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

2011

• Robert Flasza & Milan Rippel & Jan Šolc, 2011, "Modelling Long-Term Electricity Contracts at EEX," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/08, Mar, revised Mar 2011.
• Teles, Vladimir Kuhl & Ribeiro, Alessandra Cocarelli Alves, 2011, "A taxa natural de juros no Brasil," Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil), number 276, Apr.
• Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2011, "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 713, Jan.
• Issler, João Victor & Notini, Hilton Hostalácio & Rodrigues, Claudia Oliveira da Fontoura, 2011, "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 714, Mar.
• Mardi Dungey & Gerald P. Dwyer & Thomas Flavin, 2011, "Systematic and liquidity risk in subprime-mortgage backed securities," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2011-15.
• Niko Dotz & Christoph Fischer, 2011, "What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 69.
• Celso Brunetti & David Reiffen, 2011, "Commodity index trading and hedging costs," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-57.
• Davide Debortoli & Junior Maih & Ricardo Nunes, 2011, "Loose commitment in medium-scale macroeconomic models: theory and applications," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1034.
• Luciana Juvenal & Ivan Petrella, 2011, "Speculation in the oil market," Working Papers, Federal Reserve Bank of St. Louis, number 2011-027, DOI: 10.20955/wp.2011.027.
• Eleonara Granziera & Mihye Lee & Hyungsik Roger Moon & Frank Schorfheide, 2011, "Inference for VARs identified with sign restrictions," Working Papers, Federal Reserve Bank of Philadelphia, number 11-20.
• Edward P. Herbst & Frank Schorfheide, 2011, "Evaluating DSGE model forecasts of comovements," Working Papers, Federal Reserve Bank of Philadelphia, number 11-5.
• Frank Schorfheide, 2011, "Estimation and evaluation of DSGE models: progress and challenges," Working Papers, Federal Reserve Bank of Philadelphia, number 11-7.
• Juan Carlos Cuestas & Luis A. Gil-Alana, 2011, "Unemployment hysteresis, structural changes, non-linearities and fractional integration in European transition economies," Working Papers, The University of Sheffield, Department of Economics, number 2011005, Feb, revised Feb 2011.
• Juan Carlos Cuestas & Mercedes Monfort & Javier Ordóñez, 2011, "How big is the 'German locomotive'? A perpective from Central and Eastern Europen countries' unemployment rates," Working Papers, The University of Sheffield, Department of Economics, number 2011008, Apr, revised Apr 2011.
• Juan Carlos Cuestas & Karsten Steahr, 2011, "Fiscal shocks and budget balance persistence in the EU countries from Central and Eastern Europe," Working Papers, The University of Sheffield, Department of Economics, number 2011014, May, revised May 2011.
• Simeon Coleman & Juan Carlos Cuestas & Estefanía Mourelle, 2011, "Investigating the oil price-exchange rate nexus: Evidence from Africa," Working Papers, The University of Sheffield, Department of Economics, number 2011015, May, revised May 2011.
• Juan Carlos Cuestas & Carlyn Dobson, 2011, "Inflation persistence: Implication for a monetary union in the Caribbean," Working Papers, The University of Sheffield, Department of Economics, number 2011017, Aug.
• Andras Fulop & Junye Li & Jun Yu, 2011, "Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-10-2011, Dec.
• Klaus Abberger & Wolfgang Nierhaus, 2011, "Die ifo Konjunkturuhr: Zirkulare Korrelation mit dem realen Bruttoinlandsprodukt," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, volume 5, issue 3, pages 179-201, December, DOI: 10.1007/s11943-011-0106-2.
• Steven Clark & T. Coggin, 2011, "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, volume 40, issue 2, pages 373-391, April, DOI: 10.1007/s00181-010-0338-y.
• Niels Kemper & Dierk Herzer & Luca Zamparelli, 2011, "Balanced growth and structural breaks: evidence for Germany," Empirical Economics, Springer, volume 40, issue 2, pages 409-424, April, DOI: 10.1007/s00181-010-0361-z.
• Antonio Ribba, 2011, "On some neglected implications of the Fisher effect," Empirical Economics, Springer, volume 40, issue 2, pages 451-470, April, DOI: 10.1007/s00181-010-0348-9.
