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

• Thomas J. Sargent & Christopher A. Sims, 2011, "Interview with the 2011 Laureates in Economic Sciences Thomas J. Sargent and Christopher A. Sims," Nobel Prize in Economics documents, Nobel Prize Committee, number 2011-3, Dec.
• Christopher A. Sims, 2011, "Autobiography," Nobel Prize in Economics documents, Nobel Prize Committee, number 2011-4.
• Christopher A. Sims, 2011, "Statistical Modeling of Monetary Policy and its Effects," Nobel Prize in Economics documents, Nobel Prize Committee, number 2011-5, Dec.
• Thomas J. Sargent, 2011, "United States Then, Europe Now," Nobel Prize in Economics documents, Nobel Prize Committee, number 2011-6, Dec.
• Shirinbakhsh, Shamsollah & Moghaddas Bayat, Maryam, 2011, "An Evaluation of Asymmetric and Symmetric Effects of Oil Exports Shocks on Non-Tradable Sector of Iranian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 106-124, March.
• Matei, Marius, 2011, "Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 116-141, June.
• Yongsung Chang & Sun-Bin Kim & Frank Schorfheide, 2011, "Labor-Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 566, Sep.
• Khalid ZAMAN & Muhammad Mushtaq KHAN & Mehboob AHMAD, 2011, "Measuring the Impact of Industrialization and Financial Development on Water Resources: A Case Study of Pakistan," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 14, issue 1, pages 222-235, June.
• Maddalena Cavicchioli, 2011, "Structural Macroeconomic Analysis for Dynamic Factor Models," Rivista di Politica Economica, SIPI Spa, issue 4, pages 39-69, October-D.
• Gianluca Cubadda & Umberto Triacca, 2011, "An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis," CEIS Research Paper, Tor Vergata University, CEIS, number 184, Jan, revised 24 Jan 2011.
• T. Berger & L. Pozzi, 2011, "A new model-based approach to measuring time-varying financial market integration," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 11/714, Apr.
• G. Peersman, 2011, "Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 11/734, Jul.
• M. J. Lombardi & I. Van Robays, 2011, "Do Financial Investors Destabilize the Oil Price?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 11/760, Nov.
• L. Gambacorta & B. Hofmann & G. Peersman, 2011, "The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 11/765, Dec.
• G. Peersman, 2011, "Bank Lending Shocks and the Euro Area Business Cycle," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 11/766, Dec.
• Norman R. Swanson & Oleg Korenok & Stanislav Radchenko, 2011, "International Evidence on the Efficacy of new-Keynesian Models of Inflation Persistence," Departmental Working Papers, Rutgers University, Department of Economics, number 201104, May.
• Norman R. Swanson & Valentina Corradi & Andres Fernandez, 2011, "Information in the Revision Process of Real-Time Datasets," Departmental Working Papers, Rutgers University, Department of Economics, number 201107, May.
• Norman R. Swanson & Andres Fernandez, 2011, "Real-Time Datasets Really Do Make a Difference: Definitional Change, Data Release, and Forecasting," Departmental Working Papers, Rutgers University, Department of Economics, number 201113, May.
• Oleg Korenok & Bruce Mizrach & Stanislav Radchenko, 2011, "A Structural Approach To Information Shares," Departmental Working Papers, Rutgers University, Department of Economics, number 201130, Oct.
• Nishi, Hiroshi, 2011, "A VAR Analysis for the Growth Regime and Demand Formation Patterns of the Japanese Economy," Revue de la Régulation - Capitalisme, institutions, pouvoirs, Association Recherche et Régulation, volume 10.
• Steven F. Koch & Yuxiang Ye, 2026, "The average hourly impact of price changes on household electricity consumption," ERSA Working Paper Series, Economic Research Southern Africa, number 250, Sep.
• Ruchi Gupta, 2011, "What Causes Trade-led Growth in India?," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 5, issue 3, pages 293-310, August, DOI: 10.1177/097380101100500301.
