My JEL codes
Follow this JEL code
Research classified by Journal of Economic Literature (JEL) codes
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
This JEL code is mentioned in the following RePEc Biblio entries:
- > Econometrics > Time Series Models > VAR Models > Sign Restrictions
- > Econometrics > Time Series Models > VAR Models > Bayesian Vector autoregressions (BVARs)
- > Econometrics > Forecasting > Nowcasting
- > Econometrics > Time Series Models > Dynamic Factor Models
- > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models
- > Schools of Economic Thought, Epistemology of Economics > Economic Methodology > Dynamic Stochastic General Equilibrium > Estimated DSGE Models > Forecasting with DSGE Models
This topic is covered by the following reading lists:
2025
- Lee & Cheng-Wen & Mendy & Patrick A., 2025. "A Bivariate Causality Analysis on the Impact of Foreign Direct Investment Inflows on the Economic Growth of The Gambia," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 15(4), pages 1-2.
- Cheng-Wen Lee & Patrick A Mendy & Makaireh Dampha & Augustine Sanyang, 2025. "Macroeconomic Dynamics and Growth in The Gambia: Evidence from Cointegration and Granger Causality Analyses," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 15(4), pages 1-4.
- Marc Jim M. Mariano & George Verikios & Kenneth W. Clements, 2025.
"Are input-output coefficients really fixed?,"
Applied Economics, Taylor & Francis Journals, vol. 57(7), pages 753-776, February.
- Marc Jim M. Mariano & George Verikios & Kenneth W. Clements, 2023. "Are Input-Output Coefficients Really Fixed?," Economics Discussion / Working Papers 23-06, The University of Western Australia, Department of Economics.
- Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2025.
"On the propagation mechanism of international real interest rate spillovers: evidence from more than 200 years of data,"
Applied Economics, Taylor & Francis Journals, vol. 57(7), pages 790-804, February.
- Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2022. "On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data," Working Papers 202212, University of Pretoria, Department of Economics.
- Niko Hauzenberger & Florian Huber & Massimiliano Marcellino & Nico Petz, 2025.
"Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 43(1), pages 27-43, January.
- Niko Hauzenberger & Florian Huber & Massimiliano Marcellino & Nico Petz, 2021. "Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty," Papers 2112.01995, arXiv.org, revised Nov 2022.
- Hauzenberger, Niko & Huber, Florian & Marcellino, Massimiliano & Petz, Nico, 2022. "Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty," CEPR Discussion Papers 17646, C.E.P.R. Discussion Papers.
- Jungbin Hwang & Yixiao Sun, 2025. "Asymptotic F and t Tests in Cointegrating Regressions with Asymptotically Homogeneous Functions," Working papers 2025-01, University of Connecticut, Department of Economics.
- Jungbin Hwang & Gonzalo Valdés, 2025. "HAR Inference for Quantile Regression in Time Series," Working papers 2025-03, University of Connecticut, Department of Economics.
- Martín Sola & Fabio Spagnolo & Francisco Terfi, 2025. "Big swings in the data and perceived changes in the risk premia," Department of Economics Working Papers 2025_02, Universidad Torcuato Di Tella.
- Delfina Ricordi & Martín Sola & Fabio Spagnolo & Nicola Spagnolo, 2025. "Do Periods of Extreme Asset Price Volatility Signal the Beginning of a Recession? An International Comparison," Department of Economics Working Papers 2025_03, Universidad Torcuato Di Tella.
- Martin Bruns & Helmut Lütkepohl, 2025.
"Comparing External and Internal Instruments for Vector Autoregressions,"
Discussion Papers of DIW Berlin
2108, DIW Berlin, German Institute for Economic Research.
- Martin Bruns & Helmut Lutkepohl, 2025. "Comparing External and Internal Instruments for Vector Autoregressions," University of East Anglia School of Economics Working Paper Series 2025-01, School of Economics, University of East Anglia, Norwich, UK..
- Yoosoon Chang & J. Isaac Miller & Joon K. Park, 2024.
"Shocking Climate: Identifying Economic Damages from Anthropogenic and Natural Climate Change,"
CAEPR Working Papers
2024-007 Classification-E, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Yoosoon Chang & J. Isaac Miller & Joon Y. Park, 2025. "Shocking Climate: Identifying Economic Damages from Anthropogenic and Natural Climate Change," Working Papers 2501, Department of Economics, University of Missouri.
- William A. Brock & J. Isaac Miller, 2025. "Polar Amplification Helps Forecast Northern Temperature Anomalies," Working Papers 2502, Department of Economics, University of Missouri.
- Bowen Fu & Ivan Mendieta-Muñoz, 2025. "Trend inflation and structural shocks," Working Paper Series, Department of Economics, University of Utah 2025-01, University of Utah, Department of Economics.
- Jose Barrales-Ruiz & Ivan Mendieta-Muñoz & Codrina Rada & Rudiger von Arnim, 2025. "Growth is wage-led in the long run," Working Paper Series, Department of Economics, University of Utah 2025-03, University of Utah, Department of Economics.
- Moussir Charaf-Eddine, 2025. "Morocco’s Economic Prospects: A Dynamic ARDL Simulation on Global Value Chain Integration," Economics, Sciendo, vol. 13(1), pages 179-196.
- Mehmet Burak Turgut & Grzegorz Wesołowski, 2025. "International spillovers of fiscal news shocks," Working Papers 2025-05, Faculty of Economic Sciences, University of Warsaw.
- Kadie S. Clark & J. Isaac Miller, 2025.
"Effects of Climate Change on House Prices in Outdoor Tourism Destinations: A Case Study of Southwestern Colorado,"
Environmetrics, John Wiley & Sons, Ltd., vol. 36(3), April.
- Kadie Clark & J. Isaac Miller, 2023. "Effects of Climate Change on House Prices in Outdoor Tourism Destinations: A Case Study of Southwestern Colorado," Working Papers 2309, Department of Economics, University of Missouri.
- Florian Eckert & Philipp Kronenberg & Heiner Mikosch & Stefan Neuwirth, 2025.
"Tracking Economic Activity With Alternative High‐Frequency Data,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(3), pages 270-290, April.
- Florian Eckert & Philipp Kronenberg & Heiner Mikosch & Stefan Neuwirth, 2020. "Tracking Economic Activity With Alternative High-Frequency Data," KOF Working papers 20-488, KOF Swiss Economic Institute, ETH Zurich.
- Emile du Plessis & Ulrich Fritsche, 2025.
"New forecasting methods for an old problem: Predicting 147 years of systemic financial crises,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(1), pages 3-40, January.
- du Plessis, Emile & Fritsche, Ulrich, 2022. "New forecasting methods for an old problem: Predicting 147 years of systemic financial crises," WiSo-HH Working Paper Series 67, University of Hamburg, Faculty of Business, Economics and Social Sciences, WISO Research Laboratory.
- Andrade, Philippe & Ferroni, Filippo & Melosi, Leonardo, 2024.
"Higher-Order Moment Inequality Restrictions for SVARs,"
The Warwick Economics Research Paper Series (TWERPS)
1537, University of Warwick, Department of Economics.
- Philippe Andrade & Filippo Ferroni & Leonardo Melosi, 2025. "Higher-order Moment Inequality Restrictions for SVARs," Working Papers 25-3, Federal Reserve Bank of Boston.
- Toan Luu Duc Huynh & Mei Wang & Vinh Xuan Vo, 2025. "Economic Policy Uncertainty And The Bitcoin Market: An Investigation In The Covid-19 Pandemic With Transfer Entropy," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 70(03), pages 647-673, June.
- Verona, Fabio, 2025. "From waves to rates: Enhancing inflation forecasts through combinations of frequency-domain models," Bank of Finland Research Discussion Papers 1/2025, Bank of Finland.
- Anttonen, Jetro & Lehmus, Markku, 2025. "Geopolitical surprises and macroeconomic shocks: A tale of two events," Bank of Finland Research Discussion Papers 5/2025, Bank of Finland.
- Fu, Bowen & Mendieta-Munoz, Ivan, 2025. "Trend inflation and structural shocks," EconStor Preprints 308793, ZBW - Leibniz Information Centre for Economics.
- Maridueña-Larrea, Ángel & Martín-Román, Ángel & Porras-Arena, Sylvina, 2025. "Heterogeneity and spatial dependence in Okun's law: a global view," GLO Discussion Paper Series 1597, Global Labor Organization (GLO).
- Dubois, Loick & Sahuc, Jean-Guillaume & Vermandel, Gauthier, 2025.
"A general equilibrium approach to carbon permit banking,"
Journal of Environmental Economics and Management, Elsevier, vol. 129(C).
- Loick Dubois & Jean-Guillaume Sahuc & Gauthier Vermandel, 2024. "A General Equilibrium Approach to Carbon Permit Banking," Working papers 971, Banque de France.
- Jean-Guillaume Sahuc & Loick Dubois & Gauthier Vermandel, 2025. "A General Equilibrium Approach to Carbon Permit Banking," Working Papers hal-04861311, HAL.
- : Dubois, Loick & Sahuc, Jean-Guillaume & Vermandel, Gauthier, 2024. "A General Equilibrium Approach to Carbon Permit Banking," Single Market Economics Papers WP2024/20, Directorate-General for Internal Market, Industry, Entrepreneurship and SMEs (European Commission), Chief Economist Team.
- Jean-Guillaume Sahuc & Loick Dubois & Gauthier Vermandel, 2025. "A General Equilibrium Approach to Carbon Permit Banking," EconomiX Working Papers 2025-5, University of Paris Nanterre, EconomiX.
- Jochmans, Koen & Higgins, Ayden, 2022.
"Learning Markov Processes with Latent Variables,"
TSE Working Papers
22-1366, Toulouse School of Economics (TSE).
- Ayden Higgins & Koen Jochmans, 2025. "Learning Markov Processes with Latent Variables," Working Papers hal-04969515, HAL.
- Karlsson, Sune & Mazur, Stepan & Raftab, Mariya, 2025. "Identifying Useful Indicators for Nowcasting GDP in Sweden," Working Papers 2025:4, Örebro University, School of Business.
- Amira Benachour & Hanane Abdelmalek & Lamine Tarhlissia & Fella Bouchelghoum, 2025. "The Impact of Exports, Imports, and the Exchange Rate on Algeria's Economic Growth," Oblik i finansi, Institute of Accounting and Finance, issue 1, pages 121-134, March.
- Larrahondo, Cristhian & Chávez, Augusto & Giles Álvarez, Laura & Andrian, Leandro Gaston, 2025. "The exchange rate passthrough to domestic prices, new evidence from Colombia," IDB Publications (Working Papers) 13959, Inter-American Development Bank.
- Yoosoon Chang & Soyoung Kim & Joon Y. Park, 2025.
"How Do Macroaggregates and Income Distribution Interact Dynamically? A Novel Structural Mixed Autoregression with Aggregate and Functional Variables,"
Working Papers
No 01/2025, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Yoosoon Chang & Soyoung Kim & Joon Park, 2025. "How Do Macroaggregates and Income Distribution Interact Dynamically? A Novel Structural Mixed Autoregression with Aggregate and Functional Variables," CAEPR Working Papers 2025-002 Classification- , Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Yoosoon Chang & Soyoung Kim & Joon Y. Park, 2025. "How Do Macroaggregates and Income Distribution Interact Dynamically? A Novel Structural Mixed Autoregression with Aggregate and Functional Variables," CAMA Working Papers 2025-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Mateo Ljubisic, 2025. "Guiding through uncertainty: nowcasting the GDP of Croatia," Public Sector Economics, Institute of Public Finance, vol. 49(2), pages 185-211.
- António Afonso & José Alves & Wojciech Grabowski & Sofia Monteiro, 2025.
"Stock and Sovereign Returns Linkages: Time-Varying Causality and Extreme-Quantile Determinants,"
CESifo Working Paper Series
11667, CESifo.
- António Afonso & José Alves & Wojciech Grabowski & Sofia Monteiro, 2025. "Stock and sovereign returns linkages: time-varying causality and extreme-quantile determinants," Working Papers REM 2025/0366, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Shreya Pal & Mantu Kumar Mahalik, 2025. "The Role of Real Exchange Rate in India’s Service Export: Do Remittances Inflows Matter in Post Liberalization-Era?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 32(1), pages 19-39, March.
- Nilotpal Sarma & Priyanshu Tiwari & Prabina Rajib, 2025. "From Fields to Futures: Connectedness Among Edible Oil and Oilseeds- Where Soybean Leads, Others Follow," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 32(2), pages 447-463, June.
- Rodolphe Buda, 2025. "Building an Annual Retrospective for French Labor Market (1959–1975) As a Complement of the INSEE’s Time Series (1975–2021)," Computational Economics, Springer;Society for Computational Economics, vol. 65(1), pages 507-542, January.
- Daniel Fehrle & Christopher Heiberger & Johannes Huber, 2025.
"Polynomial Chaos Expansion: Efficient Evaluation and Estimation of Computational Models,"
Computational Economics, Springer;Society for Computational Economics, vol. 65(2), pages 1083-1146, February.
- Daniel Fehrle & Christopher Heiberger & Johannes Huber, 2020. "Polynomial chaos expansion: Efficient evaluation and estimation of computational models," Working Papers 202, Bavarian Graduate Program in Economics (BGPE).
- Daniel Fehrle & Christopher Heiberger & Johannes Huber, 2020. "Polynomial chaos expansion: Efficient evaluation and estimation of computational models," Discussion Paper Series 341, Universitaet Augsburg, Institute for Economics.
- Bhaskar Tripathi & Rakesh Kumar Sharma, 2025. "Cryptocurrency Exchanges and Traditional Markets: A Multi-algorithm Liquidity Comparison Using Multi-criteria Decision Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 65(5), pages 2649-2677, May.
- Mustafa Ozan Yildirim & Özge Filiz Yildirim, 2025. "What drives house prices in Turkey? Evidence from Bayesian SVAR model," Economic Change and Restructuring, Springer, vol. 58(1), pages 1-24, February.
- Xiaotian Dong & Xiaoqing Wong & Meng Qin & Oana-Ramona Lobont & Muhammad Umar, 2025. "Forest investment in China: an efficient way to climate and economic security?," Economic Change and Restructuring, Springer, vol. 58(1), pages 1-22, February.
- Michał Rubaszek & Karol Szafranek, 2025.
"The European energy crisis and the US natural gas market dynamics: a structural VAR investigation,"
International Economics and Economic Policy, Springer, vol. 22(1), pages 1-22, February.
- Karol Szafranek & Michał Rubaszek, 2024. "The European energy crisis and the US natural gas market dynamics. A structural VAR investigation," KAE Working Papers 2024-099, Warsaw School of Economics, Collegium of Economic Analysis.
- Kuhelika De, 2025. "Asymmetric Shocks and the Role of Exchange Rate in Emerging Markets: Evidence from India," Open Economies Review, Springer, vol. 36(2), pages 607-649, April.
- Zhuping Liu & Jason A. Duan & Vijay Mahajan, 2025. "Push and pull: Modeling mobile app promotions and consumer responses," Quantitative Marketing and Economics (QME), Springer, vol. 23(2), pages 215-263, June.
- Stefano Fasani & Valeria Patella & Giuseppe Pagano Giorgianni & Lorenza Rossi, 2025. "Belief Distortions and Disagreement about Inflation," Working Papers 423478673, Lancaster University Management School, Economics Department.
- Łukasz Postek & Małgorzata Walerych, 2025. "Immigration (from Ukraine) and labour market in Poland – evidence from Bayesian VAR models," NBP Working Papers 373, Narodowy Bank Polski.
- José Luis Montiel Olea & Mikkel Plagborg-Møller & Eric Qian & Christian K. Wolf, 2025.
"Local Projections or VARs? A Primer for Macroeconomists,"
NBER Chapters, in: NBER Macroeconomics Annual 2025, volume 40,
National Bureau of Economic Research, Inc.
- José Luis Montiel Olea & Mikkel Plagborg-Møller & Eric Qian & Christian K. Wolf, 2025. "Local Projections or VARs? A Primer for Macroeconomists," NBER Working Papers 33871, National Bureau of Economic Research, Inc.
- Mikhail Chernov & Vadim Elenev & Dongho Song, 2025. "The Comovement of Voter Preferences: Insights from U.S. Presidential Election Prediction Markets Beyond Polls," NBER Working Papers 33339, National Bureau of Economic Research, Inc.
- Oriol González-Casasús & Frank Schorfheide, 2025. "Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs," NBER Working Papers 33474, National Bureau of Economic Research, Inc.
- Jesús Fernández-Villaverde & Yiliang Li & Le Xu & Francesco Zanetti, 2025.
"Charting the Uncharted: The (Un)Intended Consequences of Oil Sanctions and Dark Shipping,"
CESifo Working Paper Series
11684, CESifo.
- Jesús Fernández-Villaverde & Yiliang Li & Le Xu & Francesco Zanetti, 2025. "Charting the Uncharted: The (Un)Intended Consequences of Oil Sanctions and Dark Shipping," NBER Working Papers 33486, National Bureau of Economic Research, Inc.
- Francesco Zanetti & Jesus Fernandez-Villaverde & Yiliang Li & Le Xu, 2025. "Charting the Uncharted: The (Un)Intended Consaequences of Oil Sanctions and Dark Shipping," CIGS Working Paper Series 25-009E, The Canon Institute for Global Studies.
- Jesus Fernandez-Villaverde & Yiliang Li & Le Xu & Francesco Zanetti, 2025. "Charting the Uncharted: The (Un)Intended Consequences of Oil Sanctions and Dark Shipping," PIER Working Paper Archive 25-005, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Jesús Fernández-Villaverde & Yiliang Li & Le Xu & Francesco Zanetti, 2025. "Charting the Uncharted: The (Un)Intended Consequences of Oil Sanctions and Dark Shipping," Economics Series Working Papers 1070, University of Oxford, Department of Economics.
- Jesus Fernandez-Villaverde & Yiliang Li & Le Xu & Francesco Zanetti, 2025. "Charting the Uncharted: The (Un)Intended Consequences of Oil Sanctions and Dark Shipping," CAMA Working Papers 2025-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- José Luis Montiel Olea & Mikkel Plagborg-Møller & Eric Qian & Christian K. Wolf, 2025.
"Local Projections or VARs? A Primer for Macroeconomists,"
NBER Chapters, in: NBER Macroeconomics Annual 2025, volume 40,
National Bureau of Economic Research, Inc.
- José Luis Montiel Olea & Mikkel Plagborg-Møller & Eric Qian & Christian K. Wolf, 2025. "Local Projections or VARs? A Primer for Macroeconomists," NBER Working Papers 33871, National Bureau of Economic Research, Inc.
- Jose Barrales-Ruiz & Ivan Mendieta-Muñoz & Codrina Rada & Rudiger von Arnim, 2025. "Growth is wage-led in the long run," Working Papers 2505, New School for Social Research, Department of Economics.
- Hugh Miller & Juan-Pablo Martinez, 2025. "The changing dynamics in global metal markets: How the energy transition and geo-fragmentation may disrupt commodity prices," OECD Environment Working Papers 258, OECD Publishing.
- Tilman Bletzinger & Wolfgang Lemke & Jean-Paul Renne, 2025.
"Time-Varying Risk Aversion and Inflation-Consumption Correlation in an Equilibrium Term Structure Model,"
Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 110-138.
- Bletzinger, Tilman & Lemke, Wolfgang & Renne, Jean-Paul, 2025. "Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model," Working Paper Series 3012, European Central Bank.
- Anne Opschoor & André Lucas & Luca Rossini, 2025. "The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 177-190.
- Matei Demetrescu & Benjamin Hillmann, 2025. "Gaussian Inference in Predictive Regressions for Stock Returns," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 813-841.
- Matthias R Fengler & Jeannine Polivka, 2025.
"Structural Volatility Impulse Response Analysis,"
Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 951-971.
- Fengler, Matthias & Polivka, Jeannine, 2022. "Structural Volatility Impulse Response Analysis," Economics Working Paper Series 2211, University of St. Gallen, School of Economics and Political Science, revised Nov 2022.
- Matthias R. Fengler & Jeannine Polivka, 2024. "Structural Volatility Impulse Response Analysis," Swiss Finance Institute Research Paper Series 24-63, Swiss Finance Institute.
- Maksim Isakin & Phuong V Ngo, 2025. "The U.S. Treasury Term Premia in a Low Interest Rate Regime," Journal of Financial Econometrics, Oxford University Press, vol. 23(3), pages 1877-1905.
- Jesús Fernández-Villaverde & Yiliang Li & Le Xu & Francesco Zanetti, 2025.
"Charting the Uncharted: The (Un)Intended Consequences of Oil Sanctions and Dark Shipping,"
CESifo Working Paper Series
11684, CESifo.
- Jesús Fernández-Villaverde & Yiliang Li & Le Xu & Francesco Zanetti, 2025. "Charting the Uncharted: The (Un)Intended Consequences of Oil Sanctions and Dark Shipping," Economics Series Working Papers 1070, University of Oxford, Department of Economics.
- Francesco Zanetti & Jesus Fernandez-Villaverde & Yiliang Li & Le Xu, 2025. "Charting the Uncharted: The (Un)Intended Consaequences of Oil Sanctions and Dark Shipping," CIGS Working Paper Series 25-009E, The Canon Institute for Global Studies.
- Jesus Fernandez-Villaverde & Yiliang Li & Le Xu & Francesco Zanetti, 2025. "Charting the Uncharted: The (Un)Intended Consequences of Oil Sanctions and Dark Shipping," PIER Working Paper Archive 25-005, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Jesus Fernandez-Villaverde & Yiliang Li & Le Xu & Francesco Zanetti, 2025. "Charting the Uncharted: The (Un)Intended Consequences of Oil Sanctions and Dark Shipping," CAMA Working Papers 2025-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Jesús Fernández-Villaverde & Yiliang Li & Le Xu & Francesco Zanetti, 2025. "Charting the Uncharted: The (Un)Intended Consequences of Oil Sanctions and Dark Shipping," NBER Working Papers 33486, National Bureau of Economic Research, Inc.
- Oguzhan Cepni & Hardik A. Marfatia & Rangan Gupta, 2025.
"The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom,"
Palgrave Communications, Palgrave Macmillan, vol. 12(1), pages 1-22, December.
- Oguzhan Cepni & Hardik A. Marfatia & Rangan Gupta, 2021. "The Time-Varying Impact of Uncertainty Shocks on the Comovement of Regional Housing Prices of the United Kingdom," Working Papers 202168, University of Pretoria, Department of Economics.
- Antanas Laurinavicius & Chaleun Vongmileuth & Sonesavanh Vongmileuth & Algimantas Laurinavicius & Shin-Hung Pan & Bisharat Hussain Chang, 2025. "Energy demand response to the dynamics of the currency valuation: Evidence from G7 countries," Advances in Decision Sciences, Asia University, Taiwan, vol. 29(1), pages 1-34, March.
- Talknice Saungweme & Glenda Maluleke & Nicholas M Odhiambo, 2025. "Asymmetric Impact of Interest Rate on Economic Growth in Kenya," Finance, Accounting and Business Analysis, University of National and World Economy, Institute for Economics and Politics, vol. 7(1), pages 69-81, June.
- Oscar Jorda & Alan M. Taylor, 2025. "Local Projections," Journal of Economic Literature, American Economic Association, vol. 63(1), pages 59-110, March.
- Cumali MARANGOZ, 2025. "Inflation Spillovers and Geopolitical Risks: Evidence from Euro Area Countries Using TVP-VAR and Quantile Models," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 10(1), pages 140-159.
- Ayça Büyükyılmaz Ercan & Metehan Ercan, 2025. "The Nexus between Renewable Energy, Economic Growth, and Carbon Dioxide Emissions: Evidence from MS-VAR and MS-Granger Causality Methods," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 9(4), pages 678-699.
- Kenan İlarslan, 2025. "Threshold Effect of Inflation on the Relationship between Stock Market Index and Interest Rate," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 9(4), pages 779-795.
- Nazmun Nahar Shova, 2025. "The Causal Nexus between Bank Lending and Economic Growth in Bangladesh: The Vector Error Correction Model Approach," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 24(1), pages 125-151.
- Tony Azaanamaal & William Coffie & Samuel Fosu, 2025. "Growing the Global Economy through Climate Change Mitigation: A Causal Mediation Analysis of Environmental Taxes and Green Incentive," Journal of Tax Reform, Graduate School of Economics and Management, Ural Federal University, vol. 11(1), pages 121-148.
- Bantyergu Engida Bati, 2025. "Determinants of Tax Revenue in East African Countries: Evidence from Sudan & Rwanda," Journal of Tax Reform, Graduate School of Economics and Management, Ural Federal University, vol. 11(1), pages 39-56.
- Christian Bayer & Luis Calderon & Moritz Kuhn, 2025.
"Distributional Dynamics,"
CRC TR 224 Discussion Paper Series
crctr224_2025_625, University of Bonn and University of Mannheim, Germany.
- Christian Bayer & Luis Calderon & Moritz Kuhn, 2025. "Distributional Dynamics," ECONtribute Discussion Papers Series 351, University of Bonn and University of Cologne, Germany.
- Ayse Tuncer & Mehmet Ivrendi, 2025. "Exploring the Nexus Between Short- and Long-Run Rate of Interests in Turkey’s Bond Market," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 11(1), pages 39-62, June.
- Жузбаев Адам // Zhuzbayev Adam & Сейдахметова Баян // Seidakhmetova Bayan & Шамар Бауыржан // Shamar Bauyrzhan & Толегенова Жибек // Tolegenova Zhibek, 2025. "Инфляция - Всегда И Везде Монетарный Феномен: Миф Или Реальность Казахстана?," Working Papers #2025-1, National Bank of Kazakhstan.
- Ахмет Алишер // Akhmet Alisher & Мусса Айдынбек // Mussa Aidynbek, 2025. "Влияние цен на нефть на бизнес циклы Казахстана: эмпирический подход с учетом асимметрии // The Impact of Oil Prices on Kazakhstan’s Business Cycles: An Empirical Approach Considering Asymmetry," Working Papers #2025-2, National Bank of Kazakhstan.
- Joshua Angrist & Bruno Ferman & Carol Gao & Peter Hull & Otavio L. Tecchio & Robert W. Yeh, 2024.
"Instrumental Variables with Time-Varying Exposure: New Estimates of Revascularization Effects on Quality of Life,"
NBER Working Papers
33296, National Bureau of Economic Research, Inc.
- Joshua D. Angrist & Bruno Ferman & Carol Gao & Peter Hull & Otavio L. Tecchio & Robert W. Yeh, 2025. "Instrumental Variables with Time-Varying Exposure: New Estimates of Revascularization Effects on Quality of Life," Papers 2501.01623, arXiv.org.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2025.
"Detecting sparse cointegration,"
UC3M Working papers. Economics
45708, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2025. "Detecting Sparse Cointegration," Papers 2501.13839, arXiv.org.
- Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2024.
"On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities,"
Department of Economics Working Papers
2024_04, Universidad Torcuato Di Tella.
- Demian Pouzo & Martin Sola & Zacharias Psaradakis, 2025. "On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities," Papers 2504.21669, arXiv.org.
- Matteo Barigozzi & Claudio Lissona & Matteo Luciani, 2024.
"Measuring the Euro Area Output Gap,"
Finance and Economics Discussion Series
2024-099, Board of Governors of the Federal Reserve System (U.S.).
- Matteo Barigozzi & Claudio Lissona & Matteo Luciani, 2025. "Measuring the Euro Area Output Gap," Papers 2505.05536, arXiv.org.
- Alain Guay & Dalibor Stevanovic, 2025. "Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition," Working Papers 25-03, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Feb 2025.
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"Higher-Order Moment Inequality Restrictions for SVARs,"
The Warwick Economics Research Paper Series (TWERPS)
1537, University of Warwick, Department of Economics.
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"Global Macro-Financial Cycles and Spillovers,"
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"Predicting Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries: The Role of Oil Price Uncertainty,"
Economies, MDPI, vol. 13(2), pages 1-25, January.
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- Olga Bondarenko, 2025. "Shockwaves from Ukraine: Trends and Gaps in Agricultural Commodity Prices," IHEID Working Papers 04-2025, Economics Section, The Graduate Institute of International Studies.
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"Charting the Uncharted: The (Un)Intended Consequences of Oil Sanctions and Dark Shipping,"
CESifo Working Paper Series
11684, CESifo.
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- Jesus Fernandez-Villaverde & Yiliang Li & Le Xu & Francesco Zanetti, 2025. "Charting the Uncharted: The (Un)Intended Consequences of Oil Sanctions and Dark Shipping," CAMA Working Papers 2025-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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- Onur Polat & Rangan Gupta & Elie Bouri & Mariem Brahim, 2025. "Climate Risks and Predictability of the Conditional Distributions of Rare Earth Stock Returns and Volatility," Working Papers 202517, University of Pretoria, Department of Economics.
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"Stablecoins and credit risk: when do they stop being stable?,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 77, pages 46-73.
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"Nowcasting GDP using machine learning methods,"
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"Current account determinants in a globalized world,"
Empirical Economics, Springer, vol. 68(4), pages 1497-1527, April.
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"Consumption patterns of indebted households: unravelling the relevance of fiscal policy,"
International Journal of Economic Policy Studies, Springer, vol. 19(1), pages 31-57, February.
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"Shock persistence, uncertainty, and news-driven business cycles,"
Macroeconomic Dynamics, Cambridge University Press, vol. 29, pages 1-1, January.
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"Comparing External and Internal Instruments for Vector Autoregressions,"
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"A general equilibrium approach to carbon permit banking,"
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"Time-Varying Risk Aversion and Inflation-Consumption Correlation in an Equilibrium Term Structure Model,"
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"Estimating time-varying networks for high-dimensional time series,"
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"Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies,"
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"Oil price shocks and the connectedness of US state-level financial markets,"
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2024
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"GMM Estimation with Brownian Kernels Applied to Income Inequality Measurement,"
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- Gökhan Ider & Alexander Kriwoluzky & Frederik Kurcz & Ben Schumann, 2024. "Monetary Policy during the Energy Price Crisis: ECB Could Have Contained Inflation Earlier," DIW Weekly Report, DIW Berlin, German Institute for Economic Research, vol. 14(40/41/42), pages 241-247.
- Gökhan Ider & Alexander Kriwoluzky & Frederik Kurcz & Ben Schumann, 2024. "Geldpolitik in Zeiten der Energiepreiskrise: EZB hätte Inflation frühzeitiger eindämmen können," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, vol. 91(42), pages 657-663.
- Konstantin A. Kholodilin & Malte Rieth, 2024. "Preise am Wohnungsmarkt stabilisieren sich – Nachfrage hoch, Angebot weiter zu knapp," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, vol. 91(51/52), pages 847-856.
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"The Macroeconomic Consequences of Import Tariffs and Trade Policy Uncertainty,"
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"Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference,"
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- Martin Bruns & Helmut Lutkepohl & James McNeil, 2024.
"Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis,"
University of East Anglia School of Economics Working Paper Series
2024-05, School of Economics, University of East Anglia, Norwich, UK..
- Martin Bruns & Helmut Lütkepohl & James McNeil, 2024. "Avoiding Unintentionally Correlated Shocks in Procy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 2095, DIW Berlin, German Institute for Economic Research.
- Bernoth, Kerstin & Herwartz, Helmut & Trienens, Lasse, 2024.
"Interest Rates, Convenience Yields and Inflation Expectations: Drivers of US Dollar Exchange Rates,"
VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges
302351, Verein für Socialpolitik / German Economic Association, revised 2024.
- Kerstin Bernoth & Helmut Herwartz & Lasse Trienens, 2024. "Interest Rates, Convenience Yields, and Inflation Expectations: Drivers of US Dollar Exchange Rates," Discussion Papers of DIW Berlin 2100, DIW Berlin, German Institute for Economic Research.
- Martin Bruns & Helmut Lutkepohl, 2024.
"Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions,"
University of East Anglia School of Economics Working Paper Series
2024-06, School of Economics, University of East Anglia, Norwich, UK..
- Martin Bruns & Helmut Lütkepohl, 2024. "Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions," Discussion Papers of DIW Berlin 2103, DIW Berlin, German Institute for Economic Research.
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"Reconciling Contrasting Views on the Growth Effect of Currency Undervaluations,"
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2024-06, CEPII research center.
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- Chavleishvili, Sulkhan & Kremer, Manfred & Lund-Thomsen, Frederik, 2024.
"Quantifying financial stability risks for monetary policy,"
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- De Santis, Roberto A. & Tornese, Tommaso, 2024. "US monetary policy is more powerful in low economic growth regimes," Working Paper Series 2919, European Central Bank.
- Hałaj, Grzegorz & Hipp, Ruben, 2024. "Decomposing systemic risk: the roles of contagion and common exposures," Working Paper Series 2929, European Central Bank.
- Couaillier, Cyril & Scalone, Valerio, 2024. "Risk-to buffer: setting cyclical and structural banks capital requirements through stress test," Working Paper Series 2966, European Central Bank.
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"The pass-through to inflation of gas price shocks,"
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- Andres Escayola, Erik & McQuade, Peter & Schroeder, Christofer & Tirpák, Marcel, 2024. "What shapes spillovers from monetary policy shocks in the United States to emerging market economies?," Working Paper Series 2973, European Central Bank.
- Velasco, Sofia, 2024. "Asymmetries in the transmission of monetary policy shocks over the business cycle: a Bayesian Quantile Factor Augmented VAR," Working Paper Series 2983, European Central Bank.
- Ter Steege, Lucas, 2024. "Variational inference for Bayesian panel VAR models," Working Paper Series 2991, European Central Bank.
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"Financial Returns, Sentiment and Market Volatility: a Dynamic Assessment,"
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202415, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Borgioli, Stefano & Gallo, Giampiero M. & Ongari, Chiara, 2024. "Financial returns, sentiment and market volatility. A dynamic assessment," Working Paper Series 2999, European Central Bank.
- Allayioti, Anastasia & Gόrnicka, Lucyna & Holton, Sarah & Martínez Hernández, Catalina, 2024. "Monetary policy pass-through to consumer prices: evidence from granular price data," Working Paper Series 3003, European Central Bank.
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- Md. Monir Khan & Asif Ahmed, 2024. "The Effects of Exchange Rate Fluctuation on Bangladeshi Exports: An ARDL Bound Testing Technique," International Journal of Economics and Financial Issues, Econjournals, vol. 14(3), pages 125-131, May.
- Silky Vigg Kushwah & Shab Hundal & Payal Goel, 2024. "Unveiling Interconnectedness and Volatility Transmission: A Novel GARCH Analysis of Leading Global Cryptocurrencies," International Journal of Economics and Financial Issues, Econjournals, vol. 14(3), pages 132-139, May.
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- Sara El Aboudi & Youssef Jouali & Mounir El Bakkouchi & Abdellah Echaoui, 2024. "Analyzing the Dynamics of Inflation, Exchange Rates and Economic Growth through the Gini Index: Modeling VAR in Morocco," International Journal of Economics and Financial Issues, Econjournals, vol. 14(6), pages 136-144, October.
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- Loc Dong Truong & Nhien Tuyet Doan & Anh Thi Kim Nguyen, 2024. "The Effects of Geopolitical Risks on Oil Price Volatility," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 427-432, January.
- Raúl Clemente Ulloa-de Souza & Luis Adrián González-Quiñonez & Luis Jheovanny Reyna-Tenorio & Patricia Janella Salgado-Ortiz & Byron Fernando Chere-Quiñónez, 2024. "Renewable Energy Development and Employment in Ecuador’s Rural Sector: An Economic Impact Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 464-479, January.
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- Aynur Pala, 2024. "The Evolution of Commodity Trios Prices and Causality Equation: In Structural Break Perspective," International Journal of Energy Economics and Policy, Econjournals, vol. 14(2), pages 335-340, March.
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- Mustafa Tevfik Kartal & Ugur Korkut Pata, 2024. "Do Depth, Accessibility, and Efficiency of Financial Institutions Matter for Renewable Energy Development in Azerbaijan?," Journal of Sustainable Development Issues (JOSDI), SDIjournals, vol. 2(1), pages 42-50, June.
- Dilvin Taşkın & Serpil Kılıç Depren & Fatih Ayhan, 2024. "How Are Energy-Related R&D Investments Effective on Environment-Related Patents? Empirical Evidence from the USA and Canada," Journal of Sustainable Development Issues (JOSDI), SDIjournals, vol. 2(2), pages 115-128, December.
- Andrea Bastianin & Elisabetta Mirto & Yan Qin & Luca Rossini, 2024.
"What drives the European carbon market? Macroeconomic factors and forecasts,"
Working Papers
2024.02, Fondazione Eni Enrico Mattei.
- Andrea Bastianin & Elisabetta Mirto & Yan Qin & Luca Rossini, 2024. "What drives the European carbon market? Macroeconomic factors and forecasts," Papers 2402.04828, arXiv.org, revised Feb 2024.
- Bastianin, Andrea & Mirto, Elisabetta & Qin, Yan & Rossini, Luca, 2024. "What drives the European carbon market? Macroeconomic factors and forecasts," FEEM Working Papers 339740, Fondazione Eni Enrico Mattei (FEEM).
- Arnaud Dufays & Elysee Aristide Houndetoungan & Alain Coën, 2022.
"Selective Linear Segmentation for Detecting Relevant Parameter Changes [Risks and Portfolio Decisions Involving Hedge Funds],"
Journal of Financial Econometrics, Oxford University Press, vol. 20(4), pages 762-805.
- Arnaud Dufays & Aristide Houndetoungan & Alain Coen, 2024. "Selective linear segmentation for detecting relevant parameter changes," Papers 2402.05329, arXiv.org.
- Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2024.
"Spillover effects of US monetary policy on emerging markets amidst uncertainty,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
- Povilas Lastauskas & Anh Dinh Minh Nguyen, 2024. "Spillover Effects of US Monetary Policy on Emerging Markets Amidst Uncertainty," Papers 2402.07266, arXiv.org.
- Nigar Hashimzade & Oleg Kirsanov & Tatiana Kirsanova & Junior Maih, 2024.
"On Bayesian Filtering for Markov Regime Switching Models,"
CESifo Working Paper Series
10941, CESifo.
- Nigar Hashimzade & Oleg Kirsanov & Tatiana Kirsanova & Junior Maih, 2024. "On Bayesian Filtering for Markov Regime Switching Models," Papers 2402.08051, arXiv.org.
- Nigar Hashimzade & Oleg Kirsanov & Tatiana Kirsanova & Junior Maih, 2024. "On Bayesian Filtering for Markov Regime Switching Models," Working Papers 2024_01, Business School - Economics, University of Glasgow.
- Bacchiocchi, Emanuele & Bastianin, Andrea & Kitagawa, Toru & Mirto, Elisabetta, 2024.
"Partially identified heteroskedastic SVARs,"
FEEM Working Papers
343513, Fondazione Eni Enrico Mattei (FEEM).
- Emanuele Bacchiocchi & Andrea Bastianin & Toru Kitagawa & Elisabetta Mirto, 2024. "Partially identified heteroskedastic SVARs," Papers 2403.06879, arXiv.org, revised Mar 2024.
- Emanuele Bacchiocchi & Andrea Bastianin & Toru Kitagawa & Elisabetta Mirto, 2024. "Partially identified heteroskedastic SVARs," Working Papers 2024.15, Fondazione Eni Enrico Mattei.
- Giovanni Angelini & Luca Fanelli & Luca Neri, 2024.
"Invalid proxies and volatility changes,"
Working Papers
wp1193, Dipartimento Scienze Economiche, Universita' di Bologna.
- Giovanni Angelini & Luca Fanelli & Luca Neri, 2024. "Invalid proxies and volatility changes," Papers 2403.08753, arXiv.org, revised Feb 2025.
- Emanuele Bacchiocchi & Andrea Bastianin & Graziano Moramarco, 2024.
"Macroeconomic Spillovers of Weather Shocks across U.S. States,"
Working Papers
2024.09, Fondazione Eni Enrico Mattei.
- Emanuele Bacchiocchi & Andrea Bastianin & Graziano Moramarco, 2024. "Macroeconomic Spillovers of Weather Shocks across U.S. States," Papers 2403.10907, arXiv.org, revised Apr 2024.
- Bacchiocchi, Emanuele & Bastianin, Andrea & Moramarco, Graziano, 2024. "Macroeconomic Spillovers of Weather Shocks across U.S. States," FEEM Working Papers 343506, Fondazione Eni Enrico Mattei (FEEM).
- Helmut Lütkepohl & Fei Shang & Luis Uzeda & Tomasz Woźniak, 2024.
"Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference,"
Discussion Papers of DIW Berlin
2081, DIW Berlin, German Institute for Economic Research.
- Helmut Lutkepohl & Fei Shang & Luis Uzeda & Tomasz Wo'zniak, 2024. "Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference," Papers 2404.11057, arXiv.org.
- Tony Chernis & Gary Koop & Emily Tallman & Mike West, 2024.
"Decision Synthesis in Monetary Policy,"
Staff Working Papers
24-30, Bank of Canada.
- Tony Chernis & Gary Koop & Emily Tallman & Mike West, 2024. "Decision synthesis in monetary policy," Papers 2406.03321, arXiv.org, revised Feb 2025.
- Chan, Joshua C.C. & Pettenuzzo, Davide & Poon, Aubrey & Zhu, Dan, 2025.
"Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints,"
Journal of Economic Dynamics and Control, Elsevier, vol. 173(C).
- Joshua C. C. Chan & Davide Pettenuzzo & Aubrey Poon & Dan Zhu, 2024. "Conditional Forecasts in Large Bayesian VARs with Multiple Equality and Inequality Constraints," Papers 2407.02262, arXiv.org.
- Laura Coroneo & Fabrizio Iacone, 2021.
"Testing for equal predictive accuracy with strong dependence,"
Discussion Papers
21/03, Department of Economics, University of York.
- Laura Coroneo & Fabrizio Iacone, 2024. "Testing for equal predictive accuracy with strong dependence," Papers 2409.12662, arXiv.org.
- Matteo Mogliani & Florens Odendahl, 2024.
"Density forecast transformations,"
Papers
2412.06092, arXiv.org.
- Matteo Mogliani & Florens Odendahl, 2025. "Density forecast transformations," Working Papers 2511, Banco de España.
- Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024.
"Multivariate Rough Volatility,"
CEIS Research Paper
589, Tor Vergata University, CEIS, revised 20 Dec 2024.
- Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "Multivariate Rough Volatility," Papers 2412.14353, arXiv.org.
- Dimitrios Bakas & Ioanna Konstantakopoulou & Athanasios Triantafyllou, 2024. "The Tourism-led Economic Growth Hypothesis in the Euro Area: Do Asymmetries and Structural Breaks Matter?," Working Papers 20, SITES.
- Joel Abraham & Akeneta Vonoyauyau & Seema Wati Narayan, 2024. "Price Controlled Petroleum and LPG Prices and COVID-19 - Some Evidence From Fiji," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 4(4), pages 1-4.
- Massimiliano Marcellino & Michael Pfarrhofer, 2024.
"Bayesian nonparametric methods for macroeconomic forecasting,"
Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 5, pages 90-125,
Edward Elgar Publishing.
- Marcellino, Massimiliano & Pfarrhofer, Michael, 2024. "Bayesian nonparametric methods for macroeconomic forecasting," CEPR Discussion Papers 18970, C.E.P.R. Discussion Papers.
- Massimiliano MARCELLINO & Michael PFARRHOFER, 2024. "Bayesian nonparametric methods for macroeconomic forecasting," BAFFI CAREFIN Working Papers 24224, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Ahmad S. Al Humssi & Vladimir Z. Chapliuk & Larisa N. Sorokina & Liliya G. Akhmetshina, 2024. "Modelling the Impact of Macroeconomic Factors on Country’s Financial Stability: Evidence from the Russian Federation," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 62-81.
- Fabrice Collard & Patrick Feve & Alain Guay, 2024. "Risk Scenarios and Macroeconomic Forecasts," Working Papers 24-03, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised May 2024.
- Tanvir Alam Shahi Md. & Sarolta Somosi, 2024. "Impulse response of auction price by practicing auction scheme for solar PV generation to generation quantity, investment and Brent crude oil price," E&M Economics and Management, Technical University of Liberec, Faculty of Economics, vol. 27(4), pages 73-88, December.
- Grzegorz Halaj & Ruben Hipp, 2024. "Decomposing Systemic Risk: The Roles of Contagion and Common Exposures," Staff Working Papers 24-19, Bank of Canada.
- Tony Chernis & Gary Koop & Emily Tallman & Mike West, 2024.
"Decision synthesis in monetary policy,"
Papers
2406.03321, arXiv.org, revised Feb 2025.
- Tony Chernis & Gary Koop & Emily Tallman & Mike West, 2024. "Decision Synthesis in Monetary Policy," Staff Working Papers 24-30, Bank of Canada.
- Rodrigo Sekkel & Tamon Takamura & Yaz Terajima, 2024. "Monetary Policy Transmission to Small Business Loan Performance: Evidence from Loan-Level Data," Staff Working Papers 24-41, Bank of Canada.
- Dubois, Loick & Sahuc, Jean-Guillaume & Vermandel, Gauthier, 2025.
"A general equilibrium approach to carbon permit banking,"
Journal of Environmental Economics and Management, Elsevier, vol. 129(C).
- Loick Dubois & Jean-Guillaume Sahuc & Gauthier Vermandel, 2024. "A General Equilibrium Approach to Carbon Permit Banking," Working papers 971, Banque de France.
- : Dubois, Loick & Sahuc, Jean-Guillaume & Vermandel, Gauthier, 2024. "A General Equilibrium Approach to Carbon Permit Banking," Single Market Economics Papers WP2024/20, Directorate-General for Internal Market, Industry, Entrepreneurship and SMEs (European Commission), Chief Economist Team.
- Jean-Guillaume Sahuc & Loick Dubois & Gauthier Vermandel, 2025. "A General Equilibrium Approach to Carbon Permit Banking," EconomiX Working Papers 2025-5, University of Paris Nanterre, EconomiX.
- Jean-Guillaume Sahuc & Loick Dubois & Gauthier Vermandel, 2025. "A General Equilibrium Approach to Carbon Permit Banking," Working Papers hal-04861311, HAL.
- Murat KARAKAYA & Sadiye OKTAY, 2024. "Investigating the Relationship Between the Banking Sector and Capital Market Variables in Turkiye Using Toda-Yamamoto Causality Analysis," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 18(1), pages 19-36.
- Dilara DEMIREZ & Serkan Yilmaz KANDIR, 2024. "Investigating the Relationship between Selected Risk Measures and Sustainability Index," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 18(1), pages 37-59.
- Pablo Burriel Llombart & Florens Odendahl & Susana Párraga Rodríguez, 2024. "Asimetrías en la traslación de los incrementos y de los descensos de los precios de la energía a la inflación subyacente del área del euro y de España," Boletín Económico, Banco de España, issue 2024/T1.
- Pablo Burriel Llombart & Florens Odendahl & Susana Párraga Rodríguez, 2024. "Asymmetries in the transmission of energy price increases and decreases to underlying inflation in the euro area and Spain," Economic Bulletin, Banco de España, issue 2024/Q1.
- Mario Alloza & Jorge Martínez & Juan Rojas & Iacopo Varotto, 2024. "La dinámica de la deuda pública: una perspectiva estocástica aplicada al caso español," Occasional Papers 2420, Banco de España.
- Mikel Bedayo & Jorge E. Galán, 2024. "The impact of the Countercyclical Capital Buffer on credit: Evidence from its accumulation and release before and during COVID-19," Working Papers 2411, Banco de España.
- Luis Férnandez Lafuerza & Jorge E. Galán, 2024. "Should macroprudential policy target corporate lending? Evidence from credit standards and defaults," Working Papers 2413, Banco de España.
- Silgado-Gómez, Edgar, 2022.
"Sovereign Uncertainty,"
Research Technical Papers
10/RT/22, Central Bank of Ireland.
- Edgar Silgado-Gómez, 2024. "Sovereign uncertainty," Working Papers 2423, Banco de España.
- Fructuoso Borrallo & Lucía Cuadro-Sáez & Corinna Ghirelli & Javier J. Pérez, 2024. "“El Niño” and “La Niña”: Revisiting the impact on food commodity prices and euro area consumer prices," Working Papers 2432, Banco de España.
- Stefano Neri, 2024. "There has been an awakening. The rise (and fall) of inflation in the euro area," Questioni di Economia e Finanza (Occasional Papers) 834, Bank of Italy, Economic Research and International Relations Area.
- Simone Auer & Antonio M. Conti, 2024. "Bank lending in an unprecedented monetary tightening cycle: evidence from the euro area," Questioni di Economia e Finanza (Occasional Papers) 856, Bank of Italy, Economic Research and International Relations Area.
- Davide Delle Monache & Claudia Pacella, 2024. "The drivers of inflation dynamics in Italy over the period 2021-2023," Questioni di Economia e Finanza (Occasional Papers) 873, Bank of Italy, Economic Research and International Relations Area.
- Antonio Maria Conti & Stefano Neri & Alessandro Notarpietro, 2024. "Credit strikes back: the macroeconomic impact of the 2022-23 ECB monetary tightening and the role of lending rates," Questioni di Economia e Finanza (Occasional Papers) 884, Bank of Italy, Economic Research and International Relations Area.
- Gazzani, Andrea & Venditti, Fabrizio & Veronese, Giovanni, 2024.
"Oil price shocks in real time,"
Journal of Monetary Economics, Elsevier, vol. 144(C).
- Andrea Gazzani & Fabrizio Venditti & Giovanni Veronese, 2024. "Oil price shocks in real time," Temi di discussione (Economic working papers) 1448, Bank of Italy, Economic Research and International Relations Area.
- Magnus Saß, 2024. "Detecting excessive credit growth: An approach based on structural counterfactuals," Berlin School of Economics Discussion Papers 0046, Berlin School of Economics.
- Zubair Munawwara, 2024. "Impact Of Crude Oil Price Volatility On Indian Stock Market Returns: A Quantile Regression Approach," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 69(242), pages 93-128, July – Se.
- Alarudeen Aminu & Joshua Adeyemi Afolabi, 2024. "The Asymmetric Effect Of Exchange Rate Pass-Through To Domestic Prices: Evidence From Nigeria," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 69(243), pages 117-141, October –.
- Jens H. E. Christensen & Sarah Mouabbi, 2024.
"The Natural Rate of Interest in the Euro Area: Evidence from Inflation-Indexed Bonds,"
Working Paper Series
2024-08, Federal Reserve Bank of San Francisco.
- Jens Christensen & Sarah Mouabbi, 2024. "The Natural Rate of Interest in the Euro Area: Evidence from Inflation-Indexed Bonds," Working papers 948, Banque de France.
- Dubois, Loick & Sahuc, Jean-Guillaume & Vermandel, Gauthier, 2025.
"A general equilibrium approach to carbon permit banking,"
Journal of Environmental Economics and Management, Elsevier, vol. 129(C).
- : Dubois, Loick & Sahuc, Jean-Guillaume & Vermandel, Gauthier, 2024. "A General Equilibrium Approach to Carbon Permit Banking," Single Market Economics Papers WP2024/20, Directorate-General for Internal Market, Industry, Entrepreneurship and SMEs (European Commission), Chief Economist Team.
- Jean-Guillaume Sahuc & Loick Dubois & Gauthier Vermandel, 2025. "A General Equilibrium Approach to Carbon Permit Banking," EconomiX Working Papers 2025-5, University of Paris Nanterre, EconomiX.
- Jean-Guillaume Sahuc & Loick Dubois & Gauthier Vermandel, 2025. "A General Equilibrium Approach to Carbon Permit Banking," Working Papers hal-04861311, HAL.
- Loick Dubois & Jean-Guillaume Sahuc & Gauthier Vermandel, 2024. "A General Equilibrium Approach to Carbon Permit Banking," Working papers 971, Banque de France.
- Merve EKİCİ & Filiz KUTLUAY TUTAR, 2024. "Türkiye’de Tarım Sektörünün Dışa Açıklık Üzerine Etkisi: ARDL Sınır Testi Bulguları," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 8(2), pages 185-204, December.
- Douglas Kiarelly Godoy de Araujo, 2024. "Synthetic controls with machine learning: application on the effect of labour deregulation on worker productivity in Brazil," BIS Working Papers 1181, Bank for International Settlements.
- Trương Ngọc Hảo & Lê Công Trứ & Trần Thanh Trúc, 2024. "Truyền dẫn giá trong chuỗi cung ứng xuất khẩu tôm thẻ chân trắng tại Việt Nam," TẠP CHÍ KHOA HỌC ĐẠI HỌC MỞ THÀNH PHỐ HỒ CHÍ MINH - KINH TẾ VÀ QUẢN TRỊ KINH DOANH, HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE, HO CHI MINH CITY OPEN UNIVERSITY, vol. 19(1), pages 58-70.
- Shuonan Zhang, 2024. "State‐owned enterprises and entrusted lending: Economic growth and business cycles in China," Economic Inquiry, Western Economic Association International, vol. 62(1), pages 197-222, January.