• Håvard Hungnes, 2011, "A demand system for input factors when there are technological changes in production," Empirical Economics, Springer, volume 40, issue 3, pages 581-600, May, DOI: 10.1007/s00181-010-0346-y.
• Dandan Liu & Dennis Jansen, 2011, "Does a factor Phillips curve help? An evaluation of the predictive power for U.S. inflation," Empirical Economics, Springer, volume 40, issue 3, pages 807-826, May, DOI: 10.1007/s00181-010-0352-0.
• Ulrich Fritsche & Vladimir Kuzin, 2011, "Analysing convergence in Europe using the non-linear single factor model," Empirical Economics, Springer, volume 41, issue 2, pages 343-369, October, DOI: 10.1007/s00181-010-0385-4.
• Javier Pérez & A. Sánchez, 2011, "Is there a signalling role for public wages? Evidence for the euro area based on macro data," Empirical Economics, Springer, volume 41, issue 2, pages 421-445, October, DOI: 10.1007/s00181-010-0380-9.
• Bernardina Algieri, 2011, "Modelling export equations using an unobserved component model: the case of the Euro Area and its competitors," Empirical Economics, Springer, volume 41, issue 3, pages 593-637, December, DOI: 10.1007/s00181-010-0399-y.
• Vasco Gabriel & Luis Martins, 2011, "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship," Empirical Economics, Springer, volume 41, issue 3, pages 639-662, December, DOI: 10.1007/s00181-010-0401-8.
• Tatiana Cesaroni, 2011, "The cyclical behavior of the Italian business survey data," Empirical Economics, Springer, volume 41, issue 3, pages 747-768, December, DOI: 10.1007/s00181-010-0390-7.
• Biru Paul & Md. Uddin & Abdullah Noman, 2011, "Remittances and output in Bangladesh: an ARDL bounds testing approach to cointegration," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), volume 58, issue 2, pages 229-242, June, DOI: 10.1007/s12232-011-0120-2.
• Petra Fleischer & Ross Maller & Gernot Müller, 2011, "A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 2, pages 123-148, April, DOI: 10.1007/s12197-009-9086-2.
• Hui Fang, 2011, "Peer review and over-competitive research funding fostering mainstream opinion to monopoly," Scientometrics, Springer;Akadémiai Kiadó, volume 87, issue 2, pages 293-301, May, DOI: 10.1007/s11192-010-0323-4.
• Gbaguidi DAVID, 2011, "Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, volume 2, issue 2, pages 141-181.
• Gary Koop & Joshua Chan, 2011, "Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables," Working Papers, University of Strathclyde Business School, Department of Economics, number 1111, Apr.
• Joshua Chan & Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011, "Time Varying Dimension Models," Working Papers, University of Strathclyde Business School, Department of Economics, number 1116, Apr.
• Gary Koop, 2011, "Forecasting with Medium and Large Bayesian VARs," Working Papers, University of Strathclyde Business School, Department of Economics, number 1117, Apr.
• Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011, "Bayesian Inference in the Time Varying Cointegration Model," Working Papers, University of Strathclyde Business School, Department of Economics, number 1121, Apr.
• Markus Jochmann & Gary Koop, 2011, "Regime-Switching Cointegration," Working Papers, University of Strathclyde Business School, Department of Economics, number 1125, May.
• Michele Campolieti & Deborah Gefang & Gary Koop, 2011, "Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada," Working Papers, University of Strathclyde Business School, Department of Economics, number 1138, Sep.
• Willem H. Boshoff, 2011, "Limits and Uses of Price Tests for Market Definition," Working Papers, Stellenbosch University, Department of Economics, number 01/2011, revised 2013.
• Guglielmo Maria Caporale & Alessandro Girardi, 2011, "Price formation on the EuroMTS platform," Applied Economics Letters, Taylor & Francis Journals, volume 18, issue 3, pages 229-233, DOI: 10.1080/13504850903559567.
• Dick van Dijk & Haris Munandar & Christian Hafner, 2011, "The euro introduction and noneuro currencies," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 1-2, pages 95-116, DOI: 10.1080/09603107.2011.523197.
• Carluccio Bianchi & Maria Elena De Giuli & Dean Fantazzini & Mario Maggi, 2011, "Small sample properties of copula-GARCH modelling: a Monte Carlo study," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 21, pages 1587-1597, DOI: 10.1080/09603107.2011.587770.
