, "Spillover Effects in the Volatility of Financial Markets," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201217.
• Jorge Alberto Achcar & Edilberto Cepeda-Cuervo & Milton Barossi-Filho, 2012, "Multivariate volatility models: an application to IBOVESPA and Dow Jones Industrial," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Andrés Salamanca Lugo, 2012, "Sincronización de los Ciclos Económicos: el Caso de Colombia, Ecuador y Venezuela," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• Jorge Andr�s Tamayo Casta�o, 2012, "Asimetr�as en la demanda por trabajo en Colombia: el papel del ciclo econ�mico," Borradores de Economia, Banco de la Republica, number 9286, Jan.
• Martha L�pez & Fernando Tenjo & H�ctor Z�rate, 2012, "The Risk-Taking Channel in Colombia Revisited," Borradores de Economia, Banco de la Republica, number 9313, Feb.
• Hernando Vargas & Andr�s Gonz�lez & Ignacio Lozano, 2012, "Macroeconomic Effects of Structural Fiscal Policy Changes in Colombia," Borradores de Economia, Banco de la Republica, number 9314, Feb.
• Enrrique L�pez & Enrique Montes & Aar�n Garavito & Mar�a Mercedes Collazos, 2012, "La econom�a petrolera en Colombia Marco legal - contractual y sus principales efectos sobre la actividad econ�mica del pa�s (parte I)," Borradores de Economia, Banco de la Republica, number 9315, Feb.
• Carlos Gustavo Cano Sanz & Cesar Vallejo Mej�a & Edgar Caicedo Garc�a & Juan Sebastian Amador Torres, 2012, "El mercado mundial del caf� y su impacto en Colombia," Borradores de Economia, Banco de la Republica, number 9612, May.
• H�ctor M. Z�rate Solano & Norberto Rodr�guez Ni�o & Margarita Mar�n Jaramillo, 2012, "El tama�o de las empresas y la transmisi�n de la pol�tica monetaria en Colombia: una aplicaci�n con la encuesta mensual de expectativas econ�micas," Borradores de Economia, Banco de la Republica, number 9823, Jul.
• Rub�n Albeiro Loaiza Maya & Luis Fernando Melo Velandia, 2012, "Latin American Exchange Rate Dependencies: A Regular Vine Copula Approach," Borradores de Economia, Banco de la Republica, number 9902, Aug.
• Egberto Alexander Riveros Saavedra, 2012, "¿Responde el Banco de la República a los movimientos en la tasa de cambio real?," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, volume 30, issue 69, pages 150-194, DOI: 10.32468/Espe.6904.
• Javier Orlando Pantoja Robayo & Andrea Roncoroni, 2012, "Optimal Static Hedging of Energy Price and Volume Risk: Closed-Form Results," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10668, Dec.
• Werner Kristjanpoller Rodriguez & Víctor Caballero Ugarte, 2012, "Volumen y asimetría en los principales mercados accionarios latinoamericanos," Revista Lecturas de Economía, Universidad de Antioquia, CIE.
• Aquiles Arrieta Barcasnegras, 2012, "La relación entre los flujos de capital y el precio de la vivienda: el caso colombiano," Revista de Economía del Caribe, Universidad del Norte, volume 0, issue 0, pages 1-33.
• Alessandro Rebucci & Ambrogio Cesa-Bianchi & M. Hashem Pesaran & TengTeng Xu, 2012, "China's Emergence in the World Economy and Business Cycles in Latin America," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, volume 0, issue Spring 20, pages 1-75.
• Fernando Borraz & Leandro Zipitr�a, 2012, "Retail Price Setting in Uruguay," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, volume 0, issue Spring 20, pages 77-109.
• Eduardo Loría & Catalina Libreros & Emmanuel Salas, 2012, "Crisis de paro en Espana. Una aplicación de la ley de Okun, 1995.1-2012.2," Coyuntura Económica, Fedesarrollo.
• Edwin Tapia & Silvio F. Ramos, 2012, "Impulsos de demanda y oferta agregada y las fluctuaciones económicas en Santiago de Cali de 1996 a 2008," Revista Tendencias, Universidad de Narino, volume 13, issue 1, pages 135-156.
• ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012, "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2012003, Feb.
• CARPANTIER, Jean-François & SAMKHARADZE, Besik, 2012, "The asymmetric commodity inventory effect on the optimal hedge ratio," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2012020, May.
• BAUWENS, Luc & STORTI, Giuseppe, 2012, "Computationally efficient inference procedures for vast dimensional realized covariance models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2012028, Jul.
