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

2009

• Anders Johansson, 2009, "An analysis of dynamic risk in the Greater China equity markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, volume 7, issue 3, pages 299-320, DOI: 10.1080/14765280903073165.
• Jesus Otero & Manuel Ramirez, 2009, "Modelling the monetary policy reaction function of the Colombian Central Bank," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, volume 2, issue 1, pages 3-11, DOI: 10.1080/17520840902726193.
• Helena Chulia & Francisco Climent & Pilar Soriano & Hipolit Torro, 2009, "Volatility transmission patterns and terrorist attacks," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 5, pages 607-619, DOI: 10.1080/14697680802637882.
• Belem I. Vasquez Galan & Olajide S. Oladipo, 2009, "Have Liberalisation and NAFTA Had a Positive Impact on Mexico's Output Growth?," Journal of Applied Economics, Taylor & Francis Journals, volume 12, issue 1, pages 159-180, May, DOI: 10.1016/S1514-0326(09)60010-6.
• Jose Angelo Divino & Vladimir Kuhl Teles & Joaquim Pinto de Andrade, 2009, "On the Purchasing Power Parity for Latin-American Countries," Journal of Applied Economics, Taylor & Francis Journals, volume 12, issue 1, pages 33-54, May, DOI: 10.1016/S1514-0326(09)60004-0.
• Juncal Cunado & Luis A. Gil-Alana & Fernando Perez de Gracia, 2009, "New Evidence on Long-Run Monetary Neutrality," Journal of Applied Economics, Taylor & Francis Journals, volume 12, issue 2, pages 229-248, November, DOI: 10.1016/S1514-0326(09)60014-3.
• R Gupta & K Komen, 2009, "Time Aggregation and the Contradictions with Causal Relationships: Can Economic Theory Come to the Rescue?," Studies in Economics and Econometrics, Taylor & Francis Journals, volume 33, issue 1, pages 16-27, April, DOI: 10.1080/10800379.2009.12106460.
• R Gupta & J Uwilingiye, 2009, "Time Aggregation, Long-Run Money Demand and the Welfare Cost of Inflation," Studies in Economics and Econometrics, Taylor & Francis Journals, volume 33, issue 3, pages 95-109, December, DOI: 10.1080/10800379.2009.12106474.
• Eric J. Bartelsman & Zoltan Wolf, 2009, "Forecasting Aggregate Productivity using Information from Firm-Level Data," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 09-043/3, May.
• Massimiliano Caporin & Michael McAleer, 2009, "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-638, Aug.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009, "Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-640, Aug.
• Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009, "Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-641, Aug.
• Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009, "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-675, Oct.
• Shawkat Hammoudeh & Yuan Yuan & Michael McAleer & Mark A. Thompson, 2009, "Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-684, Oct.
• Chia-Ling Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2009, "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-687, Nov.
• Manabu Asai & Massimiliano Caporin & Michael McAleer, 2009, "Block Structure Multivariate Stochastic Volatility Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-699, Dec.
• Xin Jin & John M Maheu, 2009, "Modelling Realized Covariances," Working Papers, University of Toronto, Department of Economics, number tecipa-382, Nov.
• Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2009, "Minimum Distance Estimation and Testing of DSGE Models from Structural VARs," TSE Working Papers, Toulouse School of Economics (TSE), number 09-138, Dec.
• Dupaigne, Martial & Fève, Patrick, 2009, "Hours Worked and Permanent Technology Shocks in Open Economies," TSE Working Papers, Toulouse School of Economics (TSE), number 09-114, Nov.
• Fève, Patrick & Guay, Alain, 2009, "Identification of Technology Shocks in Structural VARs," TSE Working Papers, Toulouse School of Economics (TSE), number 09-028, Mar.
• Borek Vasícek, 2009, "Inflation dynamics and the New Keynesian Phillips curve in EU-4," Working Papers, Department of Applied Economics at Universitat Autonoma of Barcelona, number wpdea0912, Dec.
• Diewert, Erwin, 2009, "User Costs versus Waiting Services and Depreciation in a Model of Production," Economics working papers, Vancouver School of Economics, number erwin_diewert-2009-57, Oct, revised 27 Oct 2009.