• Dimitrios Sideris, 2011, "Optimum currency areas, structural changes and the endogeneity of the OCA criteria: evidence from six new EU member states," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 4, pages 195-206, DOI: 10.1080/09603107.2010.528360.
• Klaus Mohn & Bård Misund, 2011, "Shifting sentiments in firm investment: an application to the oil industry," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 7, pages 469-479, DOI: 10.1080/09603107.2010.534060.
• Matthew Hanson & Martin Schmidt, 2011, "The impact of Coalition offensive operations on the Iraqi insurgency," Applied Economics, Taylor & Francis Journals, volume 43, issue 18, pages 2251-2265, DOI: 10.1080/00036840903153804.
• Martin Schneider & Gerhard Fenz, 2011, "Transmission of business cycle shocks between the US and the euro area," Applied Economics, Taylor & Francis Journals, volume 43, issue 21, pages 2777-2793, DOI: 10.1080/00036840903373311.
• Juan Carlos Cuestas & Estefania Mourelle, 2011, "Nonlinearities in real exchange rate determination: do African exchange rates follow a random walk?," Applied Economics, Taylor & Francis Journals, volume 43, issue 2, pages 243-258, DOI: 10.1080/00036840802467065.
• Thomas Gries & Manfred Kraft & Daniel Meierrieks, 2011, "Financial deepening, trade openness and economic growth in Latin America and the Caribbean," Applied Economics, Taylor & Francis Journals, volume 43, issue 30, pages 4729-4739, DOI: 10.1080/00036846.2010.498352.
• Thomas Gries & Tim Krieger & Daniel Meierrieks, 2011, "Causal Linkages Between Domestic Terrorism and Economic Growth," Defence and Peace Economics, Taylor & Francis Journals, volume 22, issue 5, pages 493-508, June, DOI: 10.1080/10242694.2010.532943.
• Julien Idier, 2011, "Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models," The European Journal of Finance, Taylor & Francis Journals, volume 17, issue 1, pages 27-48, DOI: 10.1080/13518470903448440.
• Sergio Mayordomo & Juan Ignacio Peña & Juan Romo, 2011, "The effect of liquidity on the price discovery process in credit derivatives markets in times of financial distress," The European Journal of Finance, Taylor & Francis Journals, volume 17, issue 9-10, pages 851-881, November, DOI: 10.1080/1351847X.2010.538529.
• Riona Arjoon & Mariëtte Botes & Laban K. Chesang & Rangan Gupta, 2011, "The long-run relationship between inflation and real stock prices: empirical evidence from South Africa," Journal of Business Economics and Management, Taylor & Francis Journals, volume 13, issue 4, pages 600-613, July, DOI: 10.3846/16111699.2011.620162.
• Paul Alagidede & Theodore Panagiotidis & Xu Zhang, 2011, "Causal relationship between stock prices and exchange rates," The Journal of International Trade & Economic Development, Taylor & Francis Journals, volume 20, issue 1, pages 67-86, DOI: 10.1080/09638199.2011.538186.
• Antonello Loddo & Shawn Ni & Dongchu Sun, 2011, "Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 3, pages 342-355, July, DOI: 10.1198/jbes.2010.08197.
• Nikolay Gospodinov & Alex Maynard & Elena Pesavento, 2011, "Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 4, pages 455-467, October, DOI: 10.1198/jbes.2011.10042.
• Drew Creal & Siem Jan Koopman & André Lucas, 2011, "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 29, issue 4, pages 552-563, October, DOI: 10.1198/jbes.2011.10070.
• José Gonzalo Rangel & Robert F. Engle, 2011, "The Factor--Spline--GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 109-124, May, DOI: 10.1080/07350015.2012.643132.
• Ingmar Nolte & Valeri Voev, 2011, "Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 1, pages 94-108, April, DOI: 10.1080/10473289.2011.637876.
• Carlo Altavilla & Concetto Paolo Vinci, 2011, "Non-Linear Dynamics of Real Wages Over the Business Cycle," Journal of Applied Economics, Taylor & Francis Journals, volume 14, issue 1, pages 81-99, May, DOI: 10.1016/S1514-0326(11)60006-8.