• BAUWENS, Luc & STORTI, Giuseppe & VIOLANTE, Francesco, 2012, "Dynamic conditional correlation models for realized covariance matrices," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2012060, Dec.
• Altug, Sumru & Neyapti, Bilin & Emin, Mustafa, 2012, "Institutions and Business Cycles," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8728, Jan.
• Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2012, "Prior Selection for Vector Autoregressions," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8755, Jan.
• Dolado, Juan J & Charnavoki, Valery, 2012, "The effects of global shocks on small commodity-exporting economies: New evidence from Canada," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8825, Feb.
• Guarda, Paolo & Jeanfils, Philippe, 2012, "Macro-Financial Linkages: evidence from country-specific VARs," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8875, Mar.
• Reichlin, Lucrezia & Giannone, Domenico & Lenza, Michele, 2012, "Money, credit, monetary policy and the business cycle in the euro area," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8944, Apr.
• Kilian, Lutz & Vigfusson, Robert J., 2012, "Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8980, May.
• Minford, Patrick & Wickens, Michael R. & Meenagh, David & Le, Vo Phuong Mai, 2012, "Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9056, Jul.
• Minford, Patrick & Meenagh, David & Le, Vo Phuong Mai, 2012, "What causes banking crises? An empirical investigation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9057, Jul.
• Minford, Patrick & Wickens, Michael R. & Meenagh, David, 2012, "Testing macroeconomic models by indirect inference on unfiltered data," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9058, Jul.
• López-Salido, J David & Gust, Christopher & Smith, Matthew E, 2012, "The Empirical Implications of the Interest-Rate Lower Bound," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 9214, Nov.
• Vaona, Andrea, 2012, "Granger non-causality tests between (non)renewable energy consumption and output in Italy since 1861: The (ir)relevance of structural breaks," Energy Policy, Elsevier, volume 45, issue C, pages 226-236, DOI: 10.1016/j.enpol.2012.02.023.
• Piaggio, Matías & Padilla, Emilio, 2012, "CO2 emissions and economic activity: Heterogeneity across countries and non-stationary series," Energy Policy, Elsevier, volume 46, issue C, pages 370-381, DOI: 10.1016/j.enpol.2012.03.074.
• Dagher, Leila & Yacoubian, Talar, 2012, "The causal relationship between energy consumption and economic growth in Lebanon," Energy Policy, Elsevier, volume 50, issue C, pages 795-801, DOI: 10.1016/j.enpol.2012.08.034.
• Gupta, Rakesh & Guidi, Francesco, 2012, "Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets," International Review of Financial Analysis, Elsevier, volume 21, issue C, pages 10-22, DOI: 10.1016/j.irfa.2011.09.001.
• Schreiber, Irene & Müller, Gernot & Klüppelberg, Claudia & Wagner, Niklas, 2012, "Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis," International Review of Financial Analysis, Elsevier, volume 24, issue C, pages 57-65, DOI: 10.1016/j.irfa.2012.07.006.
• Yan, Meilan & Hall, Maximilian J.B. & Turner, Paul, 2012, "A cost–benefit analysis of Basel III: Some evidence from the UK," International Review of Financial Analysis, Elsevier, volume 25, issue C, pages 73-82, DOI: 10.1016/j.irfa.2012.06.009.
• Fang, Yan & Ielpo, Florian & Sévi, Benoît, 2012, "Empirical bias in intraday volatility measures," Finance Research Letters, Elsevier, volume 9, issue 4, pages 231-237, DOI: 10.1016/j.frl.2012.08.001.
• Chuang, Wen-I & Liu, Hsiang-Hsi & Susmel, Rauli, 2012, "The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility," Global Finance Journal, Elsevier, volume 23, issue 1, pages 1-15, DOI: 10.1016/j.gfj.2012.01.001.
• Vivian, Andrew & Wohar, Mark E., 2012, "Commodity volatility breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 2, pages 395-422, DOI: 10.1016/j.intfin.2011.12.003.
• Cheng, Su-Yin, 2012, "Substitution or complementary effects between banking and stock markets: Evidence from financial openness in Taiwan," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 3, pages 508-520, DOI: 10.1016/j.intfin.2012.01.007.
• Ji, Philip Inyeob, 2012, "Time-varying financial stress linkages: Evidence from the LIBOR-OIS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 4, pages 647-657, DOI: 10.1016/j.intfin.2012.04.001.
