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

• 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

• Gregory E. Givens, 2012, "Estimating Central Bank Preferences under Commitment and Discretion," Journal of Money, Credit and Banking, Blackwell Publishing, volume 44, issue 6, pages 1033-1061, September, DOI: 10.1111/j.1538-4616.2012.00522.x.
• Xiaoshan Chen & Ronald Macdonald, 2012, "Realized and Optimal Monetary Policy Rules in an Estimated Markov‐Switching DSGE Model of the United Kingdom," Journal of Money, Credit and Banking, Blackwell Publishing, volume 44, issue 6, pages 1091-1116, September, DOI: 10.1111/j.1538-4616.2012.00524.x.
• Marcin Kolasa & Michał Rubaszek & Paweł Skrzypczyński, 2012, "Putting the New Keynesian DSGE Model to the Real‐Time Forecasting Test," Journal of Money, Credit and Banking, Blackwell Publishing, volume 44, issue 7, pages 1301-1324, October, DOI: 10.1111/j.1538-4616.2012.00533.x.
• Roman Horvath & Petr Poldauf, 2012, "International Stock Market Comovements: What Happened during the Financial Crisis?," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., volume 12, issue 1, pages 1-21, March, DOI: 10.1515/1524-5861.1788.
• Riadh Ben Jelili, 2012, "Revisiting The Finance-Growth Nexus: Further Evidence From Tunisia," Middle East Development Journal (MEDJ), World Scientific Publishing Co. Pte. Ltd., volume 4, issue 01, pages 1-15, DOI: 10.1142/S1793812012500034.
• Wei Sun & Lian An, 2012, "Assessing China'S Renminbi Peg To The U.S. Dollar: The Case For Greater Rmb Exchange Rate Flexibility," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 57, issue 01, pages 1-18, DOI: 10.1142/S0217590812500038.
• Weiwen Ng, 2012, "Oil Price Volatility And The Singapore Macroeconomy," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 57, issue 03, pages 1-26, DOI: 10.1142/S0217590812500221.
• Nikolaos Antonakakis, 2012, "Exchange Return Co-movements and Volatility Spillovers Before and After the Introduction of Euro," FIW Working Paper series, FIW, number 080, May.
• Nikolaos Antonakakis & Harald Badinger, 2012, "Output Volatility, Economic Growth, and Cross-Country Spillovers: New Evidence for the G7 Countries," FIW Working Paper series, FIW, number 098, Jun.
• Mihaela BRATU, 2012, "Forecast Intervals for Inflation in Romania," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, volume 5, issue 17, pages 145-152.
• Habert white & Tae-Hwan Kim & Simone Manganelli, 2012, "VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2012rwp-45, Aug.
• Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2012, "Labor-Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2012rwp-51, Oct.
• Alfonso Mendoza-Velazquez & Peter N. Smith, 2012, "Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks," Discussion Papers, Department of Economics, University of York, number 12/36, Dec.
• Na Guo & Peter N. Smith, 2012, "Durable Consumption, Long-Run Risk and The Equity Premium," Discussion Papers, Department of Economics, University of York, number 12/37, Dec.
• Nataša Erjavec Boris Cota Saša Jakšić, 2012, "Impact of Macroeconomic Shocks on Real Output Fluctuations in Croatia," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 15, issue Special C, pages 69-78, December.
• Feldkircher, Martin & Korhonen, Iikka, 2012, "The rise of China and its implications for emerging markets: Evidence from a GVAR model," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 20/2012.
• Nyberg, Henri & Saikkonen, Pentti, 2012, "Forecasting with a noncausal VAR model," Bank of Finland Research Discussion Papers, Bank of Finland, number 33/2012.
• Stein, Michael & Islami, Mevlud & Lindemann, Jens, 2012, "Identifying time variability in stock and interest rate dependence," Discussion Papers, Deutsche Bundesbank, number 24/2012.
• Matros, Philipp & Vilsmeier, Johannes, 2012, "Measuring option implied degree of distress in the US financial sector using the entropy principle," Discussion Papers, Deutsche Bundesbank, number 30/2012.
• Eickmeier, Sandra & Lombardi, Marco J., 2012, "Monetary policy and the oil futures market," Discussion Papers, Deutsche Bundesbank, number 35/2012.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012, "Intra-daily volatility spillovers between the US and German stock markets," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2012-06.
