Research classified by Journal of Economic Literature (JEL) codes

---

Top JEL
/ C: Mathematical and Quantitative Methods
/ / C3: Multiple or Simultaneous Equation Models; Multiple Variables
/ / / C32: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

---

This JEL code is mentioned in the following RePEc Biblio entries:

1. Estimated DSGE Models
2. Forecasting with DSGE Models
3. Nowcasting
4. Sign Restrictions
5. Bayesian Vector autoregressions (BVARs)
6. Dynamic Factor Models

2012

• Erhan Artuc & Panayiotis M. Pourpourides, 2012, "R&D and Aggregate Fluctuations," Working Papers, Central Bank of Cyprus, number 2012-1, Feb.
• Karen Moris, 2012, "La presse en tant que mécanisme de gouvernance partenariale:Danone et l’affaire LU - The press as a stakeholder oriented corporate governance mechanism:Danone and the LU affair," Revue Finance Contrôle Stratégie, revues.org, volume 15, issue 3, pages 1-25, September.
• Carlos P. Barros & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012, "Long Memory in German Energy Price Indices," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1186.
• Helmut Lütkepohl & Aleksei Netsunajev, 2012, "Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1195.
• Ansgar Belke & Ingo G. Bordon & Ulrich Volz, 2012, "Effects of Global Liquidity on Commodity and Food Prices," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1199.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012, "Persistence and Cycles in US Hours Worked," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1200.
• Helmut Lütkepohl, 2012, "Fundamental Problems with Nonfundamental Shocks," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1230.
• Guglielmo Maria Caporale & Mauro Costantini & Antonio Paradiso, 2012, "Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1232.
• Helmut Lütkepohl, 2012, "Reducing Confidence Bands for Simulated Impulse Responses," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1235.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Robert Mudida, 2012, "Testing the Marshall-Lerner Condition in Kenya," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1247.
• Guglielmo Maria Caporale & Alessandro Girardi, 2012, "Business Cycles, International Trade and Capital Flows: Evidence from Latin America," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1254.
• Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012, "Persistence and Cycles in the US Federal Funds Rate," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1255.
• Helmut Lütkepohl, 2012, "Identifying Structural Vector Autoregressions via Changes in Volatility," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1259.
• Marc Joëts, 2012, "Energy price transmissions during extreme movements," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2012-38.
• Olfa Kaabia & Ilyes Abid, 2012, "Theoretical Channels of International,Transmission During the Subprime Crisis to OCDE Countries : A FAVAR Model Under Bayesian Framework," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2012-40.
• Olfa Kaabia & Ilyes Abid & Khaled Guesmi, 2012, "Does Bayesian Shrinkage Help to Better Reflect What Happened during the Subprime Crisis?," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2012-46.
• Satyananda Sahoo & Indranil Bhattacharyya, 2012, "Yield Curve Dynamics of the Indian G-Sec Market: A Macro-Finance Approach," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 47, issue 2, pages 157-182.
• Nyong, M. O. & Udah, E. B., 2012, "Industrial Time Series of Nigeria, 1970-2009: Evolution and Unit Root Testing in the Presence of Multiple Endogenous Structural Breaks," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 12, issue 1.
• Rangan GUPTA & Roula INGLESI-LOTZ, 2012, "Macro Shocks and Real US Stock Prices with Special Focus on the “Great Recession”," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 12, issue 2.
• OZKAN, Filiz & OZKAN, Omer, 2012, "An Analysis Of Co2 Emissions Of Turkish Industries And Energy Sector," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, volume 12, issue 2.
• Chevillon, Guillaume, 2012, "Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1210, Oct.
• Domenico Giannone & Michèle Lenza & Giorgio E. Primiceri, 2012, "Prior Selection for Vector Autoregressions," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2012-002, Jan.
• Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2012, "Money, Credit, Monetary Policy and the Business Cycle in the Euro Area," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2012-008, Mar.