• Céline Gimet & Thomas Lagoarde-Segot, 2011, "Global crisis and financial destabilization in ASEAN countries: a microstructural perspective," Journal of the Asia Pacific Economy, Taylor & Francis Journals, volume 16, issue 3, pages 294-312, DOI: 10.1080/13547860.2011.589622.
• David Pitfield, 2011, "The Impact of the EU–US Open Skies Agreement and the Resulting British Airway's Open Skies Initiative: Passenger Numbers in London, Amsterdam and Paris," Spatial Economic Analysis, Taylor & Francis Journals, volume 6, issue 2, pages 185-197, DOI: 10.1080/17421772.2011.557776.
• Dungey, Mardi & Tugrul Vehbi, M, 2011, "A SVECM Model of the UK Economy and The Term Premium," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 11610, May.
• Dungey, Mardi & Dwyer, Gerald P. & Flavin, Thomas, 2011, "Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 11817, Aug.
• Meltem Gulenay Chadwick & Fatih Fazilet & Necati Tekatli, 2011, "Gelismekte Olan Ulkelerin Kurlarindaki Ortak Hareketin Analizi," CBT Research Notes in Economics, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1106.
• Kurmas Akdogan & Meltem Gulenay Chadwick, 2011, "Nonlinearities in CDS-Bond Basis (CDS-Bono Farkinin Dogrusal Olmayan Duzeltme Hareketi)," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1113.
• Cem Cakmakli & Richard Paap & Dick J.C. van Dijk, 2011, "Modeling and Estimation of Synchronization in Multistate Markov-Switching Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-002/4, Jan.
• Rodney W. Strachan & Herman K. van Dijk, 2011, "Divergent Priors and well Behaved Bayes Factors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-006/4, Jan.
• Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andre Lucas, 2011, "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-042/2/DSF16, Feb.
• Siem Jan Koopman & Michel van der Wel, 2011, "Forecasting the U.S. Term Structure of Interest Rates using a Macroeconomic Smooth Dynamic Factor Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-063/4, Apr.
• Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas, 2011, "Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-078/2/DSF22, May.
• Masagus M. Ridhwan & Henri L.F. de Groot & Piet Rietveld & Peter Nijkamp, 2011, "The Regional Impact of Monetary Policy in Indonesia," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-081/3, May.
• Alessandro Gobbi & Tim Willems, 2011, "Identifying US Monetary Policy Shocks through Sign Restrictions in Dollarized Countries," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-145/2, Oct.
• Cem Cakmakli & Richard Paap & Dick van Dijk, 2011, "Measuring and Predicting Heterogeneous Recessions," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-154/4, Nov, revised 15 Nov 2011.
• Pawel Janus & Siem Jan Koopman & André Lucas, 2011, "Long Memory Dynamics for Multivariate Dependence under Heavy Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-175/2/DSF28, Dec.
• Xin Zhang & Bernd Schwaab & Andre Lucas, 2011, "Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-176/2/DSF29, Dec, revised 28 Jun 2012.
• Martin Burda & John Maheu, 2011, "Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models," Working Papers, University of Toronto, Department of Economics, number tecipa-438, Jun.
• Lutz Kilian & Clara Vega, 2011, "Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices," The Review of Economics and Statistics, MIT Press, volume 93, issue 2, pages 660-671, May.
• Jesper Roine & Daniel Waldenström, 2011, "Common Trends and Shocks to Top Incomes: A Structural Breaks Approach," The Review of Economics and Statistics, MIT Press, volume 93, issue 3, pages 832-846, August.
• Yun Kim, 2011, "The Macroeconomic Implications of Household Debt: An Empirical Analysis," Working Papers, Trinity College, Department of Economics, number 1103, May.
• Lambrias, Kyriacos, 2011, "World Technology Shocks and the Real Euro-Dollar Exchange Rate," TSE Working Papers, Toulouse School of Economics (TSE), number 11-261, Dec.
• Jean-Sébastien Pentecôte, 2011, "Long-run identifying restrictions on VARs within the AS-AD framework," Economics Working Paper Archive (University of Rennes & University of Caen), Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS, number 201125, Nov.
• John Cotter & Don Bredin, 2011, "Real and Nominal Foreign Exchange Volatility Effects on Exports – The Importance of Timing," Working Papers, Geary Institute, University College Dublin, number 200619, 07.
