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

• 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.

2011

• Hall, Viv B. & McDermott, C. John, 2011, "An unobserved components common cycle for Australasia? Implications for a common currency," Working Paper Series, Victoria University of Wellington, School of Economics and Finance, number 18555.
• Rafał Woźniak, 2011, "The coincident and the leading business cycle indicators for Poland," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2011-01, Jan.
• Maria Dolores Gadea & Ana Gomez Loscos & Antonio Montañes, 2011, "Cycles Inside Cycles. Spanish Regional Aggregation," WIFO Working Papers, WIFO, number 390, Feb.
• Ana Gómez-Loscos & Antonio Montañes & Maria Dolores Gadea, 2011, "The impact of oil shocks on the Spanish economy," ERSA conference papers, European Regional Science Association, number ersa10p835, Sep.
• Ana Gomez Loscos & M. Dolores Gadea & Antonio Montañes, 2011, "Cycles inside cycles: Spanish regional aggregation," ERSA conference papers, European Regional Science Association, number ersa11p99, Sep.
• Ning Huang & Erwin Diewert, 2011, "Estimation of R&D depreciation rates: a suggested methodology and preliminary application," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 44, issue 2, pages 387-412, May, DOI: 10.1111/j.1540-5982.2011.01638.x.
• Jushan Bai & Peng Wang, 2011, "Conditional Markov chain and its application in economic time series analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 5, pages 715-734, August.
• Luca Fanelli & Giulio Palomba, 2011, "Simulation‐based tests of forward‐looking models under VAR learning dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 5, pages 762-782, August.
• Roxana Chiriac & Valeri Voev, 2011, "Modelling and forecasting multivariate realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 6, pages 922-947, September.
• Zeynep Senyuz, 2011, "Factor analysis of permanent and transitory dynamics of the US economy and the stock market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 6, pages 975-998, September.
• Martin T. Bohl & Christian A. Salm & Bernd Wilfling, 2011, "Do individual index futures investors destabilize the underlying spot market?," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 31, issue 1, pages 81-101, January.
• Piotr Keblowski & Aleksander Welfe, 2011, "A Risk-Driven Approach to Exchange-Rate Modelling," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 57, Sep.
• Henryk Gurgul & Łukasz Lach, 2011, "The impact of regional disparities on economic growth," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, volume 21, issue 2, pages 17-43.
• He, Dong & Wang, Honglin, 2011, "Dual-track interest rates and the conduct of monetary policy in China," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 21/2011.
• Chen, Qianying, 2011, "Exchange rate dynamics, expectations, and monetary policy," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2011,18.
• Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David, 2011, "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-06.
• Grammig, Joachim G. & Theissen, Erik & Wünsche, Oliver, 2011, "Time and the price impact of a trade: A structural approach," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/08.
• Dreger, Christian & Wolters, Jürgen, 2011, "Liquidity and Asset Prices: How Strong Are the Linkages?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 1, pages 43-52.
• Amikuzuno, Joseph, 2011, "Border effects on spatial price transmission between fresh tomato markets in Ghana and Burkina-Faso: Any case for promoting trans-border trade in West Africa?," IAMO Forum 2011: Will the "BRICs Decade" Continue? – Prospects for Trade and Growth, Leibniz Institute of Agricultural Development in Central and Eastern Europe (IAMO), number 9.
• Toke, Ioane Muni & Pomponio, Fabrizio, 2011, "Modelling trades-through in a limited order book using Hawkes processes," Economics Discussion Papers, Kiel Institute for the World Economy, number 2011-32.
• Falch, Nina Skrove & Nymoen, Ragnar, 2011, "The accuracy of a forecast targeting central bank," Economics Discussion Papers, Kiel Institute for the World Economy, number 2011-6.
• Skrove Falch, Nina & Nymoen, Ragnar, 2011, "The accuracy of a forecast targeting central bank," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 5, pages 1-36, DOI: 10.5018/economics-ejournal.ja.2011-.
• Reicher, Christopher Phillip, 2011, "A simple decomposition of the variance of output growth across countries," Kiel Working Papers, Kiel Institute for the World Economy, number 1703.
• Jannsen, Nils & Klein, Melanie, 2011, "The international transmission of euro area monetary policy shocks," Kiel Working Papers, Kiel Institute for the World Economy, number 1718.