• Matteo Luciani, 2012, "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2012-035, Oct.
• Marc Hallin & Ramon van den Akker & Bas Werker, 2012, "Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2012-042, Nov.
• Bernd Schwaab, 2012, "Conditional probabilities and contagion measures for euro area sovereign default risk," Research Bulletin, European Central Bank, volume 17, pages 6-11.
• George Kapetanios & Haroon Mumtaz & Ibrahim Stevens & Konstantinos Theodoridis, 2012, "Assessing the Economy‐wide Effects of Quantitative Easing," Economic Journal, Royal Economic Society, volume 122, issue 564, pages 316-347, November.
• Hyungsik Roger Moon & Frank Schorfheide, 2012, "Bayesian and Frequentist Inference in Partially Identified Models," Econometrica, Econometric Society, volume 80, issue 2, pages 755-782, March, DOI: ECTA8360.
• Søren Johansen & Morten Ørregaard Nielsen, 2012, "Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model," Econometrica, Econometric Society, volume 80, issue 6, pages 2667-2732, November, DOI: ECTA9299.
• Faruk G rsoy & H seyin Kalyoncu, 2012, "Foreign Direct Investment and Growth Relationship in Georgia," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 2, issue 3, pages 267-271.
• Yen-Hsien Lee & Fang Hao, 2012, "Oil and S&P 500 Markets: Evidence from the Nonlinear Model," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 2, issue 3, pages 272-280.
• Gazi Salah Uddin & Phouphet Kyophilavong & Nasim Sydee, 2012, "The Casual Nexus of Banking Sector Development and Poverty Reduction in Bangladesh," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 2, issue 3, pages 304-311.
• Mehdi Abid & Maamar Sebri, 2012, "Energy Consumption-Economic Growth Nexus: Does the Level of Aggregation Matter?," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 2, issue 2, pages 55-62.
• Bukhari M.S. Sillah & Hamad M.H. Al-Sheikh, 2012, "Income, Price, and Government Expenditure Elasticities of Oil in the Gulf Cooperation Council Countries," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 2, issue 4, pages 333-341.
• Souhila EDDRIEF-CHERFI & Baghdad KOURBALI, 2012, "Energy Consumption and Economic Growth in Algeria: Cointegration and Causality Analysis," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 2, issue 4, pages 238-249.
• Andreas Georgantopoulos, 2012, "Electricity Consumption and Economic Growth: Analysis and Forecasts using VAR/VEC Approach for Greece with Capital Formation," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 2, issue 4, pages 263-278.
• Koop, Gary & Gefang, Deborah & Campolieti, Michele, 2012, "Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2012-69.
• Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2012, "Stock Market Reaction to Fed Funds Rate Surprises: State Dependence and the Financial Crisis," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2012-72.
• Korobilis, Dimitris, 2012, "Bayesian forecasting with highly correlated predictors," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2012-80.
• Emilio Congregado & Vicente Esteve & Antonio A. Golpe, 2012, "Job Creation and the Self-employed Firm Size: evidence from Spain," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1202, Feb.
• Bashar, Omar H.M.N., 2012, "The dynamics of aggregate demand and supply shocks in ASEAN countries," Journal of Asian Economics, Elsevier, volume 23, issue 5, pages 507-518, DOI: 10.1016/j.asieco.2012.06.004.
• Kubo, Akihiro, 2012, "The US tech pulse, stock prices, and exchange rate dynamics: Evidence from Asian developing countries," Journal of Asian Economics, Elsevier, volume 23, issue 6, pages 680-687, DOI: 10.1016/j.asieco.2012.06.007.
• He, Dong & Wang, Honglin, 2012, "Dual-track interest rates and the conduct of monetary policy in China," China Economic Review, Elsevier, volume 23, issue 4, pages 928-947, DOI: 10.1016/j.chieco.2012.04.013.