• Massimiliano Caporin & Michael McAleer, 2009, "Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-04.
• Massimiliano Caporin & Michael McAleer, 2009, "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2009-11.
• Rangan Gupta & Stephen M. Miller, 2009, ""Ripple Effects" and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix," Working papers, University of Connecticut, Department of Economics, number 2009-05, Jan, revised Jun 2009.
• Rangan Gupta & Stephen M. Miller, 2009, "The Time-Series Properties on Housing Prices: A Case Study of the Southern California Market," Working papers, University of Connecticut, Department of Economics, number 2009-10, Mar, revised Dec 2009.
• Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009, "Using Large Data Sets to Forecast Housing Prices: A Case Study of Twenty US States," Working papers, University of Connecticut, Department of Economics, number 2009-13.
• Rangan Gupta & Marius Jurgilas & Alain Kabundi & Stephen M. Miller, 2009, "Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Model," Working papers, University of Connecticut, Department of Economics, number 2009-19, Jun.
• Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009, "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working papers, University of Connecticut, Department of Economics, number 2009-42, Dec.
• Ioannis Kasparis & Peter C. B. Phillips, 2009, "Dynamic Misspecification in Nonparametric Cointegrating Regression," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 2-2009, May.
• Michael Dueker & Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2009, "Multivariate Contemporaneous Threshold Autoregressive Models," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2009-03, Mar.
• Dimitris Christopoulos & Miguel A. León-Ledesma, 2009, "On causal Relationships Between Exchange Rates and Fundamentals: Better Than You Think," Studies in Economics, School of Economics, University of Kent, number 0909, Jul.
• Dimitris Christopoulos & Miguel León-Ledesma, 2009, "Efficiency and frontier technology in the aftermath of recessions: international evidence," Studies in Economics, School of Economics, University of Kent, number 0922, Nov.
• Magali Jaoul-Grammare, 2009, "La substituabilité des filières universitaires dans les choix d’études : une analyse en termes de prestige social," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2009-13.
• Shawn Ni & Antonello Loddo & Dongchu Sun, 2009, "Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search," Working Papers, Department of Economics, University of Missouri, number 0911, Oct.
• Luis A. Gil-Alana & Antonio Moreno, 2009, "Fractional Integration and Structural Breaks in U.S. Macro Dynamics," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 02/09, Jan.
• Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2009, "The Deaton paradox in a long memory context with structural breaks," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/09, Apr.
• Miguel Casares & Antonio Moreno & Jesús Vázquez, 2009, "Wage Stickiness and Unemployment Fluctuations: An Alternative Approach," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 04/09, Aug.
• Luis A. Gil-Alana & Juan C. Cuesta, 2009, "Further evidence on the PPP analysis of the Australian dollar. Non-linearities, fractional integration and structural change," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 07/09, Nov.
• Nadia Ayari & Szabolcs Blazsek & Pedro Mendi, 2009, "Renewable Energy Innovations in Europe: A Dynamic Panel Data Approach," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 11/09, Nov.
• Joao Tovar Jalles, 2009, "Structural time series models and the Kalman filter: a concise review," Nova SBE Working Paper Series, Universidade Nova de Lisboa, Nova School of Business and Economics, number wp541.
• Muhammad Zikri, 2009, "An Econometric Model for Deforestation in Indonesia," Working Papers in Economics and Development Studies (WoPEDS), Department of Economics, Padjadjaran University, number 200903, Jul, revised Jul 2009.
• Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009, "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia, number wp09-11.
• Fabio Canova & Filippo Ferroni, 2009, "Multiple filtering devices for the estimation of cyclical DSGE models," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1135, Jan, revised Sep 2010.
• Jarita DUASA & Salina H. KASSIM, 2009, "Herd Behavior In Malaysian Capital Market: An Empirical Analysis," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 4, issue 1(7)_ Spr.
• Rajmund MIRDALA, 2009, "Exchange Rate Pass-Through To Domestic Prices In The Central European Countries," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 4, issue 3(9)_Fall.