• Karoglou, Michail & Morley, Bruce, 2012, "Purchasing power parity and structural instability in the US/UK exchange rate," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 4, pages 958-972, DOI: 10.1016/j.intfin.2012.05.001.
• Antonakakis, Nikolaos, 2012, "Exchange return co-movements and volatility spillovers before and after the introduction of euro," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1091-1109, DOI: 10.1016/j.intfin.2012.05.009.
• Rülke, Jan-Christoph, 2012, "Do professional forecasters apply the Phillips curve and Okun's law? Evidence from six Asian-Pacific countries," Japan and the World Economy, Elsevier, volume 24, issue 4, pages 317-324, DOI: 10.1016/j.japwor.2012.05.002.
• Dark, Jonathan, 2012, "Will tighter futures price limits decrease hedge effectiveness?," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2717-2728, DOI: 10.1016/j.jbankfin.2011.07.020.
• Li, Junye, 2012, "Option-implied volatility factors and the cross-section of market risk premia," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 249-260, DOI: 10.1016/j.jbankfin.2011.07.005.
• Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten, 2012, "Pitfalls in VAR based return decompositions: A clarification," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1255-1265, DOI: 10.1016/j.jbankfin.2011.11.004.
• Dungey, Mardi & Hvozdyk, Lyudmyla, 2012, "Cojumping: Evidence from the US Treasury bond and futures markets," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1563-1575, DOI: 10.1016/j.jbankfin.2012.01.005.
• Mencía, Javier, 2012, "Assessing the risk-return trade-off in loan portfolios," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1665-1677, DOI: 10.1016/j.jbankfin.2012.01.007.
• Vlastakis, Nikolaos & Markellos, Raphael N., 2012, "Information demand and stock market volatility," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1808-1821, DOI: 10.1016/j.jbankfin.2012.02.007.
• Escanciano, Juan Carlos & Pei, Pei, 2012, "Pitfalls in backtesting Historical Simulation VaR models," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2233-2244, DOI: 10.1016/j.jbankfin.2012.04.004.
• Ang, Andrew & Kristensen, Dennis, 2012, "Testing conditional factor models," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 132-156, DOI: 10.1016/j.jfineco.2012.04.008.
• Beirne, John, 2012, "The EONIA spread before and during the crisis of 2007–2009: The role of liquidity and credit risk," Journal of International Money and Finance, Elsevier, volume 31, issue 3, pages 534-551, DOI: 10.1016/j.jimonfin.2011.10.005.
• Berger, Tino & Kempa, Bernd, 2012, "Taylor rules and the Canadian–US equilibrium exchange rate," Journal of International Money and Finance, Elsevier, volume 31, issue 5, pages 1060-1075, DOI: 10.1016/j.jimonfin.2011.12.010.
• Olson, Eric & Miller, Scott & Wohar, Mark E., 2012, "“Black Swans” before the “Black Swan” evidence from international LIBOR–OIS spreads," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1339-1357, DOI: 10.1016/j.jimonfin.2012.02.004.
• Lopez, Claude & Papell, David H., 2012, "Convergence of Euro area inflation rates," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1440-1458, DOI: 10.1016/j.jimonfin.2012.02.010.
• Bodart, V. & Candelon, B. & Carpantier, J.-F., 2012, "Real exchanges rates in commodity producing countries: A reappraisal," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1482-1502, DOI: 10.1016/j.jimonfin.2012.02.012.
• Kim, Hyeongwoo, 2012, "VECM estimations of the PPP reversion rate revisited: The conventional role of relative price adjustment restored," Journal of Macroeconomics, Elsevier, volume 34, issue 1, pages 223-238, DOI: 10.1016/j.jmacro.2011.10.004.
• Olson, Eric & Enders, Walter & Wohar, Mark E., 2012, "An empirical investigation of the Taylor curve," Journal of Macroeconomics, Elsevier, volume 34, issue 2, pages 380-390, DOI: 10.1016/j.jmacro.2011.12.005.
• Delatte, Anne-Laure & López-Villavicencio, Antonia, 2012, "Asymmetric exchange rate pass-through: Evidence from major countries," Journal of Macroeconomics, Elsevier, volume 34, issue 3, pages 833-844, DOI: 10.1016/j.jmacro.2012.03.003.
• Fisher, Lance A. & Huh, Hyeon-seung & Otto, Glenn, 2012, "Structural cointegrated models of US consumption and wealth," Journal of Macroeconomics, Elsevier, volume 34, issue 4, pages 1111-1124, DOI: 10.1016/j.jmacro.2012.08.005.