• Fossati, Sebastian, 2012, "Covariate unit root tests with good size and power," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3070-3079, DOI: 10.1016/j.csda.2011.05.019.
• Hautsch, Nikolaus & Yang, Fuyu, 2012, "Bayesian inference in a Stochastic Volatility Nelson–Siegel model," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3774-3792, DOI: 10.1016/j.csda.2010.07.003.
• Aguiar-Conraria, Luís & Martins, Manuel M.F. & Soares, Maria Joana, 2012, "The yield curve and the macro-economy across time and frequencies," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 12, pages 1950-1970, DOI: 10.1016/j.jedc.2012.05.008.
• Meeks, Roland, 2012, "Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 4, pages 568-584, DOI: 10.1016/j.jedc.2011.11.010.
• Lambert, Philippe & Laurent, Sébastien & Veredas, David, 2012, "Testing conditional asymmetry: A residual-based approach," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 8, pages 1229-1247, DOI: 10.1016/j.jedc.2012.03.009.
• Sharma, Anurag & Jha, Raghbendra, 2012, "Fiscal deficits, banking crises and policy reversal in a semi-open economy," Economic Modelling, Elsevier, volume 29, issue 2, pages 271-282, DOI: 10.1016/j.econmod.2011.10.005.
• Jalil, Abdul, 2012, "Modeling income inequality and openness in the framework of Kuznets curve: New evidence from China," Economic Modelling, Elsevier, volume 29, issue 2, pages 309-315, DOI: 10.1016/j.econmod.2011.10.012.
• Liew, Venus Khim-Sen & Ling, Tai-Hu & Chia, Ricky Chee-Jiun & Yoon, Gawon, 2012, "On the application of the rank tests for nonlinear cointegration to PPP: The case of Papua New Guinea," Economic Modelling, Elsevier, volume 29, issue 2, pages 326-332, DOI: 10.1016/j.econmod.2011.10.017.
• Arouri, Mohamed El Hedi & Foulquier, Philippe, 2012, "Financial market integration: Theory and empirical results," Economic Modelling, Elsevier, volume 29, issue 2, pages 382-394, DOI: 10.1016/j.econmod.2011.11.009.
• Lee, Chien-Chiang & Chien, Mei-Se & Lin, Tsoyu Calvin, 2012, "Dynamic modelling of real estate investment trusts and stock markets," Economic Modelling, Elsevier, volume 29, issue 2, pages 395-407, DOI: 10.1016/j.econmod.2011.11.008.
• Soukiazis, Elias & Cerqueira, Pedro A. & Antunes, Micaela, 2012, "Modelling economic growth with internal and external imbalances: Empirical evidence from Portugal," Economic Modelling, Elsevier, volume 29, issue 2, pages 478-486, DOI: 10.1016/j.econmod.2011.12.001.
• Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2012, "Are securitised real estate markets efficient?," Economic Modelling, Elsevier, volume 29, issue 3, pages 684-690, DOI: 10.1016/j.econmod.2012.01.015.
• Chevallier, Julien, 2012, "Global imbalances, cross-market linkages, and the financial crisis: A multivariate Markov-switching analysis," Economic Modelling, Elsevier, volume 29, issue 3, pages 943-973, DOI: 10.1016/j.econmod.2012.02.012.
• Çatık, A. Nazif & Martin, Christopher, 2012, "Macroeconomic transitions and the transmission mechanism: Evidence from Turkey," Economic Modelling, Elsevier, volume 29, issue 4, pages 1440-1449, DOI: 10.1016/j.econmod.2012.02.015.
• Giesen, Sebastian & Holtemöller, Oliver & Scharff, Juliane & Scheufele, Rolf, 2012, "The Halle Economic Projection Model," Economic Modelling, Elsevier, volume 29, issue 4, pages 1461-1472, DOI: 10.1016/j.econmod.2012.02.010.
