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

• Holt, Matthew T. & Goodwin, Barry K., 2009, "The Almost Ideal and Translog Demand Systems," MPRA Paper, University Library of Munich, Germany, number 15092, Mar.
• Boubacar Mainassara, Yacouba & Francq, Christian, 2009, "Estimating structural VARMA models with uncorrelated but non-independent error terms," MPRA Paper, University Library of Munich, Germany, number 15141.
• Luati, Alessandra & Proietti, Tommaso, 2009, "Hyper-spherical and Elliptical Stochastic Cycles," MPRA Paper, University Library of Munich, Germany, number 15169, May.
• Caiado, Jorge & Crato, Nuno, 2009, "Identifying common dynamic features in stock returns," MPRA Paper, University Library of Munich, Germany, number 15241, Apr.
• Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2009, "Comparison of time series with unequal length in the frequency domain," MPRA Paper, University Library of Munich, Germany, number 15310, Apr.
• Holt, Matthew T. & Balagtas, Joseph V., 2009, "Estimating Structural Change with Smooth Transition Regressions: an Application to Meat Demand," MPRA Paper, University Library of Munich, Germany, number 15331, May.
• Liew, Venus Khim-Sen, 2009, "Linear and nonlinear monetary approaches to the exchange rate of the Philippines peso-Japanese yen," MPRA Paper, University Library of Munich, Germany, number 15550, revised 05 Jun 2009.
• Marçal, Emerson F. & Valls Pereira, Pedro L. & Abbara, Omar, 2009, "Testing the long-run implications of the expectation hypothesis using cointegration techniques with structural change," MPRA Paper, University Library of Munich, Germany, number 15624, Jan.
• Vazquez, Miguel & Barquín, Julián, 2009, "A fundamental power price model with oligopolistic competition representation," MPRA Paper, University Library of Munich, Germany, number 15629, Jun.
• Stavarek, Daniel & Dohnal, Marek, 2009, "Exchange Market Pressure in Central Europe: An Application of the Girton-Roper Model," MPRA Paper, University Library of Munich, Germany, number 15744, Jun.
• Demary, Markus, 2009, "The Link between Output, Inflation, Monetary Policy and Housing Price Dynamics," MPRA Paper, University Library of Munich, Germany, number 15978, May.
• Guidi, Francesco, 2009, "The economic effects of oil prices shocks on the UK manufacturing and services sector," MPRA Paper, University Library of Munich, Germany, number 16171.
• Hussain, Karrar, 2009, "Causal Ordering Between Inflation and Productivity of Labor and Capital: An Empirical Approach for Pakistan," MPRA Paper, University Library of Munich, Germany, number 16486, Aug.
• Hyeongwoo, Kim, 2009, "Generalized Impulse Response Analysis: General or Extreme?," MPRA Paper, University Library of Munich, Germany, number 17014, Apr.
• Mirdala, Rajmund, 2009, "Shocking aspects of monetary integration (SVAR approach)," MPRA Paper, University Library of Munich, Germany, number 17057, Jun.
• Mirdala, Rajmund, 2009, "Vplyv inflačných očakávaní na vývoj úrokových sadzieb v krajinách Višegrádskej štvorky
  [Inflation expectations and interest rates development in the Visegrad countries]," MPRA Paper, University Library of Munich, Germany, number 17059, Mar.
• Bušs, Ginters, 2009, "Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn," MPRA Paper, University Library of Munich, Germany, number 17273, Sep.
• Abdul Karim, Bakri & Abdul Majid, M. Shabri & Abdul Karim, Samsul Ariffin, 2009, "Financial Integration between Indonesia and Its Major Trading Partners," MPRA Paper, University Library of Munich, Germany, number 17277, Sep.
• Hernandez Martinez, Fernando, 2009, "Efectos del incremento del precio del petróleo en la economía española: Análisis de cointegración y de la política monetaria mediante reglas de Taylor
  [Oil price shocks and the spanish economy: Cointegration analysis and monetary policy under Tayl," MPRA Paper, University Library of Munich, Germany, number 18056, Feb.
• Aguilar, Juan Francisco, 2009, "Modelo Para El Mejoramiento De La Gestión De Inventarios Del Banco Central Del Ecuador
  [Model for the currency management´s improvement of the Central Bank of Ecuador]," MPRA Paper, University Library of Munich, Germany, number 18065, Oct.
• Chatterjee, Sidharta, 2009, "Market Wide Liquidity Instability in Business Cycles," MPRA Paper, University Library of Munich, Germany, number 18117, Oct.
• Cheng, Ka Ming & Kim, Hyeongwoo & Thompson, Henry, 2009, "The Exchange Rate and US Tourism Balance of Trade," MPRA Paper, University Library of Munich, Germany, number 18318, Oct.