- Oguzhan Cepni & Rangan Gupta & Wenting Liao & Jun Ma, 2024.
"Climate risks and forecastability of the weekly state‐level economic conditions of the United States,"
International Review of Finance, International Review of Finance Ltd., vol. 24(1), pages 154-162, March.
- Oguzhan Cepni & Rangan Gupta & Wenting Liao & Jun Ma, 2022. "Climate Risks and Forecastability of the Weekly State-Level Economic Conditions of the United States," Working Papers 202251, University of Pretoria, Department of Economics.
- Franz Ulrich Ruch & Temel Taskin, 2024.
"Global Demand and Supply Sentiment: Evidence From Earnings Calls,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(2), pages 314-334, April.
- Temel Taskin & Franz Ulrich Ruch, 2023. "Global Demand and Supply Sentiment: Evidence from Earnings Calls," Staff Working Papers 23-37, Bank of Canada.
- Mario Di Serio & Matteo Fragetta & Emanuel Gasteiger & Giovanni Melina, 2024.
"The Euro Area Government Spending Multiplier in Demand‐ and Supply‐Driven Recessions,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(6), pages 1342-1372, December.
- Mario Di Serio & Matteo Fragetta & Emanuel Gasteiger & Giovanni Melina, 2022. "The Euro Area Government Spending Multiplier in Demand- and Supply-Driven Recessions," CESifo Working Paper Series 9678, CESifo.
- Di Serio, Mario & Fragetta, Matteo & Gasteiger, Emanuel & Melina, Giovanni, 2023. "The Euro Area Government Spending Multiplier in Demand- and Supply-Driven Recessions?," ECON WPS - Working Papers in Economic Theory and Policy 02/2023, TU Wien, Institute of Statistics and Mathematical Methods in Economics, Economics Research Unit.
- Jeanne Terblanche & Dawie van Lill & Hylton Hollander, 2024.
"Fiscal policy and dimensions of inequality in South Africa: A time‐varying coefficient approach,"
South African Journal of Economics, Economic Society of South Africa, vol. 92(1), pages 105-119, March.
- Jeanne Terblanche & Dawie van Lill & Hylton Hollander, 2023. "Fiscal policy and dimensions of inequality in South Africa: A time-varying coefficient approach," Working Papers 05/2023, Stellenbosch University, Department of Economics.
- Yifei Cai & Jamel Saadaoui & Yanrui Wu, 2024.
"Political relations and trade: New evidence from Australia, China, and the United States,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 71(3), pages 253-275, July.
- Yifei Cai & Jamel Saadaoui & Yanrui Wu, 2023. "Political Relations and Trade: New Evidence from Australia, China and the United States," Working Papers of BETA 2023-24, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Valeria Jemio Hurtado & Laura Rubin de Celis, 2024. "Estimación de un indicador de presiones sobre Reservas Internacionales en un contexto de tensiones geopolíticas mundiales: Un enfoque de Correlación Condicional Dinámica y Control Sintético," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 40(1), pages 54-78, January -.
- Martín Vallejos Tarqui, 2024. "Análisis del PIB por tipo de gasto para Bolivia," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 40(1), pages 80-110, January -.
- Knut Are Aastveit & Jamie Cross & Francesco Furlanetto & Herman K. Van Dijk, 2024.
"Taylor Rules with Endogenous Regimes,"
Tinbergen Institute Discussion Papers
24-030/III, Tinbergen Institute.
- Knut Are Aastveit & Jamie L. Cross & Francesco Furlanetto & Herman K. Van Dijk, 2024. "Taylor Rules with Endogenous Regimes," Working Papers No 04/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Knut Are Aastveit & Hilde C. Bjornland & Jamie L. Cross & Helene Olsen Kalstad, 2024.
"Unveiling inflation: Oil Shocks, Supply Chain Pressures, and Expectations,"
CAMA Working Papers
2024-68, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Knut Are Aastveit & Hilde C. Bjørnland & Jamie L. Cross & Helene Olsen, 2024. "Unveiling inflation: Oil Shocks, Supply Chain Pressures, and Expectations," Working Papers No 05/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Yong Li & Sushanta K. Mallick & Nianling Wang & Jun Yu & Tao Zeng, 2024. "Deviance Information Criterion for Model Selection:Theoretical Justification and Applications," Working Papers 202415, University of Macau, Faculty of Business Administration.
- Leona Han Chen & Yijie Fei & Jun Yu, 2024. "Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation," Working Papers 202419, University of Macau, Faculty of Business Administration.
- Yong Li & Zhou Wu & Jun Yu & Tao Zeng, 2024. "A Note on AIC and TIC for Model Selection," Working Papers 202420, University of Macau, Faculty of Business Administration.
- Chuanglian Chen & Xiaobin Liu & Jun Yu & Tao Zeng, 2024. "The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China," Working Papers 202421, University of Macau, Faculty of Business Administration.
- Inoue, Atsushi & Rossi, Barbara & Wang, Yiru, 2024.
"Has the Phillips Curve Flattened?,"
CEPR Discussion Papers
18846, C.E.P.R. Discussion Papers.
- Barbara Rossi & Atsushi Inoue & Yiru Wang, 2024. "Has the Phillips curve flattened?," French Stata Users' Group Meetings 2024 22, Stata Users Group.
- Acosta-Smith, Jonathan & Barunik, Jozef & Gerba, Eddie & Katsoulis, Petros, 2024. "Moderation or indulgence? Effects of bank distribution restrictions during stress," Bank of England working papers 1053, Bank of England.
- Simon Lloyd & Ed Manuel, 2024.
"Controls, Not Shocks: Estimating Dynamic Causal Effects in Macroeconomics,"
Discussion Papers
2422, Centre for Macroeconomics (CFM).
- Lloyd, Simon & Manuel, Ed, 2024. "Controls, not shocks: estimating dynamic causal effects in macroeconomics," Bank of England working papers 1079, Bank of England.
- Eguren-Martin, Fernando & Kösem, Sevim & Maia, Guido & Sokol, Andrej, 2024. "Targeted financial conditions indices and growth-at-risk," Bank of England working papers 1084, Bank of England.
- Evangelia Kasimati & Nikolaos Veraros, 2024. "The dry-bulk shipping market: a small econometric model," Working Papers 331, Bank of Greece.
- Tatsuya Ozaki & Masahiro Jimbo & Tomoyuki Yagi & Akihito Yoshii, 2024. "Recent Developments in the Linkage between Wages and Prices," Bank of Japan Review Series 24-E-2, Bank of Japan.
- Tatsuya Ozaki & Tomoyuki Yagi & Akihito Yoshii, 2024. "Firms' Recent Price-Setting Behavior for Services Prices in the Consumer Prices," Bank of Japan Review Series 24-E-10, Bank of Japan.
- Shirota, Toyoichiro & Tsuchida, Satoshi, 2025.
"Aggregate implications of changing industrial trends in Japan,"
Journal of the Japanese and International Economies, Elsevier, vol. 75(C).
- Toyoichiro Shirota & Satoshi Tsuchida, 2024. "Aggregate Implications of Changing Industrial Trends in Japan," Bank of Japan Working Paper Series 24-E-2, Bank of Japan.
- Shogo Nakano & Yu Sugioka & Hiroki Yamamoto, 2024. "Recent Developments in Measuring the Natural Rate of Interest," Bank of Japan Working Paper Series 24-E-12, Bank of Japan.
- Yudai Hatayama & Yuto Iwasaki, 2024. "Estimating the Natural Yield Curve in Japan Using a VAR with Common Trends," Bank of Japan Working Paper Series 24-E-17, Bank of Japan.
- Sohei Kaihatsu & Shogo Nakano & Hiroki Yamamoto, 2024. "Macroeconomic Impact of Shifts in Long-term Inflation Expectations," Bank of Japan Working Paper Series 24-E-18, Bank of Japan.
- Shunsuke Haba & Yuichiro Ito & Shogo Nakano & Takahiro Yamanaka, 2024. "Assessing the Long-Term Impact of Monetary Policy," Bank of Japan Working Paper Series 24-E-19, Bank of Japan.
- Kota Ikkatai & Takuji Kawamoto & Kenichi Sakura, 2024. "Japan's Unconventional Monetary Policy and the Exchange Rate Dynamics," Bank of Japan Working Paper Series 24-E-23, Bank of Japan.
- Giovanni Angelini & Luca Fanelli & Luca Neri, 2024.
"Invalid proxies and volatility changes,"
Papers
2403.08753, arXiv.org, revised Feb 2025.
- Giovanni Angelini & Luca Fanelli & Luca Neri, 2024. "Invalid proxies and volatility changes," Working Papers wp1193, Dipartimento Scienze Economiche, Universita' di Bologna.
- Galimberti Jaqueson K., 2024.
"Initial Beliefs Uncertainty,"
The B.E. Journal of Macroeconomics, De Gruyter, vol. 24(1), pages 45-96, January.
- Jaqueson K. Galimberti, 2021. "Initial beliefs uncertainty," CAMA Working Papers 2021-68, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Laumer Sebastian & Philipps Collin, 2024. "Government Spending Between Active and Passive Monetary Policy: An Invariance Result," The B.E. Journal of Macroeconomics, De Gruyter, vol. 24(1), pages 561-590, January.
- Kishor Narayan Kundan, 2024. "Estimating Expected Asset Returns with the Present Value Model of Consumption and Fed Forecasts," The B.E. Journal of Macroeconomics, De Gruyter, vol. 24(2), pages 997-1007.
- Mendieta-Muñoz Ivan, 2024. "Time-varying Investment Dynamics in the USA," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 18(1), pages 1-18.
- Christofzik Désirée I. & Elstner Steffen & Feld Lars P. & Schmidt Christoph M., 2024.
"Unraveling the Productivity Paradox: Evidence for Germany,"
German Economic Review, De Gruyter, vol. 25(3), pages 165-207.
- Schmidt, Christoph & Feld, Lars & Christofzik, Désirée & Elstner, Steffen, 2021. "Unraveling the Productivity Paradox: Evidence for Germany," CEPR Discussion Papers 16187, C.E.P.R. Discussion Papers.
- Xu Yongdeng, 2024. "Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation," Journal of Time Series Econometrics, De Gruyter, vol. 16(1), pages 1-27.
- Burda Martin & Schroeder Adrian K., 2024. "Recurrent Neural Network GO-GARCH Model for Portfolio Selection," Journal of Time Series Econometrics, De Gruyter, vol. 16(2), pages 67-81.
- Dada James Temitope & Sharimakin Akinwumi & Al-Faryan Mamdouh Abdulaziz Saleh & Tabash Mosab I. & Adeiza Adams, 2024. "Asymmetric and Threshold Effect of Military Expenditure on Economic Growth: Insight from an Emerging Market," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 30(4), pages 477-503.
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- Celani Alessandro & Pagnottoni Paolo, 2024. "Matrix autoregressive models: generalization and Bayesian estimation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 227-248, April.
- Casarin Roberto & Peruzzi Antonio, 2024. "A Dynamic Latent-Space Model for Asset Clustering," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 379-402, April.
- Szafranek Karol & Rubaszek Michał, 2024.
"Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(3), pages 507-530.
- Michał Rubaszek & Karol Szafranek, 2022. "Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis," KAE Working Papers 2022-078, Warsaw School of Economics, Collegium of Economic Analysis.
- Guisinger Amy Y. & Jackson Laura E. & Owyang Michael T., 2024.
"Age and gender differentials in unemployment and hysteresis,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(4), pages 567-581.
- Amy Y. Guisinger & Laura E. Jackson & Michael T. Owyang, 2022. "Age and Gender Differentials in Unemployment and Hysteresis," Working Papers 2022-015, Federal Reserve Bank of St. Louis.
- Dainauskas, J. & Lastauskas, P., 2024. "Trade Shocks and the Transitional Dynamics of Markups," Cambridge Working Papers in Economics 2431, Faculty of Economics, University of Cambridge.
- Xu, Yongdeng & Guan, Bo & Lu, Wenna & Heravi, Saeed, 2024.
"Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets,"
Energy Economics, Elsevier, vol. 136(C).
- Xu, Yongdeng & Guan, Bo & Lu, Wenna & Heravi, Saeed, 2024. "Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets," Cardiff Economics Working Papers E2024/15, Cardiff University, Cardiff Business School, Economics Section.
- Xu, Yongdeng, 2024. "Extended multivariate EGARCH model: A model for zero†return and negative spillovers," Cardiff Economics Working Papers E2024/24, Cardiff University, Cardiff Business School, Economics Section.
- Mauro Sayar Ferreira & Joice Marques Figueiredo, 2024. "The influence of global uncertainty and financial shocks, and sovereign risk shock on the Brazilian term structure of interest rate," Textos para Discussão Cedeplar-UFMG 674, Cedeplar, Universidade Federal de Minas Gerais.
- Krekel, Christian & Srisuma, Sorawoot, 2024.
"Talking Therapy: Impacts of a Nationwide Mental Health Service in England,"
IZA Discussion Papers
16839, Institute of Labor Economics (IZA).
- Ekaterina Oparina & Christian Krekel & Sorawoot Srisuma, 2024. "Talking therapy: Impacts of a nationwide mental health service in England," CEP Discussion Papers dp1982, Centre for Economic Performance, LSE.
- Oparina, Ekaterina & Krekel, Christian & Srisuma, Sorawoot, 2024. "Talking therapy: impacts of a nationwide mental health service in England," LSE Research Online Documents on Economics 126829, London School of Economics and Political Science, LSE Library.
- Blagov, Boris & Dirks, Maximilian & Funke, Michael, 2024.
"Economic knock-on effects of Russia's geopolitical risk on advanced economies: A global VAR approach,"
Ruhr Economic Papers
1061, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Boris Blagov & Maximilian Dirks & Michael Funke, 2024. "Economic Knock-On Effects of Russia’s Geopolitical Risk on Advanced Economies: A Global VAR Approach," CESifo Working Paper Series 10880, CESifo.
- Nigar Hashimzade & Oleg Kirsanov & Tatiana Kirsanova & Junior Maih, 2024.
"On Bayesian Filtering for Markov Regime Switching Models,"
Papers
2402.08051, arXiv.org.
- Nigar Hashimzade & Oleg Kirsanov & Tatiana Kirsanova & Junior Maih, 2024. "On Bayesian Filtering for Markov Regime Switching Models," CESifo Working Paper Series 10941, CESifo.
- Nigar Hashimzade & Oleg Kirsanov & Tatiana Kirsanova & Junior Maih, 2024. "On Bayesian Filtering for Markov Regime Switching Models," Working Papers 2024_01, Business School - Economics, University of Glasgow.
- Jingjing Lyu & Bernd Süssmuth, 2024. "Global Linkages across Sectors and Frequency Bands: A Band Spectral Panel Regression Approach," CESifo Working Paper Series 10970, CESifo.
- Christina Anderl & Guglielmo Maria Caporale, 2024. "Functional Oil Price Expectations Shocks and Inflation," CESifo Working Paper Series 10998, CESifo.
- Lehmann, Robert & Zarges, Lara, 2025.
"What drives German trend output growth? A sectoral view,"
Journal of Economic Dynamics and Control, Elsevier, vol. 174(C).
- Zarges, Lara & Lehmann, Robert, 2024. "What Drives Trend German GDP Growth? A Disaggregated Sectoral View," VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges 302409, Verein für Socialpolitik / German Economic Association.
- Robert Lehmann & Lara Zarges, 2024. "What Drives German Trend Output Growth? A Sectoral View," CESifo Working Paper Series 11089, CESifo.
- Thorsten Drautzburg & Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana & Dick Oosthuizen, 2024.
"Filtering with Limited Information,"
NBER Working Papers
32754, National Bureau of Economic Research, Inc.
- Thorsten Drautzburg & Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Dick Oosthuizen, 2024. "Filtering with Limited Information," CESifo Working Paper Series 11243, CESifo.
- Drautzburg, Thorsten & Fernández-Villaverde, Jesús & Guerron, Pablo & Oosthuizen, Dick, 2024. "Filtering with Limited Information," CEPR Discussion Papers 19270, C.E.P.R. Discussion Papers.
- Thorsten Drautzburg & Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Dick Oosthuizen, 2024. "Filtering with Limited Information," PIER Working Paper Archive 24-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- António Afonso & Daniel Loureiro, 2024.
"Fiscal Policy Spillovers in the Euro Area - a new assessment,"
Working Papers REM
2024/0347, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- António Afonso & Daniel Loureiro, 2024. "Fiscal Policy Spillovers in the Euro Area – A New Assessment," CESifo Working Paper Series 11406, CESifo.
- Guglielmo Maria Caporale & Miguel A. Martin-Valmayor & Luis A. Gil-Alana & Nieves Carmona-González, 2024. "Persistence of the Sovereign Debt Components and Debt Sustainability: Some Evidence for the US and Europe," CESifo Working Paper Series 11409, CESifo.
- Daniel Bartusek & Evzen Kocenda, 2023.
"Unraveling Timing Uncertainty of Event-driven Connectedness among Oil-Based Energy Commodities,"
Working Papers IES
2023/35, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised 2023.
- Evžen Kočenda & Daniel Bartušek & Evžen Kocenda, 2024. "Disentangling Timing Uncertainty of Event-Driven Connectedness among Oil-Based Energy Commodities," CESifo Working Paper Series 11494, CESifo.
- Lorenzo Mori & Gert Peersman, 2024.
"Estimating the Macroeconomic Effects of Oil Supply News,"
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium
24/1099, Ghent University, Faculty of Economics and Business Administration.
- Lorenzo Mori & Gert Peersman, 2024. "Estimating the Macroeconomic Effects of Oil Supply News," CESifo Working Paper Series 11532, CESifo.
- Francesco Jacopo Pintus & Jan P.A.M. Jacobs & Elmer Sterken, 2024.
"Fiscal Impacts of Climate Anomalies,"
CAMA Working Papers
2024-74, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Francesco Jacopo Pintus & Jan P.A.M. Jacobs & Elmer Sterken & Jan Jacobs, 2024. "Fiscal Impacts of Climate Anomalies," CESifo Working Paper Series 11548, CESifo.
- Christina Anderl & Guglielmo Maria Caporale, 2024. "A Global Oil Market Model with Shipping Costs," CESifo Working Paper Series 11551, CESifo.
- Lloyd, Simon & Manuel, Ed, 2024.
"Controls, not shocks: estimating dynamic causal effects in macroeconomics,"
Bank of England working papers
1079, Bank of England.
- Simon Lloyd & Ed Manuel, 2024. "Controls, Not Shocks: Estimating Dynamic Causal Effects in Macroeconomics," Discussion Papers 2422, Centre for Macroeconomics (CFM).
- Markus Leippold & Michal Svaton, 2024. "Scheduling Processes and Inference of Scheduled Events From Price Data," Swiss Finance Institute Research Paper Series 24-12, Swiss Finance Institute.
- Soros Chitsiripanich & Marc S. Paolella & Pawel Polak & Patrick S. Walker, 2024. "Smoothing Out Momentum and Reversal," Swiss Finance Institute Research Paper Series 24-47, Swiss Finance Institute.
- Fengler, Matthias & Polivka, Jeannine, 2021.
"Proxy-identification of a structural MGARCH model for asset returns,"
Economics Working Paper Series
2103, University of St. Gallen, School of Economics and Political Science, revised Oct 2024.
- Matthias R. Fengler & Jeannine Polivka, 2024. "Proxy-identification of a structural MGARCH model for asset returns," Swiss Finance Institute Research Paper Series 24-55, Swiss Finance Institute.
- Matthias R Fengler & Jeannine Polivka, 2025.
"Structural Volatility Impulse Response Analysis,"
Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 951-971.
- Fengler, Matthias & Polivka, Jeannine, 2022. "Structural Volatility Impulse Response Analysis," Economics Working Paper Series 2211, University of St. Gallen, School of Economics and Political Science, revised Nov 2022.
- Matthias R. Fengler & Jeannine Polivka, 2024. "Structural Volatility Impulse Response Analysis," Swiss Finance Institute Research Paper Series 24-63, Swiss Finance Institute.
- Valérie Mignon & Cécile Couharde & Carl Grekou & Florian Morvillier, 2024.
"Reconciling contrasting views on the growth effect of currency undervaluations,"
EconomiX Working Papers
2024-14, University of Paris Nanterre, EconomiX.
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- Cécile Couharde & Carl Grekou & Valérie Mignon & Florian Morvillier, 2024. "Reconciling contrasting views on the growth effect of currency undervaluations," Working Papers hal-04568924, HAL.
- Martín Almuzara & Víctor Sancibrián, 2024.
"Micro Responses to Macro Shocks,"
Staff Reports
1090, Federal Reserve Bank of New York.
- Martín Almuzara & Víctor Sancibrián, 2024. "Micro responses to macro shocks," Working Papers wp2024_2412, CEMFI.
- Michal Franta & Jan Vlcek, 2024. "Wage-Price Spirals: A Risk-Based Approach," Working Papers 2024/1, Czech National Bank, Research and Statistics Department.
- Frantisek Brazdik & Tatiana Keseliova & Karel Musil & Radek Snobl & Jan Solc & Stanislav Tvrz & Jan Zacek, 2024. "Understanding Inflation Expectations: Data, Drivers and Policy Implications," Working Papers 2024/3, Czech National Bank, Research and Statistics Department.
- Tomas Sestorad & Natalie Dvorakova, 2024.
"Origins of Post-COVID-19 Inflation in Central European Countries,"
Working Papers IES
2024/36, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2024.
- Natalie Dvorakova & Tomas Sestorad, 2024. "Origins of Post-COVID-19 Inflation in Central European Countries," Working Papers 2024/5, Czech National Bank, Research and Statistics Department.
- Jaromir Baxa & Tomas Sestorad, 2024.
"Economic Policy Uncertainty in Europe: Spillovers and Common Shocks,"
Working Papers IES
2024/34, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2024.
- Jaromir Baxa & Tomas Sestorad, 2024. "Economic Policy Uncertainty in Europe: Spillovers and Common Shocks," Working Papers 2024/9, Czech National Bank, Research and Statistics Department.
- Vincenzo Candila & Oguzhan Cepni & Giampiero M. Gallo & Rangan Gupta, 2024.
"Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis,"
Working Papers
202437, University of Pretoria, Department of Economics.
- V. Candila & O. Cepni & G. M. Gallo & R. Gupta, 2024. "Influence of Local and Global Economic Policy Uncertainty on the volatility of US state-level equity returns: Evidence from a GARCH-MIDAS approach with Shrinkage and Cluster Analysis," Working Paper CRENoS 202414, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Borgioli, Stefano & Gallo, Giampiero M. & Ongari, Chiara, 2024.
"Financial returns, sentiment and market volatility. A dynamic assessment,"
Working Paper Series
2999, European Central Bank.
- G.M. Gallo & C.Ongari & S. Borgioli, 2024. "Financial Returns, Sentiment and Market Volatility: a Dynamic Assessment," Working Paper CRENoS 202415, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Forero Buitrago, Juan Camilo, 2024. "Fondo de Estabilización de Precios de los Combustibles: impacto macroeconómico e incidencia sobre el consumo de recursos energéticos," Documentos CEDE 21141, Universidad de los Andes, Facultad de Economía, CEDE.
- Pinilla Barrera, Alejandro & Hurtado Rendón, Álvaro & Velásquez Ceballos, Hermilson, 2024. "Variation Index of the Output Gap (VIOG): A New Way of Testing Potential GDP Estimations," Documentos de Trabajo de Valor Público 2, Universidad EAFIT.
- Marco Del Negro & Keshav Dogra & Aidan Gleich & Pranay Gundam & Donggyu Lee & Ramya Nallamotu & Brian Pacula, 2024.
"The NY Fed DSGE Model: A Post-COVID Assessment,"
AEA Papers and Proceedings, American Economic Association, vol. 114, pages 95-100, May.
- Del Negro, Marco & Dogra, Keshav & Gleich, Aidan & Gundam, Pranay & Lee, Donggyu & Nallamotu, Ramya, 2024. "The NY Fed DSGE Model: A Post-Covid Assessment," CEPR Discussion Papers 18742, C.E.P.R. Discussion Papers.
- Arias, Jonas & Rubio-RamÃrez, Juan Francisco & Waggoner, Daniel, 2024. "Uniform Priors for Impulse Responses," CEPR Discussion Papers 18836, C.E.P.R. Discussion Papers.
- Barbara Rossi & Atsushi Inoue & Yiru Wang, 2024.
"Has the Phillips curve flattened?,"
French Stata Users' Group Meetings 2024
22, Stata Users Group.
- Inoue, Atsushi & Rossi, Barbara & Wang, Yiru, 2024. "Has the Phillips Curve Flattened?," CEPR Discussion Papers 18846, C.E.P.R. Discussion Papers.
- Fève, Patrick & Assenza, Tiziana & Collard, Fabrice & Huber, Stefanie, 2024.
"From Buzz to Bust: How Fake News Shapes the Business Cycle,"
TSE Working Papers
24-1516, Toulouse School of Economics (TSE).
- Assenza, Tiziana & Collard, Fabrice & Feve, Patrick & Huber, Stefanie, 2024. "From Buzz to Bust: How Fake News Shapes the Business Cycle," CEPR Discussion Papers 18912, C.E.P.R. Discussion Papers.
- Tiziana Assenza & Fabrice Collard & Patrick Fève & Stefanie J. Huber, 2024. "From Buzz to Bust: How Fake news Shapes the Business Cycle," ECONtribute Policy Brief Series 058, University of Bonn and University of Cologne, Germany.
- Tiziana Assenza & Fabrice Collard & Patrick Fève & Stefanie Huber, 2024. "From Buzz to Bust: How Fake News Shapes the Business Cycle," ECONtribute Discussion Papers Series 287, University of Bonn and University of Cologne, Germany.
- Ascari, Guido & Bonomolo, Paolo & Celani, Alessandro, 2024. "The Macroeconomic Effects of Inflation Expectations: The Distribution Matters," CEPR Discussion Papers 18937, C.E.P.R. Discussion Papers.
- Massimiliano Marcellino & Michael Pfarrhofer, 2024.
"Bayesian nonparametric methods for macroeconomic forecasting,"
Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 5, pages 90-125,
Edward Elgar Publishing.
- Massimiliano MARCELLINO & Michael PFARRHOFER, 2024. "Bayesian nonparametric methods for macroeconomic forecasting," BAFFI CAREFIN Working Papers 24224, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Marcellino, Massimiliano & Pfarrhofer, Michael, 2024. "Bayesian nonparametric methods for macroeconomic forecasting," CEPR Discussion Papers 18970, C.E.P.R. Discussion Papers.
- Canova, Fabio & Kociecki, Andrzej & Piffer, Michele, 2024. "Flexible prior beliefs on impulse responses in Bayesian vector autoregressive models," CEPR Discussion Papers 18992, C.E.P.R. Discussion Papers.
- Joseph S. Briggs & Andrew Caplin & Søren Leth-Petersen & Christopher Tonetti, 2024.
"Identification of Marginal Treatment Effects using Subjective Expectations,"
NBER Working Papers
32309, National Bureau of Economic Research, Inc.
- Briggs, Joseph & Caplin, Andrew & Leth-Petersen, Søren & Tonetti, Christopher, 2024. "Identification of Marginal Treatment Effects using Subjective Expectations," CEPR Discussion Papers 18995, C.E.P.R. Discussion Papers.
- Joseph Briggs & Andrew Chaplin & Soeren Leth-Petersen & Christopher Tonetti, 2024. "Identification of Marginal Treatment Effects using Subjective Expectations," CEBI working paper series 24-06, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
- Bergholt, Drago & Canova, Fabio & Furlanetto, Francesco & Maffei-Faccioli, Nicolò & Ulvedal, Pål, 2024. "What Drives the Recent Surge in Inflation? The Historical Decomposition Roller Coaster," CEPR Discussion Papers 19005, C.E.P.R. Discussion Papers.
- Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023.
"The Long-Run Phillips Curve is ... a Curve,"
Working Papers
789, DNB.
- Ascari, Guido & Bonomolo, Paolo & Haque, Qazi, 2024. "The Long-Run Phillips Curve is ... a Curve," CEPR Discussion Papers 19069, C.E.P.R. Discussion Papers.
- Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023. "The Long-Run Phillips Curve is ... a Curve," School of Economics and Public Policy Working Papers 2023-07 Classification-C3, University of Adelaide, School of Economics and Public Policy.
- Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023. "The Long-Run Phillips Curve is ... a Curve," CAMA Working Papers 2023-37, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023. "The Long-Run Phillips Curve is ... a Curve," DEM Working Papers Series 213, University of Pavia, Department of Economics and Management.
- Collard, Fabrice & Feve, Patrick & Guay, Alain, 2024. "Believe it or not, it’s all about Beliefs!," CEPR Discussion Papers 19103, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Florian Huber & Massimiliano Marcellino, 2024.
"Risky Oil: It's All in the Tails,"
NBER Working Papers
32524, National Bureau of Economic Research, Inc.
- Baumeister, Christiane & Huber, Florian & Marcellino, Massimiliano, 2024. "Risky Oil: It's All in the Tails," CEPR Discussion Papers 19129, C.E.P.R. Discussion Papers.
- Dahlhaus, Tatjana & Sekhposyan, Tatevik, 2024. "Survey-based Monetary Policy Uncertainty and its Asymmetric Effects," CEPR Discussion Papers 19131, C.E.P.R. Discussion Papers.
- Atsushi Inoue & Lutz Kilian, 2024.
"When Is the Use of Gaussian-inverse Wishart-Haar Priors Appropriate?,"
Working Papers
2404, Federal Reserve Bank of Dallas.
- Inoue, Atsushi & Kilian, Lutz, 2024. "When Is the Use of Gaussian-inverse Wishart-Haar Priors Appropriate?," CEPR Discussion Papers 19227, C.E.P.R. Discussion Papers.
- Thorsten Drautzburg & Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Dick Oosthuizen, 2024.
"Filtering with Limited Information,"
PIER Working Paper Archive
24-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Drautzburg, Thorsten & Fernández-Villaverde, Jesús & Guerron, Pablo & Oosthuizen, Dick, 2024. "Filtering with Limited Information," CEPR Discussion Papers 19270, C.E.P.R. Discussion Papers.
- Thorsten Drautzburg & Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana & Dick Oosthuizen, 2024. "Filtering with Limited Information," NBER Working Papers 32754, National Bureau of Economic Research, Inc.
- Thorsten Drautzburg & Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Dick Oosthuizen, 2024. "Filtering with Limited Information," CESifo Working Paper Series 11243, CESifo.
- Jordà , Òscar & Taylor, Alan M., 2024. "Local projections," CEPR Discussion Papers 19378, C.E.P.R. Discussion Papers.
- Atsushi Inoue & `Oscar Jord`a & Guido M. Kuersteiner, 2023.
"Inference for Local Projections,"
Papers
2306.03073, arXiv.org, revised Aug 2024.
- Inoue, Atsushi & Jordà , Òscar & Kuersteiner, Guido, 2024. "Inference for Local Projections," CEPR Discussion Papers 19379, C.E.P.R. Discussion Papers.
- Atsushi Inoue & Òscar Jordà & Guido M. Kuersteiner, 2024. "Inference for Local Projections," Working Paper Series 2024-29, Federal Reserve Bank of San Francisco.
- Blazsek, Szabolcs & Escribano, Alvaro & Kristof, Erzsebet, 2024.
"Global, Arctic, and Antarctic sea ice volume predictions using score-driven threshold climate models,"
Energy Economics, Elsevier, vol. 134(C).
- Blazsek, Szabolcs & Escribano, Álvaro & Kristof, Erzsebet, 2024. "Global, Arctic, and Antarctic sea ice volume predictions: using score-driven threshold climate models," UC3M Working papers. Economics 39546, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2024. "Anthropogenic effects of climate change: Further evidence from a fractionally integrated ice-age model," UC3M Working papers. Economics 44712, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gadea Rivas, María Dolores & Gonzalo, Jesús, 2024. "Regional heterogeneity and warming dominance in the United States," UC3M Working papers. Economics 45017, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Garrón Vedia, Ignacio & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2024. "International vulnerability of inflation," DES - Working Papers. Statistics and Econometrics. WS 44814, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Glen RAYP & Ilse RUYSSSEN & Samuel STANDAERT, 2024. "Selecting only the best and brightest? An assessment of migration policy selectivity and its effectiveness," JODE - Journal of Demographic Economics, Cambridge University Press, vol. 90(3), pages 352-383, September.
- Christian Jorge Carreiro, 2024. "Interdependencia bancaria y transmisión del riesgo soberano: Evidencia de Estados Unidos, Europa y Reino Unido," Revista de Economía y Finanzas (REyF), Asociación Cuadernos de Economía, vol. 2(5), pages 119-136, Mayo.
- Saksham Sood & Bichitrananda Seth & Samir Ranjan Behera & Deba Prasad Rath, 2024. "Asymmetric Impact of Monetary Policy on 10-Year G-Sec Yield in India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 22(3), pages 615-629, September.
- Muhammet Daştan & Kerem Karabulut & Ömer Yalçınkaya, 2024. "The time-varying impacts of global economic policy uncertainty on macroeconomic activity in a small open economy: the case of Turkey," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(2), pages 275-311, May.
- Melina Dritsaki & Chaido Dritsaki, 2024. "Export-Led and Import-Led Growth Hypotheses: Empirical Evidence from Greece," Springer Proceedings in Business and Economics, in: Nicholas Tsounis & Aspasia Vlachvei (ed.), Applied Economic Research and Trends, chapter 0, pages 159-185, Springer.
- Hengzhen Lu & Qiujin Gao & Ling Xiao & Gurjeet Dhesi, 2024. "Forecasting EUA futures volatility with geopolitical risk: evidence from GARCH-MIDAS models," Review of Managerial Science, Springer, vol. 18(7), pages 1917-1943, July.
- Diego Fresoli, 2024. "Spanish GDP short-term point and density forecasting using a mixed-frequency dynamic factor model," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 15(2), pages 145-177, June.
- Philipp Wegmueller & Christian Glocker, 2024. "Capturing Swiss economic confidence," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 160(1), pages 1-17, December.
- Riadh Trabelsi, 2024. "Sources of macroeconomic fluctuations in Tunisia: a structural VAR approach," SN Business & Economics, Springer, vol. 4(10), pages 1-28, October.
- Nuruddeen Usman & Martins Apinran, 2024. "Policy rates in ECOWAS: are they fractionally cointegrated?," SN Business & Economics, Springer, vol. 4(11), pages 1-15, November.
- Eliphas Ndou & Nombulelo Gumata & Tebello Moletsane, 2024. "Exchange rate and GDP nexus in South Africa: the disconnect after the 2008 global recession," SN Business & Economics, Springer, vol. 4(2), pages 1-27, February.
- Jamel Boukhatem, 2024. "The effects of financial risk components on local-currency bond markets: theory and empirical evidence," SN Business & Economics, Springer, vol. 4(4), pages 1-19, April.
- Anthony Enisan Akinlo, 2024. "Asymmetric effects of world uncertainty index on the demand for money in Nigeria," SN Business & Economics, Springer, vol. 4(9), pages 1-18, September.
- Paolo Chirico, 2024. "Iterative QML estimation for asymmetric stochastic volatility models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 33(3), pages 885-900, July.
- Ard H. J. den Reijer & Pieter W. Otter & Jan P. A. M. Jacobs, 2024. "An heuristic scree plot criterion for the number of factors," Statistical Papers, Springer, vol. 65(6), pages 3991-4000, August.
- Christina Anderl & Guglielmo Maria Caporale, 2024.
"Functional shocks to inflation expectations and real interest rates and their macroeconomic effects,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 160(4), pages 1543-1575, November.
- Christina Anderl & Guglielmo Maria Caporale, 2023. "Functional Shocks to Inflation Expectations and Real Interest Rates and Their Macroeconomic Effects," CESifo Working Paper Series 10656, CESifo.
- Paulo Henrique Ângelo Souza & Mathias Schneid Tessmann & José Luiz Rossi Júnior & Marcelo de Oliveira Passos, 2024. "The Impacts of the Interest Rate, the Exchange Rate, and the Market Index on the Stock Returns of the Brazilian Banks," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 14(2), pages 1-3.
- Julia Skretting, 2024. "The Role of Oil Prices in Norwegian Petroleum Investments. An Empirical Study," Discussion Papers 1016, Statistics Norway, Research Department.
- Pål Boug & Håvard Hungnes & Takamitsu Kurita, 2024. "Getting Back on Track. Forecasting After Extreme Observations," Discussion Papers 1018, Statistics Norway, Research Department.
- Joana Katina & Joana Katina & Igor Katin & Igor Katin & Vera Komarova, 2024. "Cryptocurrency price forecasting: a comparative analysis of autoregressive and recurrent neural network models," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 11(4), pages 425-436, June.
- Luke Hartigan & Tom Rosewall, 2024.
"Nowcasting Quarterly GDP Growth during the COVID-19 Crisis Using a Monthly Activity Indicator,"
RBA Research Discussion Papers
rdp2024-04, Reserve Bank of Australia.
- Luke Hartigan & Tom Rosewall, 2024. "Nowcasting Quarterly GDP Growth during the COVID-19 Crisis Using a Monthly Activity Indicator," Working Papers 2024-15, University of Sydney, School of Economics.
- Ahmed H. Elsayed & Ricardo M. Sousa, 2024.
"International monetary policy and cryptocurrency markets: dynamic and spillover effects,"
The European Journal of Finance, Taylor & Francis Journals, vol. 30(16), pages 1855-1875, November.
- Elsayed, Ahmed H. & Sousa, Ricardo M., 2024. "International monetary policy and cryptocurrency markets: dynamic and spillover effects," LSE Research Online Documents on Economics 115305, London School of Economics and Political Science, LSE Library.
- Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024.
"GDP Solera: The Ideal Vintage Mix,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 984-997, July.
- Almuzara, Martin & Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2022. "GDP Solera: The Ideal Vintage Mix," CEPR Discussion Papers 17196, C.E.P.R. Discussion Papers.
- Dante Amengual & Gabriele Fiorentini & Martín Almuzara & Enrique Sentana, 2022. "GDP Solera: The Ideal Vintage Mix," Staff Reports 1027, Federal Reserve Bank of New York.
- Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "GDP Solera. The Ideal Vintage Mix," Working Papers wp2022_2204, CEMFI.
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"Linking Frequentist and Bayesian Change-Point Methods,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(4), pages 1155-1168, October.
- Ardia, David & Dufays, Arnaud & Ordás Criado, Carlos, 2023. "Linking Frequentist and Bayesian Change-Point Methods," MPRA Paper 119486, University Library of Munich, Germany.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2024.
"Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(4), pages 1302-1317, October.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021. "Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model," Papers 2110.03411, arXiv.org.
- Clark, Todd & Huber, Florian & Koop, Gary & Marcellino, Massimiliano & Pfarrhofer, Michael, 2023. "Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model," CEPR Discussion Papers 18549, C.E.P.R. Discussion Papers.
- Todd Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021. "Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model," Working Papers 2307, University of Strathclyde Business School, Department of Economics.
- Knut Are Aastveit & Jamie L. Cross & Francesco Furlanetto & Herman K. Van Dijk, 2024.
"Taylor Rules with Endogenous Regimes,"
Working Papers
No 04/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Knut Are Aastveit & Jamie Cross & Francesco Furlanetto & Herman K. Van Dijk, 2024. "Taylor Rules with Endogenous Regimes," Tinbergen Institute Discussion Papers 24-030/III, Tinbergen Institute.
- Lucas P. Harlaar & Jacques J.F. Commandeur & Jan A. van den Brakel & Siem Jan Koopman & Niels Bos & Frits D. Bijleveld, 2024. "Statistical Early Warning Models with Applications," Tinbergen Institute Discussion Papers 24-037/III, Tinbergen Institute.
- Laura Capera Romero & Anne Opschoor, 2024. "Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting," Tinbergen Institute Discussion Papers 24-059/III, Tinbergen Institute.
- Francisco Blasques & Janneke van Brummelen & Paolo Gorgi & Siem Jan Koopman, 2024. "Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application," Tinbergen Institute Discussion Papers 24-062/III, Tinbergen Institute.
- Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2024.
"Tracking Weekly State-Level Economic Conditions,"
The Review of Economics and Statistics, MIT Press, vol. 106(2), pages 483-504, March.
- Christiane Baumeister & Danilo Leiva-León & Eric R. Sims, 2021. "Tracking Weekly State-Level Economic Conditions," NBER Working Papers 29003, National Bureau of Economic Research, Inc.
- Christiane Baumeister & Danilo Leiva-Leon & Eric Sims, 2021. "Tracking Weekly State-Level Economic Conditions," Working Papers 202151, University of Pretoria, Department of Economics.
- Baumeister, Christiane & Leiva-León, Danilo & Sims, Eric, 2021. "Tracking Weekly State-Level Economic Conditions," CEPR Discussion Papers 16317, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Danilo Leiva-León & Eric R. Sims, 2021. "Tracking Weekly State-Level Economic Conditions," CESifo Working Paper Series 9165, CESifo.
- Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2021. "Tracking weekly state-level economic conditions," Working Papers 2134, Banco de España.
- Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2021. "Tracking weekly state-level economic conditions," CAMA Working Papers 2021-55, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Assenza, Tiziana & Collard, Fabrice & Feve, Patrick & Huber, Stefanie, 2024.
"From Buzz to Bust: How Fake News Shapes the Business Cycle,"
CEPR Discussion Papers
18912, C.E.P.R. Discussion Papers.
- Fève, Patrick & Assenza, Tiziana & Collard, Fabrice & Huber, Stefanie, 2024. "From Buzz to Bust: How Fake News Shapes the Business Cycle," TSE Working Papers 24-1516, Toulouse School of Economics (TSE).
- Tiziana Assenza & Fabrice Collard & Patrick Fève & Stefanie Huber, 2024. "From Buzz to Bust: How Fake News Shapes the Business Cycle," ECONtribute Discussion Papers Series 287, University of Bonn and University of Cologne, Germany.
- Tiziana Assenza & Fabrice Collard & Patrick Fève & Stefanie J. Huber, 2024. "From Buzz to Bust: How Fake news Shapes the Business Cycle," ECONtribute Policy Brief Series 058, University of Bonn and University of Cologne, Germany.
- Fève, Patrick & Collard, Fabrice & Guay, Alain, 2024. "Believe it or not, it’s all about Beliefs!," TSE Working Papers 24-1539, Toulouse School of Economics (TSE).
- Fabio C. Bagliano & Claudio Morana, 2024.
"Eurozone Economic Integration: Historical Developments and New Challenges Ahead,"
Working Paper series
24-15, Rimini Centre for Economic Analysis.
- Bagliano Fabio C. & Morana Claudio, 2024. "Eurozone Economic Integration: Historical Developments and New Challenges Ahead," Working papers 096, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
- Fabio C. Bagliano & Claudio Morana, 2024. "Eurozone Economic Integration: Historical Developments and New Challenges Ahead," Working Papers 546, University of Milano-Bicocca, Department of Economics.
- Zacharias Psaradakis & Martin Sola & Francisco Rapetti & Patricio Yunis, 2024. "The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model with Threshold Effects," Department of Economics Working Papers 2024_01, Universidad Torcuato Di Tella.
- Zacharias Psaradakis & Martin Sola & Nicola Spagnolo & Patricio Yunis, 2024. "Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions," Department of Economics Working Papers 2024_02, Universidad Torcuato Di Tella.
- Demian Pouzo & Zacharias Psaradakis & Martín Sola, 2024.
"On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities,"
Department of Economics Working Papers
2024_04, Universidad Torcuato Di Tella.
- Demian Pouzo & Martin Sola & Zacharias Psaradakis, 2025. "On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities," Papers 2504.21669, arXiv.org.
- Gabriel Montes-Rojas & Zacharias Psaradakis & Martín Sola, 2024. "On Regime Separation in Markov-Switching Quantile Regressions," Department of Economics Working Papers 2024_05, Universidad Torcuato Di Tella.
- Martin Bruns & Helmut Lütkepohl & James McNeil, 2024.
"Avoiding Unintentionally Correlated Shocks in Procy Vector Autoregressive Analysis,"
Discussion Papers of DIW Berlin
2095, DIW Berlin, German Institute for Economic Research.
- Martin Bruns & Helmut Lutkepohl & James McNeil, 2024. "Avoiding Unintentionally Correlated Shocks in Proxy Vector Autoregressive Analysis," University of East Anglia School of Economics Working Paper Series 2024-05, School of Economics, University of East Anglia, Norwich, UK..
- Martin Bruns & Helmut Lütkepohl, 2024.
"Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions,"
Discussion Papers of DIW Berlin
2103, DIW Berlin, German Institute for Economic Research.
- Martin Bruns & Helmut Lutkepohl, 2024. "Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions," University of East Anglia School of Economics Working Paper Series 2024-06, School of Economics, University of East Anglia, Norwich, UK..
- Li, Mengheng & Mendieta-Muñoz, Ivan, 2024.
"Dynamic hysteresis effects,"
Journal of Economic Dynamics and Control, Elsevier, vol. 163(C).
- Ivan Mendieta-Muñoz, 2024. "Time-varying investment dynamics in the USA," Working Paper Series, Department of Economics, University of Utah 2024_01, University of Utah, Department of Economics.
- Zheng-Zheng Li & Chi Wei Su & Ran Tao, 2024. "No Longer a Safe Haven Currency? A Fresh Evidence of Japanese Yen under Uncertainty," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 71(1), pages 119-134.
- Halim Can Avcı & Zafer Çalışkan, 2024. "The Effect of Health on Economic Growth: A Production Function Approach for Turkey," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 71(3), pages 373-393.
- Petar Ivanov, 2024. "Detecting Housing Bubbles Through the Assessment of House Price Deviations in Bulgaria," Stroitelno predpriemachestvo i nedvizhima sobstvenost = Construction Entrepreneurship and Real Property, University of Economics Varna, issue 2, pages 40-53.
- Kharitonchik Anatoly, 2024. "Optimal Monetary Policy Framework in an Emerging Market Economy under Sanctions Pressure and Restrictions on Capital Flows," Central European Economic Journal, Sciendo, vol. 11(58), pages 329-345.
- Suproń Błażej, 2024. "Assessing the long-term asymmetric relationship between energy consumption and CO2 emissions: Evidence from the Visegrad Group countries," Economics and Business Review, Sciendo, vol. 10(1), pages 179-198, April.
- Türken Fatma & Yildirim Mustafa Ozan, 2024. "Second-round effects of food prices on core inflation in Turkey," Economics and Business Review, Sciendo, vol. 10(4), pages 32-55.
- Kuncoro Haryo & Pardede Josua, 2024. "Modelling the Demand for Indonesia’s Foreign Reserves," Economics, Sciendo, vol. 12(1), pages 131-151, April.
- Barbić Tajana & Čondić-Jurkić Iva, 2024. "Viral Trends and Stock Markets: Spillover Between Meme Assets and Sectoral Returns," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 20(4), pages 1-15.
- Leshoro Temitope Lydia A., 2024. "Inflation Dynamics and Policy Mix in Ghana," Folia Oeconomica Stetinensia, Sciendo, vol. 24(1), pages 124-143.
- Ssekitoleko Patrick & Manaliyo Jean Claude, 2024. "Investigating the Effects of Advancements in Information and Communication Technology and Financial Development on Tourism Growth: A Case of South Africa," Folia Oeconomica Stetinensia, Sciendo, vol. 24(2), pages 304-326.
- Pisică Andrei & Davidescu Adriana AnaMaria & AgafiȚei Marina-Diana & BolboaȘă Maria-Bianca & Gheorghe Mihai, 2024. "Transition Trajectory: VAR Projections of Romania’s Shift to Renewable Energy," Journal of Social and Economic Statistics, Sciendo, vol. 13(1), pages 1-19.
- de Salles André Assis & Lima Renato Barros, 2024. "Carbon Credits and Crude Oil: An Investigation of the Price Returns Interaction in the International Market," Naše gospodarstvo/Our economy, Sciendo, vol. 70(1), pages 1-12, March.
- Abdić Adem & Abdić Ademir & Lazović-Pita Lejla & Kanlić Fahir, 2024. "Is There a Relationship between Macroeconomic Variables and Stock Market Indices in Bosnia and Herzegovina?," Naše gospodarstvo/Our economy, Sciendo, vol. 70(3), pages 48-70.
- Senekovič Marko, 2024. "Economic Inequality and the Size of Government Expenditure Shocks: An Empirical Exercise," Naše gospodarstvo/Our economy, Sciendo, vol. 70(4), pages 1-11.
- Gluszak Michal & Trojanek Radoslaw, 2024. "Supply, Demand and Asymmetric Adjustment of House Prices in Poland," Real Estate Management and Valuation, Sciendo, vol. 32(2), pages 31-45.
- Onatunji Olufemi Gbenga & Adejumo Oluwabunmi Opeyemi & Olabode Oluwayinka Samuel, 2024. "A new perspective on the asymmetric Phillips curve: Fresh evidence from ECOWAS member countries," Zagreb International Review of Economics and Business, Sciendo, vol. 27(1), pages 115-135.
- Krišto Jakša & Kedžo Margareta Gardijan & Škrinjarić Tihana, 2024. "What Drives Property Insurance Demand in Croatia?," Zagreb International Review of Economics and Business, Sciendo, vol. 27(1), pages 155-176.
- Rashid Abdul & Jehan Zainab & Tahira Maria & Javed Amir, 2024. "Do Exchange Rates Respond Asymmetrically to Crude Oil Market Shocks? Insights from BRICS and Pakistan," Zagreb International Review of Economics and Business, Sciendo, vol. 27(1), pages 31-62.
- Sulkhan Chavleishvili & Simone Manganelli, 2024.
"Forecasting and stress testing with quantile vector autoregression,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 66-85, January.
- Chavleishvili, Sulkhan & Manganelli, Simone, 2019. "Forecasting and stress testing with quantile vector autoregression," Working Paper Series 2330, European Central Bank.
- Pawel M. Krolikowski & Kurt G. Lunsford, 2024.
"Advance layoff notices and aggregate job loss,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 462-480, April.
- Pawel Krolikowski & Kurt Graden Lunsford, 2020. "Advance Layoff Notices and Aggregate Job Loss," Working Papers 20-03R, Federal Reserve Bank of Cleveland, revised 02 Feb 2022.
- Jia Liu & John M. Maheu & Yong Song, 2024.
"Identification and forecasting of bull and bear markets using multivariate returns,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 723-745, August.
- Liu, Jia & Maheu, John M & Song, Yong, 2023. "Identification and Forecasting of Bull and Bear Markets using Multivariate Returns," MPRA Paper 119515, University Library of Munich, Germany.
- Gloria González‐Rivera & C. Vladimir Rodríguez‐Caballero & Esther Ruiz, 2024.
"Expecting the unexpected: Stressed scenarios for economic growth,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 926-942, August.
- Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2023. "Expecting the unexpected: Stressed scenarios for economic growth," Working Papers 202314, University of California at Riverside, Department of Economics.
- Florian Huber & Gary Koop, 2024.
"Fast and order‐invariant inference in Bayesian VARs with nonparametric shocks,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(7), pages 1301-1320, November.
- Florian Huber & Gary Koop, 2023. "Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks," Papers 2305.16827, arXiv.org.
- Florian Huber & Gary Koop, 2023. "Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks," Working Papers 2309, University of Strathclyde Business School, Department of Economics.
- Randal Verbrugge & Saeed Zaman, 2024.
"Post‐COVID inflation dynamics: Higher for longer,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 871-893, July.
- Randal J. Verbrugge & Saeed Zaman, 2023. "Post-COVID Inflation Dynamics: Higher for Longer," Working Papers 23-06R, Federal Reserve Bank of Cleveland, revised 20 Jun 2023.
- Peter McAdam & Anders Warne, 2024.
"Density forecast combinations: The real‐time dimension,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1153-1172, August.
- McAdam, Peter & Warne, Anders, 2020. "Density forecast combinations: the real-time dimension," Working Paper Series 2378, European Central Bank.
- Mario Forni & Luca Gambetti & Nicolò Maffei‐Faccioli & Luca Sala, 2024.
"Nonlinear Transmission of Financial Shocks: Some New Evidence,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(1), pages 5-33, February.
- Mario Forni & Luca Gambetti & Nicolò Maffei-Faccioli & Luca Sala, 2022. "Nonlinear transmission of financial shocks: Some new evidence," Working Paper 2022/3, Norges Bank.
- Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2024.
"From Fixed‐Event to Fixed‐Horizon Density Forecasts: Obtaining Measures of Multihorizon Uncertainty from Survey Density Forecasts,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(7), pages 1675-1704, October.
- Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019. "From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts," Economics Working Papers 1689, Department of Economics and Business, Universitat Pompeu Fabra.
- Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019. "From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts," Working Papers 1947, Banco de España.
- Gergely Ganics & Tatevik Sekhposyan & Barbara Rossi, 2020. "From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts," Working Papers 1142, Barcelona School of Economics.
- Lukas Hoesch & Adam Lee & Geert Mesters, 2024.