• Biswajit Maitra, 2011, "Tax-and-Spend Principle in Budget Management in Sri Lanka in the Post-reform Period," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, volume 5, issue 3, pages 343-359, August, DOI: 10.1177/097380101100500303.
• Aruna Kumar Dash & V. Narasimhan, 2011, "Exchange Rate Pass-through," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, volume 12, issue 1, pages 1-23, March, DOI: 10.1177/139156141001200101.
• Chia-Lin Chang & Thanchanok Khamkaew & Roengchai Tansuchat & Michael McAleer, 2011, "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," Tourism Economics, , volume 17, issue 3, pages 481-507, June, DOI: 10.5367/te.2011.0046.
• Søren Johansen, 2011, "The analysis of nonstationary time series using regression, correlation and cointegration - with an application to annual mean temperature and sea level," DSS Empirical Economics and Econometrics Working Papers Series, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome, number 2011/4, Nov.
• Nasir Hamid Rao & Syed Kalim Hyder Bukhari, 2011, "Asymmetric Shocks and Co-movement of Price Indices," SBP Working Paper Series, State Bank of Pakistan, Research Department, number 38, Feb.
• Carlo Altavilla & Matteo Ciccarelli, 2011, "Monetary Policy Analysis in Real-Time. Vintage combination from a real-time dataset," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 274, Feb.
• 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.
• Renatas Kizys & Christian Pierdzioch, 2011, "The Financial Crisis and the Stock Markets of the CEE Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 2, pages 153-172, June.
• Numan Ülkü, 2011, "Modeling Comovement among Emerging Stock Markets: The Case of Budapest and Istanbul," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 3, pages 277-304, July.
• Katerina Arnostova & David Havrlant & Luboš Rùžièka & Peter Tóth, 2011, "Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 6, pages 566-583, December.
• 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.
• Hernandez, Manuel A. & Ibarra, Raul & Trupkin, Danilo R., 2011, "How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets," IFPRI discussion papers, International Food Policy Research Institute (IFPRI), number 1109.
• Céline Gimet & Thomas Lagoarde-Segot, 2011, "Global crisis and Financial destabilization in ASEAN countries. A microstructural perspective," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 1103.
• Andrea Gabriela Bonilla Bolaños, 2011, "Symmetry of External Shock responses within the Andean Community of Nations: A SVAR Approach," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 1140.
• Xiaoshan Chen & Ronald MacDonald, 2011, "Realised and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom," Working Papers, Business School - Economics, University of Glasgow, number 2011_04, Jan.
• Elias Soukiazis & Pedro Cerqueira & Micaela Antunes, 2011, "Growth rates constrained by internal and external imbalances: a demand orientated approach," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2011-12, Jun.
• Rico Ihle & Linde Götz & Ofir D. Rubin, 2011, "State-Space Cointegration Modeling for the Analysis of Exogenous Shocks to Prices in Israeli-Palestinian Food Trade," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers, Courant Research Centre PEG, number 100, Nov.
• Gupta, Rakesh & Guidi, Francesco, 2011, "Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets," Greenwich Papers in Political Economy, University of Greenwich, Greenwich Political Economy Research Centre, number 7277, Sep.
• Thanasis Stengos & M. Ege Yazgan, 2011, "Persistence in Convergence," Working Papers, University of Guelph, Department of Economics and Finance, number 1105.
• Ross McKitrick & Timothy Vogelsang, 2011, "Multivariate trend comparisons between autocorrelated climate series with general trend regressors," Working Papers, University of Guelph, Department of Economics and Finance, number 1109.
• Peter Fuleky & Carl S. Bonham, 2011, "Forecasting Based on Common Trends in Mixed Frequency Samples," Working Papers, University of Hawaii at Manoa, Department of Economics, number 201110, Jun.
• Alassane Drabo, 2011, "Interrelationships between Health, Environment Quality and Economic Activity: What Consequences for Economic Convergence," CERDI Working papers, HAL, number halshs-00552995, Jan.
• Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011, "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00638009, Sep.
• Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011, "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print, HAL, number hal-00638009, Sep.