• Cellini, Roberto & Cuccia, Tiziana, 2009, "Museum and monument attendance and tourism flow: A time series analysis approach," MPRA Paper, University Library of Munich, Germany, number 18908, Nov.
• Saidón, Mariana, 2009, "Evidence of the role of the real exchange rate in the growth of the GDP in Argentina (1989-2007)," MPRA Paper, University Library of Munich, Germany, number 18917, Mar.
• Boubacar Mainassara, Yacouba, 2009, "Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms," MPRA Paper, University Library of Munich, Germany, number 18990, Dec.
• Korap, Levent, 2009, "On the links between inflation, output growth and uncertainty: system-GARCH evidence from the Turkish economy," MPRA Paper, University Library of Munich, Germany, number 19054, Dec.
• Gonzalez-Astudillo, Manuel, 2009, "An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play," MPRA Paper, University Library of Munich, Germany, number 19153, Dec.
• Korap, Levent & Saatçioğlu, Cem, 2009, "New time series evidence for the causality relationship between inflation and inflation uncertainty in the Turkish economy," MPRA Paper, University Library of Munich, Germany, number 19246, Jul.
• Mirdala, Rajmund, 2009, "Exchange rate pass-through to domestic prices in the Central European countries," MPRA Paper, University Library of Munich, Germany, number 19282, Jul.
• Levent, Korap, 2009, "Enflasyon ve enflasyon belirsizliği ilişkisi için G7 ekonomileri üzerine bir inceleme
  [An investigation for the inflation and inflation uncertainty relationship upon the G7 economies]," MPRA Paper, University Library of Munich, Germany, number 19478.
• Mirdala, Rajmund, 2009, "Effects of Fiscal Policy Shocks in the European Transition Economies," MPRA Paper, University Library of Munich, Germany, number 19481, Oct.
• Levent, Korap, 2009, "Parasal büyüme ve tüketici enflasyonu değişim oranı arasındaki nedensellik ilişkisi üzerine bir deneme: Türkiye örneği
  [An essay upon the causality relationship between the monetary growth and the change in inflation: the case of Turkey]," MPRA Paper, University Library of Munich, Germany, number 19537.
• Levent, Korap, 2009, "The search for co-integration between money, prices and income: low frequency evidence from the Turkish economy," MPRA Paper, University Library of Munich, Germany, number 19557.
• Bashar, Omar H M N, 2009, "The Nature of Aggregate Demand and Supply Shocks in ASEAN Countries," MPRA Paper, University Library of Munich, Germany, number 19881, Dec.
• Omay, Tolga & Aluftekin, Nilay & Karadagli, Ece C., 2009, "The relationship between output growth and inflation: Evidence from Turkey," MPRA Paper, University Library of Munich, Germany, number 19953, Sep.
• Todd, Prono, 2009, "Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique," MPRA Paper, University Library of Munich, Germany, number 20031, Sep.
• Todd, Prono, 2009, "GARCH-Based Identification and Estimation of Triangular Systems," MPRA Paper, University Library of Munich, Germany, number 20032, Sep.
• Pirtea, Marilen & Dima, Bogdan & Milos, Laura Raisa, 2009, "The companies financial architecture and the market values: is there an interlinkage ? The case of Bucharest Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 20084, Sep.
• Alinsato, Alastaire Sèna, 2009, "Electricity consumption and GDP in an electricity community: Evidence from bound testing cointegration and Granger-causality tests," MPRA Paper, University Library of Munich, Germany, number 20816, Jul.
• Korobilis, Dimitris, 2009, "VAR forecasting using Bayesian variable selection," MPRA Paper, University Library of Munich, Germany, number 21124, Dec.
• Rashid, Abdul & Ling, Jeffrey, 2009, "Fundamentals and Exchange Rates: Evidence from ASEAN-5," MPRA Paper, University Library of Munich, Germany, number 22451, Nov.
• Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009, "Selection of optimal lag length in cointegrated VAR models with weak form of common cyclical features," MPRA Paper, University Library of Munich, Germany, number 22550, Jan.
• Cioffi, Antonio & Santeramo, Fabio Gaetano & Vitale, Cosimo, 2009, "The Price Stabilisation Effects of the EU import regime of fruit and vegetables: the case of tomatoes," MPRA Paper, University Library of Munich, Germany, number 25718.
• Bandyopadhyay, Kaushik Ranjan, 2009, "Does OPEC act as a Residual Producer?," MPRA Paper, University Library of Munich, Germany, number 25841, revised 2010.
• Di Giulio, Daniele, 2009, "Bank lending to the production sector: credit crunch or extra-credit?," MPRA Paper, University Library of Munich, Germany, number 26824, Nov.