• el-Shagi, Makram & Giesen, Sebastian & Kelly, Logan J., 2011, "The Quantity Theory Revisited: A New Structural Approach," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 7/2011.
• Brunhart, Andreas, 2011, "Evaluating the effect of "Zumwinkel-Affair" and financial crisis on stock prices in Liechtenstein: An unconventional augmented GARCH-approach," KOFL Working Papers, Konjunkturforschungsstelle Liechtenstein (KOFL), Vaduz, number 9.
• Beckmann, Joscha & Belke, Ansgar & Dobnik, Frauke, 2011, "Cross-section Dependence and the Monetary Exchange Rate Mode – A Panel Analysis," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 252.
• Kitlinski, Tobias & Schmidt, Torsten, 2011, "The Forecasting Performance of an Estimated Medium Run Model," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 301.
• Strohsal, Till & Weber, Enzo, 2011, "Mean-variance cointegration and the expectations hypothesis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-007.
• Bibinger, Markus, 2011, "Asymptotics of asynchronicity," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-033.
• Bibinger, Markus, 2011, "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-034.
• Groß-Klußmann, Axel & Hautsch, Nikolaus, 2011, "Predicting bid-ask spreads using long memory autoregressive conditional poisson models," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-044.
• Song, Song & Bickel, Peter J., 2011, "Large vector auto regressions," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-048.
• Hautsch, Nikolaus & Huang, Ruihong, 2011, "Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-056.
• Bauwens, Luc & Hafner, Christian M. & Pierret, Diane, 2011, "Multivariate volatility modeling of electricity futures," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-063.
• Bibinger, Markus & Reiß, Markus, 2011, "Spectral estimation of covolatility from noisy observations using local weights," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-086.
• Volz, Ulrich & Reade, J. James, 2011, "Chinese Monetary Policy and the Dollar Peg," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis, Verein für Socialpolitik / German Economic Association, number 48740.
• Liow, Kim Hiang & Schindler, Felix, 2011, "An assessment of the relationship between public real estate markets and stock markets at the local, regional, and global levels," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 11-056.
• Barry Ness, 2011, "An Intergrated Sustainability Assessment of the Swedish Sugar Production System from a Life-Cycle Perspective: 2003-2015," Interdisciplinary Description of Complex Systems - scientific journal, Croatian Interdisciplinary Society Provider Homepage: http://indecs.eu, volume 9, issue 1, pages 23-38.
• Christian Kascha & Carsten Trenkler, 2011, "Cointegrated VARMA models and forecasting US interest rates," ECON - Working Papers, Department of Economics - University of Zurich, number 033, Oct.
• Forni, Mario & Gambetti, Luca, 2011, "Testing for Sufficient Information in Structural VARs," CEPR Discussion Papers, Centre for Economic Policy Research, number 8209, Jan.
• Forni, Mario & Sala, Luca & Gambetti, Luca, 2011, "No News in Business Cycles," CEPR Discussion Papers, Centre for Economic Policy Research, number 8274, Feb.
• Artis, Michael & Harischandra, PKG & Chouliarakis, George, 2011, "Business Cycle Synchronization Since 1880," CEPR Discussion Papers, Centre for Economic Policy Research, number 8347, Apr.
• Peersman, Gert, 2011, "Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area," CEPR Discussion Papers, Centre for Economic Policy Research, number 8348, Apr.
• Canova, Fabio & Paustian, Matthias, 2011, "Business cycle measurement with some theory," CEPR Discussion Papers, Centre for Economic Policy Research, number 8364, Apr.
• Kilian, Lutz & Inoue, Atsushi, 2011, "Inference on Impulse Response Functions in Structural VAR Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 8419, Jun.
• Schorfheide, Frank & Moon, Hyungsik Roger & Granziera, Eleonora & Lee, Mihye, 2011, "Inference for VARs Identified with Sign Restrictions," CEPR Discussion Papers, Centre for Economic Policy Research, number 8432, Jun.
• Kilian, Lutz, 2011, "Structural Vector Autoregressions," CEPR Discussion Papers, Centre for Economic Policy Research, number 8515, Aug.
• Egger, Peter & Dorn, Sabrina, 2011, "On the Distribution of Exchange Rate Regime Treatment Effects on International Trade," CEPR Discussion Papers, Centre for Economic Policy Research, number 8654, Nov.
• Vincent BODART & Bertrand CANDELON & Jean-François CARPANTIER, 2011, "Real Exchanges Rates in Commodity Producing Countries: A Reappraisal," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2011007, Feb.