• Don Bredin & John Elder, 2011, "US Oil Price Exposure: The Industry Effects," Working Papers, Geary Institute, University College Dublin, number 201107, Mar.
• Massimiliano Caporin & Michael McAleer, 2011, "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-20.
• Alfredo García-Hiernaux & David E. Guerrero, 2011, "Convergence and Cointegration," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-22.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2011, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-34.
• Simón Sosvilla-Rivero & Amalia Morales-Zumaquero, 2011, "Volatility in EMU sovereign bond yields: Permanent and transitory components," Working Papers del Instituto Complutense de Estudios Internacionales, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales, number 1106.
• Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2011, "The US Dollar-Euro exchange rate and US-EMU bond yield differentials: A Causality Analysis," Working Papers del Instituto Complutense de Estudios Internacionales, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales, number 1107.
• Andrew T. Foerster & Pierre-Daniel G. Sarte & Mark W. Watson, 2011, "Sectoral versus Aggregate Shocks: A Structural Factor Analysis of Industrial Production," Journal of Political Economy, University of Chicago Press, volume 119, issue 1, pages 1-38, DOI: 10.1086/659311.
• Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011, "Using Large Data Sets to Forecast Sectoral Employment," Working papers, University of Connecticut, Department of Economics, number 2011-02, Jan, revised Aug 2012.
• Diego Gianelli, 2011, "El traspaso de tipo de cambio a precios en Uruguay," Documentos de Trabajo (working papers), Department of Economics - dECON, number 2711, Nov.
• Aloysius Deno Hervino, 2011, "Avoiding Risk In Working Capital Credit Distribution In Indonesia," Economic Journal of Emerging Markets, Universitas Islam Indonesia, volume 3, issue 2, pages 199-210.
• Reinhold Heinlein & Hans-Martin Krolzig, 2011, "Effects of monetary policy on the $/£ exchange rate. Is there a 'delayed overshooting puzzle'?," Studies in Economics, School of Economics, University of Kent, number 1124, Dec.
• Nikolaus Hautsch & Dieter Hess & David Veredas, 2011, "The impact of macroeconomic news on quote adjustments, noise and informational volatility," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/136190.
• Roxana Halbleib & Valeri Voev, 2011, "Forecasting multivariate volatility using the VARFIMA model on realized covariance cholesky factors," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/195065, Feb.
• Fabio Canova & Alain Schlaepfer, 2011, "Has the Euro-Mediterranean partnership affected Mediterranean business cycles?," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1267, Feb, revised May 2012.
• Fabio Canova & Evi Pappa, 2011, "Fiscal policy, pricing frictions and monetary accommodation," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1268, Mar.
• Audrino, Francesco, 2011, "Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1112, Apr.
• Evan LAU & Nelson FU, 2011, "Financial And Current Account Interrelationship: An Empirical Test," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 6, issue 1(15)/ Sp, pages 34-42.
• Giulio Tarditi, 2011, "Affine Term Structure Constraints on Euribor data," Department of Economics University of Siena, Department of Economics, University of Siena, number 613, Jun.
• Ryan R. Brady & Derek Stimel, 2011, "How the Housing and Financial Wealth Effects have changed over Time," Departmental Working Papers, United States Naval Academy Department of Economics, number 31, Feb.
• Mary Riddel, 2011, "Are Housing Bubbles Contagious? A Case Study of Las Vegas and Los Angeles Home Prices," Land Economics, University of Wisconsin Press, volume 87, issue 1, pages 126-144.
• Claudio Pizzi & Francesca Parpinel, 2011, "Evolutionary computational approach in TAR model estimation," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2011_26.
• David E. Giles & Ryan T. Godwin, 2011, "Testing for Multivariate Cointegration in the Presence of Structural Breaks: p-Values and Critical Values," Econometrics Working Papers, Department of Economics, University of Victoria, number 1110, Jul.
• Adnen Chockri & Ibticem Frihka, 2011, "La portée de la politique de ciblage d’inflation: Approche analytique et empirique pour le cas Tunisien," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 58, issue 1, pages 91-111.
• Nicholas Apergis & Effrosyni Alevizopoulou, 2011, "Bank Efficiency: Evidence from a Panel of European Banks," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 58, issue 3, pages 329-341.