• Katja Ignatieva & Eckhard Platen, 2009, "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 265, Dec.
• Noel Roy & Ragnar Arnason & William E. Schrank, 2009, "The Identification of Economic Base Industries, with an Application to the Newfoundland Fishing Industry," Land Economics, University of Wisconsin Press, volume 85, issue 4, pages 675-691.
• Maria Grazia Zoia, 2009, "Classical versus VAR econometrics: the Janus head effect in economic dynamic modelling," Rivista Internazionale di Scienze Sociali, Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore, volume 117, issue 1, pages 113-124.
• Klaus Prettner & Robert M. Kunst, 2009, "The Dynamic Interrelations between Unequal Neighbors: An Austro-German Case Study," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0913, Aug.
• Chetan Dave & Scott J. Dressler & Lei Zhang, 2009, "The Bank Lending Channel: a FAVAR Analysis," Villanova School of Business Department of Economics and Statistics Working Paper Series, Villanova School of Business Department of Economics and Statistics, number 4, Apr.
• Ozlem Tasseven, 2009, "Seasonal Co-integration – An Extension of the Johansen and Schaumburg Approach with an Exclusion Test," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 56, issue 1, pages 39-53.
• Cem Saatçioğlu & Levent Korap, 2009, "Search for Co-Integratıon Between Money, Prıces and Income: Low Frequency Evıdence From the Turkısh Economy," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 56, issue 1, pages 55-72.
• Rajmund Mirdala, 2009, "Interest Rate Transmission Mechanism of Monetary Policy in the Selected EMU Candidate Countries," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 56, issue 3, pages 359-377.
• Creal, D., 2009, "A survey of sequential Monte Carlo methods for economics and finance," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0018.
• Go, Delfin S. & Kearney, Marna & Korman, Vijdan & Robinson, Sherman & Thierfelder, Karen, 2009, "Wage subsidy and labor market flexibility in south Africa," Policy Research Working Paper Series, The World Bank, number 4871, Mar.
• Borek Vasicek, 2009, "Inflation dynamics and the New Keynesian Phillips curve in EU-4," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number wp971, Oct.
• Ralf Fendel & Eliza M. Lis & Jan-Christoph Rülke, 2009, "Do Euro Area Forecasters (Still) Have Faith in Macroeconomic Building Blocks? – Expectation Formation when Economics is in Crisis," WHU Working Paper Series - Economics Group, WHU - Otto Beisheim School of Management, number 09-03, Oct.
• Shanaka Herath, 2009, "The Size of the Government and Economic Growth: An Empirical Study of Sri Lanka," SRE-Disc, Institute for Multilevel Governance and Development, Department of Socioeconomics, Vienna University of Economics and Business, number sre-disc-2009_08.
• Herath, Shanaka, 2009, "The Size of the Government and Economic Growth. An Empirical Study of Sri Lanka," SRE-Discussion Papers, WU Vienna University of Economics and Business, number 2009/08.
• Herath, Shanaka, 2009, "The Size of the Government and Economic Growth: An Empirical Study of Sri Lanka," SRE-Discussion Papers, WU Vienna University of Economics and Business, number 2009/08.
• Jason Allen & Robert Amano & David P. Byrne & Allan W. Gregory, 2009, "Canadian city housing prices and urban market segmentation," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 42, issue 3, pages 1132-1149, August, DOI: 10.1111/j.1540-5982.2009.01541.x.
• Patrick Fève & Alain Guay, 2009, "The Response of Hours to a Technology Shock: A Two‐Step Structural VAR Approach," Journal of Money, Credit and Banking, Blackwell Publishing, volume 41, issue 5, pages 987-1013, August, DOI: 10.1111/j.1538-4616.2009.00241.x.
• Emmanuel De Veirman, 2009, "What Makes the Output–Inflation Trade‐Off Change? The Absence of Accelerating Deflation in Japan," Journal of Money, Credit and Banking, Blackwell Publishing, volume 41, issue 6, pages 1117-1140, September, DOI: 10.1111/j.1538-4616.2009.00249.x.