• Vincent BODART & Bertrand CANDELON & Jean-François CARPANTIER, 2011, "Real Exchange Rates, Commodity Prices and Structural Factors in Developing Countries," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2011045, Dec.
• Hwan Seo, Myung, 2011, "Estimation Of Nonlinear Error Correction Models," Econometric Theory, Cambridge University Press, volume 27, issue 2, pages 201-234, April.
• Hall, Alastair R. & Pelletier, Denis, 2011, "Nonnested Testing In Models Estimated Via Generalized Method Of Moments," Econometric Theory, Cambridge University Press, volume 27, issue 2, pages 443-456, April.
• Flury, Thomas & Shephard, Neil, 2011, "Bayesian Inference Based Only On Simulated Likelihood: Particle Filter Analysis Of Dynamic Economic Models," Econometric Theory, Cambridge University Press, volume 27, issue 5, pages 933-956, October.
• Francesco Bravo & Juan Carlos Escanciano & Taisuke Otsu, 2011, "A Simple Test for Identification in GMM under Conditional Moment Restrictions," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1789, Mar.
• Alfredo Marvão Pereira & Jorge M. Andraz, 2011, "On the effects of highway investment on the regional concentration of economic activity in the USA," Working Papers, Economics Department, William & Mary, number 107, Jan.
• Avouyi-Dovi, Sanvi (ed.), 2011, "Risque de crédit et volatilité des spreads sur le marché de la dette privée en euro," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/6316.
• Kamel Laaradh & Nesrine Samet, 2011, "Existe-t-il un univers de benchmarks pour les Hedge Funds?," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, number 1110701, Jul.
• Joscha Beckmann & Ansgar Belke & Frauke Dobnik, 2011, "Cross-Section Dependence and the Monetary Exchange Rate Model: A Panel Analysis," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1119.
• Guglielmo Maria Caporale & Alessandro Girardi, 2011, "Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1139.
• Guglielmo Maria Caporale & Alessandro Girardi, 2011, "Fiscal Spillovers in the Euro Area," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1164.
• Paul Viefers, 2011, "Bayesian Inference for the Mixed-Frequency VAR Model," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1172.
• Siyan Wang & Burton A. Abrams, 2011, "Government Outlays, Economic Growth and Unemployment: A VAR Model," Working Papers, University of Delaware, Department of Economics, number 11-13.
• Julien Chevallier & Benoît Sévi, 2011, "On the volatility-volume relationship in energy futures markets using intraday data," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2011-16.
• Francesca Pancotto & Filippo Pericoli, 2011, "Till Labor Cost Do Us Part A Vecm Model of Unit Labor Cost Convergence in the Euro Area," Working Papers, Doctoral School of Economics, Sapienza University of Rome, number 14, revised 2011.
• Omar H.M.N. Bashar, 2011, "Measuring Core Inflation in Bangladesh: An Unobserved Components Approach," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 46, issue 1, pages 109-129.
• C.S.C. Sekhar, 2011, "World Foodgrain Prices – The Effect of Exporting Countries’ Policies," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 46, issue 2, pages 217-242.
• Shakeeb Khan & Maria Ponomareva & Elie Tamer, 2011, "Identification of Panel Data Models with Endogenous Censoring," Working Papers, Duke University, Department of Economics, number 11-07.
• Neveen M. TORAYEH, 2011, "Manufactured Exports And Economic Growth In Egypt: Cointegration And Causality Analysis," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 11, issue 1.
• Hrushikesh MALLICK, 2011, "Monetary Policy, Construction Sector Output and Housing Prices in India: An Emerging Economy Perspective," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 11, issue 1.
• Roxana Halbleib & Valerie Voev, 2011, "Forecasting Covariance Matrices: A Mixed Frequency Approach," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2011-002, Jan.
• Matteo Luciani, 2011, "Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2011‐022, Jul.
• Gómez-Salvador, Ramón & Westermann, Thomas & Lojschová, Adriana, 2011, "Household sector borrowing in the euro area - a micro data perspective," Occasional Paper Series, European Central Bank, number 125, Apr.
• Beck, Thorsten & Brown, Martin, 2011, "Which households use banks? Evidence from the transition economies," Working Paper Series, European Central Bank, number 1295, Feb.