• Timur Han Gur & Lutfi Erden & Ibrahim Ozkan, 2011, "Empirical Investigation on the Determinants of the Saving- Investment Interaction," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 58, issue 3, pages 343-353.
• Cristiana Tudor, 2011, "Changes in Stock Markets Interdependencies as a Result of the Global Financial Crisis: Empirical Investigation on the CEE Region," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 58, issue 4, pages 525-543.
• 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.
• Tasew Tadesse, 2011, "Foreign Aid and Economic Growth in Ethiopia: A Cointegration Analysis," Economic Research Guardian, Mutascu Publishing, volume 1, issue 2, pages 88-108, December.
• 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.

2010

• Elizabeth Steiner, 2010, "Estimating a Stock-Flow Model for the Swiss Housing Market," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 146, issue III, pages 601-627, September.
• Kostas Mouratidis & Dimitris Kenourgios & Aris Samitas, 2010, "Evaluating currency crisis:A multivariate Markov switching approach," Working Papers, The University of Sheffield, Department of Economics, number 2010018, Oct, revised Oct 2010.
• Elizabeth Steiner, 2010, "Estimating a stock-flow model for the Swiss housing market," Working Papers, Swiss National Bank, number 2010-08.
• Martin Wagner, 2010, "Cointegration analysis with state space models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, volume 94, issue 3, pages 273-305, September, DOI: 10.1007/s10182-010-0138-x.
• Josep Carrion-i-Silvestre & Vicente German-Soto, 2010, "Stochastic convergence in the industrial sector of the Mexican states," The Annals of Regional Science, Springer;Western Regional Science Association, volume 45, issue 3, pages 547-570, December, DOI: 10.1007/s00168-009-0317-4.
• Andrea Silvestrini, 2010, "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," Empirical Economics, Springer, volume 39, issue 1, pages 241-274, August, DOI: 10.1007/s00181-009-0303-9.
• Erik Hjalmarsson & Pär Österholm, 2010, "Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies," Empirical Economics, Springer, volume 39, issue 1, pages 51-76, August, DOI: 10.1007/s00181-009-0294-6.
• Christos Savva & Nektarios Aslanidis, 2010, "Stock market integration between new EU member states and the Euro-zone," Empirical Economics, Springer, volume 39, issue 2, pages 337-351, October, DOI: 10.1007/s00181-009-0306-6.
• Min Gong & Wenpu Li, 2010, "Assessing the role of aggregate demand and supply shocks in China’s macroeconomic fluctuation," Frontiers of Economics in China, Springer;Higher Education Press, volume 5, issue 3, pages 464-488, September, DOI: 10.1007/s11459-010-0108-y.
• Miguel Márquez & Julián Ramajo & Geoffrey Hewings, 2010, "Measuring the spillover effects of public capital: a bi-regional structural vector autoregressive analysis," Letters in Spatial and Resource Sciences, Springer, volume 3, issue 3, pages 111-125, October, DOI: 10.1007/s12076-010-0042-8.
• Alfredo Pereira & Rui Pereira, 2010, "On the potential economic costs of cutting carbon dioxide emissions in Portugal," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 9, issue 3, pages 211-222, December, DOI: 10.1007/s10258-010-0061-9.
• Robert Brown, 2010, "Measuring Delegation," The Review of International Organizations, Springer, volume 5, issue 2, pages 141-175, June, DOI: 10.1007/s11558-009-9076-3.
• Lieven Baele & Pilar Soriano, 2010, "The determinants of increasing equity market comovement: economic or financial integration?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 146, issue 3, pages 573-589, September, DOI: 10.1007/s10290-010-0060-z.
• Swee Ling OH & Evan LAU & Chin Hong PUAH & Shazali ABU MANSOR, 2010, "Volatility Co Movement Of Asean 5 Equity Markets," Journal of Advanced Studies in Finance, ASERS Publishing, volume 1, issue 1, pages 23-30.
• Rajmund MIRDALA, 2010, "Sources Of Exchange Rate Dynamics In The European Transition Economies," Journal of Advanced Studies in Finance, ASERS Publishing, volume 1, issue 1, pages 60-71.
• Andreas Benedictow & Pål Boug, 2010, "Trade liberalisation and import price behaviour: the case of textiles and wearing apparels," Discussion Papers, Statistics Norway, Research Department, number 605, Jan.