• Senyuz, Zeynep, 2009, "Factor Analysis of Permanent and Transitory Dynamics of the U.S. Economy and the Stock Market," MPRA Paper, University Library of Munich, Germany, number 26855, Mar, revised Mar 2010.
• Pomenkova, Jitka & Kapounek, Svatopluk, 2009, "Interest rates and prices causality in the Czech Republic - Granger approach," MPRA Paper, University Library of Munich, Germany, number 27390, Jul.
• Korobilis, Dimitris, 2009, "Assessing the transmission of monetary policy using dynamic factor models," MPRA Paper, University Library of Munich, Germany, number 27593, May, revised Nov 2010.
• Boschi, Melisso & Girardi, Alessandro, 2009, "The contribution of domestic, regional and international factors to Latin America's business cycle," MPRA Paper, University Library of Munich, Germany, number 28147, Jul.
• Karahasan, Burhan Can, 2009, "Causal Links Between Trade And Economic Growth Evidence From Turkey And European Union Countries," MPRA Paper, University Library of Munich, Germany, number 29809, revised 2011.
• Craigwell, Roland & Greenidge, Kevin & Maynard, Tracy, 2009, "Exchange rate regimes and monetary autonomy: Empirical evidence from selected Caribbean countries," MPRA Paper, University Library of Munich, Germany, number 33437.
• Jean Louis, Rosmy & Balli, Faruk & Osman, Mohammad, 2009, "Is the US dollar a suitable anchor for the newly proposed GCC currency?," MPRA Paper, University Library of Munich, Germany, number 34003, revised 2010.
• Ramon Antonio, Rosales Alvarez & Jorge Andres, Perdomo Calvo & Carlos Andres, Morales Torrado & Jaime Alejandro, Urrego Mondragon, 2009, "Fundamentos de econometría intermedia: Teoría y aplicaciones
  [Intermediate economics: Theory and applications]," MPRA Paper, University Library of Munich, Germany, number 37183, Jan.
• Kueh, Jerome Swee-Hui & Puah, Chin-Hong & Abu Mansor, Shazali, 2009, "Empirical analysis on emerging issues of Malaysia outward FDI from macroeconomic perspective," MPRA Paper, University Library of Munich, Germany, number 37680.
• Dinda, Soumyananda, 2009, "Factors determining FDI in Nigeria: an empirical investigation," MPRA Paper, University Library of Munich, Germany, number 40172, revised 16 Jul 2012.
• Foueka, Romuald, 2009, "Essai de justification de la croissance des dépenses publiques au Cameroun
  [Attempt to justify the growth of public expenditure in Cameroon]," MPRA Paper, University Library of Munich, Germany, number 40822, Sep, revised 10 Dec 2011.
• Bandi, Federico & Corradi, Valentina & Moloche, Guillermo, 2009, "Bandwidth selection for continuous-time Markov processes," MPRA Paper, University Library of Munich, Germany, number 43682, Oct.
• niaz ahmad mohd, Naseem & yusop, Zulkornain & masron, Tajul ariffin, 2009, "How did the Malaysian real exchange rate misalign during the 1997 Asian crisis?," MPRA Paper, University Library of Munich, Germany, number 44922.
• Jiranyakul, Komain, 2009, "Relationship among Money, Prices and Aggregate Output in Thailand," MPRA Paper, University Library of Munich, Germany, number 46963.
• Ucal, Meltem & Bilgin, Mehmet Huseyin, 2009, "Income Inequality and FDI in Turkey: FM-OLS (Phillips-Hansen) Estimation and ARDL Approach to Cointegration," MPRA Paper, University Library of Munich, Germany, number 48765, Jan.
• Gautam, Bishnu Prasad, 2009, "Financing Practices Of Banks And Financial Institutions In Nepal," MPRA Paper, University Library of Munich, Germany, number 58354, May, revised 05 Jul 2011.
• Carrasco Gutierrez, Carlos Enrique & Castro Souza, Reinaldo & Teixeira de Carvalho Guillén, Osmani, 2009, "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," MPRA Paper, University Library of Munich, Germany, number 66065, revised 2009.
• Barışık, Salih & Cevik, Emrah Ismail, 2009, "Hysteresis in unemployment: evidence from sector-specific unemployment in Turkey," MPRA Paper, University Library of Munich, Germany, number 71483, revised 2009.
• Coenen, Gunter, 2009, "Extending the NAWM with a partial indexation mechanism linking wages and trend productivitiy," MPRA Paper, University Library of Munich, Germany, number 86153, Oct.
• Ketenci, Natalya, 2009, "The ARDL Approach to Cointegration Analysis of Tourism Demand in Turkey: with Greece as the substitution destination," MPRA Paper, University Library of Munich, Germany, number 86602.