"Locally robust inference for non‐Gaussian SVAR models,"
Quantitative Economics, Econometric Society, vol. 15(2), pages 523-570, May.
- Adam Lee & Lukas Hoesch & Geert Mesters, 2022. "Locally Robust Inference for Non-Gaussian SVAR Models," Working Papers 1367, Barcelona School of Economics.
- Rangan Gupta & Savanah Hall & Christian Pierdzioch, 2024.
"Realized Stock Market Volatility of the United States: The Role of Employee Sentiment,"
Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-21, June.
- Rangan Gupta & Savanah Hall & Christian Pierdzioch, 2023. "Realized Stock Market Volatility of the United States: The Role of Employee Sentiment," Working Papers 202319, University of Pretoria, Department of Economics.
- Bisharat Hussain Chang & Ashish K. Saxena & Andrej Privara & Mohammed Ahmar Uddin & Sebastian Cruz, 2024. "Asymmetric Effects of Local and Global Variables on Domestic Food Prices in China: An Evidence from Quantile on Quantile Regression Technique," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-28, October.
- Joseph Chukwudi Odionye & Innocent Uchechukwu Duru & Innocent Chile Nzeh & Ndubuisi Eme Uguru & Kelechi Promise Uzoma, 2024. "Heterogeneous Influence of Capital Flight and Economic Policy Uncertainty on Domestic Investment in Nigeria: New Evidence from Quantile Nonlinear ARDL," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-33, October.
- T. T. Pham Trinh & P. A. Le Nhan & T. H. Vu Minh & L. L. Vo Dan & T. T. Bui My & T. H. Nguyen Vinh, 2024. "What Are Spillover Transmission Channels From China’S Monetary Policy To Asia: Bayesian Vector Autoregressive Approach," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(02), pages 813-835, March.
- Yuan-Ming Lee & Kuan-Min Wang, 2024. "Can The Narrow And Broad Money Supply Gap Be Used As An Investment Indicator For The Stock Market?," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(02), pages 727-749, March.
- Soumya Bhadury & Saurabh Ghosh & Pawan Gopalakrishnan, 2024. "In Quest For Policy €Œsilver Bullets†Towards Triggering A V-Shaped Recovery," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(03), pages 1023-1045, June.
- Qian Zhao & Chi-Wei Su, 2024. "Does Anti-Corruption Facilitate Or Hinder Technological Innovation?," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(03), pages 1151-1169, June.
- Arthur Jin Lin, 2024. "Volatility Contagion Among Stock, Currency, And Bulk Shipping Market During The China’S Stock Market Crash Crisis," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(06), pages 1995-2012, September.
- Patterson C. Ekeocha & Jonathan E. Ogbuabor, 2024. "From Multilateralism To Multi-Polarism: A Study Of Trade Shock Transmission Between Selected African Economies, The Bric And The Rest Of The Global Economy," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(08), pages 2445-2473, December.
- Imen Omri & Oguzhan Ozcelebi, 2024. "Examination Of The Impacts Of Cryptocurrency Uncertainty On Exchange-Traded Funds," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 69(08), pages 2687-2712, December.
- Jin Seo Cho & Peter C. B. Phillips, 2024.
"GMM Estimation with Brownian Kernels Applied to Income Inequality Measurement,"
Cowles Foundation Discussion Papers
2411, Cowles Foundation for Research in Economics, Yale University.
- Jin Seo Cho & Peter C.B. Phillips, 2024. "GMM Estimation with Brownian Kernels Applied to Income Inequality Measurement," Working papers 2024rwp-232, Yonsei University, Yonsei Economics Research Institute.
- Herbst, Tobias & Plaasch, Jannick & Stammwitz, Florian, 2024. "A price-at-risk approach for the German commercial real estate market," Technical Papers 08/2024, Deutsche Bundesbank.
- Wang, Shu, 2024. "Daily oil price shocks and their uncertainties," University of Göttingen Working Papers in Economics 436, University of Goettingen, Department of Economics.
- Ratcliff, Ryan D., 2024. "A Comment on "Measuring Monetary Policy in the Euro Area Using SVARs with Residual Restrictions"," I4R Discussion Paper Series 160, The Institute for Replication (I4R).
- Meyer-Gohde, Alexander, 2024. "Solving and analyzing DSGE models in the frequency domain," IMFS Working Paper Series 207, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Graña-Colella, Santiago & Silva Neira, Ignacio, 2024. "Export manufacture competitiveness and commodity dependence: An empirical analysis of the Dutch Disease on Argentina and Chile during the commodity price boom," IPE Working Papers 232/2024, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
- Heinisch, Katja, 2024. "Step by step - A quarterly evaluation of EU Commission's GDP forecasts," IWH Discussion Papers 22/2024, Halle Institute for Economic Research (IWH).
- Schult, Christoph, 2024. "Analyse der Effekte des Atomausstiegs auf die deutschen Großhandelsstrompreise 2023," Wirtschaft im Wandel, Halle Institute for Economic Research (IWH), vol. 30(3), pages 57-60.
- Boris Blagov & Maximilian Dirks & Michael Funke, 2024.
"Economic Knock-On Effects of Russia’s Geopolitical Risk on Advanced Economies: A Global VAR Approach,"
CESifo Working Paper Series
10880, CESifo.
- Blagov, Boris & Dirks, Maximilian & Funke, Michael, 2024. "Economic knock-on effects of Russia's geopolitical risk on advanced economies: A global VAR approach," Ruhr Economic Papers 1061, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Müller, Henrik & Blagov, Boris & Schmidt, Torsten & Rieger, Jonas & Jentsch, Carsten, 2024. "The macroeconomic impact of asymmetric uncertainty shocks," Ruhr Economic Papers 1124, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Berger, Tino & Ochsner, Christian, 2024. "A note on the synchronisation of the natural rates of interest in Germany and the Euro Area," Working Papers 03/2024, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung.
- Kerstin Bernoth & Helmut Herwartz & Lasse Trienens, 2024.
"Interest Rates, Convenience Yields, and Inflation Expectations: Drivers of US Dollar Exchange Rates,"
Discussion Papers of DIW Berlin
2100, DIW Berlin, German Institute for Economic Research.
- Bernoth, Kerstin & Herwartz, Helmut & Trienens, Lasse, 2024. "Interest Rates, Convenience Yields and Inflation Expectations: Drivers of US Dollar Exchange Rates," VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges 302351, Verein für Socialpolitik / German Economic Association, revised 2024.
- Robert Lehmann & Lara Zarges, 2024.
"What Drives German Trend Output Growth? A Sectoral View,"
CESifo Working Paper Series
11089, CESifo.
- Zarges, Lara & Lehmann, Robert, 2024. "What Drives Trend German GDP Growth? A Disaggregated Sectoral View," VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges 302409, Verein für Socialpolitik / German Economic Association.
- Houari, Oussama & Bennani, Hamza & Bro de Comères, Quentin, 2025.
"Climate risks and economic activity in France: Evidence from media coverage,"
Journal of International Money and Finance, Elsevier, vol. 155(C).
- Oussama Houari & Hamza Bennani & Quentin Bro de Comères, 2024. "Climate Risks and Economic Activity in France: Evidence from Media Coverage," Working Papers hal-04565978, HAL.
- Valérie Mignon & Cécile Couharde & Carl Grekou & Florian Morvillier, 2024.
"Reconciling contrasting views on the growth effect of currency undervaluations,"
EconomiX Working Papers
2024-14, University of Paris Nanterre, EconomiX.
- Cécile Couharde & Carl Grekou & Valérie Mignon & Florian Morvillier, 2024. "Reconciling contrasting views on the growth effect of currency undervaluations," Working Papers hal-04568924, HAL.
- Cécile Couharde & Carl Grekou & Valérie Mignon & Florian Morvillier, 2024. "Reconciling Contrasting Views on the Growth Effect of Currency Undervaluations," Working Papers 2024-06, CEPII research center.
- Dierkes, Maik & Fitter, Krischan & Sibbertsen, Philipp, 2024. "Monitoring Breaks in Fractional Cointegration," Hannover Economic Papers (HEP) dp-728, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Dittmann, Bente & Lauter, Tobias & Prokopczuk, Marcel & Sibbertsen, Philipp, 2024. "What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS," Hannover Economic Papers (HEP) dp-732, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Kreye, Tom Jannik, 2024. "Testing for fractional cointegration in subsamples by allowing for structural breaks," Hannover Economic Papers (HEP) dp-733, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Tea Šestanović, 2024. "A Comprehensive Approach To Bitcoin Forecasting Using Neural Networks," Ekonomski pregled, Hrvatsko društvo ekonomista (Croatian Society of Economists), vol. 75(1), pages 62-85.
- Karlsson, Sune & Kiss, Tamás & Nguyen, Hoang & Österholm, Pär, 2024. "US Interest Rates: Are Relations Stable?," Working Papers 2024:3, Örebro University, School of Business.
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2024. "VAR Models with Fat Tails and Dynamic Asymmetry," Working Papers 2024:8, Örebro University, School of Business.
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- Lenza, Michele & Savoia, Ettore, 2024. "Do we need firm data to understand macroeconomic dynamics?," Working Paper Series 438, Sveriges Riksbank (Central Bank of Sweden).
- Linderoth, Gabriella & Meuller, Malte, 2024. "Inflation-Dependent Exchange Rate Pass-Through in Sweden: Insights from a Logistic Smooth Transition VAR Model," Working Paper Series 439, Sveriges Riksbank (Central Bank of Sweden).
- MORITA, Hiroshi, 2024. "New Approach to Estimating the Productivity of Public Capital : Evidence from 22 OECD Countries," Discussion paper series HIAS-E-141, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- NAM, Deokwoo & LI, Xiaole, 2024. "The Stimulative Effects of Anticipated Government Spending Expansions : Evidence from Survey Forecasts," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 65(1), pages 1-31, June.
- Bjarni G. Einarsson, 2024. "Online Monitoring of Policy Optimality," Economics wp95, Department of Economics, Central bank of Iceland.
- Bjarni G. Einarsson, 2024. "Testing optimal monetary policy in a currency union," Economics wp96, Department of Economics, Central bank of Iceland.
- Thorarinn Petursson, 2024. "Extracting inflation expectations and risk premia from the breakeven inflation rate in Iceland," Economics wp97, Department of Economics, Central bank of Iceland.
- Satish Kumar & Amar Rao, 2024. "Assessing And Mitigating The Impact Of Geopolitical Risk Uncertainty On The Indian Financial Sector: A Policy Perspective," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(3), pages 483-526, July.
- Chi Wei Su & Meng Qin, 2024. "Unravelling Dynamics And Connectedness: Distinguishing The Influence Of Sustainable Finance And Artificial Intelligence On Energy Sustainability In China," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(4), pages 741-766, December.
- Kaustubh & Soumya Bhadury & Saurabh Ghosh, 2024. "Reinvigorating Gva Nowcasting In The Postpandemic Period: A Case Study For India," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(Spesial I), pages 95-130, February.
- Vogelsang, Timothy J. & Wagner, Martin, 2024. "Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Multivariate Polynomial Regressions," IHS Working Paper Series 53, Institute for Advanced Studies.
- Veldhuis, Sebastian & Wagner, Martin, 2024. "Integrated Modiï¬ ed Least Squares Estimation and (Fixed-b) Inference for Systems of Cointegrating Multivariate Polynomial Regressions," IHS Working Paper Series 54, Institute for Advanced Studies.
- Roberto A. De Santis, 2024. "Supply Chain Disruption and Energy Supply Shocks: Impact on Euro-Area Output and Prices," International Journal of Central Banking, International Journal of Central Banking, vol. 20(2), pages 193-235, April.
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"Here Comes the Change: The Role of Global and Domestic Factors in Post-Pandemic Inflation in Europe,"
International Journal of Central Banking, International Journal of Central Banking, vol. 20(2), pages 237-290, April.
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"Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic,"
International Journal of Central Banking, International Journal of Central Banking, vol. 20(4), pages 275-320, October.
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- Schorfheide, Frank & Song, Dongho, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," CEPR Discussion Papers 16760, C.E.P.R. Discussion Papers.
- Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," PIER Working Paper Archive 20-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
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- Lukas Boer & Malte Rieth, 2024.
"The Macroeconomic Consequences of Import Tariffs and Trade Policy Uncertainty,"
Discussion Papers of DIW Berlin
2072, DIW Berlin, German Institute for Economic Research.
- Lukas Boer & Malte Rieth, 2024. "The Macroeconomic Consequences of Import Tariffs and Trade Policy Uncertainty," IMF Working Papers 2024/013, International Monetary Fund.
- Jaeho Kim & Scott C. Linn & Sora Chon, 2024. "Price Discovery via Long-run Forecast," Inha University IBER Working Paper Series 2024-2, Inha University, Institute of Business and Economic Research.
- Yoosoon Chang & J. Isaac Miller & Joon K. Park, 2024.
"Shocking Climate: Identifying Economic Damages from Anthropogenic and Natural Climate Change,"
CAEPR Working Papers
2024-007 Classification-E, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Yoosoon Chang & J. Isaac Miller & Joon Y. Park, 2025. "Shocking Climate: Identifying Economic Damages from Anthropogenic and Natural Climate Change," Working Papers 2501, Department of Economics, University of Missouri.
- Enja Erker, 2024. "Forecasting medical inflation in the European Union using the ARIMA model," Public Sector Economics, Institute of Public Finance, vol. 48(1), pages 39-56.
- Ricardo Barradas & João Alcobia, 2024. "Determinants Of The Portuguese External Imbalances: The Lens Of Post-Keynesian Economics," Working Papers REM 2024/0334, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
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"Fiscal Policy Spillovers in the Euro Area – A New Assessment,"
CESifo Working Paper Series
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- Mehmet Emre Ünsal, 2024. "Causalities Between Exports, Imports, and Total Factor Productivity in Developing Countries: The Case of Türkiye, Brazil, India, and South Africa," Journal of Economic Policy Researches, Istanbul University, Faculty of Economics, vol. 11(2), pages 186-203, July.
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- Oparina, Ekaterina & Krekel, Christian & Srisuma, Sorawoot, 2024.
"Talking therapy: impacts of a nationwide mental health service in England,"
LSE Research Online Documents on Economics
126829, London School of Economics and Political Science, LSE Library.
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- Zongwu Cai & Ying Fang & Dingshi Tian, 2024. "CAViaR Model Selection Via Adaptive Lasso," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202403, University of Kansas, Department of Economics, revised Jan 2024.
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- Xiangyu Chen & Jittima Tongurai & Pattana Boonchoo, 2024. "Revisiting China’s Commodity Futures Market Amid the Main Waves of COVID-19 Pandemics," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 1035-1063, December.
- Libo Xu, 2024. "On the WTI-WCS Oil Price Differential," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 52(2), pages 67-77, September.
- Peter J. Zeitsch, 2024. "Convertible Bond Arbitrage Smart Beta," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 159-192, January.
- Maolin Cheng & Bin Liu, 2024. "Quarterly Data Forecasting Method Based on Extended Grey GM(2, 1, Σsin) Model and Its Application in China’s Quarterly GDP Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2385-2412, October.
- Sharif Mozumder & Mohammad Zoynul Abedin & Raad Lalon & Amjad Hossain, 2024. "Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 3049-3086, November.
- Jingbing Sun & Youmu Xie & Sheng Zhou & Jiali Dan, 2024. "RETRACTED ARTICLE: The role of solar energy in achieving net-zero emission and green growth: a global analysis," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-16, April.
- Wenqiang Zhu & Shouwei Li, 2024. "Nonlinear effects of climate risks on climate-sensitive sectors," Economic Change and Restructuring, Springer, vol. 57(5), pages 1-31, October.
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- Maria Malmierca-Ordoqui & Luis A. Gil-Alana & Lorenzo Bermejo, 2024. "Private and public debt convergence: a fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(1), pages 161-183, February.
- Guglielmo Maria Caporale & Abdurrahman Nazif Çatık & Mohamad Husam Helmi & Coşkun Akdeniz & Ali İlhan, 2024. "Time-varying effects of the COVID-19 pandemic on stock markets and economic activity: evidence from the US and Europe," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(2), pages 529-558, May.
- Konstantinos N. Baltas & Robert Mann & Nicholaos C. Baltas, 2024. "The COVID-19 Pandemic and Unsustainable PPE Materials: A Correlation and Causality Analysis," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 87(6), pages 1651-1671, June.
- Kyriaki G. Louka & Nektarios A. Michail, 2024. "Oil prices and the euro exchange rate," International Economics and Economic Policy, Springer, vol. 21(4), pages 969-983, October.
- Robert Forster & Xiaojin Sun, 2024. "Heterogeneous Effects of Mortgage Rates on Housing Returns: Evidence from an Interacted Panel VAR," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 477-504, October.
- David Meenagh & Patrick Minford & Yongdeng Xu, 2024.
"Indirect Inference and Small Sample Bias — Some Recent Results,"
Open Economies Review, Springer, vol. 35(2), pages 245-259, April.
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- Meng Yan & Kai Shi, 2024. "Revisiting the Impact of US Uncertainty Shocks: New Evidence from China’s Investment Dynamics," Open Economies Review, Springer, vol. 35(3), pages 457-495, July.
- Gabriel Rodriguez & Paul Castillo B. & Junior A. Ojeda Cunya, 2024.
"Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR-SV Models,"
Open Economies Review, Springer, vol. 35(5), pages 1015-1050, November.
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- Haitham A. Al-Zoubi, 2024. "An affine model for short rates when monetary policy is path dependent," Review of Derivatives Research, Springer, vol. 27(2), pages 151-201, July.
- Afees A. Salisu & Rangan Gupta & Oguzhan Cepni & Petre Caraiani, 2024.
"Oil shocks and state-level stock market volatility of the United States: a GARCH-MIDAS approach,"
Review of Quantitative Finance and Accounting, Springer, vol. 63(4), pages 1473-1510, November.
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- Masahiko Shibamoto, 2024. "Measuring Trend Inflation Using Financial Condition: The Case of Japan," Discussion Paper Series DP2024-11, Research Institute for Economics & Business Administration, Kobe University.
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"Identification of Marginal Treatment Effects using Subjective Expectations,"
NBER Working Papers
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- Joseph Briggs & Andrew Chaplin & Soeren Leth-Petersen & Christopher Tonetti, 2024. "Identification of Marginal Treatment Effects using Subjective Expectations," CEBI working paper series 24-06, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
- Briggs, Joseph & Caplin, Andrew & Leth-Petersen, Søren & Tonetti, Christopher, 2024. "Identification of Marginal Treatment Effects using Subjective Expectations," CEPR Discussion Papers 18995, C.E.P.R. Discussion Papers.
- Yu-Ann Wang & Chia-Lin Chang, 2024. "Portfolio selection from risk transfer mechanisms in a time of crisis for renewable energy markets," KIER Working Papers 1108, Kyoto University, Institute of Economic Research.
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"Striking a bargain: narrative identification of wage bargaining shocks,"
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- Federica Brenna & Zymantas Budrys, 2024. "The term structure of judgement: interpreting survey disagreement," Bank of Lithuania Working Paper Series 123, Bank of Lithuania.
- Stilianos Fountas & Dimitra Kontana & Paraskevi Tzika, 2024.
"Uncertainty and financial asset return spillovers: are they related? Empirical evidence from three continents,"
Empirical Economics, Springer, vol. 67(5), pages 1891-1918, November.
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- Milas, Costas & Panagiotidis, Theodore & Papapanagiotou, Georgios, 2024.
"UK Foreign Direct Investment in uncertain economic times,"
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- Francesco Ferlaino, 2024. "Does the financial accelerator accelerate inequalities?," Working Papers 538, University of Milano-Bicocca, Department of Economics.
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"Eurozone Economic Integration: Historical Developments and New Challenges Ahead,"
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- Fabio C. Bagliano & Claudio Morana, 2024. "Eurozone Economic Integration: Historical Developments and New Challenges Ahead," Carlo Alberto Notebooks 729 JEL Classification: E, Collegio Carlo Alberto.
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"Estimation of Grouped Time-Varying Network Vector Autoregression Models,"
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- Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2024. "Estimation of Grouped Time-Varying Network Vector Autoregression Models," Monash Econometrics and Business Statistics Working Papers 6/24, Monash University, Department of Econometrics and Business Statistics.
- Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2025. "Estimation of Grouped Time-Varying Network Vector Autoregression Models," Working Papers 202526, University of Macau, Faculty of Business Administration.
- Miriam Braig & Sebastian K. Rüth & Wouter Van der Veken, 2024. "Exchange rate overshooting: unraveling the puzzles," Working Paper Research 455, National Bank of Belgium.
- Paweł Radwański, 2024. "Impact of tax changes on the risk premium of the WIG index," Bank i Kredyt, Narodowy Bank Polski, vol. 55(3), pages 333-356.
- James Bushnell & Aaron Smith, 2024. "Modeling Uncertainty in Climate Policy: An Application to the US Inflation Reduction Act," NBER Chapters, in: Environmental and Energy Policy and the Economy, volume 6, pages 4-41, National Bureau of Economic Research, Inc.
- Minsu Chang & Frank Schorfheide, 2024.
"On the Effects of Monetary Policy Shocks on Income and Consumption Heterogeneity,"
PIER Working Paper Archive
24-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
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- Briggs, Joseph & Caplin, Andrew & Leth-Petersen, Søren & Tonetti, Christopher, 2024.
"Identification of Marginal Treatment Effects using Subjective Expectations,"
CEPR Discussion Papers
18995, C.E.P.R. Discussion Papers.
- Joseph S. Briggs & Andrew Caplin & Søren Leth-Petersen & Christopher Tonetti, 2024. "Identification of Marginal Treatment Effects using Subjective Expectations," NBER Working Papers 32309, National Bureau of Economic Research, Inc.
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"Estimating the Effects of Political Pressure on the Fed: A Narrative Approach with New Data,"
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"Risky Oil: It's All in the Tails,"
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"Dynamic Identification in VARs,"
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"Filtering with Limited Information,"
PIER Working Paper Archive
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- Thorsten Drautzburg & Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Dick Oosthuizen, 2024. "Filtering with Limited Information," CESifo Working Paper Series 11243, CESifo.
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"Local Projections,"
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- Christiane Baumeister & Florian Huber & Thomas K. Lee & Francesco Ravazzolo, 2024. "Forecasting Natural Gas Prices in Real Time," NBER Working Papers 33156, National Bureau of Economic Research, Inc.
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"Instrumental Variables with Time-Varying Exposure: New Estimates of Revascularization Effects on Quality of Life,"
NBER Working Papers
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- Teterin, M. & Peresetsky, A., 2024. "Google Trends and Bitcoin volatility forecast," Journal of the New Economic Association, New Economic Association, vol. 65(4), pages 118-135.
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"Exact Likelihood for Inverse Gamma Stochastic Volatility Models,"
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23-07, National Graduate Institute for Policy Studies.
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- Roberto Leon-Gonzalez & Blessings Majoni, 2023. "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," Working Paper series 23-11, Rimini Centre for Economic Analysis.
- Chakraborty, Lekha, 2024. "RBI's Monetary Policy, Fiscal Deficits and Financial Crowding Out in India: An Empirical Investigation," Working Papers 24/414, National Institute of Public Finance and Policy.
- Iva Glišic, 2024. "A comparison of using MIDAS and LSTM models for GDP nowcasting," Working Papers Bulletin 22, National Bank of Serbia.
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- Kostadinka Stanimirova, 2024. "Modern Trends in the Purchasing Power of the Bulgarian Population," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 1, pages 148-156, March.
- Maximilian Böck & Alina Steshkova & Thomas Zörner, 2024. "The Impact of Currency Carry Trade Activity on the Transmission of Monetary Policy (Maximilian Boeck, Alina Steshkova, Thomas O. Zörner)," Working Papers 258, Oesterreichische Nationalbank (Austrian Central Bank).
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"The Shale Revolution and the Dynamics of the Oil Market,"
The Economic Journal, Royal Economic Society, vol. 134(662), pages 2252-2289.
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- Ke-Li Xu & Junjie Guo, 2024. "A New Test for Multiple Predictive Regression," Journal of Financial Econometrics, Oxford University Press, vol. 22(1), pages 119-156.
- Andréas Heinen & Mi Lim Kim & Malika Hamadi, 2024. "Geographic Dependence and Diversification in House Price Returns: The Role of Leverage," Journal of Financial Econometrics, Oxford University Press, vol. 22(1), pages 297-334.
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- Zongwu Cai & Seong Yeon Chang, 2024. "A New Test on Asset Return Predictability with Structural Breaks," Journal of Financial Econometrics, Oxford University Press, vol. 22(4), pages 1042-1074.
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"Stablecoins and credit risk: when do they stop being stable?,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 77, pages 46-73.
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"Model-free and model-based connectedness in highly, medium and lowly correlated financial returns: analyses of OECD inflations,"
Quality & Quantity: International Journal of Methodology, Springer, vol. 59(2), pages 1807-1832, April.
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"Extreme weather shocks and state-level inflation of the United States,"
Economics Letters, Elsevier, vol. 238(C).
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"Predicting the conditional distribution of US stock market systemic Stress: The role of climate risks,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 101(C).
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"Long-span multi-layer spillovers between moments of advanced equity markets: The role of climate risks,"
Research in International Business and Finance, Elsevier, vol. 74(C).
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"Energy market uncertainties and exchange rate volatility: A GARCH-MIDAS approach,"
Finance Research Letters, Elsevier, vol. 67(PB).
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"Can municipal bonds hedge US state-level climate risks?,"
Finance Research Letters, Elsevier, vol. 67(PB).
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"Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices,"
Mathematics, MDPI, vol. 12(18), pages 1-26, September.
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"GARCHX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables,"
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"Climate Risks and Real Gold Returns over 750 Years,"
Forecasting, MDPI, vol. 6(4), pages 1-16, October.
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"Influence of Local and Global Economic Policy Uncertainty on the volatility of US state-level equity returns: Evidence from a GARCH-MIDAS approach with Shrinkage and Cluster Analysis,"
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202414, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
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"Oil price shocks and the connectedness of US state-level financial markets,"
Energy Economics, Elsevier, vol. 141(C).
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"Exchange rate in emerging markets: Shock absorber or source of shock?,"
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"Nowcasting Quarterly GDP Growth during the COVID-19 Crisis Using a Monthly Activity Indicator,"
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"UK Foreign Direct Investment in uncertain economic times,"
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"Eurozone Economic Integration: Historical Developments and New Challenges Ahead,"
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- Adewuyi, Adeolu Olusegun & Adeboye, Olusegun S. & Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins, 2024. "A New Look at the Connectedness Between Energy and Metal Markets Using a Novel Approach," American Business Review, Pompea College of Business, University of New Haven, vol. 27(1), pages 116-166, May.
- Pogorelova, Polina, 2024. "Investigation of the impact of uncertainty indices on Bitcoin volatility using the ARDL model," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 74, pages 35-50.
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- Skrobotov, Anton, 2024. "Time series forecasting under structural breaks," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 76, pages 120-139.
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- Liberty Arodoye, Nosakhare, 2024. "Public Finance Instruments And Output Growth In Nigeria," Ilorin Journal of Economic Policy, Department of Economics, University of Ilorin, vol. 11(1), pages 38-56, June.
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- Ivanovski, Zoran & Ivanovska, Nadica, 2024. "The Augmented Dickey-Fuller Test For The Stationarity Of The Final Public Consumption And Gdp Time Series Of The Republic Of North Macedonia," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 15(2), pages 109-124.
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"Multivariate Rough Volatility,"
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"The European energy crisis and the US natural gas market dynamics: a structural VAR investigation,"
International Economics and Economic Policy, Springer, vol. 22(1), pages 1-22, February.
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"The empirical modelling of house prices and debt revisited: a policy-oriented perspective,"
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"Uncertainty and financial asset return spillovers: are they related? Empirical evidence from three continents,"
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- Matthew O'Donnell & Aleksandar Vasilev, 2024. "How do interest rates effect consumption in the UK?," EERI Research Paper Series EERI RP 2024/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Daniele Colombo & Laurent Ferrara, 2024. "Dynamic Effects of Weather Shocks on Production in European Economies," CAMA Working Papers 2024-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, revised Aug 2024.
- Corrado Di Guilmi & Georgia K. Rylah, 2024. "Behind the Curve: Econometric Estimation and Sectoral Decomposition of the Japanese Beveridge Curve’s Evolution Around the COVID-19 Pandemic," CAMA Working Papers 2024-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Enrico Campos de Mira & Wilfredo Fernado Leiva Maldonado, 2024. "Detecting Bubbles in the Brazilian Commercial Real Estate Market: 2012-2023," CAMA Working Papers 2024-29, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Greenwood-Nimmo, Matthew & Kočenda, Evžen & Nguyen, Viet Hoang, 2024.
"Detecting statistically significant changes in connectedness: A bootstrap-based technique,"
Economic Modelling, Elsevier, vol. 140(C).
- Matthew Greenwood-Nimmo & Evžen KoÄ enda & Viet Hoang Nguyen, 2019. "Does the Spillover Index Reflect Systemic Shocks? A Bootstrap-Based Probabilistic Analysis," Melbourne Institute Working Paper Series wp2019n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Matthew Greenwood-Nimmo & Evzen Kocenda & Viet Hoang Nguyen, 2024. "Detecting Statistically Significant Changes in Connectedness: A Bootstrap-based Technique," CAMA Working Papers 2024-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Matthew Greenwood-Nimmo & Evzen Kocenda & Viet Hoang Nguyen, 2021. "Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis," Working Papers IES 2021/29, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2021.
- Matthew Greenwood-Nimmo & Evžen Kocenda & Viet Hoang Nguyen, 2023. "Does the Spillover Index Respond to Adverse Shocks? A Bootstrap-Based Probabilistic Analysis," CESifo Working Paper Series 10668, CESifo.
- Knut Are Aastveit & Hilde C. Bjørnland & Jamie L. Cross & Helene Olsen, 2024.
"Unveiling inflation: Oil Shocks, Supply Chain Pressures, and Expectations,"
Working Papers
No 05/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Knut Are Aastveit & Hilde C. Bjornland & Jamie L. Cross & Helene Olsen Kalstad, 2024. "Unveiling inflation: Oil Shocks, Supply Chain Pressures, and Expectations," CAMA Working Papers 2024-68, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Leo Krippner, 2024. "Applications of Vector Autoregressions in Their Scalar Autoregressive Component Form," CAMA Working Papers 2024-71, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Francesco Jacopo Pintus & Jan P.A.M. Jacobs & Elmer Sterken & Jan Jacobs, 2024.
"Fiscal Impacts of Climate Anomalies,"
CESifo Working Paper Series
11548, CESifo.
- Francesco Jacopo Pintus & Jan P.A.M. Jacobs & Elmer Sterken, 2024. "Fiscal Impacts of Climate Anomalies," CAMA Working Papers 2024-74, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Livieri, Giulia & Radi, Davide & Smaniotto, Elia, 2024. "Pricing transition risk with a jump-diffusion credit risk model: evidences from the CDS market," LSE Research Online Documents on Economics 123650, London School of Economics and Political Science, LSE Library.
- Guglielmo Maria Caporale & Stavroula Yfanti & Menelaos Karanasos & Jiaying Wu, 2024.
"Financial integration and European tourism stocks,"
Chapters, in: Guglielmo M. Caporale (ed.), Handbook of Financial Integration, chapter 21, pages 495-538,
Edward Elgar Publishing.
- Guglielmo Maria Caporale & Stavroula Yfanti & Menelaos Karanasos & Jiaying Wu, 2023. "Financial Integration and European Tourism Stocks," CESifo Working Paper Series 10269, CESifo.
- Guglielmo Maria Caporale & Nicola Spagnolo, 2024.
"US municipal green bonds and financial integration,"
Chapters, in: Guglielmo M. Caporale (ed.), Handbook of Financial Integration, chapter 8, pages 192-205,
Edward Elgar Publishing.
- Guglielmo Maria Caporale & Nicola Spagnolo, 2023. "US Municipal Green Bonds and Financial Integration," CESifo Working Paper Series 10323, CESifo.
- Massimiliano Marcellino & Michael Pfarrhofer, 2024.
"Bayesian nonparametric methods for macroeconomic forecasting,"
Chapters, in: Michael P. Clements & Ana Beatriz Galvão (ed.), Handbook of Research Methods and Applications in Macroeconomic Forecasting, chapter 5, pages 90-125,
Edward Elgar Publishing.
- Marcellino, Massimiliano & Pfarrhofer, Michael, 2024. "Bayesian nonparametric methods for macroeconomic forecasting," CEPR Discussion Papers 18970, C.E.P.R. Discussion Papers.
- Massimiliano MARCELLINO & Michael PFARRHOFER, 2024. "Bayesian nonparametric methods for macroeconomic forecasting," BAFFI CAREFIN Working Papers 24224, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Bruce E. Hansen & Jeffrey S. Racine, 2024.
"Bootstrap Model Averaging Unit Root Inference,"
Advances in Econometrics, in: Essays in Honor of Subal Kumbhakar, volume 46, pages 81-98,
Emerald Group Publishing Limited.
- Bruce E. Hansen & Jeffrey S. Racine, 2018. "Bootstrap Model Averaging Unit Root Inference," Department of Economics Working Papers 2018-09, McMaster University.
- Ziwen Gao & Steven F. Lehrer & Tian Xie & Xinyu Zhang, 2024. "Averaging Heterogeneous Autoregression Models with Heteroskedastic Errors: Theory and an Application to Cryptocurrency Volatility Forecasting," Advances in Econometrics, in: Essays in Honor of Subal Kumbhakar, volume 46, pages 99-131, Emerald Group Publishing Limited.
- Surachai Chancharat & Suthasinee Suwannapak, 2024. "The dynamic relationship between ASEAN+6 exchange rates and stock markets: application of the ARDL model," Journal of Asian Business and Economic Studies, Emerald Group Publishing Limited, vol. 31(5), pages 365-377, October.
- Sunil Kumar & Mohinder Singh, 2024. "Risk factors-adjusted performance and persistence during the post-subprime crisis period: evidence from Indian mutual fund industry," Journal of Advances in Management Research, Emerald Group Publishing Limited, vol. 22(2), pages 301-322, October.
- Haydory Akbar Ahmed & Hedieh Shadmani, 2024. "Income inequality, unemployment, and government transfer: what do their dynamics tell us," Journal of Economics and Development, Emerald Group Publishing Limited, vol. 26(4), pages 274-289, September.
- Armando Urdaneta Montiel & Emmanuel Vitorio Borgucci Garcia & Segundo Camino-Mogro, 2024. "Short-term effects of productive credit, savings and money demand on Ecuador’s economic growth, 2006–2020," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, vol. 29(58), pages 309-325, April.
- Wajdi Moussa & Rym Regaïeg & Nidhal Mgadmi, 2024. "Assessing the impact of the COVID-19 pandemic and the Russian–Ukrainian war on cryptocurrency volatility," Journal of Financial Crime, Emerald Group Publishing Limited, vol. 32(1), pages 221-244, November.
- Inder Sekhar Yadav & Phanindra Goyari, 2024. "The effects of financial development on crop productivity: ARDL evidence from Indian agriculture," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 17(4), pages 530-558, October.
- Mohamad H. Shahrour & Ryan Lemand & Mathis Mourey, 2024. "Cross-market volatility dynamics in crypto and traditional financial instruments: quantifying the spillover effect," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 26(1), pages 1-21, December.
- Prince Kumar Maurya & Rohit Bansal & Anand Kumar Mishra, 2024. "Dynamic connectedness among market volatilities: a perspective of COVID-19 and Russia-Ukraine conflict," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 41(5), pages 1119-1140, April.
- Donia Aloui & Abderrazek Ben Maatoug, 2024. "How is the ECB’s quantitative easing transmitted to the financial markets?," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 41(2), pages 268-285, March.
- Andrés Oviedo-Gómez & Sandra Milena Londoño-Hernández & Diego Fernando Manotas-Duque, 2024. "Directional connectedness between the electricity prices and natural gas prices: evidence from Alberta’s electricity market," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 42(1), pages 115-134, July.
- Hojjat Ansari & Moslem Peymany, 2024. "Herding behaviour in the cryptocurrency market: the role of uncertainty and return of classical financial markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 42(2), pages 274-288, September.
- Václav Brož, 2024. "Regulation by enforcement: the impact of Securities and Exchange Commission enforcement actions on crypto valuation," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 42(3), pages 489-509, November.
- Opeoluwa Adeniyi Adeosun & Suhaib Anagreh & Mosab I. Tabash & Xuan Vinh Vo, 2024. "Return and volatility transmission among economic policy uncertainty, geopolitical risk and precious metals," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 41(5), pages 1057-1084, January.
- Dhoha Mellouli & Imen Zoglami, 2024. "The Dynamics of Connectivity between Traditional Cryptocurrencies and NFTs: Validation of the Connectivity Model by Quantiles and Frequencies," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 131-154.
- Chali Nondo & Nicholas Odhiambo & Nyakundi Michieka & Richard Gearhart III, 2024. "The environmental tale of two countries: Determinants of CO2 emissions in South Africa and Australia," ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, FrancoAngeli Editore, vol. 2024(1), pages 193-217.
- Georgiana Plesa, 2024. "Regime-Dependent Effects of Uncertainty Shocks. A Markov-Switching Approach for Central Eastern European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 74(1), pages 105-140, March.
- Jaromir Baxa & Tomas Sestorad, 2024. "How Different are the Alternative Economic Policy Uncertainty Indices? The Case of European Countries," Working Papers IES 2024/3, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jan 2024.
- Jaromir Baxa & Tomas Sestorad, 2024.
"Economic Policy Uncertainty in Europe: Spillovers and Common Shocks,"
Working Papers
2024/9, Czech National Bank, Research and Statistics Department.
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- Natalie Dvorakova & Tomas Sestorad, 2024.
"Origins of Post-COVID-19 Inflation in Central European Countries,"
Working Papers
2024/5, Czech National Bank, Research and Statistics Department.
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- Andrea Bastianin & Elisabetta Mirto & Yan Qin & Luca Rossini, 2024.
"What drives the European carbon market? Macroeconomic factors and forecasts,"
Papers
2402.04828, arXiv.org, revised Feb 2024.
- Andrea Bastianin & Elisabetta Mirto & Yan Qin & Luca Rossini, 2024. "What drives the European carbon market? Macroeconomic factors and forecasts," Working Papers 2024.02, Fondazione Eni Enrico Mattei.
- Bastianin, Andrea & Mirto, Elisabetta & Qin, Yan & Rossini, Luca, 2024. "What drives the European carbon market? Macroeconomic factors and forecasts," FEEM Working Papers 339740, Fondazione Eni Enrico Mattei (FEEM).
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"Macroeconomic Spillovers of Weather Shocks across U.S. States,"
FEEM Working Papers
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- Emanuele Bacchiocchi & Andrea Bastianin & Graziano Moramarco, 2024. "Macroeconomic Spillovers of Weather Shocks across U.S. States," Papers 2403.10907, arXiv.org, revised Apr 2024.
- Emanuele Bacchiocchi & Andrea Bastianin & Toru Kitagawa & Elisabetta Mirto, 2024.
"Partially identified heteroskedastic SVARs,"
Papers
2403.06879, arXiv.org, revised Mar 2024.
- Emanuele Bacchiocchi & Andrea Bastianin & Toru Kitagawa & Elisabetta Mirto, 2024. "Partially identified heteroskedastic SVARs," Working Papers 2024.15, Fondazione Eni Enrico Mattei.
- Bacchiocchi, Emanuele & Bastianin, Andrea & Kitagawa, Toru & Mirto, Elisabetta, 2024. "Partially identified heteroskedastic SVARs," FEEM Working Papers 343513, Fondazione Eni Enrico Mattei (FEEM).
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"Scenario-based quantile connectedness of the U.S. interbank liquidity risk network,"
Journal of Econometrics, Elsevier, vol. 244(2).
- Tomohiro Ando & Jushan Bai & Lina Lu & Cindy M. Vojtech, 2024. "Scenario-based Quantile Connectedness of the U.S. Interbank Liquidity Risk Network," Supervisory Research and Analysis Working Papers SRA 24-02, Federal Reserve Bank of Boston.
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"When Is the Use of Gaussian-inverse Wishart-Haar Priors Appropriate?,"
CEPR Discussion Papers
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"A post-pandemic new normal for interest rates in emerging bond markets? Evidence from Chile,"
Journal of International Money and Finance, Elsevier, vol. 150(C).
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"The Natural Rate of Interest in the Euro Area: Evidence from Inflation-Indexed Bonds,"
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- Jens H. E. Christensen & Xin Zhang, 2024.
"Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy,"
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- Jens H. E. Christensen & Xin Zhang, 2024. "Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy," Working Paper Series 2024-13, Federal Reserve Bank of San Francisco.
- Jens H. E. Christensen & Xin Zhang, 2024.
"Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy,"
Working Paper Series
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- Jens H. E. Christensen & Xin Zhang, 2024. "Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy," Working Paper Series 2024-13, Federal Reserve Bank of San Francisco.
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"Local Projections,"
NBER Working Papers
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- Atsushi Inoue & `Oscar Jord`a & Guido M. Kuersteiner, 2023.
"Inference for Local Projections,"
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"Common and Idiosyncratic Inflation,"
Finance and Economics Discussion Series
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- Hie Joo Ahn & Matteo Luciani, 2024. "Common and Idiosyncratic Inflation," Finance and Economics Discussion Series 2020-024r1, Board of Governors of the Federal Reserve System (U.S.).
- Matteo Luciani, 2020. "Common and Idiosyncratic Inflation," FEDS Notes 2020-03-05, Board of Governors of the Federal Reserve System (U.S.).
- Mohammad R. Jahan-Parvar & Charles Knipp & Pawel J. Szerszen, 2024. "Trend-Cycle Decomposition and Forecasting Using Bayesian Multivariate Unobserved Components," Finance and Economics Discussion Series 2024-100, Board of Governors of the Federal Reserve System (U.S.).
- Hie Joo Ahn & Jeremy B. Rudd, 2024. "(Re-)Connecting Inflation and the Labor Market: A Tale of Two Curves," Finance and Economics Discussion Series 2024-050r1, Board of Governors of the Federal Reserve System (U.S.), revised 28 May 2025.
- Matteo Barigozzi & Matteo Luciani, 2019.
"Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm,"
Papers
1910.03821, arXiv.org, revised Sep 2024.
- Matteo Barigozzi & Matteo Luciani, 2024. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Finance and Economics Discussion Series 2024-086, Board of Governors of the Federal Reserve System (U.S.).
- Matteo Barigozzi & Claudio Lissona & Matteo Luciani, 2024.
"Measuring the Euro Area Output Gap,"
Finance and Economics Discussion Series
2024-099, Board of Governors of the Federal Reserve System (U.S.).
- Matteo Barigozzi & Claudio Lissona & Matteo Luciani, 2025. "Measuring the Euro Area Output Gap," Papers 2505.05536, arXiv.org.
- Marie Hogan & Laura E. Jackson & Michael T. Owyang, 2024. "Measuring The Effect of Shocks on Inequality: It's All About the Data," Working Papers 2024-021, Federal Reserve Bank of St. Louis, revised 30 Mar 2025.
- Marco Del Negro & Keshav Dogra & Aidan Gleich & Pranay Gundam & Donggyu Lee & Ramya Nallamotu & Brian Pacula, 2024. "The New York Fed DSGE Model: A Post-Covid Assessment," Staff Reports 1082, Federal Reserve Bank of New York.
- Martín Almuzara & Víctor Sancibrián, 2024.
"Micro responses to macro shocks,"
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- Martín Almuzara & Víctor Sancibrián, 2024. "Micro Responses to Macro Shocks," Staff Reports 1090, Federal Reserve Bank of New York.
- Garik A. Petrosyan & Narek N. Karapetyan & Andranik A. Margaryan & Aleksei N. Sokolov & Irina I. Yakovleva & Anton I. Votinov, 2024. "Bayesian Approach to Forecasting Aggregate Taxes of the Republic of Armenia," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 51-67, June.
- Giulio Cifarelli & Paolo Paesani, 2024. "On the Relevance of the Purchasing Power Hypothesis as a Determinant of Exchange Rate Equilibrium in the Post WWI French Franc Floating Exchange Rate Period," Working Papers - Economics wp2024_24.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch & Onur Polat, 2024.
"Climate Risks and Real Gold Returns over 750 Years,"
Forecasting, MDPI, vol. 6(4), pages 1-16, October.
- Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch & Onur Polat, 2024. "Climate Risks and Real Gold Returns over 750 Years," Working Papers 202436, University of Pretoria, Department of Economics.
- Rangan Gupta & Christian Pierdzioch, 2024.
"Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices,"
Mathematics, MDPI, vol. 12(18), pages 1-26, September.
- Rangan Gupta & Christian Pierdzioch, 2024. "Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices," Working Papers 202423, University of Pretoria, Department of Economics.
- Nigar Hashimzade & Oleg Kirsanov & Tatiana Kirsanova & Junior Maih, 2024.
"On Bayesian Filtering for Markov Regime Switching Models,"
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2402.08051, arXiv.org.
- Nigar Hashimzade & Oleg Kirsanov & Tatiana Kirsanova & Junior Maih, 2024. "On Bayesian Filtering for Markov Regime Switching Models," Working Papers 2024_01, Business School - Economics, University of Glasgow.
- Nigar Hashimzade & Oleg Kirsanov & Tatiana Kirsanova & Junior Maih, 2024. "On Bayesian Filtering for Markov Regime Switching Models," CESifo Working Paper Series 10941, CESifo.
- Tobias Eibinger & Hans Manner & Karl Steininger, 2024. "Shifting Gears? The Impact of Austria's Transport Policy Mix on CO2 Emissions from Passenger Cars," Graz Economics Papers 2024-10, University of Graz, Department of Economics.
- Mignon, Valérie & Saadaoui, Jamel, 2024.
"How do political tensions and geopolitical risks impact oil prices?,"
Energy Economics, Elsevier, vol. 129(C).
- Valérie Mignon & Jamel Saadaoui, 2023. "How political tensions and geopolitical risks impact oil prices?," Working Papers 2023.07, International Network for Economic Research - INFER.
- Valérie Mignon & Jamel Saadaoui, 2024. "How Do Political Tensions and Geopolitical Risks Impact Oil Prices?," Post-Print hal-04436186, HAL.
- Valérie Mignon & Jamel Saadaoui, 2023. "How Do Political Tensions and Geopolitical Risks Impact Oil Prices?," Working Papers hal-04228303, HAL.
- Valérie Mignon & Jamel Saadaoui, 2023. "How Political Tensions and Geopolitical Risks Impact Oil Prices?," Working Papers of BETA 2023-15, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Valérie Mignon & Jamel Saadaoui, 2023. "How Do Political Tensions and Geopolitical Risks Impact Oil Prices?," Post-Print hal-04436183, HAL.
- Valérie Mignon & Jamel Saadaoui, 2023. "How Do Political Tensions and Geopolitical Risks Impact Oil Prices?," EconomiX Working Papers 2023-28, University of Paris Nanterre, EconomiX.
- Etienne Fakaba Sissoko & Khalid Dembele & Abdoulaye Maiga & Tahirou Tangara, 2024. "Challenges and Perspectives: Understanding the Labyrinth of Unemployment in Mali (1991-2022) [Défis et Perspectives : Comprendre le Labyrinthe du Chômage au Mali (1991 -2022)]," Post-Print hal-04511919, HAL.
- Etienne Fakaba Sissoko & Khalid Dembele & Abdoulaye Maiga & Tahirou Tangara, 2024. "CHALLENGES AND PERSPECTIVES: Understanding the Labyrinth of Unemployment in Mali (1991-2022) [Défis et Perspectives : Comprendre le Labyrinthe du Chômage au Mali (1991 -2022)]," Post-Print hal-04511937, HAL.
- Seiler, Volker, 2024.
"The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 160-179.
- Volker Seiler, 2024. "The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain," Post-Print hal-04549980, HAL.
- Hassani Bouhassoun, 2024. "Evaluating The Effectiveness Of The Exchange Rate-Channel In Transmitting The Impact Of Monetary Policy To Inflation In Algeria," Post-Print hal-04678430, HAL.
- I. Abid & R. Benkraiem & H. Mzoughi & C. Urom, 2024. "From black gold to financial fallout: Analyzing extreme risk spillovers in oil-exporting nations," Post-Print hal-04681726, HAL.
- Fève, Patrick & Moura, Alban, 2024.
"Frictionless house-price momentum,"
Journal of Economic Dynamics and Control, Elsevier, vol. 168(C).
- Patrick Fève & Alban Moura, 2023. "Frictionless house-price momentum," BCL working papers 177, Central Bank of Luxembourg.
- Patrick Fève & Alban Moura, 2024. "Frictionless house-price momentum," Post-Print hal-04810404, HAL.
- Fève, Patrick & Moura, Alban, 2023. "Frictionless house-price momentum," TSE Working Papers 23-1488, Toulouse School of Economics (TSE).
- Dufrénot, Gilles & Ginn, William & Pourroy, Marc, 2024.
"Climate pattern effects on global economic conditions,"
Economic Modelling, Elsevier, vol. 141(C).
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2023
- Lee, Chien-Chiang & Lee, Hsiang-Tai, 2023. "Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model," Global Finance Journal, Elsevier, vol. 55(C).
- Feng, Qianqian & Wang, Yijing & Sun, Xiaolei & Li, Jianping & Guo, Kun & Chen, Jianming, 2023. "What drives cross-border spillovers among sovereign CDS, foreign exchange and stock markets?," Global Finance Journal, Elsevier, vol. 56(C).
- Naeem, Muhammad Abubakr & Shahzad, Mohammad Rahim & Karim, Sitara & Assaf, Rima, 2023. "Tail risk transmission in technology-driven markets," Global Finance Journal, Elsevier, vol. 57(C).
- Ren, Boru & Lucey, Brian & Luo, Qirui, 2023. "An examination of green bonds as a hedge and safe haven for international equity markets," Global Finance Journal, Elsevier, vol. 58(C).
- Aslam, Faheem & Memon, Bilal Ahmed & Hunjra, Ahmed Imran & Bouri, Elie, 2023. "The dynamics of market efficiency of major cryptocurrencies," Global Finance Journal, Elsevier, vol. 58(C).
- Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2023.
"Global impacts of US monetary policy uncertainty shocks,"
Journal of International Economics, Elsevier, vol. 145(C).
- Povilas Lastauskas & Anh Dinh Minh Nguyen, 2020. "Global Impacts of US Monetary Policy Uncertainty Shocks," Bank of Lithuania Working Paper Series 84, Bank of Lithuania.
- Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2021. "Global impacts of US monetary policy uncertainty shocks," Working Paper Series 2513, European Central Bank.
- Li, Han & Liu, Haibo & Tang, Qihe & Yuan, Zhongyi, 2023. "Pricing extreme mortality risk in the wake of the COVID-19 pandemic," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 84-106.
- Ouerk, Salima, 2023. "ECB unconventional monetary policy and volatile bank flows: Spillover effects on emerging market economies," International Economics, Elsevier, vol. 173(C), pages 175-211.
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"Recovering stars in macroeconomics,"
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"Covid-19 and mobility: determinant or consequence?,"
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"Covid-19 and mobility: determinant or consequence?,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 77(1), pages 261-282, February.
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- Hippolyte d’Albis & Emmanuelle Augeraud-Véron & Dramane Coulibaly & Rodolphe Desbordes, 2024.
"Covid-19 and mobility: determinant or consequence?,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 77(1), pages 261-282, February.
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- Hippolyte d'Albis & Emmanuelle Augeraud-Véron & Dramane Coulibaly & Rodolphe Desbordes, 2024. "Covid-19 and mobility: determinant or consequence?," PSE-Ecole d'économie de Paris (Postprint) halshs-04331269, HAL.
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"ENSO Climate Patterns on Global Economic Conditions,"
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"Regional Inequality in Russia: Anatomy of Convergence,"
Regional Research of Russia, Springer, vol. 13(1), pages 1-12, December.
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"Housing prices in Spain: convergence or decoupling?,"
SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 14(2), pages 165-187, June.
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"Time changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatility,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 159(2), pages 505-544, May.
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"Identification of vector autoregressive models with nonlinear contemporaneous structure,"
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"Raided by the storm: How three decades of thunderstorms shaped U.S. incomes and wages,"
Journal of Environmental Economics and Management, Elsevier, vol. 130(C).
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"Fiscal policy and dimensions of inequality in South Africa: A time‐varying coefficient approach,"
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"The effect of oil uncertainty shock on real GDP of 33 countries: a global VAR approach,"
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"US policy responses to the COVID-19 pandemic and sectoral stock indices: A fractional integration approach,"
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"Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries,"
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"Is the Thai government revenue-spending nexus asymmetric?,"
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"Endogenous Time Variation in Vector Autoregressions,"
The Review of Economics and Statistics, MIT Press, vol. 105(1), pages 125-142, January.
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"Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis,"
The Review of Economics and Statistics, MIT Press, vol. 105(5), pages 1314-1324, September.