• Alagidede, Paul & Panagiotidis, Theodore & Zhang, Xu, 2010, "Causal Relationship between Stock Prices and Exchange Rates," Stirling Economics Discussion Papers, University of Stirling, Division of Economics, number 2010-05, Feb.
• Alagidede, Paul & Panagiotidis, Theodore, 2010, "Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries," Stirling Economics Discussion Papers, University of Stirling, Division of Economics, number 2010-07, Apr.
• Nikolaos Antonakakis, 2010, "Official Central Bank Interventions in the Foreign Exchange Markets: A DCC Approach with Exogenous Variables," Working Papers, University of Strathclyde Business School, Department of Economics, number 1002, Feb.
• Vasco Gabriel & Luis Martins, 2010, "Cointegration Tests under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," School of Economics Discussion Papers, School of Economics, University of Surrey, number 0910, Sep.
• Vasco Gabriel & Pataaree Sangduan, 2010, "An Efficient test of Fiscal Sustainability," School of Economics Discussion Papers, School of Economics, University of Surrey, number 1110, Sep.
• Pedro M. G. Martins, 2010, "Fiscal Dynamics in Ethiopia: The Cointegrated VAR Model with Quarterly Data," Working Paper Series, Department of Economics, University of Sussex Business School, number 0910, Oct.
• Alberto Humala & Gabriel Rodriguez, 2010, "Foreign exchange intervention and exchange rate volatility in Peru," Applied Economics Letters, Taylor & Francis Journals, volume 17, issue 15, pages 1485-1491, DOI: 10.1080/13504850903049643.
• Vasco Gabriel & Pataaree Sangduan, 2010, "An efficient test of fiscal sustainability," Applied Economics Letters, Taylor & Francis Journals, volume 17, issue 18, pages 1819-1822, DOI: 10.1080/13504850903299610.
• Leonardo Gambacorta & Carlotta Rossi, 2010, "Modelling bank lending in the euro area: a nonlinear approach," Applied Financial Economics, Taylor & Francis Journals, volume 20, issue 14, pages 1099-1112, DOI: 10.1080/09603101003781430.
• Enzo Weber, 2010, "Volatility and causality in Asia Pacific financial markets," Applied Financial Economics, Taylor & Francis Journals, volume 20, issue 16, pages 1269-1292, DOI: 10.1080/09603107.2010.485926.
• Ansgar Belke & Ingo Bordon & Torben Hendricks, 2010, "Global liquidity and commodity prices-a cointegrated VAR approach for OECD countries," Applied Financial Economics, Taylor & Francis Journals, volume 20, issue 3, pages 227-242, DOI: 10.1080/09603100903282713.
• Vincent Bouvatier, 2010, "Hot money inflows and monetary stability in China: how the People's Bank of China took up the challenge," Applied Economics, Taylor & Francis Journals, volume 42, issue 12, pages 1533-1548, DOI: 10.1080/00036840701721513.
• Fabio Bagliano & Claudio Morana, 2010, "Business cycle comovement in the G-7: common shocks or common transmission mechanisms?," Applied Economics, Taylor & Francis Journals, volume 42, issue 18, pages 2327-2345, DOI: 10.1080/00036840701858067.
• Carluccio Bianchi & Alessandro Carta & Dean Fantazzini & Maria Elena De Giuli & Mario Maggi, 2010, "A copula-VAR-X approach for industrial production modelling and forecasting," Applied Economics, Taylor & Francis Journals, volume 42, issue 25, pages 3267-3277, DOI: 10.1080/00036840802112349.
• H. Levent Korap & Ozgur Aslan, 2010, "Re-examination of the long-run purchasing power parity: further evidence from Turkey," Applied Economics, Taylor & Francis Journals, volume 42, issue 27, pages 3559-3564, DOI: 10.1080/00036840802129798.
• Rangan Gupta & Alain Kabundi & Emmanuel Ziramba, 2010, "The Effect Of Defense Spending On Us Output: A Factor Augmented Vector Autoregression (Favar) Approach," Defence and Peace Economics, Taylor & Francis Journals, volume 21, issue 2, pages 135-147, DOI: 10.1080/10242690903569056.