• Stephane Dees & M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2009, "Identification of New Keynesian Phillips Curves from a Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, volume 41, issue 7, pages 1481-1502, October, DOI: 10.1111/j.1538-4616.2009.00264.x.
• Marco Taboga, 2009, "Macro‐finance VARs and bond risk premia: A caveat," Review of Financial Economics, John Wiley & Sons, volume 18, issue 4, pages 163-171, October, DOI: 10.1016/j.rfe.2009.06.002.
• Joanna Beza-Bojanowska, 2009, "Behavioral and Permanent Zloty/Euro Equilibrium," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 31, Feb.
• Justyna Wróblewska, 2009, "Bayesian Model Selection in the Analysis of Cointegration," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 32, Mar.
• Piotr Orlowski, 2009, "Verification of selected market microstructure hypotheses for a Warsaw Stock Exchange traded stock," Working Papers, Department of Applied Econometrics, Warsaw School of Economics, number 38, Jun.
• Mohd Tahir Ismail & Zaidi Bin Isa, 2009, "Modeling The Interactions Of Stock Price And Exchange Rate In Malaysia," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 54, issue 04, pages 605-619, DOI: 10.1142/S0217590809003471.
• Atilim Seymen, 2009, "Business Cycle Dynamics in the Euro Area: A Factor-SVAR Approach," FIW Working Paper series, FIW, number 038, Dec.
• K. Batu Tunay, 2009, "Uzay-Zaman Ardışık Bağlanım Hareketli Ortalama (UZABHO) Modelleri ve Tahmin Süreci: Türkiye’de Bölgesel Banka Mevduatları Üzerine Bir Uygulama," Working Papers, Yildiz Technical University, Department of Economics, number 0027, Dec, revised Dec 2009.
• K. Batu Tunay, 2009, "Türkiye’de Enflasyon ve Nispi Fiyat Değişkenliği İlişkisi: VABHO Modelleriyle Bir Uzun Dönem Analizi," Working Papers, Yildiz Technical University, Department of Economics, number 0028, Dec, revised Dec 2009.
• Juselius, Mikael & Kim, Moshe & Ringbom, Staffan, 2009, "Do markup dynamics reflect fundamentals or changes in conduct?," Bank of Finland Research Discussion Papers, Bank of Finland, number 12/2009.
• Lanne, Markku & Saikkonen, Pentti, 2009, "Noncausal vector autoregression," Bank of Finland Research Discussion Papers, Bank of Finland, number 18/2009.
• Blaes, Barno, 2009, "Money and monetary policy transmission in the euro area: evidence from FAVAR- and VAR approaches," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2009,18.
• Knüppel, Malte, 2009, "Efficient estimation of forecast uncertainty based on recent forecast errors," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2009,28.
• Blank, Sven & Dovern, Jonas, 2009, "What macroeconomic shocks affect the German banking system? Analysis in an integrated micro-macro model," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,15.
• Beltran-Lopez, Héléna & Giot, Pierre & Grammig, Joachim G., 2009, "Commonalities in the order book," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-05.
• Trapp, Monika, 2009, "Trading the bond-CDS basis: The role of credit risk and liquidity," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 09-16.
• Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2009, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/18.
• Hautsch, Nikolaus & Huang, Ruihong, 2009, "The market impact of a limit order," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/23.
• Wieland, Volker, 2009, "Fiscal stimulus and the promise of future spending cuts: A comment," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/26.
• Groß-Klußmann, Axel & Hautsch, Nikolaus, 2009, "Quantifying high-frequency market reactions to real-time news sentiment announcements," CFS Working Paper Series, Center for Financial Studies (CFS), number 2009/31.
• Eschenhof, Sabine, 2009, "Standard Taylor rules revisited: A cross country study for European countries," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 196.
• Challet, Damien & Solomon, Sorin & Yaari, Gur, 2009, "The Universal Shape of Economic Recession and Recovery after a Shock," Economics Discussion Papers, Kiel Institute for the World Economy, number 2009-6.
• Challet, Damien & Solomon, Sorin & Yaari, Gur, 2009, "The universal shape of economic recession and recovery after a shock," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 3, pages 1-24, DOI: 10.5018/economics-ejournal.ja.2009-.