• Kębłowski, Piotr & Welfe, Aleksander, 2012, "A risk-driven approach to exchange rate modelling," Economic Modelling, Elsevier, volume 29, issue 4, pages 1473-1482, DOI: 10.1016/j.econmod.2012.02.002.
• Zaman, Khalid & Izhar, Zeeshan & Khan, Muhammad Mushtaq & Ahmad, Mehboob, 2012, "The relationship between financial indicators and human development in Pakistan," Economic Modelling, Elsevier, volume 29, issue 5, pages 1515-1523, DOI: 10.1016/j.econmod.2012.05.013.
• Tiwari, Aviral Kumar, 2012, "An empirical investigation of causality between producers' price and consumers' price indices in Australia in frequency domain," Economic Modelling, Elsevier, volume 29, issue 5, pages 1571-1578, DOI: 10.1016/j.econmod.2012.05.010.
• Xu, Weijun & Sun, Qi & Xiao, Weilin, 2012, "A new energy model to capture the behavior of energy price processes," Economic Modelling, Elsevier, volume 29, issue 5, pages 1585-1591, DOI: 10.1016/j.econmod.2012.05.009.
• Paradiso, Antonio & Casadio, Paolo & Rao, B. Bhaskara, 2012, "US inflation and consumption: A long-term perspective with a level shift," Economic Modelling, Elsevier, volume 29, issue 5, pages 1837-1849, DOI: 10.1016/j.econmod.2012.05.037.
• Dufrénot, Gilles & Malik, Sheheryar, 2012, "The changing role of house price dynamics over the business cycle," Economic Modelling, Elsevier, volume 29, issue 5, pages 1960-1967, DOI: 10.1016/j.econmod.2012.05.029.
• Hassan, Syeda Anam & Zaman, Khalid, 2012, "Effect of oil prices on trade balance: New insights into the cointegration relationship from Pakistan," Economic Modelling, Elsevier, volume 29, issue 6, pages 2125-2143, DOI: 10.1016/j.econmod.2012.07.006.
• Chang, Kuang-Liang, 2012, "The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the Mixture copula-based ARJI–GARCH model," Economic Modelling, Elsevier, volume 29, issue 6, pages 2298-2309, DOI: 10.1016/j.econmod.2012.06.016.
• Zhang, Yanbing & Hua, Xiuping & Zhao, Liang, 2012, "Exploring determinants of housing prices: A case study of Chinese experience in 1999–2010," Economic Modelling, Elsevier, volume 29, issue 6, pages 2349-2361, DOI: 10.1016/j.econmod.2012.06.025.
• Lombardo, Giovanni & McAdam, Peter, 2012, "Financial market frictions in a model of the Euro area," Economic Modelling, Elsevier, volume 29, issue 6, pages 2460-2485, DOI: 10.1016/j.econmod.2012.06.024.
• Esteve, Vicente & Tamarit, Cecilio, 2012, "Is there an environmental Kuznets curve for Spain? Fresh evidence from old data," Economic Modelling, Elsevier, volume 29, issue 6, pages 2696-2703, DOI: 10.1016/j.econmod.2012.08.016.
• Beckmann, Joscha & Belke, Ansgar & Dobnik, Frauke, 2012, "Cross-section dependence and the monetary exchange rate model – A panel analysis," The North American Journal of Economics and Finance, Elsevier, volume 23, issue 1, pages 38-53, DOI: 10.1016/j.najef.2011.11.003.
• Beg, A.B.M. Rabiul Alam & Anwar, Sajid, 2012, "Sources of volatility persistence: A case study of the U.K. pound/U.S. dollar exchange rate returns," The North American Journal of Economics and Finance, Elsevier, volume 23, issue 2, pages 165-184, DOI: 10.1016/j.najef.2012.02.001.
• Krüger, Jens J. & Hoss, Julian, 2012, "German business cycle forecasts, asymmetric loss and financial variables," Economics Letters, Elsevier, volume 114, issue 3, pages 284-287, DOI: 10.1016/j.econlet.2011.11.005.