• Jang, Tae-Seok, 2012, "Structural estimation of the New-Keynesian model: A formal test of backward- and forward-looking behavior," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2012-07.
• Offick, Sven & Wohltmann, Hans-Werner, 2012, "A terminological note on cyclotomic polynomials and Blaschke matrices," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2012-13.
• Gribisch, Bastian, 2012, "Multivariate wishart stochastic volatility and changes in regime," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2012-14.
• Gaul, Jürgen & Theissen, Erik, 2012, "A partially linear approach to modelling the dynamics of spot and futures prices," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-01.
• Böckers, Veit & Heimeshoff, Ulrich, 2012, "The extent of European power markets," DICE Discussion Papers, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE), number 50.
• Atif, Syed Muhammad & Mohazzam, Sardar, 2012, "Inclusive Growth Strategies for Pakistan ─ Myth or Reality for Policymakers," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 65714, Jul.
• Mehmke, Fabian & Cremers, Heinz & Packham, Natalie, 2012, "Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 192.
• Marczak, Martyna & Gómez, Víctor, 2012, "Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis," FZID Discussion Papers, University of Hohenheim, Center for Research on Innovation and Services (FZID), number 50-2012.
• Slowak, André P., 2012, "Die Durchsetzung von Schnittstellen in der Standardsetzung: Fallbeispiel Ladesystem Elektromobilität," FZID Discussion Papers, University of Hohenheim, Center for Research on Innovation and Services (FZID), number 51-2012.
• Marczak, Martyna & Gómez, Víctor, 2012, "SPECTRAN, a set of Matlab programs for Spectral analysis," FZID Discussion Papers, University of Hohenheim, Center for Research on Innovation and Services (FZID), number 60-2012.
• Berlemann, Michael & Enkelmann, Soeren & Kuhlenkasper, Torben, 2012, "Unraveling the complexity of US presidential approval: A multi-dimensional semi-parametric approach," HWWI Research Papers, Hamburg Institute of International Economics (HWWI), number 118.
• Qazi, Ahmer Qasim & Ahmed, Khalid & Mudassar, Muhammad, 2012, "Disaggregate energy consumption and industrial output in Pakistan: An empirical analysis," Economics Discussion Papers, Kiel Institute for the World Economy, number 2012-29.
• 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 PISA 2000 and PISA 2009," 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.
• Òscar Jordà & Malte Knuppel & Massimiliano Marcellino, 2012, "Empirical simultaneous prediction regions for path-forecasts," Working Paper Series, Federal Reserve Bank of San Francisco, number 2012-05.
• Marcelle Chauvet & Zeynep Senyuz & Emre Yoldas, 2012, "What does financial volatility tell us about macroeconomic fluctuations?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-09.
• Edward P. Herbst & Frank Schorfheide, 2012, "Evaluating DSGE model forecasts of comovements," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-11.
• Marcelle Chauvet & Zeynep Senyuz, 2012, "A Dynamic Factor Model of the Yield Curve as a Predictor of the Economy," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-32.
• Kirstin Hubrich & Robert J. Tetlow, 2012, "Financial stress and economic dynamics: the transmission of crises," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-82.
• Christopher J. Gust & Edward P. Herbst & J. David López-Salido & Matthew E. Smith, 2012, "The Empirical Implications of the Interest-Rate Lower Bound," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2012-83.
• Lutz Kilian & Robert J. Vigfusson, 2012, "Do oil prices help forecast U.S. real GDP? the role of nonlinearities and asymmetries," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1050.
• Neil R. Ericsson & Erica L. Reisman, 2012, "Evaluating a global vector autoregression for forecasting," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1056.
• Luciana Juvenal & Ivan Petrella, 2012, "Speculation in the oil market," Economic Synopses, Federal Reserve Bank of St. Louis.
• Frank Schorfheide & Dongho Song, 2012, "Real-time forecasting with a mixed-frequency VAR," Working Papers, Federal Reserve Bank of Minneapolis, number 701.
• Vasco Curdia & Marco Del Negro & Daniel L. Greenwald, 2012, "Rare shocks, great recessions," Staff Reports, Federal Reserve Bank of New York, number 585.
• Pablo Guerrón-Quintana & James M. Nason, 2012, "Bayesian estimation of DSGE models," Working Papers, Federal Reserve Bank of Philadelphia, number 12-4.
• 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-Ségot, 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," KRTK-KTI 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, DOI: http://dx.doi.org/10.18235/0011417.
• 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.