• Fabio Canova & Filippo Ferroni, 2011, "Multiple filtering devices for the estimation of cyclical DSGE models," Quantitative Economics, Econometric Society, volume 2, issue 1, pages 73-98, March.
• Andreas Georgantopoulos & Anastasios Tsamis, 2011, "Investigating Seasonal Patterns in Developing Countries: The Case of FYROM Stock Market," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 1, issue 4, pages 211-219.
• Sakiru Adebola Solarin, 2011, "Electricity Consumption and Economic Growth: Trivariate investigation in Botswana with Capital Formation," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 1, issue 2, pages 32-46, September.
• Janesh Sami, 2011, "Multivariate Cointegration and Causality between Exports, Electricity Consumption and Real Income per Capita: Recent Evidence from Japan," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 1, issue 3, pages 59-68, November.
• Evan Lau & Xiao-Hui Chye & Chee-Keong Choong, 2011, "Energy-Growth Causality: Asian Countries Revisited," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, volume 1, issue 4, pages 140-149.
• Chen, Xiaoshan & MacDonald, Ronald, 2011, "Realised and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-21.
• Chan, Joshua C.C. & Koop, Gary, 2011, "Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-22.
• Jochmann, Markus & Koop, Gary, 2011, "Regime-Switching Cointegration," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-36.
• Koop, Gary, 2011, "Forecasting with Medium and Large Bayesian VARs," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-38.
• Jochmann, Markus & Koop, Gary, 2011, "Regime-Switching Cointegration," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2011-60.
• Juan Carlos Cuestas & Karsten Staehr, 2011, "Fiscal shocks and budget balance persistence in the EU countries from Central and Eastern Europe," Bank of Estonia Working Papers, Bank of Estonia, number wp2011-08, Jul, revised 13 Jul 2011.
• Vicente Esteve & Cecilio Tamarit, 2011, "Cointegration with multiple structural breaks: an application to the Spanish environmental Kuznets curve, 1857-2007," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1114, Jun.
• Gaetano D’Adamo, 2011, "Wage spillovers across sectors in Eastern Europe," Working Papers, Department of Applied Economics II, Universidad de Valencia, number 1122, Sep.
• Singh, B. Karan & Kanakaraj, A. & Sridevi, T.O., 2011, "Revisiting the empirical existence of the Phillips curve for India," Journal of Asian Economics, Elsevier, volume 22, issue 3, pages 247-258, June.
• Granville, Brigitte & Mallick, Sushanta & Zeng, Ning, 2011, "Chinese exchange rate and price effects on G3 import prices," Journal of Asian Economics, Elsevier, volume 22, issue 6, pages 427-440, DOI: 10.1016/j.asieco.2011.07.002.
• Takagi, Shinji & Pham, Thi Hoang Anh, 2011, "Responding to the global financial crisis: Vietnamese exchange rate policy, 2008–2009," Journal of Asian Economics, Elsevier, volume 22, issue 6, pages 507-517, DOI: 10.1016/j.asieco.2011.05.006.
• Kascha, Christian & Trenkler, Carsten, 2011, "Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order," Computational Statistics & Data Analysis, Elsevier, volume 55, issue 2, pages 1008-1017, February.
• Hyndman, Rob J. & Ahmed, Roman A. & Athanasopoulos, George & Shang, Han Lin, 2011, "Optimal combination forecasts for hierarchical time series," Computational Statistics & Data Analysis, Elsevier, volume 55, issue 9, pages 2579-2589, September.
• Wolden Bache, Ida & Sofie Jore, Anne & Mitchell, James & Vahey, Shaun P., 2011, "Combining VAR and DSGE forecast densities," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 10, pages 1659-1670, October.
• Ascari, Guido & Castelnuovo, Efrem & Rossi, Lorenza, 2011, "Calvo vs. Rotemberg in a trend inflation world: An empirical investigation," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 11, pages 1852-1867, DOI: 10.1016/j.jedc.2011.06.002.
• Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2011, "How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 12, pages 2078-2104, DOI: 10.1016/j.jedc.2011.08.009.
• Del Negro, Marco & Eusepi, Stefano, 2011, "Fitting observed inflation expectations," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 12, pages 2105-2131, DOI: 10.1016/j.jedc.2011.04.005.
• AFM Kamrul Hassan & Ruhul Salim, 2011, "Purchasing Power Parity (PPP) of Australian Dollar: Do Test Procedures Matter?," Economic Analysis and Policy, Elsevier, volume 41, issue 1, pages 71-81, March.