• Zhang, Lingxiang, 2012, "Test for linearity against STAR models with deterministic trends," Economics Letters, Elsevier, volume 115, issue 1, pages 16-19, DOI: 10.1016/j.econlet.2011.11.018.
• Snaith, Stuart, 2012, "The PPP debate: Multiple breaks and cross-sectional dependence," Economics Letters, Elsevier, volume 115, issue 3, pages 342-344, DOI: 10.1016/j.econlet.2011.12.076.
• Camba-Mendez, Gonzalo, 2012, "Conditional forecasts on SVAR models using the Kalman filter," Economics Letters, Elsevier, volume 115, issue 3, pages 376-378, DOI: 10.1016/j.econlet.2011.12.087.
• Mandler, Martin, 2012, "Inflation-regime dependent effects of monetary policy shocks. Evidence from threshold vector autoregressions," Economics Letters, Elsevier, volume 116, issue 3, pages 422-425, DOI: 10.1016/j.econlet.2012.04.027.
• Amiri, Arshia & Ventelou, Bruno, 2012, "Granger causality between total expenditure on health and GDP in OECD: Evidence from the Toda–Yamamoto approach," Economics Letters, Elsevier, volume 116, issue 3, pages 541-544, DOI: 10.1016/j.econlet.2012.04.040.
• Karamé, F., 2012, "An algorithm for generalized impulse-response functions in Markov-switching structural VAR," Economics Letters, Elsevier, volume 117, issue 1, pages 230-234, DOI: 10.1016/j.econlet.2012.04.089.
• Alagidede, Paul & Panagiotidis, Theodore, 2012, "Stock returns and inflation: Evidence from quantile regressions," Economics Letters, Elsevier, volume 117, issue 1, pages 283-286, DOI: 10.1016/j.econlet.2012.04.043.
• Metiu, Norbert, 2012, "Sovereign risk contagion in the Eurozone," Economics Letters, Elsevier, volume 117, issue 1, pages 35-38, DOI: 10.1016/j.econlet.2012.04.074.
• Chua, Chew Lian & Suardi, Sandy & Tsiaplias, Sarantis, 2012, "An impulse-response function for a VAR with multivariate GARCH-in-Mean that incorporates direct and indirect transmission of shocks," Economics Letters, Elsevier, volume 117, issue 2, pages 452-454, DOI: 10.1016/j.econlet.2012.06.031.
• Antonakakis, Nikolaos, 2012, "The great synchronization of international trade collapse," Economics Letters, Elsevier, volume 117, issue 3, pages 608-614, DOI: 10.1016/j.econlet.2012.07.041.
• Taylor, Nicholas, 2012, "Testing forecasting model versatility," Economics Letters, Elsevier, volume 117, issue 3, pages 803-806, DOI: 10.1016/j.econlet.2012.08.044.
• Chen, Xiaoshan & Kontonikas, Alexandros & Montagnoli, Alberto, 2012, "Asset prices, credit and the business cycle," Economics Letters, Elsevier, volume 117, issue 3, pages 857-861, DOI: 10.1016/j.econlet.2012.08.040.
• Sun, Yixiao & Kim, Min Seong, 2012, "Simple and powerful GMM over-identification tests with accurate size," Journal of Econometrics, Elsevier, volume 166, issue 2, pages 267-281, DOI: 10.1016/j.jeconom.2011.09.039.
• Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012, "The conditional autoregressive Wishart model for multivariate stock market volatility," Journal of Econometrics, Elsevier, volume 167, issue 1, pages 211-223, DOI: 10.1016/j.jeconom.2011.11.004.
• Kristensen, Dennis & Shin, Yongseok, 2012, "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, volume 167, issue 1, pages 76-94, DOI: 10.1016/j.jeconom.2011.09.042.