• Rangan Gupta & Stephen M. Miller, 2009, "“Ripple Effects” and Forecasting Home Prices In Los Angeles, Las Vegas, and Phoenix," Working Papers, University of Pretoria, Department of Economics, number 200901, Jan.
• Rangan Gupta & Alain Kabundi, 2009, "The Effect Of Monetary Policy On House Price Inflation: A Factor Augmented Vector Autoregression (Favar) Approach," Working Papers, University of Pretoria, Department of Economics, number 200903, Jan.
• Rangan Gupta & Marius Jurgilas & Alain Kabundi, 2009, "The Effect Of Monetary Policy On Real House Price Growth In South Africa: A Factor Augmented Vector Autoregression (Favar) Approach," Working Papers, University of Pretoria, Department of Economics, number 200905, Jan.
• Rangan Gupta & Stephen M. Miller, 2009, "The Time-Series Properties of Housing Prices: A Case Study of the Southern California Market," Working Papers, University of Pretoria, Department of Economics, number 200908, Feb.
• Rangan Gupta & Alain Kabundi & Emmanuel Ziramba, 2009, "The Effect Of Defense Spending On Us Output: A Factor Augmented Vector Autoregression (Favar) Approach," Working Papers, University of Pretoria, Department of Economics, number 200911, Mar.
• 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 Pretoria, Department of Economics, number 200912, May.
• 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 Pretoria, Department of Economics, number 200913, Jun.
• Rangan Gupta & Alain Kabundi & Mampho P. Modise, 2009, "Has the SARB Become More Effective Post Inflation Targeting?," Working Papers, University of Pretoria, Department of Economics, number 200925, Nov.
• Rangan Gupta & Christian K. Tipoy & Sonali Das, 2009, "Could We Have Predicted the Recent Downturn in Home Sales of the Four US Census Regions?," Working Papers, University of Pretoria, Department of Economics, number 200926, Dec.
• 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 Pretoria, Department of Economics, number 200927, Dec.
• Jiří Škop & Jan Vejmělek, 2009, "Od parity kupní síly k natrexu - případ české koruny
  [From PPP to Natrex - the Case of Czech Crown]," Politická ekonomie, Prague University of Economics and Business, volume 2009, issue 3, pages 323-343, DOI: 10.18267/j.polek.687.
• Markéta Arltová & Jitka Langhamrová, 2009, "Analýza vztahů časových řad porodnosti a sňatečnosti v české republice v letech 1960-2007
  [Analysis of the relations of time series of the birth rate and marriage rate in the czech republic in the years 1960-2007]," Politická ekonomie, Prague University of Economics and Business, volume 2009, issue 4, pages 495-508, DOI: 10.18267/j.polek.695.
• Joanna Bęza-Bojanowska, 2009, "Behavioral and Permanent Zloty/Euro Equilibrium," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 1, issue 1, pages 35-55, March.
• Justyna Wróblewska, 2009, "Bayesian Model Selection in the Analysis of Cointegration," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 1, issue 1, pages 57-69, March.
• Jacek Osiewalski & Anna Pajor, 2009, "Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 1, issue 2, pages 179-202, November.
• Andrzej Torój, 2009, "Solving Forward-Looking Models of Cross-Country Adjustment within the Euro Area," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 1, issue 3, pages 211-241, November.
• Radosław Cholewiński, 2009, "Real-Time Market Abuse Detection with a Stochastic Parameter Model," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, volume 1, issue 3, pages 261-284, November.
• Nikolay Iskrev, 2009, "Local Identification in DSGE Models," Working Papers, Banco de Portugal, Economics and Research Department, number w200907.
• António Rua & Maximiano Pinheiro, 2009, "Dynamic factor models with jagged edge panel data: Taking on board the dynamics of the idiosyncratic components," Working Papers, Banco de Portugal, Economics and Research Department, number w200913.
• Rita Duarte, 2009, "The dynamic effects of shocks to wages and prices in the United States and the Euro Area," Working Papers, Banco de Portugal, Economics and Research Department, number w200915.
• Frank S. Nielsen & Morten Ø. Nielsen & Niels Haldrup, 2009, "A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching," Working Paper, Economics Department, Queen's University, number 1211, Aug.
• Rokon Bhuiyan, 2009, "Identifying a Forward-Looking Monetary Policy in an Open Economy," Working Paper, Economics Department, Queen's University, number 1214, Sep.
• Alastair Cunningham & Jana Eklund & Chris Jeffery & George Kapetanios & Vincent Labhard, 2009, "A State Space Approach to Extracting the Signal from Uncertain Data," Working Papers, Queen Mary University of London, School of Economics and Finance, number 637, Feb.