• Ordóñez, Javier & Jusélius, Katarina, 2009, "Balassa-Samuelson and Wage, Price and Unemployment Dynamics in the Spanish Transition to EMU Membership," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 3, pages 1-30, DOI: 10.5018/economics-ejournal.ja.2009-.
• Tamborini, Roberto, 2009, "The "Credit-Cost Channel" of Monetary Policy. A Theoretical Assessment," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 3, pages 1-23, DOI: 10.5018/economics-ejournal.ja.2009-.
• Schreiber, Sven, 2009, "Explaining shifts in the unemployment rate with productivity slowdowns and accelerations: a co-breaking approach," Kiel Working Papers, Kiel Institute for the World Economy, number 1505.
• Aßmann, Christian & Boysen-Hogrefe, Jens, 2009, "Determinants of government bond spreads in the Euro Area: in good times as in bad," Kiel Working Papers, Kiel Institute for the World Economy, number 1548.
• Aumann, Bernd & Scheufele, Rolf, 2009, "Is East Germany Catching Up? A Time Series Perspective," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 14/2009.
• Schlüter, Stephan, 2009, "A two-factor model for electricity prices with dynamic volatility," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 04/2009.
• Belke, Ansgar & Bordon, Ingo G. & Hendricks, Torben W., 2009, "Global Liquidity and Commodity Prices – A Cointegrated VAR Approach for OECD Countries," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 102.
• Amendola, Alessandra & Storti, Giuseppe, 2009, "Combination of multivariate volatility forecasts," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-007.
• Hanewald, Katja, 2009, "Lee-Carter and the macroeconomy," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-008.
• Örsal, Deniz Dilan Karaman & Droge, Bernd, 2009, "On the existence of the moments of the asymptotic trace statistic," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-012.
• Grith, Maria & Härdle, Wolfgang Karl & Park, Juhyun, 2009, "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-041.
• Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2009, "Modelling and forecasting liquidity supply using semiparametric factor dynamics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-044.
• Hautsch, Nikolaus & Huang, Ruihong, 2009, "The market impact of a limit order," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-051.
• Groß-Klußmann, Axel & Hautsch, Nikolaus, 2009, "Quantifying high-frequency market reactions to real-time news sentiment announcements," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-063.
• Mell, Thomas & Wartenburger, Isabell & Marschner, Alexander & Villringer, Arno & Reischies, Friedel M. & Heekeren, Hauke R., 2009, "Altered Function of Ventral Striatum during Reward-Based Decision Making in Old Age," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2009-064.
• Schmitz, Jochen & von Ledebur, Ernst-Oliver, 2009, "Maispreisverhalten - Maispreistransmission während des Preisbooms an den Terminmärkten," Arbeitsberichte aus der vTI-Agrarökonomie, Johann Heinrich von Thünen Institute, Federal Research Institute for Rural Areas, Forestry and Fisheries, number 02/2009.
• Seymen, Atilim & Kappler, Marcus, 2009, "The role of structural common and country-specific shocks in the business cycle dynamics of the G7 countries," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 09-015.
• Julia Casutt & Ulrich Woitek, 2009, "Grain prices and mortality in Vienna, 1648-1754," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich, number 461, Dec.
• Michela Verardo & Andrew Patton, 2009, "Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows," FMG Discussion Papers, Financial Markets Group, number dp630, Mar.
• Fonseca Hernández, Felipe de Jesús, 2009, "El impacto de las inversiones públicas sobre la inversión privada en México, 1925-2006," Finanzas Públicas, Centro de Estudios de las Finanzas Públicas, H. Cámara de Diputados, volume 1, issue 1, pages 49-78.
• Drobyshevsky Sergey & Pavel Trunin & Kamenskih M., 2009, "Analysis of the Rules of Monetary and Credit Policy of Russia in 1999�2007," Research Paper Series, Gaidar Institute for Economic Policy, issue 127P.
• Céline Gimet, 2009, "The spread of international financial shocks to Asean countries," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 0928.