• Denis Larocque & Genevieve Lincourt & Michel Normandin, 2010, "Macroeconomic Effects Of Terrorist Shocks In Israel," Defence and Peace Economics, Taylor & Francis Journals, volume 21, issue 4, pages 317-336, DOI: 10.1080/10242694.2010.491705.
• Alfredo M. Pereira & Jorge M. Andraz, 2010, "On the Economic and Fiscal Effects of Investments in Road Infrastructures in Portugal," International Economic Journal, Taylor & Francis Journals, volume 25, issue 3, pages 465-492, September, DOI: 10.1080/10168737.2011.607256.
• Delfin Go & Marna Kearney & Vijdan Korman & Sherman Robinson & Karen Thierfelder, 2010, "Wage Subsidy and Labour Market Flexibility in South Africa," Journal of Development Studies, Taylor & Francis Journals, volume 46, issue 9, pages 1481-1502, DOI: 10.1080/00220380903428456.
• Bernd Aumann & Rolf Scheufele, 2010, "Is East Germany catching up? A time series perspective," Post-Communist Economies, Taylor & Francis Journals, volume 22, issue 2, pages 177-192, DOI: 10.1080/14631371003740662.
• Jorge Caiado & Nuno Crato, 2010, "Identifying common dynamic features in stock returns," Quantitative Finance, Taylor & Francis Journals, volume 10, issue 7, pages 797-807, DOI: 10.1080/14697680903567152.
• Turhan Korkmaz & Emrah I. Çevik & Elif Birkan & Nesrin ÖzataÇ, 2010, "Testing Capm using Markov Switching Model: The Case of Coal Firms," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, volume 23, issue 2, pages 44-59, January, DOI: 10.1080/1331677X.2010.11517411.
• Rangan Gupta & Christian Tipoy & Sonali Das, 2010, "Could We Have Predicted the Recent Downturn in Home Sales in the Four U.S. Census Regions?," Journal of Housing Research, Taylor & Francis Journals, volume 19, issue 2, pages 111-128, January, DOI: 10.1080/10835547.2010.12092026.
• Dungey, Mardi & Hvozdyk, Lyudmyla, 2010, "Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06)," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 10450, Jul, revised 14 Jul 2010.
• K. Azim Ozdemir & Mesut Saygili, 2010, "Economic Uncertanity and Money Demand Stability in Turkey (Turkiye'de Ekonomik Belirsizlik ve Para Talebinin Istikrari)," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1015.
• Necati Tekatli, 2010, "A Bayesian Generalized Factor Model with Comparative Analysis (Genellestirilmis Faktor Modellerinin Bayesyen Yaklasimi ve Karsilastirmali Analizi)," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1018.
• M. Abimbola Oyinlola & Oluwatosin Adeniyi & Olusegun Omisakin, 2010, "Responsiveness of Trade Flows to Changes in Exchange rate and Relative prices: Evidence from Nigeria," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 3, issue 2, pages 123-141, December.
• Hakan Yilmazkuday, 2010, "Monetary Policy and Credit Cards: Evidence from a Small-Open Economy," DETU Working Papers, Department of Economics, Temple University, number 1010, Sep.
• Bisio Laura & Faccini Andrea, 2010, "Does cointegration matter? An analysis in a RBC perspective," wp.comunite, Department of Communication, University of Teramo, number 0066, May.
• Markus Kirchner & Jacopo Cimadomo & Sebastian Hauptmeier, 2010, "Transmission of Government Spending Shocks in the Euro Area: Time Variation and Driving Forces," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-021/2, Feb.
• Drew Creal & Siem Jan Koopman & André Lucas, 2010, "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-032/2, Mar.
• Rodney W. Strachan & Herman K. van Dijk, 2010, "Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-050/4, May.
• Tim Willems, 2010, "What are the Effects of Monetary Policy Shocks? Evidence from Dollarized Countries," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-099/2, Oct, revised 25 Mar 2013.
• Elias Oikarinen & Martin Hoesli & Camilo Serrano, 2010, "Response speeds of direct and securitized real estate to shocks in the fundamentals," Discussion Papers, Aboa Centre for Economics, number 60, Oct.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010, "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-704, Jan.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010, "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-706, Jan.
• Massimiliano Caporin & Michael McAleer, 2010, "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-713, Feb.
• Chialin Chang & Michael McAleer & Roengchai Tansuchat, 2010, "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-718, Feb.