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"(Almost) Recursive Shock Identification with Economic Parameter Restrictions,"
Research Papers in Economics
2023-01, University of Trier, Department of Economics.
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"Hawks and Doves: Financial Market Perception of Western Support for Ukraine,"
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- Neuenkirch, Matthias & Repko, Maria & Weber, Enzo, 2023. "Hawks and Doves: Financial Market Perception of Western Support for Ukraine," IAB-Discussion Paper 202301, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Matthias Neuenkirch & Maria Repko & Enzo Weber, 2023. "Hawks and Doves: Financial Market Perception of Western Support for Ukraine," Research Papers in Economics 2023-03, University of Trier, Department of Economics.
- Jan Pablo Burgard & Matthias Neuenkirch & Dennis Umlandt, 2023.
"(Almost) Recursive Identification of Monetary Policy Shocks with Economic Parameter Restrictions,"
Working Paper Series
2023-01, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- Jan Pablo Burgard & Matthias Neuenkirch & Dennis Umlandt, 2023. "(Almost) Recursive Shock Identification with Economic Parameter Restrictions," Research Papers in Economics 2023-01, University of Trier, Department of Economics.
- Felix Haase & Matthias Neuenkirch, 2023.
"Macroeconomic Expectations and State-Dependent Factor Returns,"
CESifo Working Paper Series
10720, CESifo.
- Felix Haase & Matthias Neuenkirch, 2023. "Macroeconomic Expectations and State-Dependent Factor Returns," Research Papers in Economics 2023-09, University of Trier, Department of Economics.
- Fève, Patrick & Moura, Alban, 2024.
"Frictionless house-price momentum,"
Journal of Economic Dynamics and Control, Elsevier, vol. 168(C).
- Patrick Fève & Alban Moura, 2023. "Frictionless house-price momentum," BCL working papers 177, Central Bank of Luxembourg.
- Fève, Patrick & Moura, Alban, 2023. "Frictionless house-price momentum," TSE Working Papers 23-1488, Toulouse School of Economics (TSE).
- Patrick Fève & Alban Moura, 2024. "Frictionless house-price momentum," Post-Print hal-04810404, HAL.
- Jacques Minlend, 2023. "European Low-Carbon Policy: Impact on fossil energy markets," Economics Working Paper Archive (University of Rennes & University of Caen) 2023-04, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
- Luca Benati & Thomas A. Lubik, 2023. "Impulse Response Analysis at the Zero Lower Bound," Diskussionsschriften dp2306, Universitaet Bern, Departement Volkswirtschaft.
- Gloria González‐Rivera & C. Vladimir Rodríguez‐Caballero & Esther Ruiz, 2024.
"Expecting the unexpected: Stressed scenarios for economic growth,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 926-942, August.
- Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2023. "Expecting the unexpected: Stressed scenarios for economic growth," Working Papers 202314, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Yun Luo, 2020.
"A Truncated Mixture Transition Model for Interval-valued Time Series,"
Working Papers
202005, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Yun Luo, 2023. "A Truncated Mixture Transition Model for Interval-valued Time Series," Working Papers 202315, University of California at Riverside, Department of Economics.
- Martin Bruns & Helmut Lütkepohl, 2023.
"Have the Effects of Shocks to Oil Price Expectations Changed?: Evidence from Heteroskedastic Proxy Vector Autoregressions,"
Discussion Papers of DIW Berlin
2036, DIW Berlin, German Institute for Economic Research.
- Martin Bruns & Helmut Luetkepohl, 2023. "Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions," University of East Anglia School of Economics Working Paper Series 2023-03, School of Economics, University of East Anglia, Norwich, UK..
- Martin Bruns & Sascha A. Keweloh, 2023. "Testing for Strong Exogeneity in Proxy-VARS," University of East Anglia School of Economics Working Paper Series 2023-07, School of Economics, University of East Anglia, Norwich, UK..
- Jonathan J. Adams & Mr. Philip Barrett, 2023.
"Identifying News Shocks from Forecasts,"
IMF Working Papers
2023/208, International Monetary Fund.
- Jonathan J Adams & Philip Barrett, 2023. "Identifying News Shocks from Forecasts," Working Papers 001010, University of Florida, Department of Economics.
- Olga Bondarenko, 2023. "Agricultural Commodity Price Dynamics: Evidence from BVAR Models," Working Papers 03/2023, National Bank of Ukraine.
- Guillaume Morel & Magali Jaoul-Grammare, 2023. "Do Pandemics Impact Macroeconomic Variables? A Cliometric Approach," Working Papers of BETA 2023-01, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Mignon, Valérie & Saadaoui, Jamel, 2024.
"How do political tensions and geopolitical risks impact oil prices?,"
Energy Economics, Elsevier, vol. 129(C).
- Valérie Mignon & Jamel Saadaoui, 2023. "How political tensions and geopolitical risks impact oil prices?," Working Papers 2023.07, International Network for Economic Research - INFER.
- Valérie Mignon & Jamel Saadaoui, 2023. "How Political Tensions and Geopolitical Risks Impact Oil Prices?," Working Papers of BETA 2023-15, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Valérie Mignon & Jamel Saadaoui, 2024. "How Do Political Tensions and Geopolitical Risks Impact Oil Prices?," Post-Print hal-04436186, HAL.
- Valérie Mignon & Jamel Saadaoui, 2023. "How Do Political Tensions and Geopolitical Risks Impact Oil Prices?," Working Papers hal-04228303, HAL.
- Valérie Mignon & Jamel Saadaoui, 2023. "How Do Political Tensions and Geopolitical Risks Impact Oil Prices?," Post-Print hal-04436183, HAL.
- Valérie Mignon & Jamel Saadaoui, 2023. "How Do Political Tensions and Geopolitical Risks Impact Oil Prices?," EconomiX Working Papers 2023-28, University of Paris Nanterre, EconomiX.
- Yifei Cai & Jamel Saadaoui & Yanrui Wu, 2024.
"Political relations and trade: New evidence from Australia, China, and the United States,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 71(3), pages 253-275, July.
- Yifei Cai & Jamel Saadaoui & Yanrui Wu, 2023. "Political Relations and Trade: New Evidence from Australia, China and the United States," Working Papers of BETA 2023-24, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Philipp Roderweis & Jamel Saadaoui & Francisco Serranito, 2023. "The Unintended Consequences of ECB’s Asset Purchases. How Excess Reserves Shape Bank Lending," Working Papers of BETA 2023-34, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Brock, William A. & Miller, J. Isaac, 2024.
"Polar amplification in a moist energy balance model: A structural econometric approach to estimation and testing,"
Journal of Econometrics, Elsevier, vol. 245(1).
- William A. Brock & J. Isaac Miller, 2023. "Polar Amplification in a Moist Energy Balance Model: A Structural Econometric Approach to Estimation and Testing," Working Papers 2304, Department of Economics, University of Missouri.
- Kadie S. Clark & J. Isaac Miller, 2025.
"Effects of Climate Change on House Prices in Outdoor Tourism Destinations: A Case Study of Southwestern Colorado,"
Environmetrics, John Wiley & Sons, Ltd., vol. 36(3), April.
- Kadie Clark & J. Isaac Miller, 2023. "Effects of Climate Change on House Prices in Outdoor Tourism Destinations: A Case Study of Southwestern Colorado," Working Papers 2309, Department of Economics, University of Missouri.
- Geert Mesters & Régis Barnichon, 2023.
"Evaluating Policy Institutions -150 Years of US Monetary Policy-,"
Working Papers
1410, Barcelona School of Economics.
- Régis Barnichon & Geert Mesters, 2023. "Evaluating policy institutions -150 years of US monetary policy-," Economics Working Papers 1873, Department of Economics and Business, Universitat Pompeu Fabra.
- Bowen Fu, Ivan Mendieta-Muñoz, 2023. "Structural shocks and trend inflation," Working Paper Series, Department of Economics, University of Utah 2023_04, University of Utah, Department of Economics.
- Marc Jim M. Mariano & George Verikios & Kenneth W. Clements, 2025.
"Are input-output coefficients really fixed?,"
Applied Economics, Taylor & Francis Journals, vol. 57(7), pages 753-776, February.
- Marc Jim M. Mariano & George Verikios & Kenneth W. Clements, 2023. "Are Input-Output Coefficients Really Fixed?," Economics Discussion / Working Papers 23-06, The University of Western Australia, Department of Economics.
- Antonio Paradiso, 2023. "A reconstruction of the time series of global technology from 5500 BC to the 2000s," Working Papers 2023:12, Department of Economics, University of Venice "Ca' Foscari".
- HYSAJ, Albina, 2023. "The Macroeconomic Determinants Of Credit Risk In The Albanian Banking Sector," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", vol. 11(1), pages 161-167, October.
- Aysegul Kırkpınar & Pınar Evrim Mandacı, 2023. "A Volatility Spillover Analysis Between Bond and Commodity Markets as an Indicator for Global Liquidity Risk," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 70(1), pages 71-100.
- Masuhr Andreas & Trede Mark, 2023. "Mutual volatility transmission between assets and trading places," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-15.
- Szczepocki Piotr, 2023. "Estimation of the Cholesky Multivariate Stochastic Volatility Model Using Iterated Filtering," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 27(4), pages 44-58, December.
- Kaczmarek Tomasz & Grobelny Przemysław, 2023. "How to fly to safety without overpaying for the ticket," Economics and Business Review, Sciendo, vol. 9(2), pages 160-183, April.
- Nazir Noman & Bashir Zahid & Izhar Syed Usman & Jamshed Yasir, 2023. "Sources of uncertainty and their impact on stock prices evidence from emerging economies," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 19(2), pages 49-67, June.
- Chenini Moussa & Ayad Hicham & Attouchi Manel & Dahmani Mohamed Driouche, 2023. "Testing the Validity of Okun’s Law in Algeria: Is there a difference between Maki’s Cointegration and Quantile’s Regression Results?," Folia Oeconomica Stetinensia, Sciendo, vol. 23(1), pages 42-63, June.
- Ghilous Azeddine & Ziat Adel, 2023. "Balance of Payments as a Monetary Phenomenon: An ARDL Bounds Test Method for Algeria," Folia Oeconomica Stetinensia, Sciendo, vol. 23(1), pages 64-86, June.
- Dekkiche Djamal, 2023. "Tourism Demand in Tunisia: A VECM Approach," Naše gospodarstvo/Our economy, Sciendo, vol. 69(2), pages 50-59, June.
- Miteski Mite & Petrovska Magdalena & Sulejmani Artan, 2023. "Measuring the Natural Interest Rate for the Macedonian Economy: A Multi-Model Approach," South East European Journal of Economics and Business, Sciendo, vol. 18(1), pages 176-193, June.
- Havolli Berat, 2023. "Economic Consequences of the Cost of Government Borrowing in European Transition Economies," South East European Journal of Economics and Business, Sciendo, vol. 18(1), pages 194-210, June.
- Spahiu Muhamet J. & Durguti Esat A., 2023. "Impact of Financial Liberalization on Export: Evidence from Kosovo," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 33(2), pages 95-111, June.
- Hutter Christian & Weber Enzo, 2023. "Woher kam der deutsche Arbeitsmarktaufschwung? – Und wie kann es weitergehen?," Wirtschaftsdienst, Sciendo, vol. 103(9), pages 607-612, September.
- Reinhold Heinlein & Scott M. R. Mahadeo, 2023.
"Oil and US stock market shocks: Implications for Canadian equities,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(1), pages 247-287, February.
- Reinhold Heinlein & Scott M. R. Mahadeo, 2021. "Oil and US stock market shocks: implications for Canadian equities," Working Papers in Economics & Finance 2021-07, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2023.
"Tail Forecasting With Multivariate Bayesian Additive Regression Trees,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 979-1022, August.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," Working Papers 21-08R, Federal Reserve Bank of Cleveland, revised 12 Jul 2022.
- Clark, Todd & Huber, Florian & Koop, Gary & Marcellino, Massimiliano & Pfarrhofer, Michael, 2022. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," CEPR Discussion Papers 17461, C.E.P.R. Discussion Papers.
- Semei Coronado & Rangan Gupta & Saban Nazlioglu & Omar Rojas, 2023.
"Time‐varying causality between bond and oil markets of the United States: Evidence from over one and half centuries of data,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2239-2247, July.
- Semei Coronado & Rangan Gupta & Saban Nazlioglu & Omar Rojas, 2020. "Time-Varying Causality between Bond and Oil Markets of the United States: Evidence from Over One and Half Centuries of Data," Working Papers 202006, University of Pretoria, Department of Economics.
- Mushtaq Hussain Khan & Junaid Ahmed & Mazhar Mughal & Imtiaz Hussain Khan, 2023.
"Oil price volatility and stock returns: Evidence from three oil‐price wars,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3162-3182, July.
- Mushtaq Hussain Khan & Junaid Ahmed & Mazhar Mughal, 2020. "Oil Price Volatility and Stock Returns: Evidence from Three Oil-price Wars," PIDE-Working Papers 2020:22, Pakistan Institute of Development Economics.
- Athanasios Triantafyllou & Dimitrios Bakas & Marilou Ioakimidis, 2023.
"Commodity price uncertainty as a leading indicator of economic activity,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4194-4219, October.
- Athanasios Triantafyllou & Dimitrios Bakas & Marilou Ioakimidis, 2019. "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Working Paper series 19-03, Rimini Centre for Economic Analysis.
- Bakas, Dimitrios & Ioakimidis, Marilou & Triantafyllou, Athanasios, 2020. "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Essex Finance Centre Working Papers 27361, University of Essex, Essex Business School.
- Pär Österholm & Aubrey Poon, 2023.
"Trend Inflation in Sweden,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4707-4716, October.
- Österholm, Pär & Poon, Aubrey, 2022. "Trend Inflation in Sweden," Working Papers 2022:2, Örebro University, School of Business.
- Aaron J. Amburgey & Michael W. McCracken, 2023.
"On the real‐time predictive content of financial condition indices for growth,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 137-163, March.
- Aaron Amburgey & Michael W. McCracken, 2022. "On the Real-Time Predictive Content of Financial Conditions Indices for Growth," Working Papers 2022-003, Federal Reserve Bank of St. Louis, revised 03 Jun 2022.
- Katarzyna Budnik & Gerhard Rünstler, 2023.
"Identifying structural VARs from sparse narrative instruments: Dynamic effects of US macroprudential policies,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 186-201, March.
- Budnik, Katarzyna & Rünstler, Gerhard, 2020. "Identifying structural VARs from sparse narrative instruments: dynamic effects of U.S. macroprudential policies," Working Paper Series 2353, European Central Bank.
- Lukas Boer & Lukas Menkhoff & Malte Rieth, 2023.
"The multifaceted impact of US trade policy on financial markets,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 388-406, April.
- Boer, Lukas & Menkhoff, Lukas & Rieth, Malte, 2020. "The multifaceted impact of US trade policy on financial markets," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224529, Verein für Socialpolitik / German Economic Association.
- Lukas Boer & Lukas Menkhoff & Malte Rieth, 2021. "The Multifaceted Impact of US Trade Policy on Financial Markets," Discussion Papers of DIW Berlin 1956, DIW Berlin, German Institute for Economic Research.
- Yunjong Eo & Luis Uzeda & Benjamin Wong, 2023.
"Understanding trend inflation through the lens of the goods and services sectors,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(5), pages 751-766, August.
- Yunjong Eo & Luis Uzeda & Benjamin Wong, 2020. "Understanding Trend Inflation Through the Lens of the Goods and Services Sectors," Staff Working Papers 20-45, Bank of Canada.
- Yunjong Eo & Luis Uzeda & Benjamin Wong, 2023. "Understanding Trend Inflation Through the Lens of the Goods and Services Sectors," Discussion Paper Series 2301, Institute of Economic Research, Korea University.
- Yunjong Eo & Luis Uzeda & Benjamin Wong, 2022. "Understanding Trend Inflation Through the Lens of the Goods and Services Sectors," CAMA Working Papers 2022-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Yoosoon Chang & Ana María Herrera & Elena Pesavento, 2023.
"Oil prices uncertainty, endogenous regime switching, and inflation anchoring,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(6), pages 820-839, September.
- Yoosoon Chang & Ana Maria Herrera & Elena Pesavento, 2023. "Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring," CAMA Working Papers 2023-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Yoosoon Chang & Ana Maria Herrera & Elena Pesavento, 2023. "Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring," CAEPR Working Papers 2023-002 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Yoosoon Chang & Ana MarÃa Herrera & Elena Pesavento, 2023. "Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring," Working Papers No 02/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- William A. Barnett & Sohee Park, 2023.
"Forecasting inflation and output growth with credit‐card‐augmented Divisia monetary aggregates,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 331-346, March.
- Barnett, William & Park, Sohee, 2021. "Forecasting Inflation and Output Growth with Credit-Card-Augmented Divisia Monetary Aggregates," MPRA Paper 110298, University Library of Munich, Germany.
- William A. Barnett & Sohee Park, 2021. "Forecasting Inflation and Output Growth with Credit-Card-Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202120, University of Kansas, Department of Economics, revised Oct 2021.
- Tamás Kiss & Stepan Mazur & Hoang Nguyen & Pär Österholm, 2023.
"Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang & Österholm, Pär, 2021. "Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances," Working Papers 2021:9, Örebro University, School of Business.
- Carlos Cañizares Martínez & Gabe J. de Bondt & Arne Gieseck, 2023.
"Forecasting housing investment,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 543-565, April.
- Martínez, Carlos Cañizares & de Bondt, Gabe & Gieseck, Arne, 2023. "Forecasting housing investment," Working Paper Series 2807, European Central Bank.
- Mohammad Reza Yeganegi & Hossein Hassani & Rangan Gupta, 2023.
"The ENSO cycle and forecastability of global inflation and output growth: Evidence from standard and mixed‐frequency multivariate singular spectrum analyses,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1690-1707, November.
- Hossein Hassani & Mohammad Reza Yeganegi & Rangan Gupta, 2021. "The ENSO Cycle and Forecastability of Global Inflation and Output Growth: Evidence from Standard and Mixed-Frequency Multivariate Singular Spectrum Analyses," Working Papers 202169, University of Pretoria, Department of Economics.
- Firmin Doko Tchatoka & Qazi Haque, 2023.
"On bootstrapping tests of equal forecast accuracy for nested models,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1844-1864, November.
- Firmin Doko Tchatoka & Qazi Haque, 2020. "On bootstrapping tests of equal forecast accuracy for nested models," Economics Discussion / Working Papers 20-06, The University of Western Australia, Department of Economics.
- Firmin Doko Tchatoka & Qazi Haque, 2020. "On bootstrapping tests of equal forecast accuracy for nested models," CAMA Working Papers 2020-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Firmin Doko Tchatoka & Qazi Haque, 2020. "On bootstrapping tests of equal forecast accuracy for nested models," School of Economics and Public Policy Working Papers 2020-03, University of Adelaide, School of Economics and Public Policy.
- Afees A. Salisu & Riza Demirer & Rangan Gupta, 2023.
"Policy uncertainty and stock market volatility revisited: The predictive role of signal quality,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2307-2321, December.
- Afees A. Salisu & Riza Demirer & Rangan Gupta, 2022. "Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality," Working Papers 202232, University of Pretoria, Department of Economics.
- Hafedh Bouakez & Laurent Kemoe, 2023.
"News Shocks, Business Cycles, and the Disinflation Puzzle,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2115-2151, December.
- Hafedh BOUAKEZ & Laurent KEMOE, 2017. "News Shocks, Business Cycles, and the Disinflation Puzzle," Cahiers de recherche 05-2017, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Thore Schlaak & Malte Rieth & Maximilian Podstawski, 2023.
"Monetary policy, external instruments, and heteroskedasticity,"
Quantitative Economics, Econometric Society, vol. 14(1), pages 161-200, January.
- Thore Schlaak & Malte Rieth & Maximilian Podstawski, 2018. "Monetary Policy, External Instruments and Heteroskedasticity," Discussion Papers of DIW Berlin 1749, DIW Berlin, German Institute for Economic Research.
- Timothy G. Conley & Sílvia Gonçalves & Min Seong Kim & Benoit Perron, 2023.
"Bootstrap inference under cross‐sectional dependence,"
Quantitative Economics, Econometric Society, vol. 14(2), pages 511-569, May.
- Timothy Conley & Sílvia Gonçalves & Min Seong Kim & Benoit Perron, 2022. "Bootstrap Inference Under Cross Sectional Dependence," Working papers 2022-14, University of Connecticut, Department of Economics.
- Francesco Bianchi & Howard Kung & Mikhail Tirskikh, 2023.
"The origins and effects of macroeconomic uncertainty,"
Quantitative Economics, Econometric Society, vol. 14(3), pages 855-896, July.
- Francesco Bianchi & Howard Kung & Mikhail Tirskikh, 2018. "The Origins and Effects of Macroeconomic Uncertainty," NBER Working Papers 25386, National Bureau of Economic Research, Inc.
- Bianchi, Francesco & Kung, Howard & Tirskikh, Mikhail, 2019. "The Origins and Effects of Macroeconomic Uncertainty," CEPR Discussion Papers 13450, C.E.P.R. Discussion Papers.
- Francesco Bianchi & Howard Kung & Mikhail Tirskikh, 2019. "The Origins and Effects of Macroeconomic Uncertainty," 2019 Meeting Papers 245, Society for Economic Dynamics.
- Rachana Jaiswal, 2023. "From Humble Beginnings to a Global Economic Powerhouse: A Comprehensive Study of India’s Economic Development Through the Lens of Selected Macroeconomic Indicators (1990–2020)," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-42, September.
- Yuping Song & Yankun Sun & Yue Ma, 2023. "The impact of Sino–US trade war on the co-movement between China’s stock market and global stock markets," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-24, June.
- To Trung Thanh & Le Thanh Ha & Nguyen Thi Thanh Huyen & Tran Anh Ngoc, 2023. "An Application of a TVP-VAR Extended Joint Connected Approach to Investigate Dynamic Spillover Interrelations of Cryptocurrency and Stock Market in Vietnam," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 1-20, February.
- Hatice Karahan & M. Ege Yazgan, 2023. "Searching For The Optimal Level: Inflation And Price Variability In Turkey," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 68(01), pages 197-215, March.
- Benedict Foo & Deng Yao Koh & Juan Pang Tan & Wenjie Wang, 2023. "FORECASTING SINGAPORE’s ECONOMY USING STATISTICAL LEARNING AND FACTOR MODELS," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 68(02), pages 319-353.
- Dejan ŽIvkov & Marko Peä†Anac & Dajana Ercegovac, 2023. "Interdependence Between Stocks And Exchange Rate In East Asiaâ €” A Wavelet-Based Approach," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 68(03), pages 917-939, June.
- Muhammad Zakaria & Wen Jun & Arooj Khan, 2023. "Effects Of Capital Inflows On Fiscal Balance In An Emerging Economy: Evidence From Pakistan," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 68(05), pages 1585-1598, September.
- Tie-Ying Liu & Zi-Chen Gu, 2023. "Does The Causal Relationship Between The Twin Deficits Vary Over Time? Evidence From A Bootstrap Rolling Window Approach," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 68(05), pages 1613-1635, September.
- Myeong Hyeon Kim & Doo Won Bang & Hyuck Shin Kwon, 2023. "An Analysis Of The Initial Presale Rate In Housing Projects Using A Regime-Switching Model," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 68(06), pages 2105-2126, December.
- Yunmi Kim & Tae-Hwan Kim, 2024. "Generalized Impulse and Its Measure," Working papers 2024rwp-226, Yonsei University, Yonsei Economics Research Institute.
- Mertens, Elmar, 2023.
"Precision-based sampling for state space models that have no measurement error,"
Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
- Mertens, Elmar, 2023. "Precision-based sampling for state space models that have no measurement error," Discussion Papers 25/2023, Deutsche Bundesbank.
- Hafemann, Lucas, 2023. "A house prices at risk approach for the German residential real estate market," Technical Papers 07/2023, Deutsche Bundesbank.
- Boysen-Hogrefe, Jens, 2023. "Is the supermultiplier nil? A replication study of Deleidi and Mazzucato (2021)," Kiel Working Papers 2250, Kiel Institute for the World Economy (IfW Kiel).
- von Schweinitz, Gregor, 2023. "The importance of credit demand for business cycle dynamics," IWH Discussion Papers 21/2023, Halle Institute for Economic Research (IWH).
- Kim, Jung-Wook & Kim, Jinkyeong, 2023. "Regulatory Sentiment and Economic Performance," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 45(1), pages 69-86.
- Mario Di Serio & Matteo Fragetta & Emanuel Gasteiger & Giovanni Melina, 2024.
"The Euro Area Government Spending Multiplier in Demand‐ and Supply‐Driven Recessions,"
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"Monitoring multicountry macroeconomic risk,"
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- Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Papers No 06/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
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"Fast and order‐invariant inference in Bayesian VARs with nonparametric shocks,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(7), pages 1301-1320, November.
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"Time-Varying Vector Error-Correction Models: Estimation and Inference,"
Monash Econometrics and Business Statistics Working Papers
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"Amortized Neural Networks for Agent-Based Model Forecasting,"
Bank of Russia Working Paper Series
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"Closed-form approximations of moments and densities of continuous–time Markov models,"
Journal of Economic Dynamics and Control, Elsevier, vol. 168(C).
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"The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots,"
Journal of Economic Behavior & Organization, Elsevier, vol. 217(C), pages 91-111.
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"Predictive Density Combination Using a Tree-Based Synthesis Function,"
Staff Working Papers
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"Trends in temperature data: Micro-foundations of their nature,"
Economics Letters, Elsevier, vol. 244(C).
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"Some finite-sample results on the Hausman test,"
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"Blended identification in structural VARs,"
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- Ibrahim L. Awad, 2023. "A Comparative Study of Seigniorage: Egypt and Qatar," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 172-190.
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"Global Demand and Supply Sentiment: Evidence From Earnings Calls,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(2), pages 314-334, April.
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"Predictive Density Combination Using a Tree-Based Synthesis Function,"
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"Bayesian Local Projections,"
The Warwick Economics Research Paper Series (TWERPS)
1348, University of Warwick, Department of Economics.
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"Frictionless house-price momentum,"
Journal of Economic Dynamics and Control, Elsevier, vol. 168(C).
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"Empirical Regularities of Inflation in Latin America,"
Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(81), pages 5-54, May.
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- Tomás Marinozzi, 2023. "Forecasting Inflation in Argentina: A Probabilistic Approach," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(81), pages 81-110, May.
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- Pablo Aguilar & Corinna Ghirelli & Blanca Jiménez-García, 2023. "La evolución reciente de la inversión en España desde una perspectiva macroeconómica," Boletín Económico, Banco de España, issue 2023/T3.
- José González Mínguez & Samuel Hurtado & Danilo Leiva-León & Alberto Urtasun, 2023. "The spread of inflation from energy to other components," Economic Bulletin, Banco de España, issue 2023/Q1.
- Pablo Aguilar & Corinna Ghirelli & Blanca Jiménez-García, 2023. "Recent changes in investment in Spain from a macroeconomic perspective," Economic Bulletin, Banco de España, issue 2023/Q3.
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"The drivers of market-based inflation expectations in the euro area and in the US,"
Economics Letters, Elsevier, vol. 232(C).
- Christian Hoynck & Luca Rossi, 2023. "The drivers of market-based inflation expectations in the euro area and in the US," Questioni di Economia e Finanza (Occasional Papers) 779, Bank of Italy, Economic Research and International Relations Area.
- Stefano Neri & Fabio Busetti & Cristina Conflitti & Francesco Corsello & Davide Delle Monache & Alex Tagliabracci, 2023. "Energy price shocks and inflation in the euro area," Questioni di Economia e Finanza (Occasional Papers) 792, Bank of Italy, Economic Research and International Relations Area.
- Margherita Bottero & Antonio M. Conti, 2023. "In the thick of it: an interim assessment of monetary policy transmission to credit conditions," Questioni di Economia e Finanza (Occasional Papers) 810, Bank of Italy, Economic Research and International Relations Area.
- Simone Letta & Pasquale Mirante, 2023. "Investigating the determinants of corporate bond credit spreads in the euro area," Temi di discussione (Economic working papers) 36, Bank of Italy, Economic Research and International Relations Area.
- Filippo Natoli, 2023. "The macroeconomic effects of temperature surprise shocks," Temi di discussione (Economic working papers) 1407, Bank of Italy, Economic Research and International Relations Area.
- Fabrizio Ferriani & Andrea Gazzani & Filippo Natoli, 2023. "Flight to climatic safety: local natural disasters and global portfolio flows," Temi di discussione (Economic working papers) 1420, Bank of Italy, Economic Research and International Relations Area.
- Luigi Infante & Francesca Lilla & Francesco Vercelli, 2023. "The effects of the pandemic on households' financial savings: a Bayesian structural VAR analysis," Temi di discussione (Economic working papers) 1421, Bank of Italy, Economic Research and International Relations Area.
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"Decomposing the monetary policy multiplier,"
CEPR Discussion Papers
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- Marco Bernardini & Antonio M. Conti, 2023. "Announcement and implementation effects of central bank asset purchases," Temi di discussione (Economic working papers) 1435, Bank of Italy, Economic Research and International Relations Area.
- Alba Carlos & Cuadra Gabriel & Ibarra Raúl, 2023. "Effects of the Extraordinary Measures Implemented by Banco de México during the COVID-19 Pandemic on Financial Conditions," Working Papers 2023-03, Banco de México.
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- Juan Pablo Cote-Barón & Karen L. Pulido-Mahecha & Nicol Valeria Rodríguez-Rodríguez & Carlos D. Rojas-Martínez, 2023. "El ISAE: Un Indicador para Monitorear la Actividad Económica Colombiana en Alta Frecuencia," Borradores de Economia 1225, Banco de la Republica de Colombia.
- Suleyman Kasal, 2023. "Analysing The Armey Curve Based On The Fourier Cointegration Approach For Turkey," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 68(236), pages 139-158, January –.
- Joseph Chukwudi Odionye & Jude Okechukwu Chukwu, 2023. "Asymmetric Reactions Of Stock Prices And Industrial Output To Exchange Rate Shocks: Multiple Threshold Nonlinear Autoregressive Distributed Lag Framework," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 68(237), pages 165-191, April – J.
- Jelena Rašković, 2023. "Ricardian Equivalence Or Twin Deficits Hypothesis? Evidence From Serbia," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 68(238), pages 87-113, July – Se.
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"Asymmetric monetary policy tradeoffs,"
Economics Working Papers
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"Evaluating policy institutions -150 years of US monetary policy-,"
Economics Working Papers
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"Amortized neural networks for agent-based model forecasting,"
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"The transmission of euro area monetary policy to financially euroized countries,"
Economics and Politics, Wiley Blackwell, vol. 35(3), pages 718-751, November.
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"Estimating the Effects of Monetary Policy in Australia Using Sign‐restricted Structural Vector Autoregressions,"
The Economic Record, The Economic Society of Australia, vol. 99(326), pages 329-358, September.
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"The All‐Gap Phillips Curve,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(2), pages 269-282, April.
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"Monitoring multicountry macroeconomic risk,"
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- Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Papers 2023_07, Business School - Economics, University of Glasgow.
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- Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Paper series 23-06, Rimini Centre for Economic Analysis.
- Felix Kapfhammer, 2023. "The Economic Consequences of Effective Carbon Taxes," Working Papers No 01/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
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"Oil prices uncertainty, endogenous regime switching, and inflation anchoring,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(6), pages 820-839, September.
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"Oil and the Stock Market Revisited: A Mixed Functional VAR Approach,"
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"Probabilistic Quantile Factor Analysis,"
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"Monitoring multicountry macroeconomic risk,"
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- Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Paper series 23-06, Rimini Centre for Economic Analysis.
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"A Bayesian DSGE Approach to Modelling Cryptocurrency","
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"Bayesian Local Projections,"
The Warwick Economics Research Paper Series (TWERPS)
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"An unobserved components model of total factor productivity and the relative price of investment,"
Macroeconomic Dynamics, Cambridge University Press, vol. 27(5), pages 1397-1423, July.
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"Is there a national housing market bubble brewing in the United States?,"
Macroeconomic Dynamics, Cambridge University Press, vol. 27(8), pages 2191-2228, December.
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"Gold and silver as safe havens: A fractional integration and cointegration analysis,"
PLOS ONE, Public Library of Science, vol. 18(3), pages 1-9, March.
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"Linking Frequentist and Bayesian Change-Point Methods,"
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"Identification and forecasting of bull and bear markets using multivariate returns,"
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"Foreign economic policy uncertainty shocks and real activity in the Euro area,"
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"Fiscal policy and stock markets at the effective lower bound,"
Finance Research Letters, Elsevier, vol. 58(PC).
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"Realized Stock-Market Volatility of the United States and the Presidential Approval Rating,"
Mathematics, MDPI, vol. 11(13), pages 1-27, July.
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"Realized Stock Market Volatility of the United States: The Role of Employee Sentiment,"
Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-21, June.
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"Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor Versus National Factor in a GARCH‐MIDAS Model,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(4), pages 1441-1466, July.
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"Time-Varying effects of extreme weather shocks on output growth of the United States,"
Finance Research Letters, Elsevier, vol. 70(C).
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"Oil shocks and state-level stock market volatility of the United States: a GARCH-MIDAS approach,"
Review of Quantitative Finance and Accounting, Springer, vol. 63(4), pages 1473-1510, November.
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"Forecasting international financial stress: The role of climate risks,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
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"Predicting Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries: The Role of Oil Price Uncertainty,"
Economies, MDPI, vol. 13(2), pages 1-25, January.
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"Energy-related uncertainty and international stock market volatility,"
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"Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models,"
Econometrics, MDPI, vol. 11(1), pages 1-16, March.
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"Does climate policy uncertainty affect tourism demand? Evidence from time-varying causality tests,"
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"Estimation of final standings in football competitions with a premature ending: the case of COVID-19,"
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"Measuring macroeconomic convergence and divergence within EMU using long memory,"
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"Stock profiling using time–frequency-varying systematic risk measure,"
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"DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors,"
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"Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China,"
Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 527-559, August.
- B. Li & S. Boubaker & Z. Liu & W. Louhichi & Y. Yao, 2023. "Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China," Post-Print hal-04435519, HAL.
- Ba Chu & Shafiullah Qureshi, 2023.
"Comparing Out-of-Sample Performance of Machine Learning Methods to Forecast U.S. GDP Growth,"
Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1567-1609, December.
- Ba Chu & Shafiullah Qureshi, 2021. "Comparing Out-of-Sample Performance of Machine Learning Methods to Forecast U.S. GDP Growth," Carleton Economic Papers 21-12, Carleton University, Department of Economics.
- Martin Bruns & Helmut Lütkepohl, 2023.
"An Alternative Bootstrap for Proxy Vector Autoregressions,"
Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1857-1882, December.
- Martin Bruns & Helmut Luetkepohl, 2020. "An Alternative Bootstrap for Proxy Vector Autoregressions," University of East Anglia School of Economics Working Paper Series 2020-06, School of Economics, University of East Anglia, Norwich, UK..
- Martin Bruns & Helmut Lütkepohl, 2020. "An Alternative Bootstrap for Proxy Vector Autoregressions," Discussion Papers of DIW Berlin 1913, DIW Berlin, German Institute for Economic Research.
- Bhaskar Tripathi & Rakesh Kumar Sharma, 2023. "Modeling Bitcoin Prices using Signal Processing Methods, Bayesian Optimization, and Deep Neural Networks," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1919-1945, December.
- Athanasia Stylianou Kalaitzi & Trevor W. Chamberlain, 2023. "Manufactured exports, disaggregated imports and economic growth: the case of Kuwait," Economic Change and Restructuring, Springer, vol. 56(2), pages 919-940, April.
- Mustafa Tevfik Kartal & Mustafa Kevser & Fatih Ayhan, 2023. "Asymmetric effects of global factors on return of cryptocurrencies by novel nonlinear quantile approaches," Economic Change and Restructuring, Springer, vol. 56(3), pages 1515-1535, June.
- Yaxue Yan & Weijuan Liang & Banban Wang & Xiaoling Zhang, 2023. "Spillover effect among independent carbon markets: evidence from China’s carbon markets," Economic Change and Restructuring, Springer, vol. 56(5), pages 3065-3093, October.
- Leping Huang & Yuning Cao & Yingfu Zhu, 2023. "Is there any recovery power for economic growth from green finance? Evidence from OECD member countries," Economic Change and Restructuring, Springer, vol. 56(6), pages 3909-3926, December.
- Mehmet Balcilar & Gizem Uzuner & Festus Victor Bekun & Mark E. Wohar, 2023. "Housing price uncertainty and housing prices in the UK in a time-varying environment," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(2), pages 523-549, May.
- Bjørnar Karlsen Kivedal, 2023. "Long run non-linearity in CO2 emissions: the I(2) cointegration model and the environmental Kuznets curve," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(4), pages 899-931, November.
- Koutchogna Kokou Edem Assogbavi & Stéphane Dées, 2023.
"Environmental Policy and the CO2 Emissions Embodied in International Trade,"
Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 84(2), pages 507-527, February.
- Koutchogna Kokou Assogbavi & Stephane Dees, 2021. "Environmental policy and the CO2 emissions embodied in international trade," Working Papers hal-03265178, HAL.
- Koutchogna Kokou Edem ASSOGBAVI & Stéphane Dées, 2021. "Environmental policy and the CO2 emissions embodied in international trade," Bordeaux Economics Working Papers 2021-07, Bordeaux School of Economics (BSE).
- Michel Ferreira Cardia Haddad & Szabolcs Blazsek & Philip Arestis & Franz Fuerst & Hsia Hua Sheng, 2023. "The two-component Beta-t-QVAR-M-lev: a new forecasting model," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(4), pages 379-401, December.
- Gan-Ochir Doojav & Munkhbayar Gantumur, 2023.
"An estimated model of a commodity-exporting economy for the integrated policy framework: evidence from Mongolia,"
International Economics and Economic Policy, Springer, vol. 20(4), pages 651-708, October.
- Gan-Ochir Doojav & Munkhbayar Gantumur, 2023. "An Estimated Model of a Commodity-Exporting Economy for the Integrated Policy Framework: Evidence from Mongolia," IHEID Working Papers 05-2023, Economics Section, The Graduate Institute of International Studies.
- Michele Salvi & Christoph A. Schaltegger, 2023. "Tax more or spend less? Historical evidence from Switzerland’s federal budget plans," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 30(3), pages 678-705, June.
- Jamie S. Spaulding & Keith B. Morris, 2023. "An open-source implementation of geographic profiling methods for serial crime analysis," Journal of Geographical Systems, Springer, vol. 25(4), pages 567-586, October.
- Sérgio Kannebley & Diogo de Prince & Felipe dos Santos Costa, 2023. "Sectoral Exchange Rate Pass-through to Manufacturing Prices: A GVAR Approach," Open Economies Review, Springer, vol. 34(4), pages 919-958, September.
- Alexandros Skouralis, 2023. "The Role of Systemic Risk Spillovers in the Transmission of Euro Area Monetary Policy," Open Economies Review, Springer, vol. 34(5), pages 1079-1106, November.
- Victor Song & Libo Xu, 2023. "Do Monetary Policy Shocks Have Asymmetric Effects on Stock Market?," Open Economies Review, Springer, vol. 34(5), pages 1063-1078, November.
- Dimitrios Koutmos, 2023. "Investor sentiment and bitcoin prices," Review of Quantitative Finance and Accounting, Springer, vol. 60(1), pages 1-29, January.
- Chao Liang & Yanran Hong & Luu Duc Toan Huynh & Feng Ma, 2023. "Asymmetric dynamic risk transmission between financial stress and monetary policy uncertainty: thinking in the post-covid-19 world," Review of Quantitative Finance and Accounting, Springer, vol. 60(4), pages 1543-1567, May.
- Masahiko Shibamoto, 2023. "Inflation, Business Cycle, and Monetary Policy: The Role of Inflationary Pressure," Discussion Paper Series DP2023-04, Research Institute for Economics & Business Administration, Kobe University.
- Rene Santos, 2023. "Effect of remittances on GDP and the trade deficit in Honduras," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 99, pages 111-152, July-Dece.
- Andrea Salazar-Díaz & Aarón Levi Garavito-Acosta & Sergio Restrepo Ángel & Leidy Viviana Arcila-Agudelo, 2023.
"Real Equilibrium Exchange Rate in Colombia: Thousands of VEC Models Approach,"
Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 99, pages 33-78, July-Dece.
- Andrea Salazar-Díaz & Aarón Levi Garavito-Acosta & Sergio Restrepo-Ángel & Leidy Viviana Arcila-Agudelo, 2022. "Real Equilibrium Exchange Rate in Colombia: Thousands of VEC Models Approach," Borradores de Economia 1221, Banco de la Republica de Colombia.
- Soroosh Soofi-Siavash & Emanuel Moench, 2023. "Carbon Intensity, Productivity, and Growth," Bank of Lithuania Working Paper Series 115, Bank of Lithuania.
- Panky Tri Febiyansah, 2023. "Exchange Rate Responses and Volatility Spillover Effects during the COVID-19 Pandemic in Indonesia," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 69, pages 87-97, December.
- Mite Miteski & Magdalena Petrovska & Рртан Сулејмани, 2023. "Measuring the natural interest rate for the Macedonian economy: a multi-model approach," Working Papers 2023-02, National Bank of the Republic of North Macedonia.
- Abeer Ibtisam Aziz, 2023. "Social Bots‘ Role in Online Political Communication – Evidence from German Federal Election 2021," MAGKS Papers on Economics 202309, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Lorena Skufi & Adam Geršl, 2023.
"Using Macrofinancial Models to Simulate Macroeconomic Developments During the COVID-19 Pandemic: The Case of Albania,"
Eastern European Economics, Taylor & Francis Journals, vol. 61(5), pages 517-553, September.
- Lorena Skufi & Adam Gersl, 2022. "Using Macro-Financial Models to Simulate Macroeconomic Developments During the Covid-19 Pandemic: The Case of Albania," Working Papers IES 2022/24, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2022.
- Gan-Ochir Doojav, 2023.
"Macroeconomic Effects of Covid-19 in a Commodity-Exporting Economy: Evidence from Mongolia,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 59(5), pages 1323-1348, April.
- Doojav, Gan-Ochir, 2022. "Macroeconomic Effects of COVID-19 in a Commodity-Exporting Economy: Evidence from Mongolia," ADBI Working Papers 1337, Asian Development Bank Institute.
- Jiti Gao & Bin Peng & Yayi Yan, 2023.
"Time-Varying Vector Error-Correction Models: Estimation and Inference,"
Papers
2305.17829, arXiv.org.
- Jiti Gao & Bin Peng & Yayi Yan, 2023. "Time-Varying Vector Error-Correction Models: Estimation and Inference," Monash Econometrics and Business Statistics Working Papers 11/23, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Bin Peng & Yayi Yan, 2024.
"Higher-Order Expansions and Inference for Panel Data Models,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(548), pages 2760-2771, October.
- Jiti Gao & Bin Peng & Yayi Yan, 2022. "Higher-order Expansions and Inference for Panel Data Models," Papers 2205.00577, arXiv.org, revised Jun 2023.
- Jiti Gao & Bin Peng & Yayi Yan, 2023. "Higher-order Expansions and Inference for Panel Data Models," Monash Econometrics and Business Statistics Working Papers 14/23, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Bin Peng & Yayi Yan, 2023. "A Localised Neural network with Dependent Data: Estimation and Inference," Monash Econometrics and Business Statistics Working Papers 15/23, Monash University, Department of Econometrics and Business Statistics.
- Bo Zhang & Jiti Gao & Guangming Pan & Yanrong Yang, 2023. "Eigen-Analysis for High-Dimensional Time Series Clustering," Monash Econometrics and Business Statistics Working Papers 22/23, Monash University, Department of Econometrics and Business Statistics.
- Gregory de Walque & Thomas Lejeune & Ansgar Rannenberg & Magne Mogstad, 2023. "BEMGIE: Belgian Economy in a Macro General and International Equilibrium model," Working Paper Research 435, National Bank of Belgium.
- Kris Boud & Arno De Block & Geert Langenus & Peter Reusens, 2023. "Nowcasting GDP through the lens of economic states," Working Paper Research 445, National Bank of Belgium.
- Szafranek, Karol & Szafrański, Grzegorz & Leszczyńska-Paczesna, Agnieszka, 2024.
"Inflation returns. Revisiting the role of external and domestic shocks with Bayesian structural VAR,"
International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 789-810.
- Karol Szafranek & Grzegorz Szafrański & Agnieszka Leszczyńska-Paczesna, 2023. "Inflation returns. Revisiting the role of external and domestic shocks with Bayesian structural VAR," NBP Working Papers 357, Narodowy Bank Polski.
- Josh Davis & Cristian Fuenzalida & Leon Huetsch & Benjamin Mills & Alan M. Taylor, 2023.
"Global Natural Rates in the Long Run: Postwar Macro Trends and the Market-Implied r* in 10 Advanced Economies,"
NBER Chapters, in: NBER International Seminar on Macroeconomics 2023,
National Bureau of Economic Research, Inc.
- Josh Davis & Cristian Fuenzalida & Leon Huetsch & Benjamin Mills & Alan M. Taylor, 2023. "Global Natural Rates in the Long Run: Postwar Macro Trends and the Market-Implied r* in 10 Advanced Economies," NBER Working Papers 31787, National Bureau of Economic Research, Inc.
- Francesco Bianchi & Giovanni Nicolo & Dongho Song, 2023.
"Inflation and Real Activity over the Business Cycle,"
Finance and Economics Discussion Series
2023-038, Board of Governors of the Federal Reserve System (U.S.).
- Francesco Bianchi & Giovanni Nicolò & Dongho Song, 2023. "Inflation and Real Activity over the Business Cycle," NBER Working Papers 31075, National Bureau of Economic Research, Inc.
- Josh Davis & Cristian Fuenzalida & Leon Huetsch & Benjamin Mills & Alan M. Taylor, 2023.
"Global Natural Rates in the Long Run: Postwar Macro Trends and the Market-Implied r* in 10 Advanced Economies,"
NBER Chapters, in: NBER International Seminar on Macroeconomics 2023,
National Bureau of Economic Research, Inc.
- Josh Davis & Cristian Fuenzalida & Leon Huetsch & Benjamin Mills & Alan M. Taylor, 2023. "Global Natural Rates in the Long Run: Postwar Macro Trends and the Market-Implied r* in 10 Advanced Economies," NBER Working Papers 31787, National Bureau of Economic Research, Inc.
- Willi Semmler & Fabio Della Rossa & Giuseppe Orlando & Gabriel R. Padro Rosario & Levent Kockesen, 2023. "Resilience and complex dynamics - safeguarding local stability against global instability," Working Papers 2305, New School for Social Research, Department of Economics.
- Maria Cristina Barbieri Goes & Joana David Avritzer, 2023. "Monetary Policy, Distribution and Autonomous Demand in the US," Working Papers 2307, New School for Social Research, Department of Economics.
- Willi Semmler & Fabio Della Rossa & Giuseppe Orlando & Gabriel R. Padro Rosario & Levent Kockesen, 2023. "Endogenous Economic Resilience, Loss of Resilience, Persistent Cycles, Multiple Attractors, and Disruptive Contractions," Working Papers 2309, New School for Social Research, Department of Economics.
- Roberto Leon-Gonzalez & Blessings Majoni, 2023.
"Exact Likelihood for Inverse Gamma Stochastic Volatility Models,"
Working Paper series
23-11, Rimini Centre for Economic Analysis.
- Roberto Leon-Gonzalez & Blessings Majon, 2024. "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," GRIPS Discussion Papers 24-03, National Graduate Institute for Policy Studies.
- Roberto Leon-Gonzalez & Blessings Majoni, 2023. "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," GRIPS Discussion Papers 23-07, National Graduate Institute for Policy Studies.
- Susana Campos-Martins & Cristina Amado, 2023. "Modelling causality in nonstationary variances with an application to carbon markets," NIPE Working Papers 13/2023, NIPE - Universidade do Minho.
- Bhattacharya, Rudrani, 2023. "Does Monetary Policy in India Anchor Inflation Expectation?," Working Papers 23/395, National Institute of Public Finance and Policy.
- Mirjana Miletic, Danilo Cerovic and Aleksandar Tomin & Mirjana Miletic & Danilo Cerovic & Aleksandar Tomin, 2023. "Impact of global supply disruptions and energy prices on inflation in European countries," Working Papers Bulletin 19, National Bank of Serbia.
- Gunnar BÃ¥rdsen & Ragnar Nymoen, 2023. "Dynamic time series modelling and forecasting of COVID-19 in Norway," Working Paper Series 19623, Department of Economics, Norwegian University of Science and Technology.
- Teresa Messner & Thomas Zörner, 2023. "Aggregate price pressures along the supply chain: a euro area perspective," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue Q4/22-Q1/, pages 21-32.
- Karsten Kohler & Engelbert Stockhammer, 2023.
"Flexible exchange rates in emerging markets: shock absorbers or drivers of endogenous cycles?,"
Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 32(2), pages 551-572.
- Karsten Kohler & Engelbert Stockhammer, 2022. "Flexible exchange rates in emerging markets: shock absorbers or drivers of endogenous cycles?," Working Papers PKWP2205, Post Keynesian Economics Society (PKES).
- Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
- Tobias Hartl & Roland Jucknewitz, 2023. "Multivariate Fractional Components Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 21(3), pages 880-914.
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2023.
"Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure,"
Journal of Financial Econometrics, Oxford University Press, vol. 21(3), pages 915-958.
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2019. "Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure," Papers 1902.10991, arXiv.org, revised Dec 2020.
- Anne Lundgaard, 2023. "A Joint Model for the Term Structure of Interest Rates and Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1196-1227.
- Luc Bauwens & Edoardo Otranto, 2023.
"Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models,"
Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1376-1401.
- Bauwens, Luc & Otranto, Edoardo, 2020. "Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models," LIDAM Discussion Papers CORE 2020034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Otranto, Edoardo, 2022. "Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models," LIDAM Reprints CORE 3202, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- L. Bauwens & E. Otranto, 2020. "Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models," Working Paper CRENoS 202007, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- A E Clements & A S Hurn & K A Lindsay & V Volkov, 2023. "Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1759-1790.
- Luisa Corrado & Edgar Silgado-Gómez, 2023. "Assessing the effects of fiscal policy news under imperfect information," Oxford Economic Papers, Oxford University Press, vol. 75(2), pages 574-587.
- Eleftheria Kafousaki & Stavros Degiannakis, 2023.
"Forecasting VIX: the illusion of forecast evaluation criteria,"
Economics and Business Letters, Oviedo University Press, vol. 12(3), pages 231-240.
- Stavros Degiannakis & Eleftheria Kafousaki, 2023. "Forecasting VIX: The illusion of forecast evaluation criteria," Working Papers 322, Bank of Greece.
- Andrei Cristian Spulbar, 2023. "Exploring the Dynamics of Digital Assets through Vector Autoregressive Modeling (VAR): Implications for Fintech and Financial Systems," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 866-876, December.
- Abdulkarim Yusuf & Saidatulakmal Mohd, 2023. "Growth and Fiscal Effects of Insecurity on the Nigerian Economy," The European Journal of Development Research, Palgrave Macmillan;European Association of Development Research and Training Institutes (EADI), vol. 35(4), pages 743-769, August.
- Mikhail Stolbov & Daniil Parfenov, 2023. "Credit risk linkages in the international banking network, 2000–2019," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-38, September.
- Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023.
"The Long-Run Phillips Curve is ... a Curve,"
Working Papers
789, DNB.
- Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023. "The Long-Run Phillips Curve is ... a Curve," DEM Working Papers Series 213, University of Pavia, Department of Economics and Management.
- Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023. "The Long-Run Phillips Curve is ... a Curve," CAMA Working Papers 2023-37, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Ascari, Guido & Bonomolo, Paolo & Haque, Qazi, 2024. "The Long-Run Phillips Curve is ... a Curve," CEPR Discussion Papers 19069, C.E.P.R. Discussion Papers.
- Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023. "The Long-Run Phillips Curve is ... a Curve," School of Economics and Public Policy Working Papers 2023-07 Classification-C3, University of Adelaide, School of Economics and Public Policy.
- Alexis Stenfors & Lilian Muchimba, 2023. "The Transmission Mechanism of Stress in the International Banking System," Working Papers in Economics & Finance 2023-03, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Alexander Meléndez Holguín & Gabriel Rodríguez, 2023. "Evolution over time of the effects of fiscal shocks in the peruvian economy: empirical application using TVP-VAR-SV models," Documentos de Trabajo / Working Papers 2023-516, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Ganiko, Gustavo & Jiménez, Alvaro, 2023.
"Choques externos en la economía peruana: un enfoque de ceros y signos en un modelo BVAR,"
Working Papers
2023-010, Banco Central de Reserva del Perú.