• Kasparis, Ioannis & Phillips, Peter C.B., 2012, "Dynamic misspecification in nonparametric cointegrating regression," Journal of Econometrics, Elsevier, volume 168, issue 2, pages 270-284, DOI: 10.1016/j.jeconom.2012.01.037.
• Yu, Jun, 2012, "Bias in the estimation of the mean reversion parameter in continuous time models," Journal of Econometrics, Elsevier, volume 169, issue 1, pages 114-122, DOI: 10.1016/j.jeconom.2012.01.004.
• Chang, Yoosoon, 2012, "Taking a new contour: A novel approach to panel unit root tests," Journal of Econometrics, Elsevier, volume 169, issue 1, pages 15-28, DOI: 10.1016/j.jeconom.2012.01.013.
• Moon, H.R. & Perron, B., 2012, "Beyond panel unit root tests: Using multiple testing to determine the nonstationarity properties of individual series in a panel," Journal of Econometrics, Elsevier, volume 169, issue 1, pages 29-33, DOI: 10.1016/j.jeconom.2012.01.008.
• Xu, Ke-Li, 2012, "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, volume 169, issue 2, pages 147-154, DOI: 10.1016/j.jeconom.2012.01.016.
• Cheng, Xu & Phillips, Peter C.B., 2012, "Cointegrating rank selection in models with time-varying variance," Journal of Econometrics, Elsevier, volume 169, issue 2, pages 155-165, DOI: 10.1016/j.jeconom.2012.01.022.
• Bauer, Dietmar & Maynard, Alex, 2012, "Persistence-robust surplus-lag Granger causality testing," Journal of Econometrics, Elsevier, volume 169, issue 2, pages 293-300, DOI: 10.1016/j.jeconom.2012.01.023.
• Fanelli, Luca, 2012, "Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 153-163, DOI: 10.1016/j.jeconom.2012.04.002.
• Kim, Don H. & Singleton, Kenneth J., 2012, "Term structure models and the zero bound: An empirical investigation of Japanese yields," Journal of Econometrics, Elsevier, volume 170, issue 1, pages 32-49, DOI: 10.1016/j.jeconom.2011.12.005.
• Antoine, Bertille & Renault, Eric, 2012, "Efficient minimum distance estimation with multiple rates of convergence," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 350-367, DOI: 10.1016/j.jeconom.2012.05.010.
• Hall, Alastair R. & Inoue, Atsushi & Nason, James M. & Rossi, Barbara, 2012, "Information criteria for impulse response function matching estimation of DSGE models," Journal of Econometrics, Elsevier, volume 170, issue 2, pages 499-518, DOI: 10.1016/j.jeconom.2012.05.019.
• Herbst, Edward & Schorfheide, Frank, 2012, "Evaluating DSGE model forecasts of comovements," Journal of Econometrics, Elsevier, volume 171, issue 2, pages 152-166, DOI: 10.1016/j.jeconom.2012.06.008.
• Vašíček, Bořek, 2012, "Is monetary policy in the new EU member states asymmetric?," Economic Systems, Elsevier, volume 36, issue 2, pages 235-263, DOI: 10.1016/j.ecosys.2011.07.003.
• Hatemi-J, Abdulnasser & Uddin, Gazi Salah, 2012, "Is the causal nexus of energy utilization and economic growth asymmetric in the US?," Economic Systems, Elsevier, volume 36, issue 3, pages 461-469, DOI: 10.1016/j.ecosys.2011.10.005.
• Kriwoluzky, Alexander, 2012, "Pre-announcement and timing: The effects of a government expenditure shock," European Economic Review, Elsevier, volume 56, issue 3, pages 373-388, DOI: 10.1016/j.euroecorev.2011.10.005.
• Dobrescu, Loretti I. & Kotlikoff, Laurence J. & Motta, Alberto, 2012, "Why aren't developed countries saving?," European Economic Review, Elsevier, volume 56, issue 6, pages 1261-1275, DOI: 10.1016/j.euroecorev.2012.04.003.
• Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012, "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, volume 13, issue 2, pages 230-252, DOI: 10.1016/j.ememar.2012.03.003.
• Neaime, Simon, 2012, "The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets," Emerging Markets Review, Elsevier, volume 13, issue 3, pages 268-282, DOI: 10.1016/j.ememar.2012.01.006.
• Gimet, Céline & Lagoarde-Segot, Thomas, 2012, "Financial sector development and access to finance. Does size say it all?," Emerging Markets Review, Elsevier, volume 13, issue 3, pages 316-337, DOI: 10.1016/j.ememar.2011.11.002.
• Mendes, Beatriz Vaz de Melo & Marques, Daniel S., 2012, "Choosing an optimal investment strategy: The role of robust pair-copulas based portfolios," Emerging Markets Review, Elsevier, volume 13, issue 4, pages 449-464, DOI: 10.1016/j.ememar.2012.07.005.
• Engsted, Tom & Pedersen, Thomas Q., 2012, "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, volume 19, issue 2, pages 241-253, DOI: 10.1016/j.jempfin.2012.01.003.
• Turtle, H.J. & Zhang, Chengping, 2012, "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, volume 19, issue 3, pages 334-348, DOI: 10.1016/j.jempfin.2012.03.003.
• Weber, Enzo & Zhang, Yanqun, 2012, "Common influences, spillover and integration in Chinese stock markets," Journal of Empirical Finance, Elsevier, volume 19, issue 3, pages 382-394, DOI: 10.1016/j.jempfin.2012.03.001.
• Cassola, Nuno & Morana, Claudio, 2012, "Euro money market spreads during the 2007–? financial crisis," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 548-557, DOI: 10.1016/j.jempfin.2012.04.003.
• Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," Journal of Empirical Finance, Elsevier, volume 19, issue 4, pages 610-625, DOI: 10.1016/j.jempfin.2012.04.002.
• Henryk Gurgul & £ukasz Lach, 2012, "Financial Development and Economic Growth in Poland in Transition: Causality Analysis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 4, pages 347-367, August.
• Vit Posta, 2012, "Time-Varying Risk Premium in the Czech Capital Market: Did the Market Experience a Structural Shock in 2008–2009?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 5, pages 450-470, November.
• Filatriau Olivier & Frédéric Reynès, 2012, "A new estimate of discouraged and additional worker effects on labor participation by sex and age in oecd countries," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2012-09, Feb.
• Cindy AUDIGUIER, 2012, "The Impact of the Global Financial Crisis on the Least Developed Countries," Working Papers, FERDI, number P50, Sep.
• Cindy AUDIGUIER, 2012, "The Impact of the Global Financial Crisis on the Least Developed Countries," Working Papers, FERDI, number P50, Sep.
• Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2012, "Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach," Working Papers, Fondazione Eni Enrico Mattei, number 2012.23, Apr.
• Emanuele Millemaci & Ferdinando Ofria, 2012, "Kaldor-Verdoorn's Law and Increasing Returns to Scale: A Comparison Across Developed Countries," Working Papers, Fondazione Eni Enrico Mattei, number 2012.92, Dec.
• Issler, João Victor & Notini, Hilton Hostalácio & Rodrigues, Claudia Oliveira da Fontoura, 2012, "Constructing coincident and leading indices of economic activity for the Brazilian economy," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 730, Mar.
• Mark J. Jensen & John M. Maheu, 2012, "Bayesian semiparametric multivariate GARCH modeling," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2012-09.
• 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.
• Milton A. Iyoha & Patricia A. Adamu & Robert D. Korsu, 2012, "Towards Inflation Forecasting: Evidence From Nigeria Data," West African Financial and Economic Review (WAFER), WEST AFRICAN INSTITUTE FOR FINANCIAL AND ECONOMIC MANAGEMENT (WAIFEM), volume 9, issue 1, pages 57-90, June.
• 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.