• António Portugal Duarte & João Sousa Andrade, 2011, "How the Gold Standard Functioned in Portugal: An Analysis of Some Macroeconomic Aspects," Post-Print, HAL, number hal-00665454, Feb, DOI: 10.1080/00036846.2010.513675.
• Enzo Weber, 2011, "Regional and Outward Economic Integration in South-East Asia," Post-Print, HAL, number hal-00670761, Feb, DOI: 10.1080/00036846.2010.539543.
• Pedro Mendi & Nadia Ayari & Szabolcs Blazsek, 2011, "Renewable energy innovations in Europe: A dynamic panel data approach," Post-Print, HAL, number hal-00711448, Jun, DOI: 10.1080/00036846.2011.570720.
• Luis Alberiko Gil-Alana & Antonio Moreno & Seonghoon Cho, 2011, "The Deaton paradox in a long memory context with structural breaks," Post-Print, HAL, number hal-00711450, Jun, DOI: 10.1080/00036846.2011.572857.
• Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2011, "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Post-Print, HAL, number hal-00815564, Apr, DOI: 10.1016/j.jeconom.2010.07.009.
• Catherine Doz & Lucrezia Reichlin, 2011, "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print, HAL, number hal-00844811, Jul, DOI: 10.1016/j.jeconom.2011.02.012.
• Sanvi Avouyi-Dovi & Jean-Guillaume Sahuc, 2011, "On the Welfare Costs of Misspecified Monetary Policy Objectives," Post-Print, HAL, number hal-01612707, DOI: 10.1016/j.jmacro.2011.01.004.
• Y. Boubacar Mainassara & Christian Francq, 2011, "Estimating structural VARMA models with uncorrelated but non-independent error terms," Post-Print, HAL, number hal-05417844, Mar, DOI: 10.1016/j.jmva.2010.10.009.
• Céline Gimet & Thomas Lagoarde-Ségot, 2011, "Global crisis and Financial destabilization in ASEAN countries. A microstructural perspective," Post-Print, HAL, number halshs-00560218.
• Salem Boubakri & Cyriac Guillaumin, 2011, "Financial integration and currency risk premium in CEECs : evidence from the ICAPM," Post-Print, HAL, number halshs-00639224.
• Céline Gimet, 2011, "Global crisis and financial destabilization in the Asean countries. A microstructural perspective," Post-Print, HAL, number halshs-00666066.
• Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011, "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-00638009, Sep.
• Jean-François Hoarau & Claude Lopez & Michel Paul, 2011, "Short Note on the Unemployment Rate of the French Overseas Regions," Working Papers, HAL, number hal-01243453.
• Vincent Bodart & Bertrand Candelon & Jean - François Carpantier, 2011, "Real exchanges rates in commodity producing countries : A reappraisal," Working Papers, HAL, number hal-01821152, Feb.
• Vincent Bodart & Bertrand Candelon & Jean-François Carpantier, 2011, "Real Exchange Rates, Commodity Prices and Structural Factors in Developing Countries," Working Papers, HAL, number hal-01821154, Dec.
• Vincent Bodart & Bertrand Candelon & Jean-François Carpantier, 2011, "Real Exchanges Rates in Commodity Producing Countries: A Reappraisal," Working Papers, HAL, number hal-01821156, Feb.
• Alassane Drabo, 2011, "Interrelationships between Health, Environment Quality and Economic Activity: What Consequences for Economic Convergence," Working Papers, HAL, number halshs-00552995, Jan.
• Serge Rey, 2011, "L’impact du taux de change sur les exportations de l’Allemagne et de la France hors zone euro," Working papers of CATT, HAL, number hal-01880350, Jan.
• Bank, Alexander, 2011, "Effects of discretionary fiscal policy: new empirical evidence for Germany," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-470, Mar.
• Lena Dräger, 2011, "Inflation Perceptions and Expectations in Sweden - Are Media Reports the `Missing Link'?," Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics, number 201101, Feb.
• Marcel Garz & Artur Tarassow, 2011, "Does an expanding low-pay sector decrease structural unemployment? Evidence from Germany," Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics, number 201104, Sep.