- Gustavo Ganiko & Alvaro Jiménez, 2023. "Choques externos en la economía peruana: un enfoque de ceros y signos en un modelo BVAR," Documentos de Trabajo / Working Papers 2023-520, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Flavio Pérez Rojo & Gabriel Rodríguez, 2023. "Jane Haldimand Marcet: Impact of Monetary Policy Shocks in the Peruvian Economy Over Time," Documentos de Trabajo / Working Papers 2023-523, Departamento de Economía - Pontificia Universidad Católica del Perú.
2022
- Cai, Yifei & Mignon, Valérie & Saadaoui, Jamel, 2022.
"Not all political relation shocks are alike: Assessing the impacts of US–China tensions on the oil market,"
Energy Economics, Elsevier, vol. 114(C).
- Valérie Mignon & Yifei Cai & Jamel Saadaoui, 2022. "Not All Political Relation Shocks are Alike: Assessing the Impacts of US-China Tensions on the Oil Market," Post-Print hal-03737307, HAL.
- Valérie Mignon & Yifei Cai & Jamel Saadaoui, 2022. "Not all political relation shocks are alike: Assessing the impacts of US-China tensions on the oil market," Working Papers hal-04159797, HAL.
- Valérie Mignon & Yifei Cai & Jamel Saadaoui, 2022. "Not all political relation shocks are alike: Assessing the impacts of US-China tensions on the oil market," EconomiX Working Papers 2022-19, University of Paris Nanterre, EconomiX.
- Yifei Cai & Valérie Mignon & Jamel Saadaoui, 2022. "Not all political relation shocks are alike: Assessing the impacts of US-China tensions on the oil market," Working Papers of BETA 2022-20, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Yifei Cai & Valérie Mignon & Jamel Saadaoui, 2022. "Not all political relation shocks are alike: Assessing the impacts of US-China tensions on the oil market," Working Papers 2022-07, CEPII research center.
- Less, Vivien & Sibbertsen, Philipp, 2022. "Estimation and Testing in a Perturbed Multivariate Long Memory Framework," Hannover Economic Papers (HEP) dp-704, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Milan Deskar-Škrbić & Ana Grdović Gnip & Hrvoje Šimović, 2022.
"Makroekonomski Učinci Diskrecijskih Izmjena U Sustavu Poreza Na Dodanu Vrijednost (Pdv) U Hrvatskoj: Narativni Pristup,"
Ekonomski pregled, Hrvatsko društvo ekonomista (Croatian Society of Economists), vol. 73(6), pages 881-904.
- Milan Deskar-Škrbić & Ana Grdović Gnip & Hrvoje Šimović, 2020. "Makroekonomski učinci diskrecijskih izmjena u sustavu poreza na dodanu vrijednost (PDV) u Hrvatskoj: narativni pristup," EFZG Working Papers Series 2002, Faculty of Economics and Business, University of Zagreb.
- Lyu, Chenyan & Scholtens, Bert, 2022. "Is the Global Carbon Market Integrated? Return and Volatility Connectedness in ETS Systems," Working Papers 7-2022, Copenhagen Business School, Department of Economics, revised 08 Jun 2022.
- Kilman, Josefin, 2022. "Monetary Policy Shocks for Sweden," Working Papers 2022:18, Lund University, Department of Economics.
- Tamás Kiss & Hoang Nguyen & Pär Österholm, 2023.
"Modelling Okun’s law: Does non-Gaussianity matter?,"
Empirical Economics, Springer, vol. 64(5), pages 2183-2213, May.
- Kiss, Tamas & Nguyen, Hoang & Österholm, Pär, 2022. "Modelling Okun’s Law – Does non-Gaussianity Matter?," Working Papers 2022:1, Örebro University, School of Business.
- Pär Österholm & Aubrey Poon, 2023.
"Trend Inflation in Sweden,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4707-4716, October.
- Österholm, Pär & Poon, Aubrey, 2022. "Trend Inflation in Sweden," Working Papers 2022:2, Örebro University, School of Business.
- Nguyen, Hoang & Virbickaitė, Audronė, 2023.
"Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models,"
Energy Economics, Elsevier, vol. 124(C).
- Nguyen, Hoang & Virbickaite, Audrone, 2022. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Working Papers 2022:5, Örebro University, School of Business.
- Morita, Hiroshi & Ono, Taiki, 2022. "COVID-19 Uncertainty Index in Japan: Newspaper-Based Measures and Economic Activities," Discussion paper series HIAS-E-116, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Matsumoto, Ryo & Morita, Hiroshi & Ono, Taiki, 2022. "Central Bank Information Effects in Japan : The Role of Uncertainty Channel," Discussion paper series HIAS-E-126, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Morita, Hiroshi & Yuasa, Shiro, 2022. "Nonlinear Effects of Uncertainty Shocks : State-dependency and Asymmetry," RCESR Discussion Paper Series DP22-6, Research Center for Economic and Social Risks, Institute of Economic Research, Hitotsubashi University.
- Tihana Škrinjarić, 2022. "Uvođenje kompozitnog indikatora cikličkog sistemskog rizika u Hrvatskoj: mogućnosti i ograničenja," Istraživanja 70, Hrvatska narodna banka, Hrvatska.
- Tihana Škrinjarić, 2022. "Introduction of the composite indicator of cyclical systemic risk in Croatia: possibilities and limitations," Working Papers 68, The Croatian National Bank, Croatia.
- Stefán Thórarinsson, 2022. "Analysing inflation dynamics in Iceland using a Bayesian structural vector autoregression model," Economics wp88, Department of Economics, Central bank of Iceland.
- Siong Hook Law & Masagus M. Ridhwan, 2022. "Effect Of Islamic Financial System Stability On Economic Performance In Indonesia," Journal of Islamic Monetary Economics and Finance, Bank Indonesia, vol. 8(3), pages 371-406, August.
- Aris Setiyanto, 2022. "Foreign And Private Domestic Investments In Indonesia: Crowding-In Or Crowding-Out?," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 25(4), pages 623-646, January.
- Siong Hook Law & Masagus M. Ridhwan, 2022. "Effect Of Islamic Financial System Stability On Economic Performance In Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 8(3), pages 371-406.
- Danilo Leiva-Leon & Jaime Martinez-Martin & Eva Ortega, 2022.
"Exchange Rate Shocks and Inflation Co-movement in the Euro Area,"
International Journal of Central Banking, International Journal of Central Banking, vol. 18(1), pages 239-275, March.
- Danilo Leiva-Leon & Eva Ortega & Jaime Martínez-Martín, 2019. "Exchange rate shocks and inflation comovement in the euro area," Working Papers 1934, Banco de España.
- Leiva-Leon, Danilo & Martínez-Martin, Jaime & Ortega, Eva, 2020. "Exchange rate shocks and inflation comovement in the euro area," Working Paper Series 2383, European Central Bank.
- Sriya Anbil & Zeynep Senyuz, 2022. "How Has Monetary and Regulatory Policy Affected Trading Relationships in the U.S. Repo Market?," International Journal of Central Banking, International Journal of Central Banking, vol. 18(4), pages 1-52, October.
- Helmut Herwartz & Simone Maxand & Hannes Rohloff, 2022. "The Link between Monetary Policy, Stock Prices, and House Prices—Evidence from a Statistical Identification Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 18(5), pages 1-53, December.
- Emilio Colombo & Davide Furceri & Pietro Pizzuto & Patrizio Tirelli, 2022.
"Fiscal Multipliers and Informality,"
DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo
dis2201, Università Cattolica del Sacro Cuore, Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo (DISEIS).
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"Characterizing the schooling cycle,"
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"Consumption Loan Augmented Divisia Monetary Index and China Monetary Aggregation,"
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"Tax holidays and the heterogeneous pass-through of gasoline taxes,"
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"Bayesian Analysis of Realized Matrix-Exponential GARCH Models,"
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- Manabu Asai & Michael McAleer, 2018. "Bayesian analysis of realized matrix-exponential GARCH models," Documentos de Trabajo del ICAE 2018-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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"Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR,"
Economic Change and Restructuring, Springer, vol. 55(3), pages 1973-2010, August.
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- Petar Sorić, 2022. "Ability to consume versus willingness to consume: the role of nonlinearities," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(3), pages 663-689, August.
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"The Zonal and Seasonal CO2 Marginal Emissions Factors for the Italian Power Market,"
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"Transmission mechanisms of conventional and unconventional monetary policies in open economies,"
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"Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty,"
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"The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets: A Mixed-Frequency Granger Causality Approach,"
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"Asymmetry and Interdependence when Evaluating U.S. Energy Information Agency Forecasts,"
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- Sonia Chipeva, 2022. "Bulgarian Economy on the Way of Ecological Transformation," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 18-27, December.
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"Evolution of Monetary Policy in Peru: An Empirical Application Using a Mixture Innovation TVP-VAR-SV Model [Metas de Inflación en Una Economía Dolarizada: La Experencia Del Perú],"
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"Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices [Commodity-price comovement and global economic activity],"
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"Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks [Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts],"
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"Selective Linear Segmentation for Detecting Relevant Parameter Changes [Risks and Portfolio Decisions Involving Hedge Funds],"
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"Understanding the Size of the Government Spending Multiplier: It’s in the Sign,"
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"International monetary policy and cryptocurrency markets: dynamic and spillover effects,"
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"Dancing Alone or Together: The Dynamic Effects of Independent and Common Monetary Policies,"
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"Skewed SVARs: Tracking the Structural Sources of Macroeconomic Tail Risks,"
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"Tests for Random Coefficient Variation in Vector Autoregressive Models,"
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"Time-varying predictability of financial stress on inequality in United Kingdom,"
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"The Political Relation and Trade - The Case of US, China and Australia,"
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"Is the effect of public debt on inflation symmetric or asymmetric? Evidence from the Gambia,"
Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 8(1), pages 41-57, June.
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"Financial development and economic growth in Botswana: New evidence from disaggregated data,"
Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 8(2), pages 1-17, December.
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"On the transmission mechanism of Asia‐Pacific yield curve characteristics,"
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Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 965-987, August.
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"Uncertainty and predictability of real housing returns in the United Kingdom: A regional analysis,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1525-1556, November.
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"Detecting And Measuring Financial Cycles In Heterogeneous Agents Models: An Empirical Analysis,"
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"Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings,"
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- Xu, Jack, 2022. "Beyond Merton: Multi-Dimensional Balance Sheet in Default Modeling," MPRA Paper 112022, University Library of Munich, Germany.
- Van, Germinal, 2022. "An Empirical Analysis of the Socioeconomic Status of Blacks on Police Treatment and Arrests: A Granger Causality Approach," MPRA Paper 112214, University Library of Munich, Germany.
- Pedini, Luca & Severini, Sabrina, 2022. "Exploring the hedge, diversifier and safe haven properties of ESG investments: A cross-quantilogram analysis," MPRA Paper 112339, University Library of Munich, Germany.
- Natoli, Filippo, 2022. "Temperature surprise shocks," MPRA Paper 112568, University Library of Munich, Germany.
- Robert Lehmann & Ida Wikman, 2022.
"Quarterly GDP Estimates for the German States,"
ifo Working Paper Series
370, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Lehmann, Robert & Wikman, Ida, 2022. "Quarterly GDP Estimates for the German States," MPRA Paper 112642, University Library of Munich, Germany.
- Robert Lehmann & Ida Wikman, 2023. "Quarterly GDP Estimates for the German States: New Data for Business Cycle Analyses and Long-Run Dynamics," CESifo Working Paper Series 10280, CESifo.
- del Barrio Castro, Tomás, 2021.
"Testing for the cointegration rank between Periodically Integrated processes,"
MPRA Paper
106603, University Library of Munich, Germany, revised 2021.
- del Barrio Castro, Tomás, 2022. "Testing for the cointegration rank between Periodically Integrated processes," MPRA Paper 112730, University Library of Munich, Germany, revised 2022.
- Li, Chenxing, 2022. "A multivariate GARCH model with an infinite hidden Markov mixture," MPRA Paper 112792, University Library of Munich, Germany.
- Duque Garcia, Carlos Alberto, 2022. "Ciclos económicos, inversión y rentabilidad del capital en Colombia: un análisis de series de tiempo [Economic cycles, investment and profits in Colombia: a time-series analysis]," MPRA Paper 113272, University Library of Munich, Germany.
- Dean Fantazzini, 2022.
"Crypto-Coins and Credit Risk: Modelling and Forecasting Their Probability of Death,"
JRFM, MDPI, vol. 15(7), pages 1-34, July.
- Fantazzini, Dean, 2022. "Crypto Coins and Credit Risk: Modelling and Forecasting their Probability of Death," MPRA Paper 113744, University Library of Munich, Germany.
- Zubarev, Andrey & Kirillova, Maria, 2022. "Оценивание Влияния Внешних Шоков На Российскую Экономику С Помощью Модели Gvar [Estimating the impact of external shocks on Russian economy: GVAR approach]," MPRA Paper 113762, University Library of Munich, Germany, revised 01 Jul 2022.
- Kuikeu, Oscar, 2022. "Etude empirique de l’impact des formes traditionnelles de protectionnisme : cas de l’économie camerounaise [Empirical study of Old form of protection: case of cameroonian economy]," MPRA Paper 113854, University Library of Munich, Germany.
- Bigerna, Simona & D'Errico, Maria Chiara & Polinori, Paolo & Simshauer, Paul, 2022. "Renewable energy and portfolio volatility spillover effects of GCC oil exporting countries," MPRA Paper 114164, University Library of Munich, Germany.
- Garratt, Anthony & Petrella, Ivan & Zhang, Yunyi, 2022.
"Asymmetry and Interdependence when Evaluating U.S. Energy Information Agency Forecasts,"
National Institute of Economic and Social Research (NIESR) Discussion Papers
541, National Institute of Economic and Social Research.
- Garratt, Anthony & Petrella, Ivan & Zhang, Yunyi, 2022. "Asymmetry and Interdependence when Evaluating U.S. Energy Information Agency Forecasts," MPRA Paper 114325, University Library of Munich, Germany.
- Tonni, Lorenzo, 2022. "Business cycle and factor income shares: a VAR sign restriction approach," MPRA Paper 114586, University Library of Munich, Germany.
- Martin Stuermer, 2022.
"Non-renewable resource extraction over the long term: empirical evidence from global copper production,"
Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 35(3), pages 617-625, December.
- Stuermer, Martin, 2022. "Non-Renewable Resource Extraction over the Long Term: Empirical Evidence from Global Copper Production," MPRA Paper 114767, University Library of Munich, Germany.
- Hlongwane, Nyiko Worship & Daw, Olebogeng David, 2022. "Renewable electricity consumption and economic growth: A comparative study of South Africa and Zimbabwe," MPRA Paper 115154, University Library of Munich, Germany, revised 24 Oct 2022.
- Storti, Giuseppe & Wang, Chao, 2022. "A multivariate semi-parametric portfolio risk optimization and forecasting framework," MPRA Paper 115266, University Library of Munich, Germany.
- Yang, Zixiu & Fantazzini, Dean, 2022. "Using crypto assets pricing methods to build technical oscillators for short-term bitcoin trading," MPRA Paper 115508, University Library of Munich, Germany.
- Hoffmaister, Alexander W., 2022. "Two's not company: mis-aggregation and "supply-induced" unemployment increases," MPRA Paper 115513, University Library of Munich, Germany.
- Garratt, Anthony & Petrella, Ivan & Zhang, Yunyi, 2023.
"Asymmetry and interdependence when evaluating U.S. Energy Information Administration forecasts,"
Energy Economics, Elsevier, vol. 121(C).
- Garratt, Anthony & Petrella, Ivan & Zhang, Yunyi, 2022. "Asymmetry and Interdependence when Evaluating U.S. Energy Information Administration Forecasts," MPRA Paper 115559, University Library of Munich, Germany.
- Yusifzada, Tural, 2022. "Response of Inflation to the Climate Stress: Evidence from Azerbaijan," MPRA Paper 116522, University Library of Munich, Germany, revised 20 Sep 2022.
- Lycheva, Maria & Mironenkov, Alexey & Kurbatskii, Alexey & Fantazzini, Dean, 2022.
"Forecasting oil prices with penalized regressions, variance risk premia and Google data,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 28-49.
- Fantazzini, Dean & Kurbatskii, Alexey & Mironenkov, Alexey & Lycheva, Maria, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," MPRA Paper 118239, University Library of Munich, Germany.
- Çekin, Semih Emre & Ivashchenko, Sergey & Gupta, Rangan & Lee, Chien-Chiang, 2024.
"Real-time forecast of DSGE models with time-varying volatility in GARCH form,"
International Review of Financial Analysis, Elsevier, vol. 93(C).
- Sergey Ivashchenko & Semih Emre Cekin & Rangan Gupta & Chien-Chiang Lee, 2022. "Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form," Working Papers 202204, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Gupta, Rangan & Bouri, Elie, 2023.
"Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 303-314.
- Afees A. Salisu & Rangan Gupta & Elie Bouri, 2022. "Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach," Working Papers 202211, University of Pretoria, Department of Economics.
- Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2025.
"On the propagation mechanism of international real interest rate spillovers: evidence from more than 200 years of data,"
Applied Economics, Taylor & Francis Journals, vol. 57(7), pages 790-804, February.
- Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2022. "On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data," Working Papers 202212, University of Pretoria, Department of Economics.
- Shixuan Wang & Rangan Gupta & Matteo Bonato & Oguzhan Cepni, 2022. "The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks," Working Papers 202219, University of Pretoria, Department of Economics.
- Imran Yousaf & Vasilios Plakandaras & Elie Bouri & Rangan Gupta, 2022. "Hedge and Safe Haven Properties of Gold, US Treasury, Bitcoin, and Dollar/CHF against the FAANA Companies and S&P 500," Working Papers 202227, University of Pretoria, Department of Economics.
- Petre Caraiani & Rangan Gupta & Jacobus Nel & Joshua Nielsen, 2022. "Monetary Policy and Bubbles in G7 Economies: Evidence from a Panel VAR Approach," Working Papers 202230, University of Pretoria, Department of Economics.
- Afees A. Salisu & Riza Demirer & Rangan Gupta, 2023.
"Policy uncertainty and stock market volatility revisited: The predictive role of signal quality,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2307-2321, December.
- Afees A. Salisu & Riza Demirer & Rangan Gupta, 2022. "Policy Uncertainty and Stock Market Volatility Revisited: The Predictive Role of Signal Quality," Working Papers 202232, University of Pretoria, Department of Economics.
- Sibande, Xolani & Demirer, Riza & Balcilar, Mehmet & Gupta, Rangan, 2023.
"On the pricing effects of bitcoin mining in the fossil fuel market: The case of coal,"
Resources Policy, Elsevier, vol. 85(PB).
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- Elie Bouri & Rangan Gupta & Hardik A. Marfatia & Jacobus Nel, 2022. "Do Climate Risks Predict US Housing Returns and Volatility? Evidence from a Quantiles-Based Approach," Working Papers 202240, University of Pretoria, Department of Economics.
- Vasilios Plakandaras & Rangan Gupta & Sayar Karmakar & Mark E. Wohar, 2022. "Is Real Interest Rate a Monetary Phenomenon in Advanced Economies? Time-Varying Evidence from Over 700 Years of Data," Working Papers 202245, University of Pretoria, Department of Economics.
- Oguzhan Cepni & Rangan Gupta & Wenting Liao & Jun Ma, 2024.
"Climate risks and forecastability of the weekly state‐level economic conditions of the United States,"
International Review of Finance, International Review of Finance Ltd., vol. 24(1), pages 154-162, March.
- Oguzhan Cepni & Rangan Gupta & Wenting Liao & Jun Ma, 2022. "Climate Risks and Forecastability of the Weekly State-Level Economic Conditions of the United States," Working Papers 202251, University of Pretoria, Department of Economics.
- van Eyden, Reneé & Gupta, Rangan & Nielsen, Joshua & Bouri, Elie, 2023.
"Investor sentiment and multi-scale positive and negative stock market bubbles in a panel of G7 countries,"
Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
- Renee van Eyden & Rangan Gupta & Joshua Nielsen & Elie Bouri, 2022. "Investor Sentiment and Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries," Working Papers 202256, University of Pretoria, Department of Economics.
- Luo, Jiawen & Cepni, Oguzhan & Demirer, Riza & Gupta, Rangan, 2025.
"Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies,"
Journal of Empirical Finance, Elsevier, vol. 81(C).
- Jiawen Luo & Oguzhan Cepni & Riza Demirer & Rangan Gupta, 2022. "Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies," Working Papers 202258, University of Pretoria, Department of Economics.
- Laura Liu & Mikkel Plagborg-M?ller, 2021.
"Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data,"
CAEPR Working Papers
2021-001 Classification- , Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Laura Liu & Mikkel Plagborg-Møller, 2022. "Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data," Working Papers 2022-21, Princeton University. Economics Department..
- Emilia Gosińska & Aleksander Welfe, 2022. "The Cointegrated VAR Model with Deterministic Structural Breaks," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 14(3), pages 335-350, September.
- Pongsak Luangaram & Nipit Wongpunya, 2022. "Exploring the Role of Exchange Rate in Inflation Targeting: Evidence from Thailand," PIER Discussion Papers 179, Puey Ungphakorn Institute for Economic Research.
- James McNeil & Gregor W. Smith, 2023.
"The All‐Gap Phillips Curve,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(2), pages 269-282, April.
- James McNeil & Gregor W. Smith, 2022. "The All-Gap Phillips Curve," Working Paper 1488, Economics Department, Queen's University.
- Haroon Mumtaz & Michele Piffer, 2022. "Impulse response estimation via fexible local projections," Working Papers 938, Queen Mary University of London, School of Economics and Finance.
- Matthew Read, 2022. "The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions," RBA Research Discussion Papers rdp2022-04, Reserve Bank of Australia.
- Matthew Read, 2023.
"Estimating the Effects of Monetary Policy in Australia Using Sign‐restricted Structural Vector Autoregressions,"
The Economic Record, The Economic Society of Australia, vol. 99(326), pages 329-358, September.
- Matthew Read, 2022. "Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions," RBA Research Discussion Papers rdp2022-09, Reserve Bank of Australia.
- Castillo, Teresa & Lahura, Erick, 2022. "Los Efectos de la Política Fiscal sobre la Actividad Económica en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 40, pages 9-34.
- Pérez Forero, Fernando, 2022. "Exchange Rate Volatility in LATAM: Common and Idiosyncratic Factors," Working Papers 2022-001, Banco Central de Reserva del Perú.
- Chicama, Diego & Nivin, Rafael, 2022. "Evaluando el modelo Growth-at-Risk como herramienta para vigilar los riesgos macrofiancieros en la economía peruana," Working Papers 2022-008, Banco Central de Reserva del Perú.
- Thomas Lubik & Christian Matthes & Elmar Mertens, 2023.
"Indeterminacy and Imperfect Information,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 49, pages 37-57, July.
- Thomas Lubik & Christian Matthes & Elmar Mertens, 2022. "Online Appendix to "Indeterminacy and Imperfect Information"," Online Appendices 20-377, Review of Economic Dynamics.
- Thomas Lubik & Christian Matthes & Elmar Mertens, 2023.
"Indeterminacy and Imperfect Information,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 49, pages 37-57, July.
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- Christoph Görtz & Christopher Gunn & Thomas Lubik, "undated".
"What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs,"
Carleton Economic Papers
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- Christoph Görtz & Christopher Gunn & Thomas A. Lubik, 2022. "What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs," Working Paper series 22-11, Rimini Centre for Economic Analysis.
- Christoph Gortz & Christopher Gunn & Thomas A. Lubik, 2019. "What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs," Working Paper 19-18, Federal Reserve Bank of Richmond.
- Christoph Gortz & Christopher Gunn & Thomas A. Lubik, 2022. "What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs," CAMA Working Papers 2022-53, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Christoph Görtz & Christopher Gunn & Thomas A. Lubik, 2019. "What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs," CESifo Working Paper Series 7891, CESifo.
- Christoph Gortz & Christopher Gunn & Thomas A. Lubik, 2019. "What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs," Discussion Papers 19-09, Department of Economics, University of Birmingham.
- Arampatzidis, Ioannis & Panagiotidis, Theodore, 2023.
"On the identification of the oil-stock market relationship,"
Economic Modelling, Elsevier, vol. 120(C).
- Ioannis Arampatzidis & Theodore Panagiotidis, 2022. "On the identification of the oil-stock market relationship," Working Paper series 22-15, Rimini Centre for Economic Analysis.
- Kim, Kijin & Kim, Soyoung & Lee, Donghyun & Park, Cyn-Young, 2023.
"Impacts of social distancing policy and vaccination during the COVID-19 pandemic in the Republic of Korea,"
Journal of Economic Dynamics and Control, Elsevier, vol. 150(C).
- Kim, Kijin & Kim, Soyoung & Lee, Donghyun & Park, Cyn-Young, 2022. "Impacts of Social Distancing Policy and Vaccination During the COVID-19 Pandemic in the Republic of Korea," ADB Economics Working Paper Series 658, Asian Development Bank.
- Gan-Ochir Doojav, 2023.
"Macroeconomic Effects of Covid-19 in a Commodity-Exporting Economy: Evidence from Mongolia,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 59(5), pages 1323-1348, April.
- Doojav, Gan-Ochir, 2022. "Macroeconomic Effects of COVID-19 in a Commodity-Exporting Economy: Evidence from Mongolia," ADBI Working Papers 1337, Asian Development Bank Institute.
- Manevich, Vyacheslav & Peresetsky, Anatoly & Pogorelova, Polina, 2022. "Stock market and cryptocurrency market volatility," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 65, pages 65-76.
- Zubarev, Andrei & Kirillova, Maria, 2022. "Modeling COVID-19 spread in the Russian Federation using global VAR approach," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 65, pages 117-138.
- Kalabikhina, Irina & Kazbekova, Zarina & Klimenko, German & Kolotusha, Anton, 2022. "Demographic regional rankings by media activity on maternal (family) capital," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 67, pages 46-73.
- Lycheva, Maria & Mironenkov, Alexey & Kurbatskii, Alexey & Fantazzini, Dean, 2022.
"Forecasting oil prices with penalized regressions, variance risk premia and Google data,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 28-49.
- Fantazzini, Dean & Kurbatskii, Alexey & Mironenkov, Alexey & Lycheva, Maria, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," MPRA Paper 118239, University Library of Munich, Germany.
- Kardaslar, Ahmet, 2022. "The Impact of Economic Growth, Energy Consumption and Globalization on Ecological Footprint: The Case of Turkey (Ekonomik Büyüme, Enerji Tüketimi ve Küreselleşme Sürecinin Ekolojik Ayak İzi Üzerindeki," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 13(3), pages 385-401, July.
- Kardaslar, Ahmet, 2022. "The Impact of Economic Growth, Energy Consumption and Globalization on Ecological Footprint: The Case of Turkey (Ekonomik Büyüme, Enerji Tüketimi ve Küreselleşme Sürecinin Ekolojik Ayak İzi Üzerindeki," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 13(3), pages 385-401, July.
- A. Abdulhakeem, Kilishi, 2022. "Modeling with Time Series: Issues and Common Errors," Working Papers 24, Department of Economics, University of Ilorin.
- Saungweme, Talknice & Odhiambo, Nicholas M., 2022. "Does Public Debt Granger-Cause Inflation in Tanzania? A Multivariate Analysis," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 75(1), pages 75-100.
- Santander Quino, Camila Miriam, 2022. "Ciclos económicos y financieros: Una aproximación empírica para Bolivia," Documentos de trabajo 1/2022, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana.
- Rodríguez Benavides, Domingo & Ceballos Minare, Owen Eli, 2022. "Clubes de convergencia regional en Colombia 2000-2016: un análisis flexible por departamentos," INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH, Asociación Española de Ciencia Regional, issue 53, pages 47-65.
- Rodríguez Benavides, Domingo & Mendoza González, Miguel Ángel & Muller Durán, Nancy Ivonne, 2022. "Convergencia regional sigma débil en México: 1970-2019," INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH, Asociación Española de Ciencia Regional, issue 54, pages 29-49.
- Falzon, Joseph & Bonnici, Elaine, 2022. "Does it pay to be a faithful investor? A risk-based approach performance analysis of Islamic funds vs UCITS schemes," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 29, pages 100-118.
- Taifeh Jabbari, Roghayeh & Mohammadi, Teymour & Bahrami, Javid, 2022. "The Implications of Fiscal Policy with Rule-of-thumb Consumers in the New keynesian Framework in Iran: A DSGE Model Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 9(1), pages 27-56, June.
- Ivanovski, Zoran & Ivanovska, Nadica & Korunovska, Vesna, 2022. "Engle & Granger Cointegration Test For Gdp And Public Consumption In The Republic Of North Macedonia," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 13(2), pages 221-235.
- Abdul RASHID & Aamir JAVED & Zainab JEHAN & Uzma IQBAL, 2022. "Time-Varying Impacts of Macroeconomic Variables on Stock Market Returns and Volatility : Evidence from Pakistan," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 144-166, October.
- Kuznetsova, Mariya (Кузнецова, Мария) & Sinelnikova-Muryleva, Elena (Синельникова-Мурылева, Елена) & Shilov, Kirill (Шилов, Кирилл), 2022. "Factor models of cryptocurrency return within homogeneous groups [Факторные Модели Доходности Однородных Групп Криптовалют]," Working Papers w20220112, Russian Presidential Academy of National Economy and Public Administration.
- Dobronravova, Elizaveta (Добронравова, Елизавета) & Kolesnik, Sofiya (Колесник, София) & Orekhov, Mikhail (Орехов, Михаил) & Chembulatova, Mariya (Чембулатова, Мария), 2022. "Analysis On Monetary Policy Coordination In Eurasian Economic Union [Анализ Механизмов Координации Денежно-Кредитной Политики В Рамках Евразийского Экономического Союза]," Working Papers w20220205, Russian Presidential Academy of National Economy and Public Administration.
- Dalia Ibrahim Mustafa & Ghazi Ibrahim Al-Assaf, 2022. "The Asymmetric Effects of the Determinants of Real Exchange Rate in Jordan: ‎The Role of Price Index Selection," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 24(2), pages 121-139, December.
- Giuseppe Ciccarone & Francesco Giuli, 2022. "Undesired monetary policy effects in a bubbly economy," Departmental Working Papers of Economics - University 'Roma Tre' 0270, Department of Economics - University Roma Tre.
- Alessandro Casini, 2022. "Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models," CEIS Research Paper 539, Tor Vergata University, CEIS, revised 11 Apr 2022.
- Sudeshna Ghosh, 2022. "Female Entrepreneurs in the Hospitality Industry: A Panel Causality Analysis of EU Countries," Arthaniti: Journal of Economic Theory and Practice, , vol. 21(1), pages 93-116, June.
- Tanveer Ahmad Khan, 2022. "Current and Capital Account Dynamics in India: An Empirical Analysis of the Post-Reform Period," Foreign Trade Review, , vol. 57(1), pages 41-65, February.
- Anuradha Patnaik, 2022. "Measuring Demand and Supply Shocks From COVID-19: An Industry-Level Analysis for India," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 16(1), pages 76-105, February.
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- Praveen Tiwari & Javaid Akhter & Saumen Chattopadhyay, 2022. "Illicit Financial Flows through Trade Mis-Invoicing in India: An Empirical Analysis of the Major Commodities Involved in Mis-Invoicing," South Asian Journal of Macroeconomics and Public Finance, , vol. 11(2), pages 185-216, December.
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- Ishita Ghoshal, 2022. "Cost-Push and Demand-Pull Inflation in India ? A Frequency Domain Analysis," Proceedings of Economics and Finance Conferences 13015641, International Institute of Social and Economic Sciences.
- Adam Pigoń & Michał Ramsza, 2022. "A Comparison of German, Swiss, and Polish Fiscal Rules Using Monte Carlo Simulations," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 4, pages 17-41.
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"Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(3), pages 507-530.
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"Share buybacks and corporate tax cuts,"
Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
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- Martin Indergand & Eric Jondeau & Andreas Fuster, 2022.
"Measuring and Stress-Testing Market-Implied Bank Capital,"
Swiss Finance Institute Research Paper Series
22-11, Swiss Finance Institute.
- Martin Indergand & Eric Jondeau & Andreas Fuster, 2022. "Measuring and stress-testing market-implied bank capital," Working Papers 2022-02, Swiss National Bank.
- Jilong Chen & Christian Ewald & Ruolan Ouyang & Sjur Westgaard & Xiaoxia Xiao, 2022. "Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil," Annals of Operations Research, Springer, vol. 313(1), pages 29-46, June.
- Hachmi Ben Ameur & Waël Louhichi, 2022. "The Brexit impact on European market co-movements," Annals of Operations Research, Springer, vol. 313(2), pages 1387-1403, June.
- Wafa Miled & Zied Ftiti & Jean-Michel Sahut, 2022. "Spatial contagion between financial markets: new evidence of asymmetric measures," Annals of Operations Research, Springer, vol. 313(2), pages 1183-1220, June.
- Aviral Kumar Tiwari & Sangram Keshari Jena & Satish Kumar & Erik Hille, 2022. "Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach," Annals of Operations Research, Springer, vol. 315(1), pages 429-461, August.
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"The great moderation: updated evidence with joint tests for multiple structural changes in variance and persistence,"
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"Cross-country connectedness in inflation and unemployment: measurement and macroeconomic consequences,"
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"Revisions in the Norwegian National Accounts: accuracy, unbiasedness and efficiency in preliminary figures,"
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Cambridge Working Papers in Economics
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- Andrea Nocera & M. Hashem Pesaran, 2022. "Causal Effects of the Fed's Large-Scale Asset Purchases on Firms' Capital Structure," CESifo Working Paper Series 9695, CESifo.
- Andrea Nocera & M. Hashem Pesaran, 2023. "Causal effects of the Fed's large-scale asset purchases on firms' capital structure," Papers 2310.18638, arXiv.org.
- Guglielmo Maria Caporale & Nicola Spagnolo & Awon Almajali, 2022. "Fossil and Renewable Energy Stock Indices: Connectedness and the COP Meetings," CESifo Working Paper Series 9824, CESifo.
- Lehmann, Robert & Wikman, Ida, 2022.
"Quarterly GDP Estimates for the German States,"
MPRA Paper
112642, University Library of Munich, Germany.
- Robert Lehmann & Ida Wikman, 2022. "Quarterly GDP Estimates for the German States," ifo Working Paper Series 370, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Robert Lehmann & Ida Wikman, 2023. "Quarterly GDP Estimates for the German States: New Data for Business Cycle Analyses and Long-Run Dynamics," CESifo Working Paper Series 10280, CESifo.
- Martin Indergand & Eric Jondeau & Andreas Fuster, 2022.
"Measuring and stress-testing market-implied bank capital,"
Working Papers
2022-02, Swiss National Bank.
- Martin Indergand & Eric Jondeau & Andreas Fuster, 2022. "Measuring and Stress-Testing Market-Implied Bank Capital," Swiss Finance Institute Research Paper Series 22-11, Swiss Finance Institute.
- Soros Chitsiripanich & Marc S. Paolella & Pawel Polak & Patrick S. Walker, 2022. "Momentum Without Crashes," Swiss Finance Institute Research Paper Series 22-87, Swiss Finance Institute.
- Cai, Yifei & Mignon, Valérie & Saadaoui, Jamel, 2022.
"Not all political relation shocks are alike: Assessing the impacts of US–China tensions on the oil market,"
Energy Economics, Elsevier, vol. 114(C).
- Valérie Mignon & Yifei Cai & Jamel Saadaoui, 2022. "Not All Political Relation Shocks are Alike: Assessing the Impacts of US-China Tensions on the Oil Market," Post-Print hal-03737307, HAL.
- Yifei Cai & Valérie Mignon & Jamel Saadaoui, 2022. "Not all political relation shocks are alike: Assessing the impacts of US-China tensions on the oil market," Working Papers 2022-07, CEPII research center.
- Valérie Mignon & Yifei Cai & Jamel Saadaoui, 2022. "Not all political relation shocks are alike: Assessing the impacts of US-China tensions on the oil market," Working Papers hal-04159797, HAL.
- Valérie Mignon & Yifei Cai & Jamel Saadaoui, 2022. "Not all political relation shocks are alike: Assessing the impacts of US-China tensions on the oil market," EconomiX Working Papers 2022-19, University of Paris Nanterre, EconomiX.
- Yifei Cai & Valérie Mignon & Jamel Saadaoui, 2022. "Not all political relation shocks are alike: Assessing the impacts of US-China tensions on the oil market," Working Papers of BETA 2022-20, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Dan Zhang & Arash Farnoosh & Frédéric Lantz, 2022. "Does something change in the oil market with the COVID-19 crisis?," International Economics, CEPII research center, issue 169, pages 252-268.
- Jihene Jebeniani & Jamel Trabelsi, 2022. "Effects of the business cycle on real exchange rate misalignments with respect to exchange rate regimes," International Economics, CEPII research center, issue 170, pages 92-102.
- Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024.
"GDP Solera: The Ideal Vintage Mix,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 984-997, July.
- Dante Amengual & Gabriele Fiorentini & Martín Almuzara & Enrique Sentana, 2022. "GDP Solera: The Ideal Vintage Mix," Staff Reports 1027, Federal Reserve Bank of New York.
- Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "GDP Solera. The Ideal Vintage Mix," Working Papers wp2022_2204, CEMFI.
- Almuzara, Martin & Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2022. "GDP Solera: The Ideal Vintage Mix," CEPR Discussion Papers 17196, C.E.P.R. Discussion Papers.
- Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2024.
"Specification tests for non-Gaussian structural vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 244(2).
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Specification tests for non-Gaussian structural vector autoregressions," Working Papers wp2022_2212, CEMFI.
- Jaromir Baxa & Jan Zacek, 2022. "Monetary Policy and the Financial Cycle: International Evidence," Working Papers 2022/4, Czech National Bank, Research and Statistics Department.
- John Cajas-Guijarro & Anthony Pozo-Barrera & Doménica Cárdenas-López, 2022. "Neutralidad monetaria y deuda externa en dolarización: el caso ecuatoriano desde un enfoque de cointegración," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, vol. 92(9), pages 317-377, October.
- John Cajas Guijarro & Hugo Jácome Estrella & Bryan Pérez Almeida, 2022. "Mercado laboral y shocks petroleros: un análisis de cohorte y PVAR para Ecuador," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 41(86), pages 243-276, May.
- Daniele Covri Rivera, 2022. "Función consumo final de hogares para Ecuador, periodo 2000-2017," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 41(87), pages 545-568, December.
- Francisco Jose Perez Torres, 2022. "Ocupación informal y formal en Colombia, equilibrios de largo plazo y principales causas históricas (2001-2019). Un análisis vectorial de corrección de errores," Tiempo y Economía, Universidad de Bogotá Jorge Tadeo Lozano, vol. 9(1), pages 41-103, January.
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023.
"We modeled long memory with just one lag!,"
Journal of Econometrics, Elsevier, vol. 236(1).
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2022. "We modeled long memory with just one lag!," LIDAM Discussion Papers CORE 2022016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Guillaume Chevillon & Sébastien Laurent, 2023. "We modeled long memory with just one lag!," Post-Print hal-04185755, HAL.
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," LIDAM Reprints CORE 3234, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Edoardo Otranto, 2023.
"Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models,"
Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1376-1401.
- Bauwens, Luc & Otranto, Edoardo, 2020. "Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models," LIDAM Discussion Papers CORE 2020034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Otranto, Edoardo, 2022. "Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models," LIDAM Reprints CORE 3202, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- L. Bauwens & E. Otranto, 2020. "Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models," Working Paper CRENoS 202007, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Marko Mlikota & Frank Schorfheide, 2022.
"Sequential Monte Carlo With Model Tempering,"
Papers
2202.07070, arXiv.org.
- Mlikota, Marko & Schorfheide, Frank, 2022. "Sequential Monte Carlo With Model Tempering," CEPR Discussion Papers 17035, C.E.P.R. Discussion Papers.
- Chang, Minsu & Schorfheide, Frank, 2022. "On the Effects of Monetary Policy Shocks on Earnings and Consumption Heterogeneity," CEPR Discussion Papers 17049, C.E.P.R. Discussion Papers.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022.
"Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices,"
Papers
2201.05556, arXiv.org, revised Mar 2023.
- Hasenzagl, Thomas & Pellegrino, Filippo & Reichlin, Lucrezia & Ricco, Giovanni, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," CEPR Discussion Papers 17111, C.E.P.R. Discussion Papers.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Working Papers 2023-06, Center for Research in Economics and Statistics.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," SciencePo Working papers Main hal-03573080, HAL.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Working Papers hal-03573080, HAL.
- Barbara Rossi, 2022.
"Local projections in unstable environments: How effective is fiscal policy?,"
Economics Virtual Symposium 2022
02, Stata Users Group.
- Inoue, Atsushi & Rossi, Barbara & Wang, Yiru, 2022. "Local Projections in Unstable Environments: How Effective is Fiscal Policy?," CEPR Discussion Papers 17134, C.E.P.R. Discussion Papers.
- Daniel J. Lewis & Karel Mertens, 2022.
"Dynamic Identification Using System Projections on Instrumental Variables,"
Working Papers
2204, Federal Reserve Bank of Dallas, revised 03 Jul 2024.
- Lewis, Daniel & Mertens, Karel, 2022. "Dynamic Identification Using System Projections and Instrumental Variables," CEPR Discussion Papers 17153, C.E.P.R. Discussion Papers.
- Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024.
"GDP Solera: The Ideal Vintage Mix,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 984-997, July.
- Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "GDP Solera. The Ideal Vintage Mix," Working Papers wp2022_2204, CEMFI.
- Almuzara, Martin & Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2022. "GDP Solera: The Ideal Vintage Mix," CEPR Discussion Papers 17196, C.E.P.R. Discussion Papers.
- Dante Amengual & Gabriele Fiorentini & Martín Almuzara & Enrique Sentana, 2022. "GDP Solera: The Ideal Vintage Mix," Staff Reports 1027, Federal Reserve Bank of New York.
- Silvia Goncalves & Ana María Herrera & Lutz Kilian & Elena Pesavento, 2022.
"When Do State-Dependent Local Projections Work?,"
Working Papers
2205, Federal Reserve Bank of Dallas.
- Goncalves, Silvia & Herrera, Ana Maria & Kilian, Lutz & Pesavento, Elena, 2022. "When do state-dependent local projections work?," CEPR Discussion Papers 17265, C.E.P.R. Discussion Papers.
- Claudia Foroni & Francesco Furlanetto, 2022.
"Explaining Deviations from Okun’s Law,"
Working Paper
2022/4, Norges Bank.
- Foroni, Claudia & Furlanetto, Francesco, 2022. "Explaining Deviations from Okun's Law," CEPR Discussion Papers 17369, C.E.P.R. Discussion Papers.
- Foroni, Claudia & Furlanetto, Francesco, 2022. "Explaining deviations from Okun’s law," Working Paper Series 2699, European Central Bank.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2023.
"Tail Forecasting With Multivariate Bayesian Additive Regression Trees,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 979-1022, August.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," Working Papers 21-08R, Federal Reserve Bank of Cleveland, revised 12 Jul 2022.
- Clark, Todd & Huber, Florian & Koop, Gary & Marcellino, Massimiliano & Pfarrhofer, Michael, 2022. "Tail Forecasting with Multivariate Bayesian Additive Regression Trees," CEPR Discussion Papers 17461, C.E.P.R. Discussion Papers.
- Carriero, Andrea & Marcellino, Massimiliano & Tornese, Tommaso, 2024.
"Blended identification in structural VARs,"
Journal of Monetary Economics, Elsevier, vol. 146(C).
- Carriero, Andrea & Marcellino, Massimiliano & Tornese, Tommaso, 2022. "Blended Identification in Structural VARs," CEPR Discussion Papers 17640, C.E.P.R. Discussion Papers.
- Andrea Carriero & Massimiliano Marcellino & Tommaso Tornese, 2023. "Blended Identification in Structural VARs," BAFFI CAREFIN Working Papers 23200, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Niko Hauzenberger & Florian Huber & Massimiliano Marcellino & Nico Petz, 2025.
"Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 43(1), pages 27-43, January.
- Niko Hauzenberger & Florian Huber & Massimiliano Marcellino & Nico Petz, 2021. "Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty," Papers 2112.01995, arXiv.org, revised Nov 2022.
- Hauzenberger, Niko & Huber, Florian & Marcellino, Massimiliano & Petz, Nico, 2022. "Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty," CEPR Discussion Papers 17646, C.E.P.R. Discussion Papers.
- Canova, Fabio & Pappa, Evi, 2022. "Costly disasters, energy consumption, and the role of fiscal policy," CEPR Discussion Papers 17655, C.E.P.R. Discussion Papers.
- Lutz Kilian & Michael D. Plante & Alexander W. Richter, 2022.
"Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings,"
CESifo Working Paper Series
10121, CESifo.
- Kilian, Lutz & Plante, Michael D. & Richter, Alexander W., 2022. "Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings," CEPR Discussion Papers 17698, C.E.P.R. Discussion Papers.
- Kilian, Lutz & Plante, Michael & Richter, Alexander W., 2022. "Macroeconomic responses to uncertainty shocks: The perils of recursive orderings," CFS Working Paper Series 687, Center for Financial Studies (CFS).
- Lutz Kilian & Michael D. Plante & Alexander W. Richter, 2022. "Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings," Working Papers 2223, Federal Reserve Bank of Dallas.
- Paul Beaudry & Fabrice Collard & Patrick Feve & Alain Guay & Franck Portier, 2022.
"Dynamic Identification in VARs,"
Working Papers
22-08, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
- Paul Beaudry & Fabrice Collard & Patrick Fève & Alain Guay & Franck Portier, 2024. "Dynamic Identification in VARs," NBER Working Papers 32598, National Bureau of Economic Research, Inc.
- Beaudry, Paul & Collard, Fabrice & Feve, Patrick & Guay, Alain & Portier, Franck, 2022. "Dynamic Identification in VARs," CEPR Discussion Papers 17726, C.E.P.R. Discussion Papers.
- Fève, Patrick & Beaudry, Paul & Collard, Fabrice & Guay, Alain & Portier, Franck, 2022. "Dynamic Identification in VARs," TSE Working Papers 22-1384, Toulouse School of Economics (TSE).
- Paul Beaudry & Fabrice Collard & Patrick Fève & Alain Guay & Franck Portier, 2022. "Dynamic Identification in VARs," Working Papers hal-03863451, HAL.
- Tore Dubbert, 2022. "Stochastic debt sustainability analysis using time-varying fiscal reaction functions. An agnostic approach to fiscal forecasting," CQE Working Papers 10422, Center for Quantitative Economics (CQE), University of Muenster.
- Verena Monschang & Bernd Wilfling, 2022. "A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction," CQE Working Papers 9722, Center for Quantitative Economics (CQE), University of Muenster.
- Forni, Mario & Gambetti, Luca & Ricco, Giovanni, 2022.
"External Instrument SVAR Analysis for Noninvertible Shocks,"
The Warwick Economics Research Paper Series (TWERPS)
1444, University of Warwick, Department of Economics.
- Mario Forni & Luca Gambetti & Giovanni Ricco, 2023. "External Instrument SVAR Analysis forNoninvertible Shocks," Working Papers 2023-03, Center for Research in Economics and Statistics.
- Forni, Mario & Gambetti, Luca & Ricco, Giovanni, 2023. "External Instrument SVAR Analysis for Noninvertible Shocks," CEPR Discussion Papers 17886, C.E.P.R. Discussion Papers.
- Hasenzagl, Thomas & Pellegrino, Filippo & Reichlin, Lucrezia & Ricco, Giovanni, 2022.
"Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices,"
CEPR Discussion Papers
17111, C.E.P.R. Discussion Papers.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Working Papers 2023-06, Center for Research in Economics and Statistics.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," SciencePo Working papers Main hal-03573080, HAL.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Working Papers hal-03573080, HAL.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Papers 2201.05556, arXiv.org, revised Mar 2023.
- Blazsek, Szabolcs & Escribano, Alvaro, 2023.
"Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts,"
Energy Economics, Elsevier, vol. 118(C).
- Blazsek, Szabolcs & Escribano, Álvaro, 2022. "Score-driven threshold ice-age models: benchmark models for long-run climate forecasts," UC3M Working papers. Economics 34757, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Laurentiu Guinea & Luis A. Puch & Jesús Ruiz, 2019.
"News-driven housing booms: Spain vs. Germany,"
Documentos de Trabajo del ICAE
2019-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Guinea, Laurentiu & Puch, Luis A. & Ruiz, Jesús, 2022. "News-driven housing booms: Spain vs. Germany," UC3M Working papers. Economics 35430, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gadea Rivas, Marta Dolores & Gonzalo, Jesús, 2022.
"Climate change heterogeneity: a new quantitative approach,"
UC3M Working papers. Economics
35442, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Maria Dolores Gadea & Jesus Gonzalo, 2023. "Climate change heterogeneity: A new quantitative approach," Papers 2301.02648, arXiv.org.
- Fresoli, Diego Eduardo & Poncela, Pilar & Ruiz Ortega, Esther, 2022. "Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS 36251, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
2021
- Goodness C. Aye, 2021. "Effects of Fiscal and Monetary Policy Uncertainty on Economic Activity in South Africa," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(1), pages 167-187, March.
- Aviral Kumar Tiwari & Micheal Kofi Boachie & Rangan Gupta, 2021.
"Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory,"
Advances in Decision Sciences, Asia University, Taiwan, vol. 25(1), pages 188-215, March.
- Aviral Kumar Tiwari & Micheal Kofi Boachie & Rangan Gupta, 2019. "Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory," Working Papers 201982, University of Pretoria, Department of Economics.
- Raymond L. Aor & Afees A. Salisu & Isah J. Okpe, 2021. "A Comparative Assessment of the Global Effects of US Monetary and Fiscal Policy Uncertainty Shocks," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(4), pages 89-114, December.
- Andreasen, Martin Møller & Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2021.
"Why does risk matter more in recessions than in expansions?,"
Bank of Finland Research Discussion Papers
13/2021, Bank of Finland.
- Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why Does Risk Matter More in Recessions than in Expansions?," Economics Working Papers 2021-12, Department of Economics and Business Economics, Aarhus University.
- Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why does risk matter more in recessions than in expansions?," CAMA Working Papers 2021-83, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why Does Risk Matter More in Recessions than in Expansions?," CESifo Working Paper Series 9328, CESifo.
- Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why Does Risk Matter More in Recessions than in Expansions?," Monash Economics Working Papers 2021-11, Monash University, Department of Economics.
- Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why Does Risk Matter More in Recessions than in Expansions?," "Marco Fanno" Working Papers 0275, Dipartimento di Scienze Economiche "Marco Fanno".
- Gonzalez Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2021.
"Expecting the unexpected: economic growth under stress,"
DES - Working Papers. Statistics and Econometrics. WS
32148, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria González-Rivera & Carlos Vladimir Rodríguez-Caballero & Esther Ruiz Ortega, 2021. "Expecting the unexpected: economic growth under stress," CREATES Research Papers 2021-06, Department of Economics and Business Economics, Aarhus University.
- Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2021. "Expecting the unexpected: economic growth under stress," Working Papers 202106, University of California at Riverside, Department of Economics.
- Leopoldo Catania & Alessandra Luati & Pierluigi Vallarino, 2021. "Economic vulnerability is state dependent," CREATES Research Papers 2021-09, Department of Economics and Business Economics, Aarhus University.
- Soeren Johansen & Anders Rygh Swensen, 2021.
"Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models,"
Discussion Papers
21-07, University of Copenhagen. Department of Economics.
- Søren Johansen & Anders Ryghn Swensen, 2021. "Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models," CREATES Research Papers 2021-10, Department of Economics and Business Economics, Aarhus University.
- Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021. "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers 2021-13, Department of Economics and Business Economics, Aarhus University.
- Salman Huseynov, 2021. "Long and short memory in dynamic term structure models," CREATES Research Papers 2021-15, Department of Economics and Business Economics, Aarhus University.
- Yuehao Bai & Hung Ho & Guillaume A. Pouliot & Joshua Shea, 2021. "Inference for Support Vector Regression under ℓ1 Regularization," AEA Papers and Proceedings, American Economic Association, vol. 111, pages 611-615, May.
- Alberto Abadie, 2021. "Using Synthetic Controls: Feasibility, Data Requirements, and Methodological Aspects," Journal of Economic Literature, American Economic Association, vol. 59(2), pages 391-425, June.
- Rabindra Nepal & Muhammad Indra al Irsyad & Tooraj Jamasb, 2021.
"Sectoral Electricity Demand and Direct Rebound Effects inNew Zealand,"
The Energy Journal, , vol. 42(4), pages 153-174, July.
- Rabindra Nepal, Muhammad Indra al Irsyad, and Tooraj Jamasb, 2021. "Sectoral Electricity Demand and Direct Rebound Effects in New Zealand," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
- Nepal, Rabindra & al Irsyad, Muhammad Indra & Jamasb, Tooraj, 2020. "Sectoral Electricity Demand and Direct Rebound Effect in New Zealand," Working Papers 9-2020, Copenhagen Business School, Department of Economics.