• Alain Guay & Emmanuel Guerre & Štěpána Lazarová, 2009, "Adaptive Rate-optimal Detection of Small Autocorrelation Coefficients," Working Papers, Queen Mary University of London, School of Economics and Finance, number 645, Jun.
• Maria de Lourdes Rodriguez Espinosa & Ramon A. Castillo Ponce, 2009, "Empleo, productividad y salarios en Mexico: Un analisis de corto y de largo plazo para el sector manufacturero," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., volume 5, issue 2, pages 7-21, Enero-Jun.
• Ruijun Bu & Ludovic Giet & Kaddour Hadri & Michel Lubrano, 2009, "Modelling Multivariate Interest Rates using Time-Varying Copulas and Reducible Non-Linear Stochastic Differential," Economics Working Papers, Queen's Management School, Queen's University Belfast, number 09-02.
• Salas, Jorge, 2009, "¿Qué explica las fluctuaciones de la inflación en el Perú en el periodo 2002-2008? Evidencia de un análisis VAR estructural," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 16, pages 9-36.
• Humala, Alberto & Rodríguez, Gabriel, 2009, "Foreign Exchange Intervention and Exchange Rate Volatility in Peru," Working Papers, Banco Central de Reserva del Perú, number 2009-008, Mar.
• Humala, Alberto & Rodríguez, Gabriel, 2009, "Estimation of a Time Varying Natural Interest Rate for Peru," Working Papers, Banco Central de Reserva del Perú, number 2009-009, Mar.
• Rodríguez, Gabriel, 2009, "Estimating Output Gap, Core Inflation, and the NAIRU for Peru," Working Papers, Banco Central de Reserva del Perú, number 2009-011, Apr.
• Martial Dupaigne & Patrick Feve, 2009, "Technology shocks around the world," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 12, issue 4, pages 592-607, October, DOI: 10.1016/j.red.2008.12.002.
• Leonardo Melosi, 2009, "A Likelihood Analysis of Models with Information Frictions," 2009 Meeting Papers, Society for Economic Dynamics, number 1034.
• Pablo A. Guerron-Quintana & Martin Uribe & Juan Rubio-Ramirez & Jesús Fernández-Villaverde, 2009, "Risk Matters: The Real E¤ects of Volatility Shocks," 2009 Meeting Papers, Society for Economic Dynamics, number 237.
• Lutz Kilian, 2009, "Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks," 2009 Meeting Papers, Society for Economic Dynamics, number 473.
• Jean-Paul L'Huillier & Guido Lorenzoni & Olivier J. Blanchard, 2009, "News, Noise and Fluctuations: An Empirical Exploration," 2009 Meeting Papers, Society for Economic Dynamics, number 99.
• Cristiana Tudor, 2009, "Understanding the Roots of the US Subprime Crisis and its Subsequent Effects," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 12, issue 31, pages 115-143, (1).
• Tomislav Gelo, 2009, "Causality between economic growth and energy consumption in Croatia," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 27, issue 2, pages 327-348.
• Dimitris Korobilis, 2009, "Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models," Working Paper series, Rimini Centre for Economic Analysis, number 35_09, Jan.
• Massimiliano Castellani & Maurizio Mussoni & Pierpaolo Pattitoni, 2009, "Air Passengers and Tourism Flows: Evidence from Sicily and Sardinia," Working Paper series, Rimini Centre for Economic Analysis, number 37_09, Jan, revised Feb 2010.
• Markus Jochmann & Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2009, "Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy," Working Paper series, Rimini Centre for Economic Analysis, number 44_09, Jan.
• Wing Hong Chan & Denise Young, 2009, "A New Look at Copper Markets: A Regime-Switching Jump Model," Working Papers, University of Alberta, Department of Economics, number 2009-13, Mar.
• Dean Fantazzini, 2009, "Credit Risk Management (Cont.)," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 13, issue 1, pages 105-138.
• Dean Fantazzini, 2009, "Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), volume 14, issue 2, pages 100-127.
• Taiki Lee & Byoung Hark Yoo, 2009, "Decomposition of Domestic and International Linkages of the Korean Financial Markets," East Asian Economic Review, Korea Institute for International Economic Policy, volume 13, issue 2, pages 145-172, DOI: 10.11644/KIEP.JEAI.2009.13.2.204.
• Mansur Masih & Lurion De Mello, 2009, "Do Stock Prices Play a Significant Role in Formulating Monetary Policy? A Case Study," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 62, issue 2, pages 203-232.
• Baidyanath N. Ghosh & Eric A.L. Li, 2009, "Macroeconomic Vulnerability and Investment Risks in the Middle East and North Africa Region," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 62, issue 1, pages 1-39.