• Cinzia Alcidi, 2009, "The Effect of Equity Market Integration on the Transmission Monetary Policy. Evidence from Australia," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 03-2009, Mar.
• Xiaoshan Chen & Terence C. Mills, 2009, "Measuring the Euro area output gap using multivariate unobserved components models containing phase shifts," Working Papers, Business School - Economics, University of Glasgow, number 2009_35, Nov, revised Jul 2010.
• João Sousa Andrade, 2009, "The PIGS, does the Group Exist? An empirical macroeconomic analysis based on the Okun Law," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2009-11, Sep.
• António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2009, "Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2009-15, Nov.
• Helen Higgs, 2009, "Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets," Discussion Papers in Economics, Griffith University, Department of Accounting, Finance and Economics, number economics:200904, Apr.
• Tara M. Sinclair & Dennis W. Jensen & Michael D. Bradley, 2009, "How Well Does "Core" CPI Capture Permanent Price Changes?," Working Papers, The George Washington University, Institute for International Economic Policy, number 2009-13, Oct.
• Tara Sinclair & Dennis W. Jansen & Michael D. Bradley, 2009, "How Well Does "Core" CPI Capture Permanent Price Changes?," Working Papers, The George Washington University, Institute for International Economic Policy, number 2010-09, Oct.
• Djamel Kirat & Ibrahim Ahamada, 2009, "The impact of the European Union Emission Trading Scheme on electricity generation sectors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00378317, Apr.
• François Gardes & Christophe Starzec, 2009, "Polish Households' behavior in the Regular and Informal Economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00375543, Mar.
• Cyril Caillault & Dominique Guegan, 2009, "Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00375765, Apr.
• Lanouar Charfeddine & Dominique Guegan, 2009, "Breaks or Long Memory Behaviour: An empirical Investigation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00377485, Apr.
• Djamel Kirat & Ibrahim Ahamada, 2009, "The impact of the European Union Emission Trading Scheme on electricity generation sectors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00384496, Apr.
• Benjamin Hamidi & Emmanuel Jurczenko & Bertrand Maillet, 2009, "D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00389773, May.
• Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2009, "A Risk Management Approach for Portfolio Insurance Strategies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00389789, May.
• François Gardes & Christophe Starzec, 2009, "Polish Households' Behavior in the Regular and Informal Economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00449447, Sep, DOI: 10.3917/reco.605.1181.
• R. Beaupain & A. Durre, 2009, "The interday and intraday patterns of the overnight market: evidence from an electronic platform," Post-Print, HAL, number hal-00393027, Jun.
• Steve Lawford & Michalis P. Stamatogiannis, 2009, "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Post-Print, HAL, number hal-00563603, Feb, DOI: 10.1016/j.jeconom.2008.10.004.
• Cornel Oros & Camélia Turcu, 2009, "The Monetary Transmission Mechanisms in the CEECs : A Structural VAR Approach," Post-Print, HAL, number hal-00954297.
• Patrick Fève & Julien Matheron & Jean-Guillaume Sahuc, 2009, "Minimum Distance Estimation and Testing of DSGE Models from Structural VARs," Post-Print, HAL, number hal-01612710.
• Jean-Pierre Allegret & Alain Sand-Zantman, 2009, "Does a Monetary Union protect against foreign shocks? An assessment of Latin American integration using a Bayesian VAR," Post-Print, HAL, number hal-01791864, DOI: 10.1016/j.jpolmod.2008.09.002.
• Jinzhao Chen, 2009, "Beyond Cheap Talks: Assessing the Undervaluation of the Chinese Currency between 1994 and 2007," Post-Print, HAL, number hal-03722246, DOI: 10.3917/ecoi.119.0047.
• Lanouar Charfeddine & Dominique Guegan, 2009, "Breaks or Long Memory Behaviour: An empirical Investigation," Post-Print, HAL, number halshs-00377485, Apr.
• Djamel Kirat & Ibrahim Ahamada, 2009, "The impact of the European Union Emission Trading Scheme on electricity generation sectors," Post-Print, HAL, number halshs-00384496, Apr.
• Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2009, "A Risk Management Approach for Portfolio Insurance Strategies," Post-Print, HAL, number halshs-00389789, May.
• Céline Gimet, 2009, "The spread of international financial shocks to Asean countries," Post-Print, HAL, number halshs-00464216.
• Djamel Kirat & Ibrahim Ahamada, 2009, "The impact of the European Union Emission Trading Scheme on electricity generation sectors," Working Papers, HAL, number hal-00378317, Apr.
• Nicolas Gérard Vaillant & François-Charles Wolff, 2009, "Does punishment of minor sexual offences deter rapes? Longitudinal evidence from France," Working Papers, HAL, number hal-00424479.
• Zsolt Darvas, 2009, "Monetary Transmission in Three Central European Economies: Evidence from Time-Varying Coefficient Vector Autoregressions," KRTK-KTI WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 0913, Jul.
• Zsolt Darvas, 2009, "The Impact of the Crisis on Budget Policy in Central and Eastern Europe," KRTK-KTI WORKING PAPERS, Institute of Economics, Centre for Economic and Regional Studies, number 0924, Nov.
• Sebastian Dullien & Ulrich Fritsche & Ingrid Groessl & Michael Paetz, 2009, "Adjustment in EMU: Is Convergence Assured?," Macroeconomics and Finance Series, University of Hamburg, Department of Socioeconomics, number 200907, Sep.
• Ahlgren, Niklas & Juselius, Mikael, 2009, "Tests for Cointegration Rank and the Initial Condition," Working Papers, Hanken School of Economics, number 539, May.
• Li, Yushu & Shukur, Ghazi, 2009, "Testing for Unit Root against LSTAR model – wavelet improvements under GARCH distortion," Working Paper Series in Economics and Institutions of Innovation, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies, number 184, Aug.
• Westerlund, Joakim & Blomquist, Johan, 2009, "Are Crime Rates Really Stationary?," Working Papers in Economics, University of Gothenburg, Department of Economics, number 381, Sep.
• Johansson, Anders C., 2009, "An Analysis Of Dynamic Risk In The Greater China Equity Markets," Working Paper Series, Stockholm School of Economics, China Economic Research Center, number 2009-5, Mar.
• Johansson, Anders C., 2009, "Is U.S. Money Causing China'S Output?," Working Paper Series, Stockholm School of Economics, China Economic Research Center, number 2009-6, Mar, revised 15 May 2009.
• Johansson, Anders C., 2009, "Asian Sovereign Debt and Country Risk," Working Paper Series, Stockholm School of Economics, China Economic Research Center, number 2009-11, Dec.
• Roine, Jesper & Waldenström, Daniel, 2009, "Common Trends and Shocks to Top Incomes – A Structural Breaks Approach," Working Paper Series, Research Institute of Industrial Economics, number 801, Jun.
• Joakim, Westerlund & Johan, Blomquist, 2009, "Are Crime Rates Really Stationary?," Working Papers, Lund University, Department of Economics, number 2009:20, Dec.
• Biørn, Erik, 2009, "Modelling Addiction in Life-Cycle Models: Revisiting the Treatment of Latent Stocks and Other Unobservables," Memorandum, Oslo University, Department of Economics, number 26/2009, Dec.
• Lönnbark, Carl, 2009, "On risk prediction," Umeå Economic Studies, Umeå University, Department of Economics, number 770, May.
• Salman, A. Khalik & Arnesson, Leif & Sörensson, Anna & Shukur, Ghazi, 2009, "Estimating the Swedish and Norwegian international tourism demand using (ISUR) technique," CAFO Working Papers, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, number 2009:12, May.
• Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan, 2009, "A High-Low Model of Daily Stock Price Ranges," Working Papers, Hong Kong Institute for Monetary Research, number 032009, Jan.
• Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009, "Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-037, Mar.
• Drew Creal & Siem Jan Koopman & Andre Lucas, 2009, "A General Framework for Observation Driven Time-Varying Parameter Models," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd08-038, Mar.