- María Lorena Garegnani & Javier García Cicco & Mauricio Maximiliano Gómez Aguirre & Luis María Libonatti & Ariel David Krysa, 2021. "Regularidades Empíricas de la Inflación en Latinoamérica," Asociación Argentina de Economía Política: Working Papers 4479, Asociación Argentina de Economía Política.
- Boako, Gideon & Alagidede, Imhotep Paul & Sjo, Bo & Uddin, Gazi Salah, 2020.
"Commodities price cycles and their interdependence with equity markets,"
Energy Economics, Elsevier, vol. 91(C).
- Gideon Boako & Imhotep Paul Alagidede, 2021. "Commodities Price Cycles and their Interdependence with Equity Markets," Working Papers 457, African Economic Research Consortium, Research Department.
- Saungweme Talknice & Odhiambo Nicholas M., 2021.
"Public debt and inflation dynamics: Empirical evidence from Zimbabwe,"
Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 7(2), pages 14-30, December.
- Saungweme, Talknice & Odhiambo, Nicholas M, 2021. "Public debt and inflation dynamics: Empirical evidence from Zimbabwe," Working Papers 28343, University of South Africa, Department of Economics.
- Saungweme & Odhiambo, 2021. "Public Debt and Inflation Dynamics: Empirical Evidence from Zimbabwe," Working Papers AERI0521, African Economic and Social Research Institute (AESRI).
- Saungweme, Talknice & Odhiambo, Nicholas M., 2022.
"Does Public Debt Granger-Cause Inflation in Tanzania? A Multivariate Analysis,"
Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 75(1), pages 75-100.
- Saungweme & Odhiambo, 2021. "Does Public Debt Granger-Cause Inflation in Tanzania? A Multivariate Analysis," Working Papers AERI0621, African Economic and Social Research Institute (AESRI).
- Claude Diebolt, 2021.
"Trend, Cycles and Chance,"
Working Papers of BETA
2021-14, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Claude Diebolt, 2021. "Trend, Cycles and Chance," Working Papers 05-21, Association Française de Cliométrie (AFC).
- Sara Rosa dos Santos & Aniela Fagundes Carrara, 2021. "The Interaction Between Food Prices And The Future Expectation Of Inflation: A Dynamic Analysis," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 18(2), pages 135-158, July-Dece.
- Flávio Vilela Vieira & Valdecy Caetano de Sousa Junior, 2021. "Exchange Rate Pass-Through To Inflation For The Brazilian Economy (2003-2019): Ardl Models," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 18(spe), pages 39-66, special i.
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2022.
"Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices [Commodity-price comovement and global economic activity],"
The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 494-514.
- Chiara Casoli & Riccardo (Jack) Lucchetti, 2021. "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," Working Papers 2021.19, Fondazione Eni Enrico Mattei.
- Casoli, Chiara & Lucchetti, Riccardo (Jack), 2021. "Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices," FEEM Working Papers 312367, Fondazione Eni Enrico Mattei (FEEM).
- Marlene Kionka & Martin Odening & Jana Plogmann & Matthias Ritter, 2021.
"Measuring liquidity in agricultural land markets,"
Agricultural Finance Review, Emerald Group Publishing Limited, vol. 82(4), pages 690-713, September.
- Kionka, Marlene & Odening, Martin & Plogmann, Jana & Ritter, Matthias, 2020. "Measuring liquidity in agricultural land markets," FORLand Working Papers 25 (2020), Humboldt University Berlin, DFG Research Unit 2569 FORLand "Agricultural Land Markets – Efficiency and Regulation".
- Kionka, Marlene & Odening, Martin & Plogmann, Jana & Ritter, Matthias, 2021. "Measuring Liquidity in Agricultural Land Markets," 2021 Conference, August 17-31, 2021, Virtual 315234, International Association of Agricultural Economists.
- Anna Sznajderska, 2021.
"The Impact of Foreign Shocks on the Polish Economy,"
Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 1, pages 33-52.
- Sznajderska, Anna, 2021. "The Impact of Foreign Shocks on the Polish Economy," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2021(01), March.
- Alexander Urrego-Mesa, 2021. "Food Security, trade specialization, and violence in Colombia (1916-2016)," Investigaciones de Historia Económica - Economic History Research (IHE-EHR), Journal of the Spanish Economic History Association, Asociación Española de Historia Económica, vol. 17(04), pages 01-15.
- Arkadiusz Jędrzejewski & Grzegorz Marcjasz & Rafał Weron, 2021.
"Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO,"
Energies, MDPI, vol. 14(11), pages 1-17, June.
- Arkadiusz Jedrzejewski & Grzegorz Marcjasz & Rafal Weron, 2021. "Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO," WORking papers in Management Science (WORMS) WORMS/21/04, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
- Weronika Nitka & Tomasz Serafin & Dimitrios Sotiros, 2021. "Forecasting Electricity Prices: Autoregressive Hybrid Nearest Neighbors (ARHNN) method," WORking papers in Management Science (WORMS) WORMS/21/06, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
- Olivares, Kin G. & Challu, Cristian & Marcjasz, Grzegorz & Weron, Rafał & Dubrawski, Artur, 2023.
"Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx,"
International Journal of Forecasting, Elsevier, vol. 39(2), pages 884-900.
- Kin G. Olivares & Cristian Challu & Grzegorz Marcjasz & Rafal Weron & Artur Dubrawski, 2021. "Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx," WORking papers in Management Science (WORMS) WORMS/21/07, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
- Jesus Lago & Grzegorz Marcjasz & Bart De Schutter & Rafal Weron, 2021. "Erratum to 'Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark' [Appl. Energy 293 (2021) 116983]," WORking papers in Management Science (WORMS) WORMS/21/12, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
- Goodness C. Aye, 2021. "Effects of Fiscal and Monetary Policy Uncertainty on Economic Activity in South Africa," International Association of Decision Sciences, Asia University, Taiwan, vol. 25(1), pages 167-187, March.
- Aviral Kumar Tiwari & Micheal Kofi Boachie & Rangan Gupta, 2021.
"Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory,"
Advances in Decision Sciences, Asia University, Taiwan, vol. 25(1), pages 188-215, March.
- Aviral Kumar Tiwari & Micheal Kofi Boachie & Rangan Gupta, 2021. "Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory," International Association of Decision Sciences, Asia University, Taiwan, vol. 25(1), pages 188-215, March.
- Aviral Kumar Tiwari & Micheal Kofi Boachie & Rangan Gupta, 2019. "Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory," Working Papers 201982, University of Pretoria, Department of Economics.
- Murat Yıldırım & Hüseyin Utku Demir, 2021. "Kredi̇ Karti Harcamalarini Etki̇leyen Makroekonomi̇k Faktörler Ve Covid-19 Pandemi̇ Dönemi̇ Üzeri̇ne Bi̇r İnceleme," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 6(1), pages 159-180.
- Arzu Özmerdivanlı, 2021. "Covid-19 Pandemisi İle Çeşitli Finansal Göstergeler Arasındaki Nedensellik İlişkisi: Türkiye Örneği," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 6(SI), pages 172-191.
- Ousama Ben-Salha & Mourad Zmami, 2021. "The Effect of Economic Growth on Employment in GCC Countries," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 68(1), pages 25-41, March.
- Joel Hinaunye Eita & Zitsile Zamantungwa Khumalo & Ireen Choga, 2021. "Productivity and Real Exchange Rate: Investigating the Balassa-Samuelson Effect and misalignment in Five African Countries," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 68(2), pages 177-194, June.
- Mariam Camarero & Gilles Dufrénot & Cecilio Tamarit, 2021. "How do inequalities affect the natural interest rate, and how do they impact monetary policy? Comparing Germany, Japan and the US," AMSE Working Papers 2123, Aix-Marseille School of Economics, France.
- Gilles Dufrénot & William Ginn & Marc Pourroy, 2021. "The Effect of ENSO Shocks on Commodity Prices: A Multi-Time Scale Approach," AMSE Working Papers 2130, Aix-Marseille School of Economics, France.
- Camilla Mastromarco & Léopold Simar & Valentin Zelenyuk, 2021.
"Predicting recessions with a frontier measure of output gap: an application to Italian economy,"
Empirical Economics, Springer, vol. 60(6), pages 2701-2740, June.
- Camilla Mastromarco & Léopold Simar & Valentin Zelenyuk, 2020. "Predicting Recessions with a Frontier Measure of Output Gap: An Application to Italian Economy," CEPA Working Papers Series WP102020, School of Economics, University of Queensland, Australia.
- Mastromarco, Camilla & Simar, Léopold & Zelenyuk, Valentin, 2021. "Predicting recessions with a frontier measure of output gap: an application to Italian economy," LIDAM Reprints ISBA 2021010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021.
"Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs,"
Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 229-264,
Springer.
- Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," Post-Print hal-03103717, HAL.
- Aloy, Marcel & Laly, Floris & Laurent, Sébastien & Lecourt, Christelle, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," LIDAM Reprints LFIN 2021021, Université catholique de Louvain, Louvain Finance (LFIN).
- Gabriel Montes-Rojas & Fernando Toledo, 2021. "Shocks Externos Y Tensiones Inflacionarias En Argentina: Una Aproximación Empírica Poskeynesiana-Estructuralista," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2021-64, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
- Игсатов О.Р. // Igsatov О.R., 2021. "Анализ эффективности процентного канала в Казахстане // Analyzing effectiveness of the interest rate channel in Kazakhstan," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 1, pages 4-14.
- Константин Орлов // Konstantin Orlov, 2021. "Построение большой байесовской авторегрессионной модели для Казахстана // Building a Large Bayesian Vector Autoregression Model for Kazakhstan," Working Papers #2021-1, National Bank of Kazakhstan.
- Тулеуов Олжас // Tuleuov Olzhas & Багжанов Бекжан // Bagzhanov Bekzhan & Жузбаев Адам // Zhuzbayev Adam, 2021. "Роль фискальной политики в ценовой (не)стабильности в Казахстане: эмпирическая оценка и механизм макроэкономической балансировки // Role of the Fiscal Policy in the Price (In) Stability in Kazakhstan:," Working Papers #2021-3, National Bank of Kazakhstan.
- Piergiorgio Alessandri & Andrea Gazzani & Alejandro Vicondoa, 2021.
"The Real Effects of Financial Uncertainty Shocks: A Daily Identification Approach,"
Documentos de Trabajo
559, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Piergiorgio Alessandri & Andrea Gazzani & Alejandro Vicondoa, 2021. "The real effects of financial uncertainty shocks: A daily identification approach," Working Papers 61, Red Nacional de Investigadores en Economía (RedNIE).
- Juan Gabriel Brida & Bibiana Lanzilotta & Lucía Rosich, 2019.
"Common trends in producers’ expectations, the nonlinear linkage with Uruguayan GDP and its implications in economic growth forecasting,"
Documentos de Trabajo (working papers)
19-28, Instituto de EconomÃa - IECON.
- Bibiana Lanzilotta & Juan Gabriel Brida & Lucía Rosich, 2021. "Common trends in producers’ expectations, the nonlinear linkage with Uruguayan GDP and its implications in economic growth forecasting," Working Papers 62, Red Nacional de Investigadores en Economía (RedNIE).
- Luciano Campos & Jesús Ruiz Andújar, 2022.
"Common and idiosyncratic components of Latin American business cycles connectedness,"
Journal of Applied Economics, Taylor & Francis Journals, vol. 25(1), pages 691-722, December.
- Luciano Campos & Jesús Ruiz Andújar, 2021. "Common and Idiosyncratic Components of Latin American Business Cycles Connectedness," Working Papers 91, Red Nacional de Investigadores en Economía (RedNIE).
- Petar Soric & Oscar Claveria, 2021.
""Employment uncertainty a year after the irruption of the covid-19 pandemic","
IREA Working Papers
202112, University of Barcelona, Research Institute of Applied Economics, revised May 2021.
- Petar Soric & Oscar Claveria, 2021. "“Employment uncertainty a year after the irruption of the covid-19 pandemic”," AQR Working Papers 202104, University of Barcelona, Regional Quantitative Analysis Group, revised May 2021.
- Ani Asoyan & Vahagn Davtyan & Haykaz Igityan & Hasmik Kartashyan & Hovhannes Manukyan, 2020. "Modelling the Effects of a Health Shock on the Armenian Economy," Working Papers 15, Central Bank of Armenia, revised Dec 2020.
- Irina E. Kalabikhina & Evgeny P. Banin, 2021. "Database "Childfree (antinatalist) communities in the social network VKontakte"," Population and Economics, ARPHA Platform, vol. 5(2), pages 92-96, July.
- Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders, 2021.
"Bootstrapping non-stationary stochastic volatility,"
Journal of Econometrics, Elsevier, vol. 224(1), pages 161-180.
- Peter Boswijk & Giuseppe Cavaliere & Iliyan Georgiev & Anders Rahbek, 2019. "Bootstrapping Non-Stationary Stochastic Volatility," Tinbergen Institute Discussion Papers 19-083/III, Tinbergen Institute.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & Iliyan Georgiev, 2021. "Bootstrapping Non-Stationary Stochastic Volatility," Papers 2101.03562, arXiv.org.
- Laura Liu & Mikkel Plagborg-M?ller, 2021.
"Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data,"
CAEPR Working Papers
2021-001 Classification- , Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Laura Liu & Mikkel Plagborg-M{o}ller, 2021. "Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data," Papers 2101.04771, arXiv.org, revised Jun 2022.
- Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2021.
"Identification and Inference Under Narrative Restrictions,"
Papers
2102.06456, arXiv.org.
- Raffaella Giacomini & Toru Kitagawa & Matthew Read, 2023. "Identification and Inference under Narrative Restrictions," RBA Research Discussion Papers rdp2023-07, Reserve Bank of Australia.
- Casini, Alessandro & Perron, Pierre, 2024.
"Prewhitened long-run variance estimation robust to nonstationarity,"
Journal of Econometrics, Elsevier, vol. 242(1).
- Alessandro Casini & Pierre Perron, 2021. "Prewhitened Long-Run Variance Estimation Robust to Nonstationarity," Papers 2103.02235, arXiv.org, revised Aug 2024.
- Dake Li & Mikkel Plagborg-Møller & Christian K. Wolf, 2021.
"Local Projections vs. VARs: Lessons From Thousands of DGPs,"
Working Papers
2021-55, Princeton University. Economics Department..
- Dake Li & Mikkel Plagborg-M{o}ller & Christian K. Wolf, 2021. "Local Projections vs. VARs: Lessons From Thousands of DGPs," Papers 2104.00655, arXiv.org, revised Jan 2024.
- Dake Li & Mikkel Plagborg-Møller & Christian K. Wolf, 2022. "Local Projections vs. VARs: Lessons From Thousands of DGPs," NBER Working Papers 30207, National Bureau of Economic Research, Inc.
- Cavaliere, Giuseppe & Lu, Ye & Rahbek, Anders & Stærk-Østergaard, Jacob, 2023.
"Bootstrap inference for Hawkes and general point processes,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 133-165.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob Stærk-Østergaard, 2021. "Bootstrap inference for Hawkes and general point processes," Discussion Papers 21-05, University of Copenhagen. Department of Economics.
- Giuseppe Cavaliere & Ye Lu & Anders Rahbek & Jacob St{ae}rk-{O}stergaard, 2021. "Bootstrap Inference for Hawkes and General Point Processes," Papers 2104.03122, arXiv.org, revised Sep 2021.
- Cavaliere, Giuseppe & Lu,Ye & Rahbek, Anders & Staerk-Ostergaard, J, 2021. "Bootstrap Inference For Hawkes And General Point Processes," Working Papers 2021-05, University of Sydney, School of Economics.
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2023.
"Vector autoregression models with skewness and heavy tails,"
Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
- Karlsson, Sune & Mazur, Stepan & Nguyen, Hoang, 2021. "Vector autoregression models with skewness and heavy tails," Working Papers 2021:8, Örebro University, School of Business.
- Sune Karlsson & Stepan Mazur & Hoang Nguyen, 2021. "Vector autoregression models with skewness and heavy tails," Papers 2105.11182, arXiv.org.
- Costola, Michele & Iacopini, Matteo & Santagiustina, Carlo R.M.A., 2021.
"On the “mementum” of meme stocks,"
Economics Letters, Elsevier, vol. 207(C).
- Michele Costola & Matteo Iacopini & Carlo Romano Marcello Alessandro Santagiustina, 2021. "On the “mementum” of meme stocks," Post-Print hal-04874781, HAL.
- Michele Costola & Matteo Iacopini & Carlo R. M. A. Santagiustina, 2021. "On the "mementum" of Meme Stocks," Papers 2106.03691, arXiv.org.
- Michele Costola & Matteo Iacopini & Carlo Romano Marcello Alessandro Santagiustina, 2021. "On the “mementum” of meme stocks," SciencePo Working papers Main hal-04874781, HAL.
- Piergiorgio Alessandri & Haroon Mumtaz, 2021.
"The Macroeconomic Cost of Climate Volatility,"
Working Papers
928, Queen Mary University of London, School of Economics and Finance.
- Piergiorgio Alessandri & Haroon Mumtaz, 2022. "The macroeconomic cost of climate volatility," BCAM Working Papers 2202, Birkbeck Centre for Applied Macroeconomics.
- Piergiorgio Alessandri & Haroon Mumtaz, 2021. "The macroeconomic cost of climate volatility," Papers 2108.01617, arXiv.org, revised Feb 2022.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2024.
"Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(4), pages 1302-1317, October.
- Todd Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021. "Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model," Working Papers 2307, University of Strathclyde Business School, Department of Economics.
- Todd E. Clark & Florian Huber & Gary Koop & Massimiliano Marcellino & Michael Pfarrhofer, 2021. "Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model," Papers 2110.03411, arXiv.org.
- Clark, Todd & Huber, Florian & Koop, Gary & Marcellino, Massimiliano & Pfarrhofer, Michael, 2023. "Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model," CEPR Discussion Papers 18549, C.E.P.R. Discussion Papers.
- Minseog Oh & Donggyu Kim, 2024.
"Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective,"
Journal of Financial Econometrics, Oxford University Press, vol. 22(4), pages 954-1005.
- Minseog Oh & Donggyu Kim, 2021. "Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective," Papers 2111.09655, arXiv.org.
- Niko Hauzenberger & Florian Huber & Massimiliano Marcellino & Nico Petz, 2025.
"Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 43(1), pages 27-43, January.
- Niko Hauzenberger & Florian Huber & Massimiliano Marcellino & Nico Petz, 2021. "Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty," Papers 2112.01995, arXiv.org, revised Nov 2022.
- Hauzenberger, Niko & Huber, Florian & Marcellino, Massimiliano & Petz, Nico, 2022. "Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty," CEPR Discussion Papers 17646, C.E.P.R. Discussion Papers.
- Carrera, Jorge & Montes-Rojas, Gabriel & Toledo, Fernando, 2023.
"Global financial cycle, commodity terms of trade and financial spreads in emerging markets and developing economies,"
Structural Change and Economic Dynamics, Elsevier, vol. 64(C), pages 179-190.
- Jorge Carrera & Gabriel Montes-Rojas & Fernando Toledo, 2021. "Global Financial Cycle, Commodity Terms of Trade and Financial Spreads in Emerging Markets and Developing Economies," Papers 2112.04218, arXiv.org.
- Carrera Jorge & Montes Rojas Gabriel & Solla Mariquena & Toledo Fernando, 2022. "Global Financial Cycle, Commodity Terms of Trade and Financial Spreads in Emerging Markets and Developing Economies," Asociación Argentina de Economía Política: Working Papers 4613, Asociación Argentina de Economía Política.
- Kabiru Saidu Musa & Rabiu Maijama’a & Muktari Yakubu, 2021. "The Causality between Urbanization, Industrialization and Co2 Emissions in Nigeria: Evidence from Toda and Yamamoto Approach," Energy Economics Letters, Asian Economic and Social Society, vol. 8(1), pages 1-14, June.
- Maffei-Faccioli, Nicolò & Vella, Eugenia, 2021.
"Does immigration grow the pie? Asymmetric evidence from Germany,"
European Economic Review, Elsevier, vol. 138(C).
- Nicolo Maffei-Faccioli & Eugenia Vella, 2021. "Does Immigration Grow the Pie? Asymmetric Evidence from Germany," DEOS Working Papers 2105, Athens University of Economics and Business.
- Jaqueson K. Galimberti, 2020.
"Information weighting under least squares adaptive learning,"
Working Papers
2020-04, Auckland University of Technology, Department of Economics.
- Jaqueson Galimberti, 2021. "Initial Beliefs Uncertainty and Information Weighting in the Estimation of Models with Adaptive Learning," Working Papers 2021-01, Auckland University of Technology, Department of Economics.
- Jaqueson K. Galimberti, 2021. "Initial beliefs uncertainty," CAMA Working Papers 2021-68, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Jaqueson K. Galimberti, 2020. "Information Weighting Under Least Squares Learning," CAMA Working Papers 2020-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Moridian, Ali & Yarmohammadian, Nasser & Motalebi, Masoumeh & Shadmehr, Afsaneh, 2021. "The Role of Economic Complexity in the Ecological Footprint: A Review of the EKC Hypothesis for Iran (in Persian)," The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه), Institute for Management and Planning studies, vol. 26(2), pages 153-179, September.
- Bastanzad, Hossein & Davoudi, Pedram, 2021. "The Impact of Macro Systematic Shocks on the Non-Performing Loans: Multivariate Stochastic Volatility Model (in Persian)," The Journal of Planning and Budgeting (٠صلنامه برنامه ریزی و بودجه), Institute for Management and Planning studies, vol. 26(3), pages 49-74, December.
- Vusal Gasimli & Vusala Jafarova, 2021. "The Equilibrium Real Exchange Rate in a Commodity-Exporting Country: Azerbaijan's Experience," The Scientific-Analytical Journal "Economic Reforms", Center for Analysis of Economic Reforms and Communication of the Republic of Azerbaijan, vol. 2021(1), pages 7-26, December.
- Massimo Guidolin & Davide La Cara & Massimiliano Marcellino, 2021. "Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks," BAFFI CAREFIN Working Papers 21169, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Dariia Vasylieva, 2021. "Corporate Bond Markets In Eastern Europe: Trends And Prospects," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 7(1).
- Sonya Georgieva, 2021. "Fiscal Multipliers in Bulgaria and Central and Eastern Europe Countries," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 131-167.
- Kashif Munir & Mehwish Iftikhar, 2021. "Impact of Transport and Technological Infrastructure in Attracting FDI in Pakistan," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 7, pages 93-106.
- Alain Guay & Florian Pelgrin, 2021. "SVARs in the Frequency Domain using a Continuum of Restrictions," Working Papers 21-07, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
- Saide Aránzazu Salazar & Jaime Oliver Huidobro & Alvaro Ortiz & Tomasa Rodrigo & Ignacio Tamarit, 2021. "México | Patrones de consumo de efectivo vs. tarjeta: una aproximación Big Data [Mexico | Cash vs. Card Consumption Patterns: A Machine Learning Approach]," Working Papers 21/05, BBVA Bank, Economic Research Department.
- Rodolfo Méndez-Marcano, 2021. "Global | Modelo vectorial autorregresivo para los tests de estrés de la banca [Global | A vector autoregressive model for banking stress testing]," Working Papers 21/08, BBVA Bank, Economic Research Department.
- Robert Ialenti, 2021. "Rising US LNG Exports and Global Natural Gas Price Convergence," Discussion Papers 2021-14, Bank of Canada.
- Eduardo Bandrés & María-Dolores Gadea & Ana Gómez-Loscos, 2021. "Datado y sincronía del ciclo regional en España," Occasional Papers 2107, Banco de España.
- Eduardo Bandrés & María-Dolores Gadea & Ana Gómez-Loscos, 2021. "Dating and synchronisation of regional business cycles in Spain," Occasional Papers 2107, Banco de España.
- Andres–Escayola, Erik & Berganza, Juan Carlos & Campos, Rodolfo G. & Molina, Luis, 2023.
"A BVAR toolkit to assess macrofinancial risks in Brazil and Mexico,"
Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
- Erik Andres-Escayola & Juan Carlos Berganza & Rodolfo Campos & Luis Molina, 2021. "A BVAR toolkit to assess macrofinancial risks in Brazil and Mexico," Occasional Papers 2114, Banco de España.
- Danilo Leiva-Leon & Luis Uzeda, 2023.
"Endogenous Time Variation in Vector Autoregressions,"
The Review of Economics and Statistics, MIT Press, vol. 105(1), pages 125-142, January.
- Danilo Leiva-Leon & Luis Uzeda, 2020. "Endogenous Time Variation in Vector Autoregressions," Staff Working Papers 20-16, Bank of Canada.
- Danilo Leiva-Leon & Luis Uzeda, 2021. "Endogenous time variation in vector autoregressions," Working Papers 2108, Banco de España.
- Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2024.
"Tracking Weekly State-Level Economic Conditions,"
The Review of Economics and Statistics, MIT Press, vol. 106(2), pages 483-504, March.
- Christiane Baumeister & Danilo Leiva-León & Eric R. Sims, 2021. "Tracking Weekly State-Level Economic Conditions," NBER Working Papers 29003, National Bureau of Economic Research, Inc.
- Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2021. "Tracking weekly state-level economic conditions," Working Papers 2134, Banco de España.
- Christiane Baumeister & Danilo Leiva-Leon & Eric Sims, 2021. "Tracking Weekly State-Level Economic Conditions," Working Papers 202151, University of Pretoria, Department of Economics.
- Christiane Baumeister & Danilo Leiva-León & Eric R. Sims, 2021. "Tracking Weekly State-Level Economic Conditions," CESifo Working Paper Series 9165, CESifo.
- Baumeister, Christiane & Leiva-León, Danilo & Sims, Eric, 2021. "Tracking Weekly State-Level Economic Conditions," CEPR Discussion Papers 16317, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2021. "Tracking weekly state-level economic conditions," CAMA Working Papers 2021-55, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Claire Giordano & Marco Marinucci & Andrea Silvestrini, 2021. "Forecasting corporate capital accumulation in Italy: the role of survey-based information," Questioni di Economia e Finanza (Occasional Papers) 596, Bank of Italy, Economic Research and International Relations Area.
- Aprigliano, Valentina & Emiliozzi, Simone & Guaitoli, Gabriele & Luciani, Andrea & Marcucci, Juri & Monteforte, Libero, 2023.
"The power of text-based indicators in forecasting Italian economic activity,"
International Journal of Forecasting, Elsevier, vol. 39(2), pages 791-808.
- Valentina Aprigliano & Simone Emiliozzi & Gabriele Guaitoli & Andrea Luciani & Juri Marcucci & Libero Monteforte, 2021. "The power of text-based indicators in forecasting the Italian economic activity," Temi di discussione (Economic working papers) 1321, Bank of Italy, Economic Research and International Relations Area.
- Carrillo Julio A. & García Ana Laura, 2021. "The COVID-19 Economic Crisis in Mexico through the Lens of a Financial Conditions Index," Working Papers 2021-23, Banco de México.
- Andrea Carolina Vargas-Páez & Carlos David Ardila-Dueñas, 2021. "Efecto del riesgo de tipo de cambio en la rentabilidad de los bonos soberanos en Colombia," Borradores de Economia 1165, Banco de la Republica de Colombia.
- Antonio José Orozco-Gallo & Pavel Vidal-Alejandro & Johana Sanabria-Domínguez & Jaime Andrés Collazos-Rodríguez, 2021.
"Indicador coincidente de actividad económica en la recesión pandémica: el caso del Caribe colombiano,"
Documentos de Trabajo Sobre Economía Regional y Urbana
19285, Banco de la República, Economía Regional.
- Antonio José Orozco-Gallo & Pavel Vidal-Alejandro & Johana Sanabria-Domínguez & Jaime Andrés Collazos-Rodríguez, 2021. "Indicador coincidente de actividad económica en la recesión pandémica: el caso del Caribe colombiano," Documentos de trabajo sobre Economía Regional y Urbana 298, Banco de la Republica de Colombia.
- Chen Baoline & McElroy Tucker S. & Pang Osbert C., 2022.
"Assessing Residual Seasonality in the U.S. National Income and Product Accounts Aggregates,"
Journal of Official Statistics, Sciendo, vol. 38(2), pages 399-428, June.
- Baoline Chen & Tucker McElroy & Osbert Pang, 2021. "Assessing Residual Seasonality in the U.S. National Income and Product Account Aggregates," BEA Working Papers 0186, Bureau of Economic Analysis.
- Ismail O. Fasanya & Ayinke Fajobi & Abiodun Adetokunbo, 2021. "Are Fiscal Deficits Inflationary In Nigeria? New Evidence From Bounds Testing To Cointegration With Structural Breaks," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 66(228), pages 123-148, January –.
- Özge Barış-Tüzemen & Samet Tüzemen, 2021. "Revisiting The Role Of Exchange Rate Volatility In Turkey’S Exports: Evidence From The Structural Var Approach," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 66(231), pages 127-150, October –.
- Pratibha Saini & Krishna Muniyoor, 2021. "Revisiting The Debt–Growth Nexus: Evidence From India," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 66(231), pages 151-172, October –.
- Pagliari, Maria Sole, 2024.
"Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies,"
European Economic Review, Elsevier, vol. 168(C).
- Maria Sole Pagliari, 2021. "Does one (unconventional) size fit all? Effects of the ECB's unconventional monetary policies on the euro area economies," Working papers 829, Banque de France.
- Cyril Couaillier & Valerio Scalone, 2021. "Risk-to-Buffer: Setting Cyclical and Structural Capital Buffers through Banks Stress Tests," Working papers 830, Banque de France.
- Pagenhardt, Laura & Große Steffen, Christoph & Rieth, Malte, 2021.
"Commited to Flexible Fiscal Rules,"
VfS Annual Conference 2021 (Virtual Conference): Climate Economics
242330, Verein für Socialpolitik / German Economic Association.
- Chistoph Grosse-Steffen & Laura Pagenhardt & Malte Rieth, 2021. "Committed to Flexible Fiscal Rules," Working papers 854, Banque de France.
- Geert Mesters & Régis Barnichon, 2021. "Reconciling Fiscal Ceilings with Macro Stabilization," Working Papers 1277, Barcelona School of Economics.
- Uğur Korkut Pata & Mehmet Ela, 2021. "Türkiye’de Beseri Sermaye ve Küresellesmenin Kayıt Dısı Ekonomi Üzerindeki Etkileri: Fourier-ADL Yaklasımı," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 5(2), pages 125-152, December.
- Yasemin Karatas Elcicek, 2021. "Pay Vadeli Islem Sözlesmeleri ile Finansal Oranlar Arasındaki Iliski," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 5(2), pages 13-39, December.
- Yasar Alptürk & Mert Baran Tunçel & Emin Hüseyin Çetenak & Ismail Bekçi, 2021. "Finansal Hizmetler Güven Endeksi ile BIST Sehir Endeksleri Arasındaki İliskinin Tespitine Yönelik Bir Arastırma," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 5(2), pages 271-293, December.
- Andrejs Bessonovs & Olegs Krasnopjorovs, 2021.
"Short-term inflation projections model and its assessment in Latvia,"
Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 21(2), pages 184-204.
- Andrejs Bessonovs & Olegs Krasnopjorovs, 2020. "Short-Term Inflation Projections Model and Its Assessment in Latvia," Working Papers 2020/01, Latvijas Banka.
- Haykaz Igityan, 2021. "Asymmetric Effects of Monetary Policy on the Armenian Economy," Russian Journal of Money and Finance, Bank of Russia, vol. 80(1), pages 46-103, March.
- Evgenia Grigoryeva, 2021. "Determinants of Russia's Sovereign Risk," Russian Journal of Money and Finance, Bank of Russia, vol. 80(4), pages 74-97, December.
- Mariia Kudaeva & Ivan Redozubov, 2021. "Impact of migration flows on the economic activity and labor market of Russia as a whole and regionally," Bank of Russia Working Paper Series wps86, Bank of Russia.
- Giovanni Pellegrino, 2021.
"Uncertainty and monetary policy in the US: A journey into nonlinear territory,"
Economic Inquiry, Western Economic Association International, vol. 59(3), pages 1106-1128, July.
- Giovanni Pellegrino, 2015. "Uncertainty And Monetary Policy In The US: A Journey Into Non-Linear Territory," "Marco Fanno" Working Papers 0184, Dipartimento di Scienze Economiche "Marco Fanno".
- Giovanni Pellegrino, 2017. "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Melbourne Institute Working Paper Series wp2017n06, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Giovanni Pellegrino, 2020. "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Economics Working Papers 2020-05, Department of Economics and Business Economics, Aarhus University.
- David Knezevic & Martin Nordström & Pär Österholm, 2021.
"The relation between municipal and government bond yields in an era of unconventional monetary policy,"
Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 50(1), February.
- Knezevic, David & Nordström, Martin & Österholm, Pär, 2019. "The Relation between Municipal and Government Bond Yields in an Era of Unconventional Monetary Policy," Working Papers 2019:6, Örebro University, School of Business.
- Hamish Burrell & Joaquin Vespignani, 2021.
"The Industrial Impact of Economic Uncertainty Shocks in Australia,"
Economic Papers, The Economic Society of Australia, vol. 40(3), pages 248-271, September.
- Burrell, Hamish & Vespignani, Joaquin, 2019. "The industrial impact of economic uncertainty shocks in Australia," Working Papers 2019-08, University of Tasmania, Tasmanian School of Business and Economics.
- Hamish Burrell & Joaquin Vespignani, 2020. "Industrial Impact of Economic Uncertainty Shocks in Australia [Impact industriel des chocs D'incertitude économique en Australie]," Working Papers hal-03053360, HAL.
- Hamish Burrell & Joaquin Vespignani, 2019. "The Industrial Impact of Economic Uncertainty Shocks in Australia," CAMA Working Papers 2019-89, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Takuji Fueki & Jouchi Nakajima & Shinsuke Ohyama & Yoichiro Tamanyu, 2021.
"Identifying oil price shocks and their consequences: The role of expectations in the crude oil market,"
International Finance, Wiley Blackwell, vol. 24(1), pages 53-76, April.
- Takuji Fueki & Hiroka Higashi & Naoto Higashio & Jouchi Nakajima & Shinsuke Ohyama & Yoichiro Tamanyu, 2018. "Identifying oil price shocks and their consequences: the role of expectations in the crude oil market," BIS Working Papers 725, Bank for International Settlements.
- Rangan Gupta & Patrick Kanda & Mark E. Wohar, 2021.
"Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings,"
International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 324-335, March.
- Rangan Gupta & Patrick Kanda & Mark E. Wohar, 2018. "Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings," Working Papers 201830, University of Pretoria, Department of Economics.
- Tommaso Proietti & Alessandro Giovannelli, 2021.
"Nowcasting monthly GDP with big data: A model averaging approach,"
Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(2), pages 683-706, April.
- Tommaso Proietti & Alessandro Giovannelli, 2020. "Nowcasting Monthly GDP with Big Data: a Model Averaging Approach," CEIS Research Paper 482, Tor Vergata University, CEIS, revised 12 May 2020.
- Paraskevi Tzika & Stilianos Fountas, 2021.
"Economic policy uncertainty spillovers in Europe before and after the Eurozone crisis,"
Manchester School, University of Manchester, vol. 89(4), pages 330-352, July.
- Stilianos Fountas & Paraskevi Tzika, 2021. "Economic policy uncertainty spillovers in Europe before and after the Eurozone crisis," Discussion Paper Series 2021_09, Department of Economics, University of Macedonia, revised Jun 2021.
- Filippo Gusella & Engelbert Stockhammer, 2021.
"Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter,"
Metroeconomica, Wiley Blackwell, vol. 72(4), pages 758-797, November.
- Filippo Gusella & Engelbert Stockhammer, 2020. "Testing fundamentalist-momentum trader financial cycles. An empirical analysis via the Kalman filter," Working Papers PKWP2009, Post Keynesian Economics Society (PKES).
- Giovanni Pellegrino & Federico Ravenna & Gabriel Züllig, 2021.
"The Impact of Pessimistic Expectations on the Effects of COVID‐19‐Induced Uncertainty in the Euro Area,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 841-869, August.
- Giovanni Pellegrino & Federico Ravenna & Gabriel Züllig, 2020. "The Impact of Pessimistic Expectations on the Effects of COVID-19-Induced Uncertainty in the Euro Area," Economics Working Papers 2020-12, Department of Economics and Business Economics, Aarhus University.
- Ravenna, Federico & Pellegrino, Giovanni & Züllig, Gabriel, 2020. "The Impact of Pessimistic Expectations on the Effects of COVID-19-Induced Uncertainty in the Euro Area," CEPR Discussion Papers 15321, C.E.P.R. Discussion Papers.
- Qazi Haque & Leandro M. Magnusson & Kazuki Tomioka, 2021.
"Empirical Evidence on the Dynamics of Investment Under Uncertainty in the U.S,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1193-1217, October.
- Qazi Haque & Leandro M. Magnusson & Kazuki Tomioka, 2019. "Empirical Evidence on the Dynamics of Investment Under Uncertainty in the US," CAMA Working Papers 2019-87, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Qazi Haque & Leandro M. Magnusson & Kazuki Tomioka, 2019. "Empirical evidence on the dynamics of investment under uncertainty in the U.S," Economics Discussion / Working Papers 19-18, The University of Western Australia, Department of Economics.
- Jean‐Christophe Delfim & Martin Hoesli, 2021.
"Robust desmoothed real estate returns,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 75-105, March.
- Jean-Christophe Delfim & Martin Hoesli, 2019. "Robust Desmoothed Real Estate Returns," Swiss Finance Institute Research Paper Series 19-32, Swiss Finance Institute.
- Manfred M. Fischer & Florian Huber & Michael Pfarrhofer & Petra Staufer‐Steinnocher, 2021.
"The Dynamic Impact of Monetary Policy on Regional Housing Prices in the United States,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(4), pages 1039-1068, December.
- Fischer, Manfred M. & Huber, Florian & Pfarrhofer, Michael & Staufer-Steinnocher, Petra, 2018. "The dynamic impact of monetary policy on regional housing prices in the United States," Working Papers in Regional Science 2018/09, WU Vienna University of Economics and Business.
- Fischer, Manfred M. & Huber, Florian & Pfarrhofer, Michael & Staufer-Steinnocher, Petra, 2018. "The dynamic impact of monetary policy on regional housing prices in the United States," Working Papers in Economics 2018-7, University of Salzburg.
- Damian S. Damianov & Diego Escobari, 2021.
"Getting on and Moving Up the Property Ladder: Real Hedging in the U.S. Housing Market Before and After the Crisis,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(4), pages 1201-1237, December.
- Damianov, Damian S & Escobari, Diego, 2019. "Getting on and moving up the property ladder: Real hedging in the U.S. housing market before and after the crisis," MPRA Paper 92389, University Library of Munich, Germany.
- Britta Gehrke & Brigitte Hochmuth, 2021.
"Counteracting Unemployment in Crises: Non‐Linear Effects of Short‐Time Work Policy,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(1), pages 144-183, January.
- Gehrke, Britta & Hochmuth, Brigitte, 2017. "Counteracting unemployment in crises : non-linear effects of short-time work policy," IAB-Discussion Paper 201727, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Gehrke, Britta & Hochmuth, Brigitte, 2018. "Counteracting Unemployment in Crises: Non-Linear Effects of Short-Time Work Policy," IZA Discussion Papers 11472, Institute of Labor Economics (IZA).
- Niko Hauzenberger & Michael Pfarrhofer, 2021.
"Bayesian State‐Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(4), pages 1261-1291, October.
- Niko Hauzenberger & Michael Pfarrhofer, 2019. "Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy," Papers 1911.06206, arXiv.org, revised Sep 2020.
- Pfarrhofer, Michael & Niko , Hauzenberger, 2019. "Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy," Working Papers in Economics 2019-6, University of Salzburg.
- TOACA Zinovia, 2021. "Economic Development Of The Republic Of Moldova Based On Remittances," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 73(3), pages 186-199, October.
- Mauricio Mora Barrenechea & Paola Yujra Tonconi, 2021. "Evaluación de los Indicadores de Tendencia Inflacionaria en Bolivia," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 34(1), pages 87-113, January -.
- David Esteban Zeballos Coria, 2021. "Vulnerabilidad financiera: Propuesta para la estimación de un Índice de Condiciones Financieras para Bolivia," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 34(1), pages 9-32, January -.
- Mauricio Mora Barrenechea & Juan Carlos Heredia Gómez, 2021. "COVID-19, incertidumbre y demanda de dinero," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 35(1), pages 75-104, July - De.
- Guido Ascari & Luca Fosso, 2021.
"The Inflation Rate Disconnect Puzzle: On the International Component of Trend Inflation and the Flattening of the Phillips Curve,"
Discussion Papers
2113, Centre for Macroeconomics (CFM).
- Guido Ascari & Luca Fosso, 2021. "The Inflation Rate Disconnect Puzzle: On the International Component of Trend Inflation and the Flattening of the Phillips Curve," Working Paper 2021/17, Norges Bank.
- Guido Ascari & Luca Fosso, 2021. "The Inflation Rate Disconnect Puzzle: On the International Component of Trend Inflation and the Flattening of the Phillips Curve," Working Papers 733, DNB.
- Knut Are Aastveit & Jamie L. Cross & Herman K. van Dijk, 2023.
"Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 523-537, April.
- Knut Are Aastveit & Jamie Cross & Herman K. van Dijk, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Tinbergen Institute Discussion Papers 21-053/III, Tinbergen Institute.
- Knut Are Aastveit & Jamie L. Cross & Herman K. van Dijk, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Working Paper 2021/3, Norges Bank.
- Knut Are Aastveit & Jamie Cross & Herman K. Djik, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Working Papers No 03/2021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Nicolò Maffei-Faccioli, 2021. "Identifying the sources of the slowdown in growth: Demand vs. supply," Working Paper 2021/9, Norges Bank.
- Knut Are Aastveit & Jamie L. Cross & Herman K. van Dijk, 2023.
"Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 523-537, April.
- Knut Are Aastveit & Jamie L. Cross & Herman K. van Dijk, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Working Paper 2021/3, Norges Bank.
- Knut Are Aastveit & Jamie Cross & Herman K. Djik, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Working Papers No 03/2021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Knut Are Aastveit & Jamie Cross & Herman K. van Dijk, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Tinbergen Institute Discussion Papers 21-053/III, Tinbergen Institute.
- Jamie L. Cross & Bao H. Nguyen & Trung Duc Tran, 2022.
"The role of precautionary and speculative demand in the global market for crude oil,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 882-895, August.
- Jamie L. Cross & Bao H. Nguyen & Trung Duc Tran, 2020. "The role of precautionary and speculative demand in the global market for crude oil," CAMA Working Papers 2020-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Jamie L. Cross & Bao H. Nguyen & Trung Duc Tran, 2021. "The Role of Precautionary and Speculative Demand in the Global Market for Crude Oil," Working Papers No 06/2021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Joseph, Andreas & Potjagailo, Galina & Chakraborty, Chiranjit & Kapetanios, George, 2024.
"Forecasting UK inflation bottom up,"
International Journal of Forecasting, Elsevier, vol. 40(4), pages 1521-1538.
- Joseph, Andreas & Kalamara, Eleni & Kapetanios, George & Potjagailo, Galina & Chakraborty, Chiranjit, 2021. "Forecasting UK inflation bottom up," Bank of England working papers 915, Bank of England, revised 27 Sep 2022.
- Ambrogio Cesa-Bianchi & Andrea Ferrero, 2021.
"The Transmission of Keynesian Supply Shocks,"
Discussion Papers
2116, Centre for Macroeconomics (CFM).
- Cesa-Bianchi, Ambrogio & Ferrero, Andrea, 2021. "The transmission of Keynesian supply shocks," Bank of England working papers 934, Bank of England.
- Ferrero, Andrea & Cesa-Bianchi, Ambrogio, 2021. "The Transmission of Keynesian Supply Shocks," CEPR Discussion Papers 16430, C.E.P.R. Discussion Papers.
- Braun, Robin, 2021. "The importance of supply and demand for oil prices: evidence from non-Gaussianity," Bank of England working papers 957, Bank of England.
- Giovanni Caggiano & Efrem Castelnuovo, 2021.
"Global Uncertainty,"
CESifo Working Paper Series
8885, CESifo.
- Caggiano, Giovanni & Castelnuovo, Efrem, 2021. "Global Uncertainty," Research Discussion Papers 1/2021, Bank of Finland.
- Giovanni Caggiano & Efrem Castelnuovo, 2021. "Global Uncertainty," Monash Economics Working Papers 2021-12, Monash University, Department of Economics.
- Giovanni Caggiano & Efrem Castelnuovo, 2021. "Global Uncertainty," "Marco Fanno" Working Papers 0269, Dipartimento di Scienze Economiche "Marco Fanno".
- Giovanni Caggiano & Efrem Castelnuovo, 2021. "Global uncertainty," CAMA Working Papers 2021-21, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Divya Jain & Meghna Chhabra, 2021. "A Bibliometric Mapping of Utilization of Google Trends for Examining Stock Market Dynamics," Acta Universitatis Bohemiae Meridionalis, University of South Bohemia in Ceske Budejovice, Faculty of Economics, vol. 24(3), pages 57-76.
- Ko Adachi & Kazuhiro Hiraki, 2021. "Recent Developments in Measuring Inflation Expectations: With a Focus on Market-based Inflation Expectations and the Term Structure of Inflation Expectations," Bank of Japan Research Laboratory Series 21-E-1, Bank of Japan.
- Kawakatsu Hiroyuki, 2021. "Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages," Journal of Econometric Methods, De Gruyter, vol. 10(1), pages 33-52, January.
- Blazsek Szabolcs & Escribano Alvaro & Licht Adrian, 2021. "Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models," Journal of Econometric Methods, De Gruyter, vol. 10(1), pages 53-66, January.
- Marfatia Hardik A., 2021. "Modeling House Price Synchronization across the U.S. States and their Time-Varying Macroeconomic Linkages," Journal of Time Series Econometrics, De Gruyter, vol. 13(1), pages 73-117, January.
- Roy Debasish, 2021. "Sales – Response Model in Marketing Revisited in the Times of Uncertainty and Global Turmoil," Review of Marketing Science, De Gruyter, vol. 19(1), pages 139-165, September.
- Hauzenberger Niko & Huber Florian & Pfarrhofer Michael & Zörner Thomas O., 2021.
"Stochastic model specification in Markov switching vector error correction models,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-17, April.
- Niko Hauzenberger & Florian Huber & Michael Pfarrhofer & Thomas O. Zorner, 2018. "Stochastic model specification in Markov switching vector error correction models," Papers 1807.00529, arXiv.org, revised Sep 2019.
- Huber, Florian & Pfarrhofer, Michael & Zörner, Thomas O., 2018. "Stochastic model specification in Markov switching vector error correction models," Working Papers in Economics 2018-3, University of Salzburg.
- Manner Hans & Stark Florian & Wied Dominik, 2021. "A monitoring procedure for detecting structural breaks in factor copula models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(4), pages 171-192, September.
- Lahiri Kajal & Yang Liu, 2021. "Construction of leading economic index for recession prediction using vine copulas," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(4), pages 193-212, September.
- Fazzari Steven M. & Morley James & Panovska Irina, 2021. "When is discretionary fiscal policy effective?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(4), pages 229-254, September.
- Boubaker Heni & Canarella Giorgio & Gupta Rangan & Miller Stephen M., 2021.
"Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(5), pages 289-310, December.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2018. "Long-Memory Modeling and Forecasting: Evidence from the U.S. Historical Series of Inflation," Working Papers 201869, University of Pretoria, Department of Economics.
- Josué Diwambuena & Francesco Ravazzolo, 2022. "What are the drivers of Labor Productivity?," BEMPS - Bozen Economics & Management Paper Series BEMPS86, Faculty of Economics and Management at the Free University of Bozen.
- Roman Matkovskyy & Akanksha Jalan, 2021.
"Can Bitcoin Be an Inflation Hedge? Evidence from a Quantile-on-Quantile Model,"
Revue économique, Presses de Sciences-Po, vol. 72(5), pages 785-797.
- Roman Matkovskyy & Akanksha Jalan, 2021. "Can Bitcoin Be an Inflation Hedge? Evidence from a Quantile-on-Quantile Model," Post-Print hal-03334215, HAL.
- Ding, Y., 2021. "Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility," Cambridge Working Papers in Economics 2112, Faculty of Economics, University of Cambridge.
- Harvey, Andrew, 2021.
"Time Series Modelling Of Epidemics: Leading Indicators, Control Groups And Policy Assessment,"
National Institute Economic Review, National Institute of Economic and Social Research, vol. 257, pages 83-100, August.
- Harvey, A. C., 2021. "Time series modeling of epidemics: leading indicators, control groups and policy assessment," Cambridge Working Papers in Economics 2114, Faculty of Economics, University of Cambridge.
- Chudik, Alexander & Mohaddes, Kamiar & Raissi, Mehdi, 2021.
"Covid-19 fiscal support and its effectiveness,"
Economics Letters, Elsevier, vol. 205(C).
- Alexander Chudik & Kamiar Mohaddes & Mehdi Raissi, 2021. "COVID-19 Fiscal Support and Its Effectiveness," Globalization Institute Working Papers 408, Federal Reserve Bank of Dallas.
- Chudik, A. & Mohaddes, K. & Raissi, M., 2021. "Covid-19 Fiscal Support and its Effectiveness," Cambridge Working Papers in Economics 2116, Faculty of Economics, University of Cambridge.
- Alexander Chudik & Kamiar Mohaddes & Mehdi Raissi, 2021. "Covid-19 fiscal support and its effectiveness," CAMA Working Papers 2021-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Alexander Chudik & Kamiar Mohaddes & Mehdi Raissi, 2021. "COVID-19 Fiscal Support and Its Effectiveness," Working Papers 1465, Economic Research Forum, revised 20 Mar 2021.
- Harvey, A. & Palumbo, D., 2021. "Regime switching models for directional and linear observations," Cambridge Working Papers in Economics 2123, Faculty of Economics, University of Cambridge.
- Harvey, A., 2021. "Score-driven time series models," Cambridge Working Papers in Economics 2133, Faculty of Economics, University of Cambridge.
- Ding, Y., 2021. "Conditional Heteroskedasticity in the Volatility of Asset Returns," Cambridge Working Papers in Economics 2179, Faculty of Economics, University of Cambridge.
- Ding, Y., 2021. "Conditional Heteroskedasticity in the Volatility of Asset Returns," Janeway Institute Working Papers 2111, Faculty of Economics, University of Cambridge.
- Ba Chu & Shafiullah Qureshi, 2023.
"Comparing Out-of-Sample Performance of Machine Learning Methods to Forecast U.S. GDP Growth,"
Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1567-1609, December.
- Ba Chu & Shafiullah Qureshi, 2021. "Comparing Out-of-Sample Performance of Machine Learning Methods to Forecast U.S. GDP Growth," Carleton Economic Papers 21-12, Carleton University, Department of Economics.
- Goodhead, Robert, 2021. "The Economic Impact of Yield Curve Compression: Evidence from Euro Area Forward Guidance and Unconventional Monetary Policy," Research Technical Papers 1/RT/21, Central Bank of Ireland.
- Parla, Fabio, 2021. "Financial Market Turbulence and Macro-Financial Developments in Ireland: a Mixed Data Sampling (MIDAS) Approach," Research Technical Papers 7/RT/21, Central Bank of Ireland.
- Ibrahim A. Onour & Bruno S. Sergi, 2021. "The impact of a political shock on foreign exchange markets in a small and open economy: A dynamic modelling approach," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(3), pages 137-152.
- Amogh Prakasha Kumar & Richard Watt & Laura Meriluoto, 2021. "New Evidence on Using Expert Ratings to Proxy for Wine Quality in Climate Change Research," Working Papers in Economics 21/10, University of Canterbury, Department of Economics and Finance.
- Chou, Jenyu & Easaw, Joshy & Minford, Patrick, 2023.
"Does inattentiveness matter for DSGE modeling? An empirical investigation,"
Economic Modelling, Elsevier, vol. 118(C).
- Chou, Jenyu & Easaw, Joshy & Minford, Patrick, 2021. "Does Inattentiveness Matter for DSGE Modelling? An Empirical Investigation," Cardiff Economics Working Papers E2021/35, Cardiff University, Cardiff Business School, Economics Section.
- Giovanni Caggiano & Efrem Castelnuovo, 2021.
"Global uncertainty,"
CAMA Working Papers
2021-21, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Giovanni Caggiano & Efrem Castelnuovo, 2021. "Global Uncertainty," CESifo Working Paper Series 8885, CESifo.
- Giovanni Caggiano & Efrem Castelnuovo, 2021. "Global Uncertainty," Monash Economics Working Papers 2021-12, Monash University, Department of Economics.
- Giovanni Caggiano & Efrem Castelnuovo, 2021. "Global Uncertainty," "Marco Fanno" Working Papers 0269, Dipartimento di Scienze Economiche "Marco Fanno".
- Caggiano, Giovanni & Castelnuovo, Efrem, 2021. "Global uncertainty," Bank of Finland Research Discussion Papers 1/2021, Bank of Finland.