• Panos Fousekis, 2009, "Are Food Prices in the EU Converging? Empirical Evidence from the Log t Test," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 62, issue 4, pages 407-423.
• T.K. Jayaraman & Chee-Keong Choong, 2009, "A Single Currency for Pacific Island Countries: a Revisit," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 24, pages 321-342.
• Amalia Di Iorio, 2009, "Testing the Integration of the US and Chinese Stock Markets in a Fama-French Framework," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 24, pages 435-454.
• Guglielmo Maria Caporale & Alaa M. Soliman, 2009, "The Asymmetric Effects of a Common Monetary Policy in Europe," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 24, pages 455-475.
• Sarat Dhal, 2009, "Global Crisis and the Integration of India’s Stock Market," Journal of Economic Integration, Center for Economic Integration, Sejong University, volume 24, pages 778-805.
• Claudio Morana, 2009, "Medium-term macroeconomic determinants of exchange rate volatility," Journal of Financial Transformation, Capco Institute, volume 25, pages 55-64.
• Dean Fantazzini & Maria Elena DeGiuli & Silvia Figini & Paolo Giudici, 2009, "Enhanced credit default models for heterogeneous SME segments," Journal of Financial Transformation, Capco Institute, volume 25, pages 31-39.
• Andrzej Torój, 2009, "Solving forward-looking models of cross-country adjustment within the euro area," MF Working Papers, Ministry of Finance in Poland, number 2, Sep.
• Corsetti, Giancarlo & Konstantinou, Panagiotis, 2009, "What Drives US Foreign Borrowing? Evidence on External Adjustment to Transitory and Permanent Shocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 7134, Jan.
• Wickens, Michael R. & Smith, Peter N & Sorensen, Steffen, 2009, "The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 7227, Mar.
• Uribe, Martín & Rubio-Ramírez, Juan Francisco & Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A., 2009, "Risk Matters: The Real Effects of Volatility Shocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 7264, Apr.
• Kilian, Lutz & Kim, Yun Jung, 2009, "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers, Centre for Economic Policy Research, number 7266, Apr.
• Kilian, Lutz & Vigfusson, Robert J., 2009, "Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 7284, Apr.
• Minford, Patrick & Wickens, Michael R. & Meenagh, David & Le, Vo Phuong Mai, 2009, "Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference," CEPR Discussion Papers, Centre for Economic Policy Research, number 7385, Jul.
• Ravn, Morten & Mertens, Karel, 2009, "Measuring the Impact of Fiscal Policy in the Face of Anticipation: A Structural VAR Approach," CEPR Discussion Papers, Centre for Economic Policy Research, number 7423, Aug.
• Kilian, Lutz & Inoue, Atsushi & Guerron-Quintana, Pablo A., 2009, "Frequentist Inference in Weakly Identified DSGE Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 7447, Sep.
• Minford, Patrick & Wickens, Michael R. & Le, Vo Phuong Mai, 2009, "How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference," CEPR Discussion Papers, Centre for Economic Policy Research, number 7537, Nov.
• Minford, Patrick & Wickens, Michael R. & Le, Vo Phuong Mai, 2009, "The 'Puzzles' Methodology: en route to Indirect Inference?," CEPR Discussion Papers, Centre for Economic Policy Research, number 7539, Nov.
• Giannone, Domenico & D’Agostino, Antonello & Gambetti, Luca, 2009, "Macroeconomic Forecasting and Structural Change," CEPR Discussion Papers, Centre for Economic Policy Research, number 7542, Nov.
• Martin Uebele, 2009, "International and National Wheat Market Integration in the 19th Century: A Comovement Analysis," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 0409, Jun.
• Martin T. Bohl & Christian A. Salm & Bernd Wilfling, 2009, "Do Individual Index Futures Investors Destabilize the Underlying Spot Market?," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 0609, Oct.
• Marie Lambert & George Hübner & Marie Lambert, 2009, "Directional and non-directional risk exposures in Hedge Fund returns," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 09-06.
• Markus Eberhardt & Francis Teal, 2009, "Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 2009-07.
• Sucarrat, Genaro & Escribano, Álvaro, 2009, "Automated financial multi-path GETS modelling," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we093620, Jul.
• Amira, Khaled & Taamouti, Abderrahim & Tsafack, Georges, 2009, "What Drives International Equity Correlations? Volatility or Market Direction?," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we094122, Jun.
• Blazsek, Szabolcs & Escribano, Álvaro, 2009, "Knowledge spillovers in U.S. patents: a dynamic patent intensity model with secret common innovation factors," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we098951, Dec.
• Monteiro, André A., 2009, "The econometrics of randomly spaced financial data: a survey," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number ws097924, Dec.