• Gaffari Ramadhan, 2009, "Analisis Keterkaitan Harga antar Kelompok Komoditas Pembentuk Inflasi di Sumatera Barat," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 11, issue 3, pages 223-274, January, DOI: https://doi.org/10.21098/bemp.v11i3.
• Gaffari Ramadhan, 2009, "Analisis Keterkaitan Harga Antar Kelompok Komoditas Pembentuk Inflasi Di Sumatera Barat," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 11, issue 3, pages 233-274, January, DOI: https://doi.org/10.21098/bemp.v11i3.
• Aam Slamet Rusydiana, 2009, "Mekanisme Transmisi Syariah pada Sistem Moneter Ganda di Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 11, issue 4, pages 345-367, April, DOI: https://doi.org/10.21098/bemp.v11i4.
• Aam Slamet Rusydiana, 2009, "Mekanisme Transmisi Syariah Pada Sistem Moneter Ganda Di Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 11, issue 4, pages 345-367, April, DOI: https://doi.org/10.21098/bemp.v11i4.
• Mohamed A. Osman & Rosmy Jean Louis & Faruk Balli, 2009, "Output gap and inflation nexus: the case of United Arab Emirates," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, volume 1, issue 1, pages 118-135.
• Juan Angel Lafuente & Javier Ordonez, 2009, "The effect of the EMU on short and long-run stock market dynamics: new evidence on financial integration," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, volume 1, issue 1, pages 75-95.
• Vincent Brousseau & Alexandre Chailloux & Alain Durré, 2009, "Interbank Offered Rate: Effects of the financial crisis on the information content of the fixing," Working Papers, IESEG School of Management, number 2009-ECO-10, Dec.
• Mutl, Jan, 2009, "Consistent Estimation of Global VAR Models," Economics Series, Institute for Advanced Studies, number 234, Feb.
• Costantini, Mauro & Pappalardo, Carmine, 2009, "A Hierarchical Procedure for the Combination of Forecasts ; This is a revised version of Working Paper 228, Economics Series, October 2008, which includes some changes. The most important change regards the reference of Kisinbay (2007), which was not," Economics Series, Institute for Advanced Studies, number 240, Jul.
• Costantini, Mauro & Kunst, Robert M., 2009, "Combining Forecasts Based on Multiple Encompassing Tests in a Macroeconomic Core System," Economics Series, Institute for Advanced Studies, number 243, Sep.
• Kıvılcım METİN-ÖZCAN & Koray KALAFATCILAR, 2009, "Factors influencing relative price of goods and services sectors in Turkey: An econometric analysis," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 24, issue 285, pages 48-72.
• Levent KORAP, 2009, "On the links between inflation, output growth and uncertainty: System-GARCH evidence from the Turkish economy," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 24, issue 285, pages 89-110.
• Khurshid M. Kiani, 2009, "Asymmetries in Macroeconomic Time Series in Eleven Asian Economies," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 8, issue 1, pages 37-54, April.
• Per Asberg Sommar & Hovick Shahnazarian, 2009, "Interdependencies between Expected Default Frequency and the Macro Economy," International Journal of Central Banking, International Journal of Central Banking, volume 5, issue 3, pages 83-110, September.
• Hyun Shin & Reint Gropp, 2009, "Banking Integration, Bank Stability, and Regulation - Introduction to a Special Issue of the International Journal of Central Banking," International Journal of Central Banking, International Journal of Central Banking, volume 5, issue 1, March.
• Patricio Jaramillo, 2009, "Estimación de VAR Bayesianos para la Economía Chilena," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 24, issue 1, pages 101-126, Junio.
• Carlos Garcia & Wildo Gonzalez, 2009, "Rationale behind the responses of monetary policy to the real exchange rate in small open economies," ILADES-UAH Working Papers, Universidad Alberto Hurtado/School of Economics and Business, number inv228, Dec.
• Kozo Ueda, 2009, "Determinants of Households' Inflation Expectations," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 09-E-08, Mar.
• Nathaniel Frank & Mr. Heiko Hesse, 2009, "Financial Spillovers to Emerging Markets During the Global Financial Crisis," IMF Working Papers, International Monetary Fund, number 2009/104, May.