- Christina Anderl & Guglielmo Maria Caporale, 2021.
"Nonlinearities and asymmetric adjustment to PPP in an exchange rate model with inflation expectations,"
Journal of Economic Studies, Emerald Group Publishing Limited, vol. 49(6), pages 937-959, August.
- Christina Anderl & Guglielmo Maria Caporale, 2021. "Nonlinearities and Asymmetric Adjustment to PPP in an Exchange Rate Model with Inflation Expectations," CESifo Working Paper Series 8921, CESifo.
- Christina Anderl & Guglielmo Maria Caporale, 2022.
"Exchange rate parities and Taylor rule deviations,"
Empirical Economics, Springer, vol. 63(4), pages 1809-1835, October.
- Christina Anderl & Guglielmo Maria Caporale, 2021. "Exchange Rate Parities and Taylor Rule Deviations," CESifo Working Paper Series 8961, CESifo.
- Louisa Grimm & Sven Steinkamp & Frank Westermann, 2021.
"On Optimal Currency Areas and Common Cycles: Are the Acceding Countries Ready to Join the Euro?,"
IEER Working Papers
120, Institute of Empirical Economic Research, Osnabrueck University.
- Louisa Grimm & Sven Steinkamp & Frank Westermann, 2021. "On Optimal Currency Areas and Common Cycles: Are the Acceding Countries Ready to Join the Euro?," CESifo Working Paper Series 9016, CESifo.
- Christina Anderl & Guglielmo Maria Caporale, 2021. "Testing for UIP: Nonlinearities, Monetary Announcements and Interest Rate Expectations," CESifo Working Paper Series 9027, CESifo.
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- Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2024.
"Tracking Weekly State-Level Economic Conditions,"
The Review of Economics and Statistics, MIT Press, vol. 106(2), pages 483-504, March.
- Christiane Baumeister & Danilo Leiva-León & Eric R. Sims, 2021. "Tracking Weekly State-Level Economic Conditions," NBER Working Papers 29003, National Bureau of Economic Research, Inc.
- Christiane Baumeister & Danilo Leiva-León & Eric R. Sims, 2021. "Tracking Weekly State-Level Economic Conditions," CESifo Working Paper Series 9165, CESifo.
- Christiane Baumeister & Danilo Leiva-Leon & Eric Sims, 2021. "Tracking Weekly State-Level Economic Conditions," Working Papers 202151, University of Pretoria, Department of Economics.
- Baumeister, Christiane & Leiva-León, Danilo & Sims, Eric, 2021. "Tracking Weekly State-Level Economic Conditions," CEPR Discussion Papers 16317, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2021. "Tracking weekly state-level economic conditions," Working Papers 2134, Banco de España.
- Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2021. "Tracking weekly state-level economic conditions," CAMA Working Papers 2021-55, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Sania Wadud & Robert D. Durand & Marc Gronwald, 2021. "Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras," CESifo Working Paper Series 9202, CESifo.
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"Why Does Risk Matter More in Recessions than in Expansions?,"
Monash Economics Working Papers
2021-11, Monash University, Department of Economics.
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- Andreasen, Martin Møller & Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2021. "Why does risk matter more in recessions than in expansions?," Bank of Finland Research Discussion Papers 13/2021, Bank of Finland.
- Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why Does Risk Matter More in Recessions than in Expansions?," Economics Working Papers 2021-12, Department of Economics and Business Economics, Aarhus University.
- Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why Does Risk Matter More in Recessions than in Expansions?," "Marco Fanno" Working Papers 0275, Dipartimento di Scienze Economiche "Marco Fanno".
- Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why does risk matter more in recessions than in expansions?," CAMA Working Papers 2021-83, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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"Boosting tax revenues with mixed-frequency data in the aftermath of COVID-19: The case of New York,"
International Journal of Forecasting, Elsevier, vol. 38(2), pages 545-566.
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- Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Emmanuel Joel Aikins Abakah, 2023.
"US policy responses to the COVID-19 pandemic and sectoral stock indices: A fractional integration approach,"
Applied Economics, Taylor & Francis Journals, vol. 55(3), pages 283-292, January.
- Guglielmo Maria Caporale & Luis A. Gil-Alana & Emmanuel Joel Aikins Abakah, 2021. "US Policy Responses to the Covid-19 Pandemic and Sectoral Stock Indices: A Fractional Integration Approach," CESifo Working Paper Series 9386, CESifo.
- Antonio Afonso & Jose Carlos Coelho, 2021.
"60%, -4% and 6%, a tale of thresholds for EU fiscal and current account developments,"
Working Papers
2010.09, International Network for Economic Research - INFER.
- António Afonso & José Carlos Coelho, 2021. "60%, -4% And 6%, a Tale of Thresholds for EU Fiscal and Current Account Developments," EconPol Working Paper 69, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- António Afonso & José Carlos Coelho, 2021. "60%, -4% and 6%, a tale of thresholds for EU fiscal and current account developments," Working Papers REM 2021/0196, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- António Afonso & José Carlos Coelho, 2021.
"Fiscal and current account imbalances: the cases of Germany and Portugal,"
Working Papers REM
2021/0208, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- António Afonso & José Carlos Coelho, 2021. "Fiscal and Current Account Imbalances: The Cases of Germany and Portugal," EconPol Working Paper 72, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Antonio Afonso & Jose Carlos Coelho, 2021. "Fiscal and current account imbalances: the cases of Germany and Portugal," Working Papers 2021.12, International Network for Economic Research - INFER.
- Guido Ascari & Luca Fosso, 2021.
"The Inflation Rate Disconnect Puzzle: On the International Component of Trend Inflation and the Flattening of the Phillips Curve,"
Working Paper
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- Guido Ascari & Luca Fosso, 2021. "The Inflation Rate Disconnect Puzzle: On the International Component of Trend Inflation and the Flattening of the Phillips Curve," Discussion Papers 2113, Centre for Macroeconomics (CFM).
- Guido Ascari & Luca Fosso, 2021. "The Inflation Rate Disconnect Puzzle: On the International Component of Trend Inflation and the Flattening of the Phillips Curve," Working Papers 733, DNB.
- Ferrero, Andrea & Cesa-Bianchi, Ambrogio, 2021.
"The Transmission of Keynesian Supply Shocks,"
CEPR Discussion Papers
16430, C.E.P.R. Discussion Papers.
- Ambrogio Cesa-Bianchi & Andrea Ferrero, 2021. "The Transmission of Keynesian Supply Shocks," Discussion Papers 2116, Centre for Macroeconomics (CFM).
- Cesa-Bianchi, Ambrogio & Ferrero, Andrea, 2021. "The transmission of Keynesian supply shocks," Bank of England working papers 934, Bank of England.
- Marc-Aurèle Divernois & Damir Filipović, 2021. "Event studies on investor sentiment," Swiss Finance Institute Research Paper Series 21-33, Swiss Finance Institute.
- Couharde, Cécile & Grekou, Carl & Mignon, Valérie, 2021.
"MULTIPRIL, a new database on multilateral price levels and currency misalignments,"
International Economics, Elsevier, vol. 165(C), pages 94-117.
- Cécile Couharde & Carl Grekou & Valérie Mignon, 2021. "MULTIPRIL, a New Database on Multilateral Price Levels and Currency Misalignments," International Economics, CEPII research center, issue 165, pages 94-117.
- Cécile Couharde & Carl Grekou & Valérie Mignon, 2020. "MULTIPRIL, a new database on multilateral price levels and currency misalignments," Working Papers 2020-12, CEPII research center.
- Valérie Mignon & Cécile Couharde & Carl Grekou, 2021. "MULTIPRIL, a New Database on Multilateral Price Levels and Currency Misalignments," Post-Print hal-03089716, HAL.
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"Twin balances, public governance and private investment: Quantile estimation for OECD countries,"
International Economics, Elsevier, vol. 165(C), pages 85-93.
- Thanh Dinh Su & Canh Phuc Nguyen, 2021. "Twin balances, public governance and private investment: Quantile estimation for OECD countries," International Economics, CEPII research center, issue 165, pages 85-93.
- Selmi, Refk & Bouoiyour, Jamal & Hammoudeh, Shawkat & Errami, Youssef & Wohar, Mark E., 2021.
"The energy transition, Trump energy agenda and COVID-19,"
International Economics, Elsevier, vol. 165(C), pages 140-153.
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"Oil price volatility in the context of Covid-19,"
International Economics, Elsevier, vol. 167(C), pages 39-49.
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- Majid Haghani Rizi, 2021. "What moves housing markets: A state-space approach of the price-income ratio," International Economics, CEPII research center, issue 167, pages 96-107.
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"Aggregate Output Measurements: A Common Trend Approach,"
Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 3-33,
Emerald Group Publishing Limited.
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- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: a Common Trend Approach," Econometrics Working Papers Archive 2021_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate output measurements: a common trend approach," Working Paper series 21-02, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Martín Almuzara & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Staff Reports 962, Federal Reserve Bank of New York.
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"Moment tests of independent components,"
SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 429-474, May.
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"Tests for Random Coefficient Variation in Vector Autoregressive Models,"
Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 1-35,
Emerald Group Publishing Limited.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Econometrics Working Papers Archive 2021_18, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Working Papers wp2021_2108, CEMFI.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Working Paper series 21-21, Rimini Centre for Economic Analysis.
- Denisa Maria MELIAN, 2021. "The Evolution Of Unemployment And Inflation In Romania For 23 Years. Phillips Curve," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, issue 27, pages 227-237, December.
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- Viviana León-Jurado & Jorge Higinio Maldonado, 2021. "The Graduation Program Effects on Armed-Conflict Victims: Results Evaluation from Colombia," Documentos CEDE 19237, Universidad de los Andes, Facultad de Economía, CEDE.
- Daniela Gracia Cabrera & Martha Misas Arango, 2021. "Relación entre el desarrollo financiero y el crecimiento económico en Colombia en el periodo 1994-2018," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 40(83), pages 361-382, August.
- Jeimy Lorena Martínez Arroyo & Nini Johana Marín Rodríguez, 2021. "Relación dinámica entre los Credit Default Swaps y la deuda pública. Análisis en el contexto latinoamericano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 40(83), pages 583-608, August.
- Erik Mauricio Munoz Henríquez & Francisco A. Gálvez-Gamboa, 2021. "Efecto contagio del mercado estadounidense a los mercados financieros latinoamericanos durante la pandemia por COVID-19," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 40(85), pages 1091-1111, December.
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"Indicador coincidente de actividad económica en la recesión pandémica: el caso del Caribe colombiano,"
Documentos de trabajo sobre Economía Regional y Urbana
298, Banco de la Republica de Colombia.
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- Ernesto Gabriel Pizarro Levi, 2021. "Tipo de cambio, nivel de precios y divergencias: un análisis regional para la República Argentina," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, vol. 40(72), pages 87-114, July.
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- Mora, Jhon James, 2021. "Análisis del desempleo y la ocupación después de una política estricta de confinamiento por COVID-19 en Cali," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue No. 94, pages 165-193, January.
- Carvajal, Alexander & López Camargo, Oscar David Andrés Julián, 2021. "An Empirical Test of the Export-Led Model in the Member Countries of the Andean Community (Comunidad Andina de Naciones-CAN)," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue No. 94, pages 267-282, January.
- Troncoso Sepúlveda, Ricardo Andrés, 2021. "Poder de mercado y transmisión asimétrica de precios en Chile: el caso de la carne bovina y porcina," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue No. 95, pages 135-166, July.
- Luis Eduardo Castellanos Rodríguez & Juan David Diaz Ipuz & Cristian Camilo Dueñas Ruiz & Andrés Felipe León Donato, 2021. "Efecto Fisher y modelo de corrección de errores en Colombia, 1991-2020," Econógrafos, Escuela de Economía 19244, Universidad Nacional de Colombia, FCE, CID.
- Juan Manuel Candelo-Viafara & Andrés Oviedo-Gómez, 2021. "La tasa de cambio y sus impactos en los agregados económicos colombianos: una aproximación FAVAR," Revista Facultad de Ciencias Económicas, Universidad Militar Nueva Granada, vol. 29(2), pages 121-142, October.
- Mohammed Akter Hossain & Hakan Acet & Zobayer Ahmed & Alauddin Majumder, 2021. "Revisiting inflation and growth nexus in Bangladesh: an asymmetric cointegration based on non-linear ARDL approach," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 13(2), August.
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"Macroeconomic Uncertainty and Vector Autoregressions,"
Center for Economic Research (RECent)
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- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2023.
"Aggregate Output Measurements: A Common Trend Approach,"
Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 3-33,
Emerald Group Publishing Limited.
- Gabriele Fiorentini & Martín Almuzara & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Staff Reports 962, Federal Reserve Bank of New York.
- Sentana, Enrique & Almuzara, Martin & Fiorentini, Gabriele, 2021. "Aggregate Output Measurements: A Common Trend Approach," CEPR Discussion Papers 15758, C.E.P.R. Discussion Papers.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: a Common Trend Approach," Econometrics Working Papers Archive 2021_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Working Papers wp2021_2101, CEMFI.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate output measurements: a common trend approach," Working Paper series 21-02, Rimini Centre for Economic Analysis.
- Forni, Mario & Gambetti, Luca & Sala, Luca, 2021. "Downside and Upside Uncertainty Shocks," CEPR Discussion Papers 15881, C.E.P.R. Discussion Papers.
- Timmermann, Allan & Zhu, Yinchu, 2021. "Conditional Rotation Between Forecasting Models," CEPR Discussion Papers 15917, C.E.P.R. Discussion Papers.
- Petrella, Ivan & Antolin-Diaz, Juan & Drechsel, Thomas, 2021. "Advances in Nowcasting Economic Activity: Secular Trends, Large Shocks and New Data," CEPR Discussion Papers 15926, C.E.P.R. Discussion Papers.
- Minsu Chang & Xiaohong Chen & Frank Schorfheide, 2021.
"Heterogeneity and Aggregate Fluctuations,"
NBER Working Papers
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- Schorfheide, Frank & Chang, Minsu & Chen, Xiaohong, 2021. "Heterogeneity and Aggregate Fluctuations," CEPR Discussion Papers 16183, C.E.P.R. Discussion Papers.
- Minsu Chang & Xiaohong Chen & Frank Schorfheide, 2021. "Heterogeneity and Aggregate Fluctuations," Cowles Foundation Discussion Papers 2289, Cowles Foundation for Research in Economics, Yale University.
- Christofzik Désirée I. & Elstner Steffen & Feld Lars P. & Schmidt Christoph M., 2024.
"Unraveling the Productivity Paradox: Evidence for Germany,"
German Economic Review, De Gruyter, vol. 25(3), pages 165-207.
- Schmidt, Christoph & Feld, Lars & Christofzik, Désirée & Elstner, Steffen, 2021. "Unraveling the Productivity Paradox: Evidence for Germany," CEPR Discussion Papers 16187, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2024.
"Tracking Weekly State-Level Economic Conditions,"
The Review of Economics and Statistics, MIT Press, vol. 106(2), pages 483-504, March.
- Christiane Baumeister & Danilo Leiva-León & Eric R. Sims, 2021. "Tracking Weekly State-Level Economic Conditions," NBER Working Papers 29003, National Bureau of Economic Research, Inc.
- Baumeister, Christiane & Leiva-León, Danilo & Sims, Eric, 2021. "Tracking Weekly State-Level Economic Conditions," CEPR Discussion Papers 16317, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Danilo Leiva-Leon & Eric Sims, 2021. "Tracking Weekly State-Level Economic Conditions," Working Papers 202151, University of Pretoria, Department of Economics.
- Christiane Baumeister & Danilo Leiva-León & Eric R. Sims, 2021. "Tracking Weekly State-Level Economic Conditions," CESifo Working Paper Series 9165, CESifo.
- Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2021. "Tracking weekly state-level economic conditions," Working Papers 2134, Banco de España.
- Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2021. "Tracking weekly state-level economic conditions," CAMA Working Papers 2021-55, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2021.
"Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty,"
Journal of Econometrics, Elsevier, vol. 225(1), pages 47-73.
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- Ambrogio Cesa-Bianchi & Andrea Ferrero, 2021.
"The Transmission of Keynesian Supply Shocks,"
Discussion Papers
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- Ferrero, Andrea & Cesa-Bianchi, Ambrogio, 2021. "The Transmission of Keynesian Supply Shocks," CEPR Discussion Papers 16430, C.E.P.R. Discussion Papers.
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"Estimating Hysteresis Effects,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 17(1), pages 35-70, January.
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- Rubio-RamÃrez, Juan Francisco & Furlanetto, Francesco & Lepetit, Antoine & Robstad, Ørjan & Ulvedal, PÃ¥l, 2021. "Estimating Hysteresis Effects," CEPR Discussion Papers 16558, C.E.P.R. Discussion Papers.
- Francesco Furlanetto & Antoine Lepetit & Ørjan Robstad & Juan F. Rubio-Ramirez & Pål Ulvedal, 2021. "Estimating Hysteresis Effects," Finance and Economics Discussion Series 2021-059, Board of Governors of the Federal Reserve System (U.S.).
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"Dividend Momentum and Stock Return Predictability: A Bayesian Approach,"
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"Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic,"
International Journal of Central Banking, International Journal of Central Banking, vol. 20(4), pages 275-320, October.
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- Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," PIER Working Paper Archive 20-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
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- Kilian, Lutz, 2021. "Comment on Giacomini, Kitagawa and Read’s ‘Narrative Restrictions and Proxies’," CEPR Discussion Papers 16818, C.E.P.R. Discussion Papers.
- Gadea Rivas, María Dolores & Gonzalo, Jesús, 2021. "A tale of three cities: climate heterogeneity (special issue of SERIES in homage to Juan J. Dolado)," UC3M Working papers. Economics 32200, Universidad Carlos III de Madrid. Departamento de EconomÃa.
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"Integrated nested Laplace approximations for threshold stochastic volatility models,"
Econometrics and Statistics, Elsevier, vol. 30(C), pages 15-35.
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- Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2021.
"Expecting the unexpected: economic growth under stress,"
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- Gonzalez Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2021. "Expecting the unexpected: economic growth under stress," DES - Working Papers. Statistics and Econometrics. WS 32148, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gloria González-Rivera & Carlos Vladimir Rodríguez-Caballero & Esther Ruiz Ortega, 2021. "Expecting the unexpected: economic growth under stress," CREATES Research Papers 2021-06, Department of Economics and Business Economics, Aarhus University.
- Reneé van Eyden & Rangan Gupta & Christophe André & Xin Sheng, 2022.
"The effect of macroeconomic uncertainty on housing returns and volatility: evidence from US state-level data,"
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American Economic Journal: Macroeconomics, American Economic Association, vol. 17(1), pages 35-70, January.
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"Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models,"
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"Aggregate Output Measurements: A Common Trend Approach,"
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"Profit margins in U.S. domestic airline routes,"
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"Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO,"
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"Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg,"
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"Multi-Horizon Financial and Housing Wealth Effects across the U.S. States,"
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"Environmental Policy and the CO2 Emissions Embodied in International Trade,"
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"A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets,"
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"Jointly Modeling Male and Female Labor Participation and Unemployment,"
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"MULTIPRIL, a New Database on Multilateral Price Levels and Currency Misalignments,"
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"A wavelet approach of investing behaviors and their effects on risk exposures,"
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"Transitory and permanent shocks in the global market for crude oil,"
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"The Global Financial Cycle and US monetary policy in an interconnected world,"
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"Government Spending, GDP and Exchange Rate in Zero Lower Bound: Measuring Causality at Multiple Horizons,"
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International Economics, CEPII research center, issue 167, pages 39-49.
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Finance Research Letters, Elsevier, vol. 42(C).
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"The unprecedented reaction of equity and commodity markets to COVID-19,"
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"A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy,"
Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
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"Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions,"
International Review of Economics & Finance, Elsevier, vol. 73(C), pages 325-347.
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"Bayesian local projections,"
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"On the “mementum” of meme stocks,"
Economics Letters, Elsevier, vol. 207(C).
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"Google search volumes and the financial markets during the COVID-19 outbreak,"
Finance Research Letters, Elsevier, vol. 42(C).
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"Repenser le modèle à correction d’erreurs dans l’analyse macroéconométrique : Une revue [Rethinking the Error Correction Model in Macroeconometric Analysis: A Review],"
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"Environmental Policy and the CO2 Emissions Embodied in International Trade,"
Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 84(2), pages 507-527, February.
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"Bayesian Local Projections,"
The Warwick Economics Research Paper Series (TWERPS)
1348, University of Warwick, Department of Economics.
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"Macroeconomic effects of EU value chain participation,"
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"How do inequalities affect the natural interest rate, and how do they impact monetary policy? Comparing Germany, Japan and the US,"
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"The Effect of ENSO Shocks on Commodity Prices: A Multi-Time Scale Approach,"
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"Vector autoregression models with skewness and heavy tails,"
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"Modeling the relation between the US real economy and the corporate bond‐yield spread in Bayesian VARs with non‐Gaussian innovations,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 347-368, March.
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"Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach,"
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"The currency that came in from the cold: Capital controls and the information content of order flow,"
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"Separating yolk from white: a filter based on economic properties of trend and cycle,"
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"Does the cost of private debt respond to monetary policy? Heteroskedasticity-based identification in a model with regimes,"
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"International Inflation Spillovers: The Role of Different Shocks,"
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"Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus,"
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"The impact of r-g on Euro-Area government spending multipliers,"
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"Energy Transition Metals,"
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"“Employment uncertainty a year after the irruption of the covid-19 pandemic”,"
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"Behavioral New Keynesian Models: Learning vs. Cognitive Discounting,"
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"Does the introduction of stock exchange markets boost economic growth in African countries?,"
Journal of Comparative Economics, Elsevier, vol. 50(2), pages 627-640.
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"60%, -4% And 6%, a Tale of Thresholds for EU Fiscal and Current Account Developments,"
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"Fiscal and current account imbalances: the cases of Germany and Portugal,"
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"Cross-country connectedness in inflation and unemployment: measurement and macroeconomic consequences,"
Empirical Economics, Springer, vol. 62(3), pages 1123-1146, March.
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"Refining set-identification in VARs through independence,"
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"Oil price shocks and the hedging benefit of airline investments,"
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"(Since When) Are East and West German Business Cycles Synchronised?,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 241(1), pages 1-28, February.
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"Nowcasting in a pandemic using non-parametric mixed frequency VARs,"
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"Efficient Combined Estimation under Structural Breaks,"
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"Forecasting inflation and output growth with credit‐card‐augmented Divisia monetary aggregates,"
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"Optimal forecast under structural breaks,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 965-987, August.
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"COVID-19 infection spread and human mobility,"
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"Economic policy uncertainty spillovers in Europe before and after the Eurozone crisis,"
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"Instrumental Variable Identification of Dynamic Variance Decompositions,"
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"Time Series Forecasting Using a Mixture of Stationary and Nonstationary Predictors,"
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"Regional Inequality in Russia: Anatomy of Convergence,"
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"Asymmetry and hysteresis in the Russian gasoline market: The rationale for green energy exports,"
Energy Policy, Elsevier, vol. 157(C).
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"Gold and silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach,"
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"Financial Stress and Effect on Real Economy: Turkish Experience,"
Politická ekonomie, Prague University of Economics and Business, vol. 2023(1), pages 46-67.
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"Forecasting inflation and output growth with credit‐card‐augmented Divisia monetary aggregates,"
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"Energy Transition Metals,"
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"Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg,"
Forecasting, MDPI, vol. 3(4), pages 1-30, October.
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"Testing for the cointegration rank between Periodically Integrated processes,"
MPRA Paper
106603, University Library of Munich, Germany, revised 2021.
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- Osti, Davide, 2021. "Returns to scale with a Cobb-Douglas production function for a small italian mechanical firm," MPRA Paper 115629, University Library of Munich, Germany, revised 02 Dec 2022.
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"OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning,"
Finance Research Letters, Elsevier, vol. 45(C).
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"Uncertainty and predictability of real housing returns in the United Kingdom: A regional analysis,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1525-1556, November.
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- Riza Demirer & Rangan Gupta & He Li & Yu You, 2021. "Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models," Working Papers 202112, University of Pretoria, Department of Economics.
- Plakandaras, Vasilios & Gupta, Rangan & Balcilar, Mehmet & Ji, Qiang, 2022.
"Evolving United States stock market volatility: The role of conventional and unconventional monetary policies,"
The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
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- Geoffrey M. Ngene & Rangan Gupta, 2021. "Impact of Housing Policy Uncertainty on Herding Behavior: Evidence from UK's Regional Housing Markets," Working Papers 202115, University of Pretoria, Department of Economics.
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"Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model,"
Energy Economics, Elsevier, vol. 108(C).
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"Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data,"
Energy, Elsevier, vol. 235(C).
- Afees A. Salisu & Christian Pierdzioch & Rangan Gupta, 2021. "Geopolitical Risk and Forecastability of Tail Risk in the Oil Market: Evidence from Over a Century of Monthly Data," Working Papers 202122, University of Pretoria, Department of Economics.
- Oguzhan Cepni & Rangan Gupta & Qiang Ji, 2023.
"Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries,"
Journal of Behavioral Finance, Taylor & Francis Journals, vol. 24(3), pages 365-381, July.
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- Afees A. Salisu & Rangan Gupta & Siphesihle Ntyikwe & Riza Demirer, 2021. "Gold and the Global Financial Cycle," Working Papers 202129, University of Pretoria, Department of Economics.
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"The effect of macroeconomic uncertainty on housing returns and volatility: evidence from US state-level data,"
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- Renee van Eyden & Rangan Gupta & Christophe Andre & Xin Sheng, 2021. "The Effect of Macroeconomic Uncertainty on Housing Returns and Volatility: Evidence from US State-Level Data," Working Papers 202131, University of Pretoria, Department of Economics.
- Afees A. Salisu & Rangan Gupta & Idris A. Adediran, 2021. "The Effect of US Uncertainty Shock on International Equity Markets: The Role of the Global Financial Cycle," Working Papers 202136, University of Pretoria, Department of Economics.
- Ioannis Chatziantoniou & David Gabauer & Rangan Gupta, 2021. "Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach," Working Papers 202147, University of Pretoria, Department of Economics.
- Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2024.
"Tracking Weekly State-Level Economic Conditions,"
The Review of Economics and Statistics, MIT Press, vol. 106(2), pages 483-504, March.
- Christiane Baumeister & Danilo Leiva-León & Eric R. Sims, 2021. "Tracking Weekly State-Level Economic Conditions," NBER Working Papers 29003, National Bureau of Economic Research, Inc.
- Christiane Baumeister & Danilo Leiva-Leon & Eric Sims, 2021. "Tracking Weekly State-Level Economic Conditions," Working Papers 202151, University of Pretoria, Department of Economics.
- Baumeister, Christiane & Leiva-León, Danilo & Sims, Eric, 2021. "Tracking Weekly State-Level Economic Conditions," CEPR Discussion Papers 16317, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Danilo Leiva-León & Eric R. Sims, 2021. "Tracking Weekly State-Level Economic Conditions," CESifo Working Paper Series 9165, CESifo.
- Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2021. "Tracking weekly state-level economic conditions," Working Papers 2134, Banco de España.
- Christiane Baumeister & Danilo Leiva-León & Eric Sims, 2021. "Tracking weekly state-level economic conditions," CAMA Working Papers 2021-55, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Keagile Lesame & Elie Bouri & David Gabauer & Rangan Gupta, 2021. "On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures," Working Papers 202152, University of Pretoria, Department of Economics.
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"The effect of oil uncertainty shock on real GDP of 33 countries: a global VAR approach,"
Applied Economics Letters, Taylor & Francis Journals, vol. 30(3), pages 269-274, February.
- Afees A. Salisu & Rangan Gupta & Abeeb Olaniran, 2021. "The Effect of Oil Uncertainty Shock on Real GDP of 33 Countries: A Global VAR Approach," Working Papers 202153, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Demirer, Riza & Gupta, Rangan, 2022.
"Financial turbulence, systemic risk and the predictability of stock market volatility,"
Global Finance Journal, Elsevier, vol. 52(C).
- Afees A. Salisu & Riza Demirer & Rangan Gupta, 2021. "Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility," Working Papers 202162, University of Pretoria, Department of Economics.
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"Bitcoin mining activity and volatility dynamics in the power market,"
Economics Letters, Elsevier, vol. 209(C).
- Sayar Karmakar & Riza Demirer & Rangan Gupta, 2021. "Bitcoin Mining Activity and Volatility Dynamics in the Power Market," Working Papers 202166, University of Pretoria, Department of Economics.
- Oguzhan Cepni & Hardik A. Marfatia & Rangan Gupta, 2025.
"The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom,"
Palgrave Communications, Palgrave Macmillan, vol. 12(1), pages 1-22, December.
- Oguzhan Cepni & Hardik A. Marfatia & Rangan Gupta, 2021. "The Time-Varying Impact of Uncertainty Shocks on the Comovement of Regional Housing Prices of the United Kingdom," Working Papers 202168, University of Pretoria, Department of Economics.
- Mohammad Reza Yeganegi & Hossein Hassani & Rangan Gupta, 2023.
"The ENSO cycle and forecastability of global inflation and output growth: Evidence from standard and mixed‐frequency multivariate singular spectrum analyses,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1690-1707, November.
- Hossein Hassani & Mohammad Reza Yeganegi & Rangan Gupta, 2021. "The ENSO Cycle and Forecastability of Global Inflation and Output Growth: Evidence from Standard and Mixed-Frequency Multivariate Singular Spectrum Analyses," Working Papers 202169, University of Pretoria, Department of Economics.
- Ruipeng Liu & Mawuli Segnon & Rangan Gupta & Elie Bouri, 2021. "Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective," Working Papers 202178, University of Pretoria, Department of Economics.
- Juncal Cunado & David Gabauer & Rangan Gupta, 2024.
"Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach,"
Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-17, December.
- Juncal Cunado & David Gabauer & Rangan Gupta, 2021. "Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach," Working Papers 202180, University of Pretoria, Department of Economics.
- Steven F. Koch, 2021. "Equivalence Scales with Endogeneity and Base Independence," Working Papers 202185, University of Pretoria, Department of Economics.
- Nicholas Apergis & Konstantinos Gavriilidis & Rangan Gupta, 2023.
"Does climate policy uncertainty affect tourism demand? Evidence from time-varying causality tests,"
Tourism Economics, , vol. 29(6), pages 1484-1498, September.
- Nicholas Apergis & Konstantinos Gavriilidis & Rangan Gupta, 2021. "Does Climate Policy Uncertainty Affect Tourism Demand? Evidence from Time-Varying Causality Tests," Working Papers 202186, University of Pretoria, Department of Economics.
- Xin Sheng & Rangan Gupta, 2021. "A Note on State-Level Nonlinear Effects of Government Spending Shocks in the US: The Role of Partisan Conflict," Working Papers 202187, University of Pretoria, Department of Economics.
- Jiří Šindelář & Michal Erben, 2021. "Does Distribution Growth Affect the Insurers' Asset Allocation in Life Insurance? The Case of Central Europe," Prague Economic Papers, Prague University of Economics and Business, vol. 2021(1), pages 20-36.
- Katerina Gawthorpe, 2021. "Random Forest as a Model for Czech Forecasting," Prague Economic Papers, Prague University of Economics and Business, vol. 2021(3), pages 336-357.
- Milan Fičura & Jiří Witzany, 2021. "Determinants of NMD Pass-Through Rates in Eurozone Countries," FFA Working Papers 4.004, Prague University of Economics and Business, revised 11 Mar 2022.
- Mikkel Plagborg-Møller & Christian K. Wolf, 2022.
"Instrumental Variable Identification of Dynamic Variance Decompositions,"
Journal of Political Economy, University of Chicago Press, vol. 130(8), pages 2164-2202.
- Mikkel Plagborg-M{o}ller & Christian K. Wolf, 2020. "Instrumental Variable Identification of Dynamic Variance Decompositions," Papers 2011.01380, arXiv.org, revised Jul 2021.
- Mikkel Plagborg-Møller & Christian K. Wolf, 2021. "Instrumental Variable Identification of Dynamic Variance Decompositions," Working Papers 2021-40, Princeton University. Economics Department..
- Mikkel Plagborg-Møller & Christian K. Wolf, 2021. "Instrumental Variable Identification of Dynamic Variance Decompositions," NBER Working Papers 29044, National Bureau of Economic Research, Inc.
- Andrew T. Foerster & Andreas Hornstein & Pierre-Daniel G. Sarte & Mark W. Watson, 2022.
"Aggregate Implications of Changing Sectoral Trends,"
Journal of Political Economy, University of Chicago Press, vol. 130(12), pages 3286-3333.
- Andrew Foerster & Andreas Hornstein & Pierre-Daniel Sarte & Mark W. Watson, 2019. "Aggregate Implications of Changing Sectoral Trends," NBER Working Papers 25867, National Bureau of Economic Research, Inc.
- Andrew T. Foerster & Andreas Hornstein & Pierre-Daniel G. Sarte & Mark W. Watson, 2021. "Aggregate Implications of Changing Sectoral Trends," Working Papers 2021-54, Princeton University. Economics Department..
- Andrew Foerster & Andreas Hornstein & Pierre-Daniel G. Sarte & Mark W. Watson, 2019. "Aggregate Implications of Changing Sectoral Trends," Working Paper 19-11, Federal Reserve Bank of Richmond.
- Andrew T. Foerster & Andreas Hornstein & Pierre-Daniel G. Sarte & Mark W. Watson, 2022. "Aggregate Implications of Changing Sectoral Trends," Working Paper Series 2019-16, Federal Reserve Bank of San Francisco.
- Li, Dake & Plagborg-Møller, Mikkel & Wolf, Christian K., 2024.
"Local projections vs. VARs: Lessons from thousands of DGPs,"
Journal of Econometrics, Elsevier, vol. 244(2).
- Dake Li & Mikkel Plagborg-M{o}ller & Christian K. Wolf, 2021. "Local Projections vs. VARs: Lessons From Thousands of DGPs," Papers 2104.00655, arXiv.org, revised Jan 2024.
- Dake Li & Mikkel Plagborg-Møller & Christian K. Wolf, 2022. "Local Projections vs. VARs: Lessons From Thousands of DGPs," NBER Working Papers 30207, National Bureau of Economic Research, Inc.
- Dake Li & Mikkel Plagborg-Møller & Christian K. Wolf, 2021. "Local Projections vs. VARs: Lessons From Thousands of DGPs," Working Papers 2021-55, Princeton University. Economics Department..
- Laura Liu & Mikkel Plagborg-M{o}ller, 2021.
"Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data,"
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- Laura Liu & Mikkel Plagborg-Møller, 2021. "Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data," Working Papers 2021-68, Princeton University. Economics Department..
- Laura Liu & Mikkel Plagborg-Møller, 2021. "Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data," CAEPR Working Papers 2021-001 Classification- , Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Julia Reynolds & Leopold Sögner & Martin Wagner, 2021.
"Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets,"
Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(2), pages 105-146, June.
- Reynolds, Julia & Soegner, Leopold & Wagner, Martin, 2020. "Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets," IHS Working Paper Series 17, Institute for Advanced Studies.
- Nikolay Iskrev, 2021. "Spectral decomposition of the information about latent variables in dynamic macroeconomic models," Working Papers w202105, Banco de Portugal, Economics and Research Department.
- Carvalho, Alexandre & Valle e Azevedo, João & Pires Ribeiro, Pedro, 2024.
"Permanent and temporary monetary policy shocks and the dynamics of exchange rates,"
Journal of International Economics, Elsevier, vol. 147(C).
- Alexandre Carvalho & João Valle e Azevedo & Pedro Pires Ribeiro, 2021. "Permanent and temporary monetary policy shocks and the dynamics of exchange rates," Working Papers w202117, Banco de Portugal, Economics and Research Department.
- Pongpitch Amatyakul & Tosapol Apaitan & Savaphol Hiruntiaranakul & Nuwat Nookhwun, 2021. "Revisiting Thailand's Monetary Policy Model for an Integrated Policy Analysis," PIER Discussion Papers 164, Puey Ungphakorn Institute for Economic Research.
- Piergiorgio Alessandri & Haroon Mumtaz, 2021.
"The macroeconomic cost of climate volatility,"
Papers
2108.01617, arXiv.org, revised Feb 2022.
- Piergiorgio Alessandri & Haroon Mumtaz, 2022. "The macroeconomic cost of climate volatility," BCAM Working Papers 2202, Birkbeck Centre for Applied Macroeconomics.
- Piergiorgio Alessandri & Haroon Mumtaz, 2021. "The Macroeconomic Cost of Climate Volatility," Working Papers 928, Queen Mary University of London, School of Economics and Finance.
- Giorgia De Nora, 2021. "Factor Augmented Vector-Autoregression with narrative identification. An application to monetary policy in the US," Working Papers 934, Queen Mary University of London, School of Economics and Finance.
- Eliud Silva & Corey Sparks, 2021. "Hierarchical forecasts of Diabetes mortality in Mexico by marginalization and sex to establish resource allocation," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 18(2), pages 82-98, Julio-Dic.
- Luke Hartigan & Michelle Wright, 2021. "Financial Conditions and Downside Risk to Economic Activity in Australia," RBA Research Discussion Papers rdp2021-03, Reserve Bank of Australia.
- Pérez Forero, Fernando, 2021. "Predicción de variables macroeconómicas en el Perú a través un modelo BVAR con media cambiante en el tiempo," Working Papers 2021-001, Banco Central de Reserva del Perú.
- Morán, Marthín & Nivín, Rafael & Quintana, Derry, 2021. "Financial Stress and macroeconomic fluctuations in Peru," Working Papers 2022-002, Banco Central de Reserva del Perú.
- Sinem Koçak, 2021. "Is Exchange Rate Volatility An Important Determinant Of Tax Revenues? Evidence From Turkey," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 24(81), pages 33-49, September.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2023.
"Aggregate Output Measurements: A Common Trend Approach,"
Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 3-33,
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- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate output measurements: a common trend approach," Working Paper series 21-02, Rimini Centre for Economic Analysis.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: a Common Trend Approach," Econometrics Working Papers Archive 2021_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Working Papers wp2021_2101, CEMFI.
- Sentana, Enrique & Almuzara, Martin & Fiorentini, Gabriele, 2021. "Aggregate Output Measurements: A Common Trend Approach," CEPR Discussion Papers 15758, C.E.P.R. Discussion Papers.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022.
"Tests for Random Coefficient Variation in Vector Autoregressive Models,"
Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 1-35,
Emerald Group Publishing Limited.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Econometrics Working Papers Archive 2021_18, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Working Paper series 21-21, Rimini Centre for Economic Analysis.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Working Papers wp2021_2108, CEMFI.
- Dime, Roselle & Ginting, Edimon & Zhuang, Juzhong, 2021. "Estimating Fiscal Multipliers in Selected Asian Economies," ADB Economics Working Paper Series 638, Asian Development Bank.
- Vatsa, Puneet, 2021. "Have Business Cycles Become More Synchronous After NAFTA?," American Business Review, Pompea College of Business, University of New Haven, vol. 24(1), pages 54-66, May.
- Adebayo, Tomiwa Sunday, 2021. "Testing the EKC Hypothesis in Indonesia: Empirical Evidence from the ARDL-Based Bounds and Wavelet Coherence Approaches," Asian Journal of Applied Economics/ Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 28(1), pages 78-100, June.
- Karen Poghosyan & Ruben Poghosyan, 2021.
"On the Applicability of Dynamic Factor Models for Forecasting Real GDP Growth in Armenia,"
Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 71(1), pages 52-79, June.
- Poghosyan, Karen & Poghosyan, Ruben, 2021. "On the applicability of dynamic factor models for forecasting real GDP growth in Armenia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 61, pages 28-46.
- Fokin, Nikita, 2021. "The importance of modeling structural breaks in forecasting Russian GDP," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 63, pages 5-29.
- Kocak, Necmettin Alpay, 2021. "Analysis of Relationship between the Consumer and Producer Prices in Turkey using Alternative Estimation Methods (Türkiye'de Tüketici ve Üretici Fiyatları Arasındaki İlişkinin Alternatif Tahmin Yöntem," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 12(1), pages 33-47, January.
- Mike, Faruk & Alper, Ali Eren, 2021. "The Effect of Financial Development on Economic Growth in Fragile Economics (Kırılgan Ekonomilerde Finansal Gelişme Düzeyinin Ekonomik Büyüme Üzerindeki Etkisi)," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 12(1), pages 49-64, January.
- Akkoc, Ugur & Ozgur, Onder, 2021. "Türkiye’de Para Politikasının Risk Alma Kanalı: T-FAVAR Yönteminden Yeni Asimetrik Bulgular (Risk-Taking Channel of Monetary Policy in Turkey: New Asymmetric Evidences from Threshold FAVAR)," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 12(2), pages 287-305, April.
- Adli, Kaveh A. & Sener, Ugur, 2021. "Forecasting of the U.S. Steel Prices with LVAR and VEC Models," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 12(3), pages 509-522, July.
- Bae, Sangil & Jeong, Minsoo, 2021. "Forecasting KOSPI Return Using a Modified Stochastic AdaBoosting," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 25(4), pages 403-424, December.
- Aye, Goodness C., 2021. "Short and Long Run Asymmetric Effects of Monetary and Fiscal Policy Uncertainty on Economic Activity in the U.S," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 74(1), pages 83-96.
- Hatemi-J, Abdulnasser & MANESCHIÖLD, Per-Ola, 2021. "Testing for the Tourism Led Economic Growth Hypothesis in Sweden with Structural Breaks," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 74(3), pages 293-310.
- Hafidh, Aula Ahmad, 2021. "Responses of Islamic banking variables to monetary policy shocks in Indonesia," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 28, pages 174-190.
- Méndez, Priscila, 2021. "Urbanización y crecimiento económico: un análisis de cointegración y causalidad para el caso ecuatoriano," Revista Económica, Centro de Investigaciones Sociales y Económicas, Universidad Nacional de Loja, vol. 9(1), pages 109-117, Enero.
- Saadatmehr, Masoud, 2021. "Testing the Endogenous Hypothesis of Post-Keynesian Money Supply in the Iranian Economy," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 8(2), pages 187-206, September.
- Martínez, Óscar, 2021. "Rational Bubbles and the S&P 500. An empirical approach," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB) "San Pablo", issue 35, pages 135-158, May.
- Mora Barrenechea, Mauricio, 2021. "Una revisión a la Curva de Phillips en Bolivia," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB) "San Pablo", issue 35, pages 159-185, May.
- Shi, Shuping & Yu, Jun, 2021. "Different Strokes for Different Folks: Long Memory and Roughness," Economics and Statistics Working Papers 7-2021, Singapore Management University, School of Economics.
- Hüseyin ŞEN & Zeynep Burcu BULUT-ÇEVIK, 2021. "The Revenue-Maximizing Corporate Income Tax Rate for Turkey," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 122-142, December.
- Vladimir MIHAJLOVIĆ & Aleksandra FEDAJEV, 2021. "Okun’s Law (A)Symmetry in SEE Countries: Evidence from Nonlinear ARDL Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 140-157, June.
- Emilian DOBRESCU, 2021. "Potential Output: A Market Conditionalities Interpretation," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-38, December.
- Daniela Fantozzi & Alessio Muscarnera, 2021. "A News-based Policy Index for Italy: Expectations and Fiscal Policy," CEIS Research Paper 509, Tor Vergata University, CEIS, revised 11 Mar 2021.
- Rabindra Nepal, Muhammad Indra al Irsyad, and Tooraj Jamasb, 2021.
"Sectoral Electricity Demand and Direct Rebound Effects in New Zealand,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
- Rabindra Nepal & Muhammad Indra al Irsyad & Tooraj Jamasb, 2021. "Sectoral Electricity Demand and Direct Rebound Effects inNew Zealand," The Energy Journal, , vol. 42(4), pages 153-174, July.
- Nepal, Rabindra & al Irsyad, Muhammad Indra & Jamasb, Tooraj, 2020. "Sectoral Electricity Demand and Direct Rebound Effect in New Zealand," Working Papers 9-2020, Copenhagen Business School, Department of Economics.
- Sampriti Das & Amiya Sarma, 2021. "Growth Behaviour of India’s Export of Services, 1975–2018," Foreign Trade Review, , vol. 56(3), pages 301-321, August.
- Rahul Sarania, 2021. "Interactions among Infrastructure, Trade Openness, Foreign Direct Investments and Economic Growth in India," Journal of Infrastructure Development, India Development Foundation, vol. 13(1), pages 21-43, June.
- Hiluf Techane Gidey & Naser Yenus Nuru, 2021. "Exchange Rate Uncertainty Effects on Domestic Investment in South Africa," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 15(3), pages 338-352, August.
- Ayesh Ariyasinghe & N. S. Cooray, 2021. "The Nexus Of Foreign Reserves, Exchange Rate And Inflation: Recent Empirical Evidence From Sri Lanka," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 22(1), pages 29-72, March.
- Sidra Feroz & Bushra Yasmin, 2021. "Terrorism and Brain Drain in Pakistan: Is There a Connection?," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 22(1), pages 73-87, March.
- Anu Keshiro Toriola & Emmanuel Oladapo George & Walid Gbadebo Adebosin, 2021. "The Nexus Between Commodity Terms and National Terms of Trade of Sub-Sahara African Countries: Implication for Intersectoral Linkage," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 19(1), pages 79-98.
- Konstantinos Bakri, 2021. "The Economics of New Enterprises, The Number of Businesses and Economic Growth Across the EU during 2008-2017," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 19(2), pages 201-210.
- Reyes García, Nallely Jacqueline & Venegas Martínez, Francisco & Martínez Palacios, María Teresa Verónica, 2021. "Análisis comparativo entre el modelo ARMA y su versión continua CARMA sobre la dinámica del Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores / Comparative analysis between the ARMA mod," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 11(1), pages 33-57, enero-jun.
- Sznajderska, Anna, 2021.
"The Impact of Foreign Shocks on the Polish Economy,"
Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2021(01), March.
- Anna Sznajderska, 2021. "The Impact of Foreign Shocks on the Polish Economy," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 1, pages 33-52.
- Jens H. E. Christensen & Nikola Mirkov, 2021.
"The Safety Premium of Safe Assets,"
Working Paper Series
2019-28, Federal Reserve Bank of San Francisco.
- Jens H. E. Christensen & Nikola Mirkov, 2021. "The safety premium of safe assets," Working Papers 2021-02, Swiss National Bank.
- Zeyneb Hafsa ORHAN & Nurullah TIRMAN, 2021. "An Empirical Analysis Regarding the Effect of Sukuk Outstanding on Growth in Turkey: 2010-2019Abstract: What is called Islamic finance today focuses on providing financial services in line with Islami," Sosyoekonomi Journal, Sosyoekonomi Society.
- Andre M. Marques & Gilberto Tadeu Lima, 2021. "Testing for Granger Causality in Quantiles Between the Wage Share and Capacity Utilization," Working Papers, Department of Economics 2021_03, University of São Paulo (FEA-USP).
- Maddalena Cavicchioli, 2021. "OLS Estimation of Markov switching VAR models: asymptotics and application to energy use," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 105(3), pages 431-449, September.
- Brian M. Lucey & Maurice Peat & Aleksandar Šević & Samuel A. Vigne, 2021. "What is the optimal weight for gold in a portfolio?," Annals of Operations Research, Springer, vol. 297(1), pages 277-291, February.
- Alessia Naccarato & Andrea Pierini & Giovanna Ferraro, 2021. "Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment," Annals of Operations Research, Springer, vol. 299(1), pages 81-99, April.
- Alessandra Cretarola & Gianna Figà-Talamanca, 2021. "Detecting bubbles in Bitcoin price dynamics via market exuberance," Annals of Operations Research, Springer, vol. 299(1), pages 459-479, April.
- Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2021. "A regional decomposition of US housing prices and volume: market dynamics and Portfolio diversification," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 66(2), pages 279-307, April.
- G. Rigatos & P. Siano & M. Abbaszadeh & T. Ghosh, 2021. "Nonlinear optimal control of coupled time-delayed models of economic growth," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 375-399, June.
- Gianna Figá-Talamanca & Sergio Focardi & Marco Patacca, 2021. "Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 863-882, December.
- Davide Provenzano & Rodolfo Baggio, 2021. "Complexity traits and synchrony of cryptocurrencies price dynamics," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 941-955, December.
- Paolo Angelis & Roberto Marchis & Mario Marino & Antonio Luciano Martire & Immacolata Oliva, 2021. "Betting on bitcoin: a profitable trading between directional and shielding strategies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 883-903, December.
- Georg Keilbar & Yanfen Zhang, 2021.
"On cointegration and cryptocurrency dynamics,"
Digital Finance, Springer, vol. 3(1), pages 1-23, March.
- Keilbar, Georg & Zhang, Yanfen, 2020. "On Cointegration and Cryptocurrency Dynamics," IRTG 1792 Discussion Papers 2020-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Stéphane Goutte & Benjamin Keddad, 2021. "A Non-linear Approach to Measure the Dependencies Between Bitcoin and Other Commodity Markets," Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 303-314, Springer.
- Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021.
"Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs,"
Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 229-264,
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- Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," Post-Print hal-03103717, HAL.
- Aloy, Marcel & Laly, Floris & Laurent, Sébastien & Lecourt, Christelle, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," LIDAM Reprints LFIN 2021021, Université catholique de Louvain, Louvain Finance (LFIN).
- Vassilios Babalos & Guglielmo Maria Caporale & Nicola Spagnolo, 2021.
"Equity fund flows and stock market returns in the USA before and after the global financial crisis: a VAR-GARCH-in-mean analysis,"
Empirical Economics, Springer, vol. 60(2), pages 539-555, February.
- Vassilios Babalos & Guglielmo Maria Caporale & Nicola Spagnolo, 2016. "Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-in-mean Analysis," CESifo Working Paper Series 5932, CESifo.
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- Youssef Akil & Hendrik Sonnabend, 2021. "The common-interest game between terrorists and the media: replication and extension," Empirical Economics, Springer, vol. 60(3), pages 1593-1606, March.
- Tim Kutzker & Florian Stark & Dominik Wied, 2021. "Testing for relevant dependence change in financial data: a CUSUM copula approach," Empirical Economics, Springer, vol. 60(4), pages 1875-1894, April.
- Chak Hung Jack Cheng & Nopphol Witvorapong, 2021. "Health care policy uncertainty, real health expenditures and health care inflation in the USA," Empirical Economics, Springer, vol. 60(4), pages 2083-2103, April.
- Jean-Paul Chavas, 2021. "The dynamics and volatility of prices in multiple markets: a quantile approach," Empirical Economics, Springer, vol. 60(4), pages 1607-1628, April.
- Demetris Koursaros & Nektarios Michail & Christos Savva, 2021. "Tell me where to stop: thresholds in the bank lending and output growth relationship," Empirical Economics, Springer, vol. 60(4), pages 1845-1873, April.
- Lealand Morin & Ying Shang, 2021. "Federal Reserve policy after the zero lower bound: an indirect inference approach," Empirical Economics, Springer, vol. 60(4), pages 2105-2124, April.
- Alain Kabundi & Asithandile Mbelu, 2021.
"Estimating a time-varying financial conditions index for South Africa,"
Empirical Economics, Springer, vol. 60(4), pages 1817-1844, April.
- Alain Kabundi & Asi Mbelu, 2017. "Estimating a timevarying financial conditions index for South Africa," Working Papers 8008, South African Reserve Bank.
- Camilla Mastromarco & Léopold Simar & Valentin Zelenyuk, 2021.
"Predicting recessions with a frontier measure of output gap: an application to Italian economy,"
Empirical Economics, Springer, vol. 60(6), pages 2701-2740, June.
- Camilla Mastromarco & Léopold Simar & Valentin Zelenyuk, 2020. "Predicting Recessions with a Frontier Measure of Output Gap: An Application to Italian Economy," CEPA Working Papers Series WP102020, School of Economics, University of Queensland, Australia.
- Mastromarco, Camilla & Simar, Léopold & Zelenyuk, Valentin, 2021. "Predicting recessions with a frontier measure of output gap: an application to Italian economy," LIDAM Reprints ISBA 2021010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Verena Monschang & Bernd Wilfling, 2021.
"Sup-ADF-style bubble-detection methods under test,"
Empirical Economics, Springer, vol. 61(1), pages 145-172, July.
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- Michał Brzoza-Brzezina & Jacek Kotłowski, 2021.
"International confidence spillovers and business cycles in small open economies,"
Empirical Economics, Springer, vol. 61(2), pages 773-798, August.
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"Time-varying influence of household debt on inequality in United Kingdom,"
Empirical Economics, Springer, vol. 61(4), pages 1917-1933, October.
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"Forecasting inflation in the euro area: countries matter!,"
Empirical Economics, Springer, vol. 61(5), pages 2477-2499, November.
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"A wavelet approach of investing behaviors and their effects on risk exposures,"
Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-37, December.
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"Trend-Cycle Interactions and the Subprime Crisis: Analysis of US and Canadian Output,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 109-128, November.