• Vincent BODART & Philippe LEDENT & Fatemeh SHADMAN-METHA, 2009, "An Employment Equation for Belgium," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2009016, Jun.
• Yanbin Chen & Zhen Huo, 2009, "A Conjecture of Chinese Monetary Policy Rule: Evidence from Survey Data, Markov Regime Switching, and Drifting Coefficients," Annals of Economics and Finance, Society for AEF, volume 10, issue 1, pages 111-153, May.
• Joao Tovar Jalles, 2009, "Do Oil Prices Matter? The Case of a Small Open Economy," Annals of Economics and Finance, Society for AEF, volume 10, issue 1, pages 65-87, May.
• Trenkler, Carsten, 2009, "Bootstrapping Systems Cointegration Tests With A Prior Adjustment For Deterministic Terms," Econometric Theory, Cambridge University Press, volume 25, issue 1, pages 243-269, February.
• Kristensen, Dennis, 2009, "Uniform Convergence Rates Of Kernel Estimators With Heterogeneous Dependent Data," Econometric Theory, Cambridge University Press, volume 25, issue 5, pages 1433-1445, October.
• Davidson, James & Hashimzade, Nigar, 2009, "Representation And Weak Convergence Of Stochastic Integrals With Fractional Integrator Processes," Econometric Theory, Cambridge University Press, volume 25, issue 6, pages 1589-1624, December.
• Harri, Ardian & Nalley, Lanier & Hudson, Darren, 2009, "The Relationship between Oil, Exchange Rates, and Commodity Prices," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 41, issue 2, pages 501-510, August.
• Gil-Alana, Luis Alberiko & Moreno, Antonio, 2009, "Technology Shocks And Hours Worked: A Fractional Integration Perspective," Macroeconomic Dynamics, Cambridge University Press, volume 13, issue 5, pages 580-604, November.
• Barnett, William A. & Diewert, W. Erwin & Zellner, Arnold, 2009, "Introduction To Measurement With Theory," Macroeconomic Dynamics, Cambridge University Press, volume 13, issue S2, pages 151-168, September.
• Xu Cheng & Peter C. B. Phillips, 2009, "Cointegrating Rank Selection in Models with Time-Varying Variance," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1688, Jan.
• Ioannis Kasparis & Peter C.B. Phillips, 2009, "Dynamic Misspecification in Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1700, Jun.
• Alfredo M. Pereira & Jorge M. Andraz, 2009, "Social Security And Economic Performance In Portugal: After All That Has Been Said And Done How Much Has Actually Changed?," Working Papers, Economics Department, William & Mary, number 81, Jan.
• Alfredo M. Pereira & Rui Manuel Marvão Pereira, 2009, "Is Fuel-Switching a No-Regrets Environmental Policy? VAR Evidence on Carbon Dioxide Emissions, Energy Consumption and Economic Performance in Portugal," Working Papers, Economics Department, William & Mary, number 87, Aug.
• Betty C. Daniel & Christos Shiamptanis, 2009, "Fiscal Policy in the European Monetary Union," Working Papers, Central Bank of Cyprus, number 2009-1, Jul.
• Kai Carstensen & Oliver Hülsewig & Timo Wollmershäuser, 2009, "Monetary Policy Transmission and House Prices: European Cross Country Evidence," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research, number 7.4.
• Christian Dreger & Jürgen Wolters, 2009, "Liquidity and Asset Prices: How Strong Are the Linkages?," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research, number 7.4A.
• Christian Dreger & Jürgen Wolters, 2009, "Geldpolitik und Vermögensmärkte," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 78, issue 1, pages 56-65, DOI: 10.3790/vjh.78.1.56.
• Konstantin A. Kholodilin & Stefan Kooths, 2009, "Konjunkturelle Frühindikatoren in der Krise: weiche Faktoren stärker als harte," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 76, issue 21, pages 348-354.
• Christian Dreger & Jürgen Wolters, 2009, "Liquidity and Asset Prices: How Strong Are the Linkages?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 860.
• Ansgar Belke & Ingo G. Bordon & Torben W. Hendricks, 2009, "Global Liquidity and Commodity Prices: A Cointegrated VAR Approach for OECD Countries," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 898.
• Guglielmo Maria Caporale & Burcu Erdogan & Vladimir Kuzin, 2009, "Testing for Convergence in Stock Markets: A Non-linear Factor Approach," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 932.
• Georg Erber & Ulrich Fritsche, 2009, "Productivity Growth in Germany: No Sustainable Economic Recovery in Sight," Weekly Report, DIW Berlin, German Institute for Economic Research, volume 5, issue 3, pages 19-25.
• Khaled Guesmi, 2009, "Évaluation de la prime de risque de change dans un contexte régional : une analyse multi-variée du MEDAFI," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2009-45.