• A.F.M. Kamrul Hassan & Ruhul A. Salim, 2011, "Is there any Link Between Commodity Price and Monetary Policy? Evidence from Australia," Economic Analysis and Policy, Elsevier, volume 41, issue 3, pages 205-216, December.
• Leu, Shawn Chen-Yu, 2011, "A New Keynesian SVAR model of the Australian economy," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 157-168, January.
• Yilmazkuday, Hakan, 2011, "Monetary policy and credit cards: Evidence from a small open economy," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 201-210, January.
• Reade, J. James & Volz, Ulrich, 2011, "Leader of the pack? German monetary dominance in Europe prior to EMU," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 239-250, January.
• Akanbi, Olusegun A. & Du Toit, Charlotte B., 2011, "Macro-econometric modelling for the Nigerian economy: A growth-poverty gap analysis," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 335-350, January.
• Tsintzos, Panagiotis & Dergiades, Theologos, 2011, "Uncertainty in the public debt market and stochastic long-run growth," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 67-73, January.
• Leu, Shawn Chen-Yu & Sheen, Jeffrey, 2011, "A small New Keynesian state space model of the Australian economy," Economic Modelling, Elsevier, volume 28, issue 1-2, pages 672-684, January.
• Leu, Shawn Chen-Yu, 2011, "A New Keynesian SVAR model of the Australian economy," Economic Modelling, Elsevier, volume 28, issue 1, pages 157-168, DOI: 10.1016/j.econmod.2010.09.015.
• Yilmazkuday, Hakan, 2011, "Monetary policy and credit cards: Evidence from a small open economy," Economic Modelling, Elsevier, volume 28, issue 1, pages 201-210, DOI: 10.1016/j.econmod.2010.09.010.
• Reade, J. James & Volz, Ulrich, 2011, "Leader of the pack? German monetary dominance in Europe prior to EMU," Economic Modelling, Elsevier, volume 28, issue 1, pages 239-250, DOI: 10.1016/j.econmod.2010.09.006.
• Akanbi, Olusegun A. & Du Toit, Charlotte B., 2011, "Macro-econometric modelling for the Nigerian economy: A growth–poverty gap analysis," Economic Modelling, Elsevier, volume 28, issue 1, pages 335-350, DOI: 10.1016/j.econmod.2010.08.015.
• Tsintzos, Panagiotis & Dergiades, Theologos, 2011, "Uncertainty in the public debt market and stochastic long-run growth," Economic Modelling, Elsevier, volume 28, issue 1, pages 67-73, DOI: 10.1016/j.econmod.2010.09.023.
• Leu, Shawn Chen-Yu & Sheen, Jeffrey, 2011, "A small New Keynesian state space model of the Australian economy," Economic Modelling, Elsevier, volume 28, issue 1, pages 672-684, DOI: 10.1016/j.econmod.2010.05.017.
• Boschi, Melisso & Girardi, Alessandro, 2011, "The contribution of domestic, regional and international factors to Latin America's business cycle," Economic Modelling, Elsevier, volume 28, issue 3, pages 1235-1246, May.
• Angelini, Elena & Marcellino, Massimiliano, 2011, "Econometric analyses with backdated data: Unified Germany and the euro area," Economic Modelling, Elsevier, volume 28, issue 3, pages 1405-1414, May.
• Cubadda, Gianluca & Triacca, Umberto, 2011, "An alternative solution to the Autoregressivity Paradox in time series analysis," Economic Modelling, Elsevier, volume 28, issue 3, pages 1451-1454, May.
• Weber, Enzo, 2011, "What happened to the transatlantic capital market relations?," Economic Modelling, Elsevier, volume 28, issue 3, pages 877-884, May.
• Gupta, Rangan & Kabundi, Alain & Miller, Stephen M., 2011, "Forecasting the US real house price index: Structural and non-structural models with and without fundamentals," Economic Modelling, Elsevier, volume 28, issue 4, pages 2013-2021, July.
• Chevallier, Julien, 2011, "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, volume 28, issue 6, pages 2634-2656, DOI: 10.1016/j.econmod.2011.08.003.
• Mundle, Sudipto & Bhanumurthy, N.R. & Das, Surajit, 2011, "Fiscal consolidation with high growth: A policy simulation model for India," Economic Modelling, Elsevier, volume 28, issue 6, pages 2657-2668, DOI: 10.1016/j.econmod.2011.08.001.