• Salem Boubakri, 2009, "Une mesure financière de l’importance de la prime de risque de change dans la prime de risque boursière," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2009-5.
• Alastair Hall & Atsushi & James M Nason & Barbara Rossi, 2009, "Information Criteria For Impulse Response Function Matching Estimation Of Dsge Models," Working Papers, Duke University, Department of Economics, number 09-09.
• Perera, N. & Paudel, R.C., 2009, "Financial Development and Economic Growth in Sri Lanka," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 9, issue 1.
• Le Viet, H. & Pfau, W.D., 2009, "VAR Analysis of the Monetary Transmission Mechanism in Vietnam," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 9, issue 1.
• Kiani, K.M., 2009, "Neural Networks to Detect Nonlinearities in Time Series: Analysis of Business Cycle in France and the United Kingdom," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 9, issue 1.
• Dierk HERZER & Rainer KLUMP, 2009, "Poverty, Government Transfers, And The Business Cycle: Evidence For The United States," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 9, issue 2.
• OROS, Cornel & ROMOCEA-TURCU, Camelia, 2009, "The Monetary Transmission Mechanisms In The Ceecs: A Structural Var Approach," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 9, issue 2.
• Saroja Selvanathan & E.A. Selvanathan & Brinda Viswanathan, 2009, "Causality between Foreign Direct Investment and Tourism : Empirical Evidence from India," Finance Working Papers, East Asian Bureau of Economic Research, number 22944, Jan.
• Hwee Kwan Chow & Keen Meng Choy, 2009, "Analyzing and Forecasting Business Cycles in a Small Open Economy : A Dynamic Factor Model for Singapore," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 22074, Jan.
• Jun Yu, 2009, "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Microeconomics Working Papers, East Asian Bureau of Economic Research, number 23045, Jan.
• Jun Yu, 2009, "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers, East Asian Bureau of Economic Research, number 23046, Jan.
• Kalina Dimitrova, 2009, "Директен И Индиректен Подход За Прогнозиране На Инфлацията В България," Working paper series, Agency for Economic Analysis and Forecasting, number 12009bg.
• Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2009, "Macroeconomic Forecasting and Structural Change," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number 2009_020.
• Kok, Christoffer & Rossi, Carlotta & Marqués-Ibáñez, David, 2009, "Modelling loans to non-financial corporations in the euro area," Working Paper Series, European Central Bank, number 989, Jan.
• Afonso, António & Sousa, Ricardo M., 2009, "Fiscal policy, housing and stock prices," Working Paper Series, European Central Bank, number 990, Jan.
• Afonso, António & Sousa, Ricardo M., 2009, "The macroeconomic effects of fiscal policy," Working Paper Series, European Central Bank, number 991, Jan.
• Tomoaki Nakatani & Timo Terasvirta, 2009, "Testing for volatility interactions in the Constant Conditional Correlation GARCH model," Econometrics Journal, Royal Economic Society, volume 12, issue 1, pages 147-163, March.
• Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen, 2009, "Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term," Econometrics Journal, Royal Economic Society, volume 12, issue 3, pages 414-435, November.
• Xu Cheng & P eter C. B. Phillips, 2009, "Semiparametric cointegrating rank selection," Econometrics Journal, Royal Economic Society, volume 12, issue s1, pages 83-104, January.
• Jochmann, Markus & Koop, Gary & Leon-Gonzalez & Strachan, Rodney W., 2009, "Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2009-44.
• JOHANSSON, Anders C., 2009, "Is U.S. money causing China's output?," China Economic Review, Elsevier, volume 20, issue 4, pages 732-741, December.
• Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2009, "Asymmetric multivariate normal mixture GARCH," Computational Statistics & Data Analysis, Elsevier, volume 53, issue 6, pages 2129-2154, April.
• Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2009, "Testing for efficiency in selected developing foreign exchange markets: An equilibrium-based approach," Economic Modelling, Elsevier, volume 26, issue 1, pages 155-166, January.
• Basher, Syed A. & Westerlund, Joakim, 2009, "Panel cointegration and the monetary exchange rate model," Economic Modelling, Elsevier, volume 26, issue 2, pages 506-513, March.
• de Wet, Albertus H. & van Eyden, Reneé & Gupta, Rangan, 2009, "Linking global economic dynamics to a South African-specific credit risk correlation model," Economic Modelling, Elsevier, volume 26, issue 5, pages 1000-1011, September.
• de Silva, Ashton & Hyndman, Rob J. & Snyder, Ralph, 2009, "A multivariate innovations state space Beveridge-Nelson decomposition," Economic Modelling, Elsevier, volume 26, issue 5, pages 1067-1074, September.