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"COVID-19 outbreak, social response, and early economic effects: a global VAR analysis of cross-country interdependencies,"
Journal of Population Economics, Springer;European Society for Population Economics, vol. 34(1), pages 223-252, January.
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"Government Spending, GDP and Exchange Rate in Zero Lower Bound: Measuring Causality at Multiple Horizons,"
Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 139-160, March.
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"Estimating persistence for irregularly spaced historical data,"
Quality & Quantity: International Journal of Methodology, Springer, vol. 55(6), pages 2177-2187, December.
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"Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom,"
Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 155(3), pages 771-788, June.
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"A comparison of semiparametric tests for fractional cointegration,"
Statistical Papers, Springer, vol. 62(4), pages 1997-2030, August.
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"Risky mortgages, credit shocks and cross-border spillovers,"
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"A Note On Gensys’ Minimality,"
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"The empirical modelling of house prices and debt revisited: a policy-oriented perspective,"
Empirical Economics, Springer, vol. 66(1), pages 369-404, January.
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"Bootstrap inference for Hawkes and general point processes,"
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"Dynamic effects of monetary policy shocks on macroeconomic volatility in the United Kingdom,"
Applied Economics Letters, Taylor & Francis Journals, vol. 28(18), pages 1594-1599, October.
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"Multivariate unobserved component model for an oil-exporting economy: the case of Russia,"
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"Exchange rate policy and external vulnerabilities in Sub-Saharan Africa: nominal, real or mixed targeting?,"
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"The Taylor curve: international evidence,"
Applied Economics, Taylor & Francis Journals, vol. 53(40), pages 4680-4691, August.
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"Does the cost of private debt respond to monetary policy? Heteroskedasticity-based identification in a model with regimes,"
The European Journal of Finance, Taylor & Francis Journals, vol. 27(18), pages 1804-1833, December.
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"High-Frequency Predictability of Housing Market Movements of the United States: The Role of Economic Sentiment,"
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"The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty,"
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"Fitting Vast Dimensional Time-Varying Covariance Models,"
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"Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings,"
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"Is Neo-Fisherism ‘alive’ in South Africa? A frequency domain causality approach,"
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"A simple macro-econometric simultaneous equation model for the Russian economy,"
Post-Communist Economies, Taylor & Francis Journals, vol. 33(5), pages 587-613, July.
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"Dynamic Spillovers between REITs and Stock Markets in Global Financial Markets,"
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"Revisiting the role of fiscal policy in determining interest rate in India,"
Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 26(2), pages 293-318, April.
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"Uncertainty diffusion across commodity markets,"
Economics Working Paper Archive (University of Rennes & University of Caen)
2021-02, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
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"Efficient Combined Estimation under Structural Breaks,"
Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, volume 43, pages 119-142,
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"Expecting the unexpected: economic growth under stress,"
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32148, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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"The influence function of semiparametric two-step estimators with estimated control variables,"
Economics Letters, Elsevier, vol. 231(C).
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"The influence function of semiparametric two-step estimators with estimated control variables,"
Economics Letters, Elsevier, vol. 231(C).
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"Risk Aversion and Changes in Regime,"
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"Comparison of local projection estimators for proxy vector autoregressions,"
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- Martin Bruns & Michele Piffer, 2021. "Monetary policy shocks over the business cycle: Extending the Smooth Transition framework," University of East Anglia School of Economics Working Paper Series 2021-07, School of Economics, University of East Anglia, Norwich, UK..
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"Trend, Cycles and Chance,"
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"Modeling peak electricity demand: A semiparametric approach using weather-driven cross-temperature response functions,"
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"Proxy-identification of a structural MGARCH model for asset returns,"
Economics Working Paper Series
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"Public debt and inflation dynamics: Empirical evidence from Zimbabwe,"
Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 7(2), pages 14-30, December.
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"The Zonal and Seasonal CO2 Marginal Emissions Factors for the Italian Power Market,"
Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 83(2), pages 381-411, October.
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- Resul Aydemir Corresponding author & Bulent Guloglu & Ercan Saridogan, 2021. "Volatility Spillovers and Dynamic Correlations among Foreign Exchange Rates and Bond Markets of Emerging Economies," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 68(1), pages 99-127, March.
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"Nvidia's Stock Returns Prediction Using Machine Learning Techniques for Time Series Forecasting Problem,"
Central European Economic Journal, Sciendo, vol. 8(55), pages 44-62, January.
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- Oumarou Issoufou, 2021. "Remittance in Niger: effects on economic growth and on migrants’ left behind," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 7(1), pages 60-69, May.
- Saungweme Talknice & Odhiambo Nicholas M., 2021.
"Public debt and inflation dynamics: Empirical evidence from Zimbabwe,"
Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 7(2), pages 14-30, December.
- Saungweme, Talknice & Odhiambo, Nicholas M, 2021. "Public debt and inflation dynamics: Empirical evidence from Zimbabwe," Working Papers 28343, University of South Africa, Department of Economics.
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"The money-inflation nexus revisited,"
Department of Economics Working Paper Series
310, WU Vienna University of Economics and Business.
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"How risky is Monetary Policy? The Effect of Monetary Policy on Systemic Risk in the Euro Area,"
Department of Economics Working Paper Series
312, WU Vienna University of Economics and Business.
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"The Identification of Non-Rational Risk Shocks,"
Department of Economics Working Paper Series
314, WU Vienna University of Economics and Business.
- Maximilian Böck, 2021. "The Identification of Non-Rational Risk Shocks," Department of Economics Working Papers wuwp314, Vienna University of Economics and Business, Department of Economics.
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"The money-inflation nexus revisited,"
Department of Economics Working Papers
wuwp310, Vienna University of Economics and Business, Department of Economics.
- Ringwald, Leopold & Zörner, Thomas O., 2021. "The money-inflation nexus revisited," Department of Economics Working Paper Series 310, WU Vienna University of Economics and Business.
- Georg Leitner & Teresa Hübel & Anna Wolfmayr & Manuel Zerobin, 2021.
"How risky is Monetary Policy? The Effect of Monetary Policy on Systemic Risk in the Euro Area,"
Department of Economics Working Papers
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"The Identification of Non-Rational Risk Shocks,"
Department of Economics Working Papers
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"Local Projections and VARs Estimate the Same Impulse Responses,"
Econometrica, Econometric Society, vol. 89(2), pages 955-980, March.
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"Business Cycles, Trend Elimination, And The Hp Filter,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 469-520, May.
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"Political tension and stock markets in the Arabian Peninsula,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 679-683, January.
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"Nonlinear effects of government spending shocks in the USA: Evidence from state‐level data,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 86-97, January.
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"How far can we forecast? Statistical tests of the predictive content,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(4), pages 369-392, June.
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"No‐arbitrage priors, drifting volatilities, and the term structure of interest rates,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 495-516, August.
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"Is euro area lowflation here to stay? Insights from a time‐varying parameter model with survey data,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 566-586, August.
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"Transitory and permanent shocks in the global market for crude oil,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 1047-1064, November.
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"Forecasting the production side of GDP,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 458-480, April.
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"An approach to increasing forecast‐combination accuracy through VAR error modeling,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 686-699, July.
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"A Time‐Series Model of Interest Rates with the Effective Lower Bound,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 1005-1046, August.
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"Specification tests for non‐Gaussian maximum likelihood estimators,"
Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
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"Regime‐dependent effects of uncertainty shocks: A structural interpretation,"
Quantitative Economics, Econometric Society, vol. 12(4), pages 1139-1170, November.
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"The impact of uncertainty shocks in South Africa: The role of financial regimes,"
Review of Financial Economics, John Wiley & Sons, vol. 39(4), pages 442-454, October.
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"Investor Sentiment Connectedness: Evidence From Linear And Nonlinear Causality Approaches,"
Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-29, December.
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"Constructing a Coincident Economic Indicator for India: How Well Does It Track Gross Domestic Product?,"
Asian Development Review (ADR), World Scientific Publishing Co. Pte. Ltd., vol. 38(02), pages 237-277, September.
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"Faster fiscal stimulus and a higher government spending multiplier in China: Mixed-frequency identification with SVAR,"
Economics Letters, Elsevier, vol. 209(C).
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"Testing for equal predictive accuracy with strong dependence,"
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"Global Uncertainty,"
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"Economic theories and macroeconomic reality,"
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"The Role of the Prior in Estimating VAR Models with Sign Restrictions,"
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- Helmut Lütkepohl & Mika Meitz & Aleksei Netšunajev & Pentti Saikkonen, 2021.
"Testing identification via heteroskedasticity in structural vector autoregressive models,"
The Econometrics Journal, Royal Economic Society, vol. 24(1), pages 1-22.
- Lütkepohl, Helmut & Meitz, Mika & Netšunajev, Aleksei & Saikkonen, Pentti, 2021. "Testing identification via heteroskedasticity in structural vector autoregressive models," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 24(1), pages 1-22.
- Helmut Lütkepohl & Mika Meitz & Aleksei NetŠunajev & Pentti Saikkonen, 2018. "Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models," Discussion Papers of DIW Berlin 1764, DIW Berlin, German Institute for Economic Research.
- Bernoth, Kerstin & Herwartz, Helmut, 2021.
"Exchange rates, foreign currency exposure and sovereign risk,"
Journal of International Money and Finance, Elsevier, vol. 117(C).
- Bernoth, Kerstin & Herwartz, Helmut, 2021. "Exchange rates, foreign currency exposure and sovereign risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 117, pages 1-1.
- Kerstin Bernoth & Helmut Herwartz, 2019. "Exchange Rates, Foreign Currency Exposure and Sovereign Risk," Discussion Papers of DIW Berlin 1792, DIW Berlin, German Institute for Economic Research.
- Bierbaumer, Daniel & Rieth, Malte & Velinov, Anton, 2021. "The state-dependent trading behavior of banks in the oil futures market," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 191, pages 1011-1024.
- Espoir, Delphin Kamanda & Mudiangombe, Benjamin & Bannor, Frank & Sunge, Regret & Mubenga Tshitaka, Jean-Luc, 2021. "CO₂ emissions and economic growth: Assessing the heterogeneous effects across climate regimes in Africa," EconStor Preprints 235479, ZBW - Leibniz Information Centre for Economics.
- Bratsiotis, George J. & Theodoridis, Konstantinos, 2022.
"Precautionary liquidity shocks, excess reserves and business cycles,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
- George J. Bratsiotis & Konstantinos Theodoridis, 2020. "Precautionary Liquidity Shocks, Excess Reserves and Business Cycles," Economics Discussion Paper Series 2014, Economics, The University of Manchester.
- Bratsiotis, George J. & Theodoridis, Konstantinos, 2021. "Precautionary Liquidity Shocks, Excess Reserves and Business Cycles," EconStor Preprints 243121, ZBW - Leibniz Information Centre for Economics.
- Bratsiotis, George & Theodoridis, Konstantinos, 2020. "Precautionary Liquidity Shocks, Excess Reserves and Business Cycles," Cardiff Economics Working Papers E2020/15, Cardiff University, Cardiff Business School, Economics Section.
- Kolev, Stefan, 2021. "Ein Baltendeutscher bei den Preußen des Balkans: Oskar Anderson und das Sofioter Institut für Wirtschaftsforschung (SWIFO)," HWWI Research Papers 198, Hamburg Institute of International Economics (HWWI).
- Robert C. M. Beyer & Lazar Milivojevic, 2023.
"Dynamics and synchronization of global equilibrium interest rates,"
Applied Economics, Taylor & Francis Journals, vol. 55(28), pages 3195-3214, June.
- Beyer,Robert Carl Michael & Milivojevic,Lazar, 2020. "Dynamics and Synchronization of Global Equilibrium Interest Rates," Policy Research Working Paper Series 9489, The World Bank.
- Beyer, Robert & Milivojevic, Lazar, 2021. "Dynamics and synchronization of global equilibrium interest rates," IMFS Working Paper Series 146, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Gegenfurtner, Dennis Andreas, 2021. "The causes of Original Sin: An empirical investigation of emerging market and developing countries," IPE Working Papers 174/2021, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
- Chang, Yoosoon & Kwak, Boreum & Qiu, Shi, 2021. "U.S. monetary and fiscal policy regime changes and their interactions," IWH Discussion Papers 12/2021, Halle Institute for Economic Research (IWH).
- Annika Camehl & Malte Rieth, 2021.
"Disentangling Covid-19, Economic Mobility, and Containment Policy Shocks,"
Discussion Papers of DIW Berlin
1954, DIW Berlin, German Institute for Economic Research.
- Camehl, Annika & Rieth, Malte, 2021. "Disentangling Covid-19, economic mobility, and containment policy shocks," IWH Discussion Papers 2/2021, Halle Institute for Economic Research (IWH).
- Annika Camehl & Malte Rieth, 2021. "Disentangling Covid-19, Economic Mobility, and Containment Policy Shocks," Tinbergen Institute Discussion Papers 21-018/VI, Tinbergen Institute.
- Quaas, Georg, 2021. "The measurement of the reproduction number," Working Papers 171, University of Leipzig, Faculty of Economics and Management Science.
- Arce-Alfaro, Gabriel & Blagov, Boris, 2021. "Monetary policy uncertainty and inflation expectations," Ruhr Economic Papers 899, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Caporina, Massimiliano & Costola, Michele, 2021. "Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test," SAFE Working Paper Series 324, Leibniz Institute for Financial Research SAFE.
- Chistoph Grosse-Steffen & Laura Pagenhardt & Malte Rieth, 2021.
"Committed to Flexible Fiscal Rules,"
Working papers
854, Banque de France.
- Pagenhardt, Laura & Große Steffen, Christoph & Rieth, Malte, 2021. "Commited to Flexible Fiscal Rules," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242330, Verein für Socialpolitik / German Economic Association.
- Helmut Lütkepohl & Thore Schlaak, 2022.
"Heteroscedastic Proxy Vector Autoregressions,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1268-1281, June.
- Helmut Lütkepohl & Thore Schlaak, 2020. "Heteroskedastic Proxy Vector Autoregressions," Discussion Papers of DIW Berlin 1876, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Schlaak, Thore, 2021. "Heteroskedastic Proxy Vector Autoregressions," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242399, Verein für Socialpolitik / German Economic Association.
2020
- Ayhan Tecel & Salih Katircioğlu & Elham Taheri & Festus Victor Bekun, 2020. "Causal interactions among tourism, foreign direct investment, domestic credits, and economic growth: evidence from selected Mediterranean countries," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 19(3), pages 195-212, September.
- Mustafa Şit & Ahmet Şit & Haydar Karadağ, 2020. "The Impact of Tourism Demand on Tax Revenues and Bank Loans in Turkey," Springer Proceedings in Business and Economics, in: Nicholas Tsounis & Aspasia Vlachvei (ed.), Advances in Cross-Section Data Methods in Applied Economic Research, chapter 45, pages 675-683, Springer.
- Goodness C. Aye & Giray Gozgor & Rangan Gupta, 2020.
"Dynamic and Asymmetric Response of Inequality to Income Volatility: The Case of the United Kingdom,"
Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 147(3), pages 747-762, February.
- Goodness C. Aye & Giray Gozgor & Rangan Gupta, 2018. "Dynamic and Asymmetric Response of Inequality to Income Volatility: The Case of the United Kingdom," Working Papers 201821, University of Pretoria, Department of Economics.
- Jose Maria Fernandez-Crehuet & Luis Alberiko Gil-Alana & Cristina Martí Barco, 2020. "Unemployment and Fertility: A Long Run Relationship," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 152(3), pages 1177-1196, December.
- F. Marta L. Di Lascio & Andrea Menapace & Maurizio Righetti, 2020.
"Joint and conditional dependence modelling of peak district heating demand and outdoor temperature: a copula-based approach,"
Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 373-395, June.
- F. Marta L. Di Lascio & Andrea Menapace & Maurizio Righetti, 2018. "Joint and conditional dependence modeling of peak district heating demand and outdoor temperature: a copula-based approach," BEMPS - Bozen Economics & Management Paper Series BEMPS53, Faculty of Economics and Management at the Free University of Bozen.
- Lingxiang Zhang, 2020. "Linearity tests and stochastic trend under the STAR framework," Statistical Papers, Springer, vol. 61(6), pages 2271-2282, December.
- Alain MALATA & Christian PINSHI, 2020.
"Fading The Effects Of Coronavirus With Monetary Policy,"
Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 11(2), pages 105-110.
- Alain K Malata & Christian Pinshi, 2020. "Fading the effects of coronavirus with monetary policy," Working Papers hal-02889520, HAL.
- MALATA, Alain K. & PINSHI, Christian P., 2020. "Fading the effects of coronavirus with monetary policy," MPRA Paper 101526, University Library of Munich, Germany, revised Jun 2020.
- Moneta, Alessio & Pallante, Gianluca, 2022.
"Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study,"
Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
- Alessio Moneta & Gianluca Pallante, 2020. "Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study," LEM Papers Series 2020/24, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Magnus Kvåle Helliesen & Håvard Hungnes & Terje Skjerpen, 2022.
"Revisions in the Norwegian National Accounts: accuracy, unbiasedness and efficiency in preliminary figures,"
Empirical Economics, Springer, vol. 62(3), pages 1079-1121, March.
- Magnus Kvåle Helliesen & Håvard Hungnes & Terje Skjerpen, 2020. "Revisions in the Norwegian National Accounts. Accuracy, unbiasedness and efficiency in preliminary figures," Discussion Papers 924, Statistics Norway, Research Department.
- Thomas von Brasch & Ådne Cappelen & Håvard Hungnes & Terje Skjerpen, 2020. "Modeling R&D spillovers to productivity. The effects of tax policy," Discussion Papers 927, Statistics Norway, Research Department.
- Håvard Hungnes, 2020. "Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations," Discussion Papers 931, Statistics Norway, Research Department.
- Rangan Gupta & Hardik A. Marfatia & Eric Olson, 2020.
"Effect of uncertainty on U.S. stock returns and volatility: evidence from over eighty years of high-frequency data,"
Applied Economics Letters, Taylor & Francis Journals, vol. 27(16), pages 1305-1311, September.
- Rangan Gupta & Hardik A. Marfatia & Eric Olson, 2019. "Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data," Working Papers 201942, University of Pretoria, Department of Economics.
- Yanele Nyamela & Vasilios Plakandaras & Rangan Gupta, 2020.
"Frequency-dependent real-time effects of uncertainty in the United States: evidence from daily data,"
Applied Economics Letters, Taylor & Francis Journals, vol. 27(19), pages 1562-1566, November.
- Yanele Nyamela & Vasilios Plakandaras & Rangan Gupta, 2018. "Frequency-Dependent Real-Time Effects of Uncertainty in the United States: Evidence from Daily Data," Working Papers 201833, University of Pretoria, Department of Economics.
- M. Billio & M. Donadelli & G. Livieri & A. Paradiso, 2020. "On the role of domestic and international financial cyclical factors in driving economic growth," Applied Economics, Taylor & Francis Journals, vol. 52(11), pages 1272-1297, March.
- Franz Ruch & Mehmet Balcilar & Rangan Gupta & Mampho P. Modise, 2020.
"Forecasting core inflation: the case of South Africa,"
Applied Economics, Taylor & Francis Journals, vol. 52(28), pages 3004-3022, June.
- Franz Ruch & Mehmet Balcilar Author-Name-First Mehmet & Mampho P. Modise & Rangan Gupta, 2015. "Forecasting Core Inflation: The Case of South Africa," Working Papers 15-08, Eastern Mediterranean University, Department of Economics.
- Franz Ruch & Mehmet Balcilar & Mampho P. Modise & Rangan Gupta, 2015. "Forecasting Core Inflation: The Case of South Africa," Working Papers 201543, University of Pretoria, Department of Economics.
- António Afonso & Yasfir Ibraimo, 2020.
"The macroeconomic effects of public debt: an empirical analysis of Mozambique,"
Applied Economics, Taylor & Francis Journals, vol. 52(2), pages 212-226, January.
- António Afonso & Yasfir Ibraimo, 2018. "The Macroeconomic Effects of Public Debt: An Empirical Analysis of Mozambique," Working Papers REM 2018/29, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Jaebeom Kim & Jung-Min Kim, 2020.
"Stock returns and mutual fund flows in the korean financial markets: a system approach,"
Applied Economics, Taylor & Francis Journals, vol. 52(33), pages 3588-3599, June.
- Jaebeom Kim & Jung-Min Kim, 2016. "Stock Returns and Mutual Fund Flows in the Korean Financial Market: A System Approach," Working Papers 2016-3, Economic Research Institute, Bank of Korea.
- Viktors Ajevskis, 2020.
"The natural rate of interest: information derived from a shadow rate model,"
Applied Economics, Taylor & Francis Journals, vol. 52(47), pages 5129-5138, October.
- Viktors Ajevskis, 2018. "The Natural Rate of Interest: Information Derived from a Shadow Rate Model," Working Papers 2018/02, Latvijas Banka.
- Juncal Cunado & Rangan Gupta & Chi Keung Marco Lau & Xin Sheng, 2020.
"Time-Varying Impact of Geopolitical Risks on Oil Prices,"
Defence and Peace Economics, Taylor & Francis Journals, vol. 31(6), pages 692-706, August.
- Juncal Cunado & Rangan Gupta & Chi Keung Marco Lau & Xin Sheng, 2018. "Time-Varying Impact of Geopolitical Risks on Oil Prices," Working Papers 201841, University of Pretoria, Department of Economics.
- Ruijun Bu & Fredj Jawadi & Yuyi Li, 2020.
"A multifactor transformed diffusion model with applications to VIX and VIX futures,"
Econometric Reviews, Taylor & Francis Journals, vol. 39(1), pages 27-53, January.
- Ruijun Bu & Fredj Jawadi & Yuyi Li, 2018. "A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures," Working Papers 20183, University of Liverpool, Department of Economics.
- Jean Boivin & Marc P. Giannoni & Dalibor Stevanović, 2020.
"Dynamic Effects of Credit Shocks in a Data-Rich Environment,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 272-284, April.
- Jean Boivin & Marc Giannoni & Dalibor Stevanovic, 2013. "Dynamic effects of credit shocks in a data-rich environment," Staff Reports 615, Federal Reserve Bank of New York.
- Jean Boivin & Marc P. Giannoni & Dalibor Stevanovic, 2016. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," CIRANO Working Papers 2016s-55, CIRANO.
- Jean Boivin & Marc P. Giannoni & Dalibor Stevanovic, 2013. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," CIRANO Working Papers 2013s-11, CIRANO.
- Jean Boivin & Marc P. Giannoni & Dalibor Stevanovic, 2013. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," Cahiers de recherche 1324, CIRPEE.
- Giannoni, Marc & Boivin, Jean & Stevanovic, Dalibor, 2013. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," CEPR Discussion Papers 9470, C.E.P.R. Discussion Papers.
- Marco Barassi & Lajos Horváth & Yuqian Zhao, 2020.
"Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 340-349, April.
- Barassi, Marco & Horvath, Lajos & Zhao, Yuqian, 2018. "Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models," MPRA Paper 87837, University Library of Munich, Germany.
- Minchul Shin & Molin Zhong, 2020.
"A New Approach to Identifying the Real Effects of Uncertainty Shocks,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 367-379, April.
- Minchul Shin & Molin Zhong, 2016. "A New Approach to Identifying the Real Effects of Uncertainty Shocks," Finance and Economics Discussion Series 2016-040, Board of Governors of the Federal Reserve System (U.S.).
- Leif Anders Thorsrud, 2020.
"Words are the New Numbers: A Newsy Coincident Index of the Business Cycle,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 393-409, April.
- Leif Anders Thorsrud, 2016. "Words are the new numbers: A newsy coincident index of business cycles," Working Papers No 4/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Leif Anders Thorsrud, 2016. "Words are the new numbers: A newsy coincident index of business cycles," Working Paper 2016/21, Norges Bank.
- Jérôme Lahaye & Christopher Neely, 2020.
"The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 410-427, April.
- Jerome Lahaye & Christopher J. Neely, 2014. "The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited," Working Papers 2014-034, Federal Reserve Bank of St. Louis.
- S. Borağan Aruoba, 2020.
"Term Structures of Inflation Expectations and Real Interest Rates,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 542-553, July.
- S. Boragan Aruoba, 2016. "Term structures of inflation expectations and real interest rates," Working Papers 16-9, Federal Reserve Bank of Philadelphia.
- Gao, Shen & Hou, Chenghan & Nguyen, Bao H., 2020. "Forecasting natural gas prices using highly flexible time-varying parameter models," Working Papers 2020-01, University of Tasmania, Tasmanian School of Business and Economics.
- Jamie L. Cross & Bao H. Nguyen & Trung Duc Tran, 2020.
"The Role of Precautionary and Speculative Demand in the Global Market for Crude Oil,"
CAMA Working Papers
2020-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Cross, James L. & Nguyen, Bao H. & Tran, Trung Duc, 2020. "The role of precautionary and speculative demand in the global market for crude oil," Working Papers 2020-02, University of Tasmania, Tasmanian School of Business and Economics.
- Islam, Raisul & Volkov, Vladimir, 2020. "Contagion or interdependence? Comparing signed and unsigned spillovers," Working Papers 2020-05, University of Tasmania, Tasmanian School of Business and Economics.
- Islam, Raisul & Volkov, Vladimir, 2020. "Calm before the storm: an early warning approach before and during the COVID-19 crisis," Working Papers 2020-09, University of Tasmania, Tasmanian School of Business and Economics.
- Zhang, Bo & Nguyen, Bao H., 2020. "Real-time forecasting of the Australian macroeconomy using Bayesian VARs," Working Papers 2020-12, University of Tasmania, Tasmanian School of Business and Economics.
- Tayyar Buyukbasaran & Cem Cebi & Erdal Yilmaz, 2020.
"Interaction of monetary and fiscal policies in Turkey,"
Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 20(4), pages 193-203.
- Tayyar Buyukbasaran & Cem Cebi & Erdal Yilmaz, 2019. "Interaction of Monetary and Fiscal Policies in Turkey," Working Papers 1935, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Bahar Sungurtekin Hallam, 2020. "An Analysis of International Shock Transmission: A Multi-level Factor Augmented TVP GVAR Approach," Working Papers 2012, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Gorgi, P. & Koopman, S.J., 2023.
"Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects,"
Journal of Econometrics, Elsevier, vol. 237(2).
- Paolo Gorgi & Siem Jan Koopman, 2020. "Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects," Tinbergen Institute Discussion Papers 20-004/III, Tinbergen Institute.
- Dieter Wang & Julia Schaumburg, 2020. "Smooth marginalized particle filters for dynamic network effect models," Tinbergen Institute Discussion Papers 20-023/III, Tinbergen Institute.
- Magnus, Jan R. & Pijls, Henk G.J. & Sentana, Enrique, 2021.
"The Jacobian of the exponential function,"
Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
- Jan R. Magnus & Henk G. J. Pijls & Enrique Sentana, 2020. "The Jacobian of the Exponential Function," Working Papers wp2020_2005, CEMFI.
- Jan R. Magnus & Henk G.J. Pijls & Enrique Sentana, 2020. "The Jacobian of the exponential function," Tinbergen Institute Discussion Papers 20-035/III, Tinbergen Institute.
- Magnus, Jan R. & Sentana, Enrique, 2020.
"Zero-diagonality as a linear structure,"
Economics Letters, Elsevier, vol. 196(C).
- Jan R. Magnus & Enrique Sentana, 2020. "Zero-Diagonality as a Linear Structure," Working Papers wp2020_2016, CEMFI.
- Jan R. Magnus & Enrique Sentana, 2020. "Zero-diagonality as a linear structure," Tinbergen Institute Discussion Papers 20-039/III, Tinbergen Institute.
- Rutger Jan Lange, 2020. "Bellman filtering for state-space models," Tinbergen Institute Discussion Papers 20-052/III, Tinbergen Institute, revised 19 May 2021.
- van Os, Bram & van Dijk, Dick, 2024.
"Accelerating peak dating in a dynamic factor Markov-switching model,"
International Journal of Forecasting, Elsevier, vol. 40(1), pages 313-323.
- Bram van Os & Dick van Dijk, 2020. "Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model," Tinbergen Institute Discussion Papers 20-057/VI, Tinbergen Institute, revised 14 Dec 2020.
- P. Gorgi & S. J. Koopman & R. Lit, 2023.
"Estimation of final standings in football competitions with a premature ending: the case of COVID-19,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 107(1), pages 233-250, March.
- Paolo Gorgi & Siem Jan Koopman & Rutger Lit, 2020. "Estimation of final standings in football competitions with premature ending: the case of COVID-19," Tinbergen Institute Discussion Papers 20-070/III, Tinbergen Institute.
- Kohei Maehashi & Mototsugu Shintani, 2020. "Macroeconomic Forecasting Using Factor Models and Machine Learning: An Application to Japan," CIRJE F-Series CIRJE-F-1146, CIRJE, Faculty of Economics, University of Tokyo.
- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2020.
"Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors,"
The Review of Economics and Statistics, MIT Press, vol. 102(1), pages 17-33, March.
- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers 2017-026, Federal Reserve Bank of St. Louis.
- Todd E Clark & Michael W McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," BIS Working Papers 667, Bank for International Settlements.
- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers 17-15R, Federal Reserve Bank of Cleveland.
- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers (Old Series) 1715, Federal Reserve Bank of Cleveland.
- Benjamin Born & Gernot J. Müller & Johannes Pfeifer, 2020.
"Does Austerity Pay Off?,"
The Review of Economics and Statistics, MIT Press, vol. 102(2), pages 323-338, May.
- Born, Benjamin & Müller, Gernot & Pfeifer, Johannes, 2014. "Does austerity pay off?," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100301, Verein für Socialpolitik / German Economic Association.
- Müller, Gernot & Pfeifer, Johannes & Born, Benjamin, 2015. "Does austerity pay off?," CEPR Discussion Papers 10425, C.E.P.R. Discussion Papers.
- Born, Benjamin & Müller, Gernot J. & Pfeifer, Johannes, 2015. "Does austerity pay off?," SAFE Working Paper Series 77, Leibniz Institute for Financial Research SAFE, revised 2015.
- Irma Ðidelija, 2020. "Analysis Of Household Saving Factors In Bosnia And Herzegovina - Application Of Ardl Methodology," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, vol. 18(2), pages 73-83, November.
- Benati, Luca & Lucas, Robert E. & Nicolini, Juan Pablo & Weber, Warren, 2021.
"International evidence on long-run money demand,"
Journal of Monetary Economics, Elsevier, vol. 117(C), pages 43-63.
- Luca Benati & Robert Lucas, Jr. & Juan Nicolini & Warren Weber, 2016. "International Evidence on Long Run Money Demand," Working Papers id:11152, eSocialSciences.
- Luca Benati & Robert E. Lucas Jr. & Juan Pablo Nicolini & Warren Weber, 2020. "International Evidence on Long-Run Money Demand," Diskussionsschriften dp2021, Universitaet Bern, Departement Volkswirtschaft.
- Warren E. Weber & Robert Lucas & Juan Pablo Nicolini & Luca Benati, 2017. "International Evidence on Long Run Money Demand," 2017 Meeting Papers 1154, Society for Economic Dynamics.
- Luca Benati & Robert E. Lucas & Juan Pablo Nicolini & Warren E. Weber, 2019. "International Evidence on Long-Run Money Demand," Staff Report 587, Federal Reserve Bank of Minneapolis.
- Luca Benati & Robert E. Lucas & Juan Pablo Nicolini & Warren E. Weber, 2017. "International Evidence on Long-Run Money Demand," Working Papers 737, Federal Reserve Bank of Minneapolis.
- Luca Benati & Robert E. Lucas, Jr. & Juan Pablo Nicolini & Warren Weber, 2016. "International Evidence on Long Run Money Demand," NBER Working Papers 22475, National Bureau of Economic Research, Inc.
- Cotter, John & Hallam, Mark & Yilmaz, Kamil, 2023.
"Macro-financial spillovers,"
Journal of International Money and Finance, Elsevier, vol. 133(C).
- John Cotter & Mark Hallam & Kamil Yilmaz, 2020. "Macro-Financial Spillovers," Working Papers 202005, Geary Institute, University College Dublin.
- Gloria Gonzalez-Rivera & Yun Luo, 2020.
"A Truncated Mixture Transition Model for Interval-valued Time Series,"
Working Papers
202005, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Yun Luo, 2023. "A Truncated Mixture Transition Model for Interval-valued Time Series," Working Papers 202315, University of California at Riverside, Department of Economics.
- Fang, Tong & Lee, Tae-Hwy & Su, Zhi, 2020.
"Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection,"
Journal of Empirical Finance, Elsevier, vol. 58(C), pages 36-49.
- Tong Fang & Tae-Hwy Lee & Zhi Su, 2020. "Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection," Working Papers 202009, University of California at Riverside, Department of Economics.
- Jungbin Hwang & Gonzalo Valdés, 2020. "Finite-sample Corrected Inference for Two-step GMM in Time Series," Working papers 2020-02, University of Connecticut, Department of Economics.
- Jungbin Hwang & Gonzalo Valdés, 2020. "Low Frequency Cointegrating Regression in the Presence of Local to Unity Regressors and Unknown Form of Serial Dependence," Working papers 2020-03, University of Connecticut, Department of Economics, revised Aug 2020.
- Gabauer, David & Gupta, Rangan & Marfatia, Hardik A. & Miller, Stephen M., 2024.
"Estimating U.S. housing price network connectedness: Evidence from dynamic Elastic Net, Lasso, and ridge vector autoregressive models,"
International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 349-362.
- David Gabauer & Rangan Gupta & Hardik A. Marfatia & Stephen M. Miller, 2020. "Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models," Working Papers 202065, University of Pretoria, Department of Economics.
- David Gabauer & Rangan Gupta & Hardik A. Marfatia & Stephen M. Miller, 2020. "Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models," Working papers 2020-08, University of Connecticut, Department of Economics.
- Hardik A. Marfatia & Rangan Gupta & Stephen M. Miller, 2019.
"125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets,"
Working Papers
201956, University of Pretoria, Department of Economics.
- Hardik A. Marfatia & Rangan Gupta & Stephen M. Miller, 2020. "125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets," Working papers 2020-12, University of Connecticut, Department of Economics.
- Luciano Campos, 2020. "Potential output, output gap and high inflation in Argentina (2007-2015)," Estudios de Economia, University of Chile, Department of Economics, vol. 47(1 Year 20), pages 5-29, June.
- Martin Bruns & Helmut Lütkepohl, 2023.
"An Alternative Bootstrap for Proxy Vector Autoregressions,"
Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1857-1882, December.
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- Martin Bruns & Helmut Luetkepohl, 2020. "An Alternative Bootstrap for Proxy Vector Autoregressions," University of East Anglia School of Economics Working Paper Series 2020-06, School of Economics, University of East Anglia, Norwich, UK..
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"Technological novelty and productivity growth: a cliometric approach,"
Working Papers
04-20, Association Française de Cliométrie (AFC).
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- Marcelo Dianessi & Bibiana Lanzilotta & Gabriela Mordecki & Maximiliano Presa & Silvia Rodríguez-Collazo, 2020. "El crecimiento reciente de Uruguay y desacople de la región: ¿adiós a la semisuma?," Documentos de Trabajo (working papers) 20-01, Instituto de EconomÃa - IECON.
- Régis Barnichon & Geert Mesters, 2020. "Optimal policy perturbations," Economics Working Papers 1716, Department of Economics and Business, Universitat Pompeu Fabra.
- Mohammad Ghaderi, 2020. "Public health interventions in the face of pandemics: network structure, social distancing, and heterogeneity," Economics Working Papers 1732, Department of Economics and Business, Universitat Pompeu Fabra.
- Davide Debortoli & Mario Forni & Luca Gambetti & Luca Sala, 2020.
"Asymmetric monetary policy tradeoffs,"
Economics Working Papers
1742, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2023.
- Debortoli, Davide & Forni, Mario & Gambetti, Luca & Sala, Luca, 2023. "Asymmetric Monetary Policy Tradeoffs," CEPR Discussion Papers 18438, C.E.P.R. Discussion Papers.
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"Growth without Full Capacity Utilization And Full Capacity Utilization Without Growth,"
Working Papers
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- Federico Bassi, 2020. "Growth without Full Capacity Utilization And Full Capacity Utilization Without Growth," CEPN Working Papers 2020-02, Centre d'Economie de l'Université de Paris Nord.
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"On bootstrapping tests of equal forecast accuracy for nested models,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1844-1864, November.
- Firmin Doko Tchatoka & Qazi Haque, 2020. "On bootstrapping tests of equal forecast accuracy for nested models," School of Economics and Public Policy Working Papers 2020-03, University of Adelaide, School of Economics and Public Policy.
- Firmin Doko Tchatoka & Qazi Haque, 2020. "On bootstrapping tests of equal forecast accuracy for nested models," Economics Discussion / Working Papers 20-06, The University of Western Australia, Department of Economics.
- Firmin Doko Tchatoka & Qazi Haque, 2020. "On bootstrapping tests of equal forecast accuracy for nested models," CAMA Working Papers 2020-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Haque, Qazi & Magnusson, Leandro M., 2021.
"Uncertainty shocks and inflation dynamics in the U.S,"
Economics Letters, Elsevier, vol. 202(C).
- Qazi Haque & Leandro M. Magnusson, 2020. "Uncertainty Shocks and Inflation Dynamics in the US," CAMA Working Papers 2020-100, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Qazi Haque & Leandro M. Magnusson, 2020. "Uncertainty shocks and inflation dynamics in the U.S," Economics Discussion / Working Papers 20-25, The University of Western Australia, Department of Economics.
- Dave, Chetan & Dressler, Scott J. & Zhang, Lei, 2020.
"Bank Lending, Monetary Policy Transmission, and Interest on Excess Reserves: A FAVAR Analysis,"
Working Papers
2020-6, University of Alberta, Department of Economics.
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- Arnerić Josip, 2020. "Realized density estimation using intraday prices," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 6(1), pages 1-9, May.
- Oesterreich Maciej, 2020. "On the Method of Identification of Atypical Observations in Time Series," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(2), pages 1-16, June.
- Jaworski Stanisław, 2020. "A Few Remarks on the Stochastic Structure of the Unemployment Rate in Poland by Gender," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 24(2), pages 41-52, June.
- Oumarou Issoufou, 2020. "External Debt and Economic Growth in Niger: a Vector Autoregression and Variance Decomposition Analysis," Economics and Business, Sciendo, vol. 35(1), pages 1-13, February.
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"South African Unemployment in the Post-Financial Crisis Era: What are the Determinants?,"
Folia Oeconomica Stetinensia, Sciendo, vol. 20(2), pages 230-248, December.
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- Mbekeni, Lutho & Phiri, Andrew, 2019. "South African unemployment in the post-financial crisis era: What are the determinants?," MPRA Paper 94159, University Library of Munich, Germany.
- Akçay Selçuk & Karasoy Alper, 2020. "Determinants of private investments in Turkey: Examining the role of democracy," Review of Economic Perspectives, Sciendo, vol. 20(1), pages 23-49, March.
- Tesařová Žaneta, 2020. "The Wagner’s law testing in the Visegrád Four countries," Review of Economic Perspectives, Sciendo, vol. 20(4), pages 409-430, December.
- İskenderoglu Ömer & Akdag Saffet, 2020. "Comparison of the Effect of Vix Fear Index on Stock Exchange Indices of Developed and Developing Countries: the G20 Case," South East European Journal of Economics and Business, Sciendo, vol. 15(1), pages 105-121, June.
- Kavese Kambale & Phiri Andrew, 2020.
"A Provincial Perspective of Nonlinear Okun’s Law for Emerging Markets: The Case of South Africa,"
Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 30(3), pages 59-76, September.
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- Kambale Kavese & Andrew Phiri, 2018. "A provincial perspective of nonlinear Okun's law for emerging markets: The case of South Africa," Working Papers 1819, Department of Economics, Nelson Mandela University.
- Cosma Ioana Gabriela & David Katalin Gabriela & Antonescu Daniela & Dumiter Florin Cornel & Jimon Ștefania Amalia, 2020. "The Correlation Between CO2 Emissions and GDP in a Sustainable Development Framework Using Kuznets Environment Curve," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 30(4), pages 1-23, December.
- Michael Ryan, 2020. "A Narrative Approach to Creating Instruments with Unstructured and Voluminous Text: An Application to Policy Uncertainty," Working Papers in Economics 20/10, University of Waikato.
- Gilbert Mbara, 2020. "Price Transmission across Commodity Markets: Physical to Futures," Working Papers 2020-07, Faculty of Economic Sciences, University of Warsaw.
- Illya Barziy & Marcin Chlebus, 2020. "HRP performance comparison in portfolio optimization under various codependence and distance metrics," Working Papers 2020-21, Faculty of Economic Sciences, University of Warsaw.
- Chlebus Marcin & Dyczko Michał & Woźniak Michał, 2021.
"Nvidia's Stock Returns Prediction Using Machine Learning Techniques for Time Series Forecasting Problem,"
Central European Economic Journal, Sciendo, vol. 8(55), pages 44-62, January.
- Marcin Chlebus & Michał Dyczko & Michał Woźniak, 2020. "Nvidia’s stock returns prediction using machine learning techniques for time series forecasting problem," Working Papers 2020-22, Faculty of Economic Sciences, University of Warsaw.
- Janusz Gajda & Rafał Walasek, 2020. "Fractional differentiation and its use in machine learning," Working Papers 2020-32, Faculty of Economic Sciences, University of Warsaw.
- Robert C. M. Beyer & Lazar Milivojevic, 2023.
"Dynamics and synchronization of global equilibrium interest rates,"
Applied Economics, Taylor & Francis Journals, vol. 55(28), pages 3195-3214, June.
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- Beyer, Robert & Milivojevic, Lazar, 2021. "Dynamics and synchronization of global equilibrium interest rates," IMFS Working Paper Series 146, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Khalifa Amene, 2020. "The Learning by Doing Dimension of Extensive and Intensive Margins of Exports: the Case of Tunisia," Economic Research Guardian, Mutascu Publishing, vol. 10(1), pages 12-32, June.
- Stefan Schiman, 2021.
"Labor Supply Shocks and the Beveridge Curve: Empirical Evidence from EU Enlargement,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 108-127, April.
- Stefan Schiman-Vukan, 2020. "Labor Supply Shocks and the Beveridge Curve. Empirical Evidence from EU Enlargement," WIFO Working Papers 606, WIFO.
- Harald Badinger & Stefan Schiman, 2020.
"Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates,"
Department of Economics Working Papers
wuwp300, Vienna University of Economics and Business, Department of Economics.
- Stefan Schiman-Vukan & Harald Badinger, 2020. "Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates," WIFO Working Papers 608, WIFO.
- Badinger, Harald & Schiman, Stefan, 2020. "Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates," Department of Economics Working Paper Series 300, WU Vienna University of Economics and Business.
- Harald Badinger & Stefan Schiman, 2020. "Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates," CESifo Working Paper Series 8558, CESifo.
- Harald Badinger & Stefan Schiman, 2020.
"Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates,"
CESifo Working Paper Series
8558, CESifo.
- Harald Badinger & Stefan Schiman, 2020. "Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates," Department of Economics Working Papers wuwp300, Vienna University of Economics and Business, Department of Economics.
- Badinger, Harald & Schiman, Stefan, 2020. "Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates," Department of Economics Working Paper Series 300, WU Vienna University of Economics and Business.
- Stefan Schiman-Vukan & Harald Badinger, 2020. "Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates," WIFO Working Papers 608, WIFO.
- Böck, Maximilian & Feldkircher, Martin, 2020.
"The impact of monetary policy on expectations along the yield curve,"
Department of Economics Working Paper Series
306, WU Vienna University of Economics and Business.
- Maximilian Böck & Martin Feldkircher, 2020. "The impact of monetary policy on expectations along the yield curve," Department of Economics Working Papers wuwp306, Vienna University of Economics and Business, Department of Economics.
- Harald Badinger & Stefan Schiman, 2020.
"Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates,"
Department of Economics Working Papers
wuwp300, Vienna University of Economics and Business, Department of Economics.
- Badinger, Harald & Schiman, Stefan, 2020. "Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates," Department of Economics Working Paper Series 300, WU Vienna University of Economics and Business.
- Stefan Schiman-Vukan & Harald Badinger, 2020. "Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates," WIFO Working Papers 608, WIFO.
- Harald Badinger & Stefan Schiman, 2020. "Measuring Monetary Policy with Residual Sign Restrictions at Known Shock Dates," CESifo Working Paper Series 8558, CESifo.
- Maximilian Böck & Martin Feldkircher, 2020.
"The impact of monetary policy on expectations along the yield curve,"
Department of Economics Working Papers
wuwp306, Vienna University of Economics and Business, Department of Economics.
- Böck, Maximilian & Feldkircher, Martin, 2020. "The impact of monetary policy on expectations along the yield curve," Department of Economics Working Paper Series 306, WU Vienna University of Economics and Business.
- M. Hakan Eratalay & Evgenii V. Vladimirov, 2020.
"Mapping the stocks in MICEX: Who is central in the Moscow Stock Exchange?,"
Economics of Transition and Institutional Change, John Wiley & Sons, vol. 28(4), pages 581-620, October.
- M. Hakan Eratalay & Evgenii Vladimirov, 2017. "Mapping the Stocks in MICEX: Who Is Central in Moscow Stock Exchange?," EUSP Department of Economics Working Paper Series 2017/01, European University at St. Petersburg, Department of Economics.
- M. Hakan Eratalay; Evgenii V. Vladimirov, 2018. "Mapping The Stocks In Micex: Who Is Central To The Moscow Stock Exchange?," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 111, Faculty of Economics and Business Administration, University of Tartu (Estonia).
- Xiaoqing Zhou, 2020.
"Refining the workhorse oil market model,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 130-140, January.
- Xiaoqing Zhou, 2019. "Refining the Workhorse Oil Market Model," Working Papers 1910, Federal Reserve Bank of Dallas.
- Christian Gross & Pierre L. Siklos, 2020.
"Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 61-81, January.
- Christian Gross & Pierre L. Siklos, 2018. "Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach," CQE Working Papers 7218, Center for Quantitative Economics (CQE), University of Muenster.
- Christian Gross & Pierre L. Siklos, 2019. "Analyzing credit risk transmission to the non-financial sector in Europe: A network approach," CAMA Working Papers 2019-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Gross, Christian & Siklos, Pierre, 2018. "Analyzing credit risk transmission to the non-financial sector in Europe: a network approach," ESRB Working Paper Series 78, European Systemic Risk Board.
- Groß, Christian, 2019. "Analyzing credit risk transmission to the non-financial sector in Europe: a network approach," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203645, Verein für Socialpolitik / German Economic Association.
- Jonas Dovern & Hans Manner, 2020.
"Order‐invariant tests for proper calibration of multivariate density forecasts,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 440-456, June.
- Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," CESifo Working Paper Series 7023, CESifo.
- Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," Graz Economics Papers 2018-09, University of Graz, Department of Economics.
- Joshua C. C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2020.
"Composite likelihood methods for large Bayesian VARs with stochastic volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 692-711, September.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility," Working Paper Series 44, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite likelihood methods for large Bayesian VARs with stochastic volatility," CAMA Working Papers 2018-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Benedikt Maas, 2020.
"Short‐term forecasting of the US unemployment rate,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 394-411, April.
- Maas, Benedikt, 2019. "Short-term forecasting of the US unemployment rate," MPRA Paper 94066, University Library of Munich, Germany.
- Julieta Caunedo & Riccardo Dicecio & Ivana Komunjer & Michael T. Owyang, 2020.
"Asymmetry, Complementarities, and State Dependence in Federal Reserve Forecasts,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(1), pages 205-228, February.
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- Francesco Corsello & Valerio Nispi Landi, 2020.
"Labor Market and Financial Shocks: A Time‐Varying Analysis,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 777-801, June.
- Francesco Corsello & Valerio Nispi Landi, 2018. "Labor market and financial shocks: a time varying analysis," Temi di discussione (Economic working papers) 1179, Bank of Italy, Economic Research and International Relations Area.
- Thorsten Drautzburg, 2020.
"A narrative approach to a fiscal DSGE model,"
Quantitative Economics, Econometric Society, vol. 11(2), pages 801-837, May.
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- Thorsten Drautzburg, 2016. "A narrative approach to a fiscal DSGE model," Working Papers 16-11, Federal Reserve Bank of Philadelphia.
- Elmar Mertens & James M. Nason, 2020.
"Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility,"
Quantitative Economics, Econometric Society, vol. 11(4), pages 1485-1520, November.
- Elmar Mertens & James M Nason, 2015. "Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility," CAMA Working Papers 2015-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Elmar Mertens & James M. Nason, 2018. "Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility," BIS Working Papers 713, Bank for International Settlements.
- Elmar Mertens & James M. Nason, 2017. "Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility," CAMA Working Papers 2017-60, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Galvão, Ana Beatriz & Garratt, Anthony & Mitchell, James, 2021.
"Does judgment improve macroeconomic density forecasts?,"
International Journal of Forecasting, Elsevier, vol. 37(3), pages 1247-1260.
- Galvao, Ana Beatriz & Garratt, Anthony & Mitchell, James, 2020. "Does Judgment Improve Macroeconomic Density Forecasts?," EMF Research Papers 33, Economic Modelling and Forecasting Group.
- Berta, Paolo & Lovaglio, Pietro Giorgio & Paruolo, Paolo & Verzillo, Stefano, 2020.
"Real Time Forecasting of Covid-19 Intensive Care Units demand,"
JRC Working Papers in Economics and Finance
2020-08, Joint Research Centre, European Commission.
- Berta, P. & Lovaglio, P.G. & Paruolo, P. & Verzillo, S., 2020. "Real Time Forecasting of Covid-19 Intensive Care Units demand," Health, Econometrics and Data Group (HEDG) Working Papers 20/16, HEDG, c/o Department of Economics, University of York.
- Milan Deskar-Škrbić & Ana Grdović Gnip & Hrvoje Šimović, 2022.
"Makroekonomski Učinci Diskrecijskih Izmjena U Sustavu Poreza Na Dodanu Vrijednost (Pdv) U Hrvatskoj: Narativni Pristup,"
Ekonomski pregled, Hrvatsko društvo ekonomista (Croatian Society of Economists), vol. 73(6), pages 881-904.
- Milan Deskar-Škrbić & Ana Grdović Gnip & Hrvoje Šimović, 2020. "Makroekonomski učinci diskrecijskih izmjena u sustavu poreza na dodanu vrijednost (PDV) u Hrvatskoj: narativni pristup," EFZG Working Papers Series 2002, Faculty of Economics and Business, University of Zagreb.
- Andrea Lučić, 2020. "Utjecaj perciprianog pritiska interesno-utjecajnih skupina na elemente održive marketinške orijentacije hrvatskih poduzeća," EFZG Working Papers Series 2004, Faculty of Economics and Business, University of Zagreb.
- Michael Funke & Julius Loermann & Andrew Tsang, 2022.
"Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets,"
Review of International Economics, Wiley Blackwell, vol. 30(2), pages 606-628, May.
- Funke, Michael & Loermann, Julius & Tsang, Andrew, 2020. "Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets," BOFIT Discussion Papers 22/2020, Bank of Finland Institute for Emerging Economies (BOFIT).
- Kortela, Tomi & Nelimarkka, Jaakko, 2020. "The effects of conventional and unconventional monetary policy: Identification through the yield curve," Bank of Finland Research Discussion Papers 3/2020, Bank of Finland.
- Caggiano, Giovanni & Castelnuovo, Efrem & Kima, Richard, 2020.
"The global effects of Covid-19-induced uncertainty,"
Economics Letters, Elsevier, vol. 194(C).
- Giovanni Caggiano & Efrem Castelnuovo & Richard Kima, 2020. "The global effects of Covid-19-induced uncertainty," "Marco Fanno" Working Papers 0256, Dipartimento di Scienze Economiche "Marco Fanno".
- Caggiano, Giovanni & Castelnuovo, Efrem & Kima, Richard, 2020. "The global effects of Covid-19-induced uncertainty," Bank of Finland Research Discussion Papers 11/2020, Bank of Finland.
- Giovanni Caggiano & Efrem Castelnuovo & Richard Kima, 2020. "The Global Effects of Covid-19-Induced Uncertainty," CESifo Working Paper Series 8280, CESifo.
- Giovanni Caggiano & Efrem Castelnuovo & Richard Kima, 2020. "The Global Effects of Covid-19-Induced Uncertainty," CAMA Working Papers 2020-50, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Thomas Lubik & Christian Matthes & Elmar Mertens, 2023.
"Indeterminacy and Imperfect Information,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 49, pages 37-57, July.
- Elmar Mertens & Christian Matthes & Thomas Lubik, 2017. "Indeterminacy and Imperfect Information," 2017 Meeting Papers 337, Society for Economic Dynamics.
- Lubik, Thomas A. & Matthes, Christian & Mertens, Elmar, 2020. "Indeterminacy and imperfect information," Discussion Papers 01/2020, Deutsche Bundesbank.
- Thomas A. Lubik & Christian Matthes & Elmar Mertens, 2019. "Indeterminacy and Imperfect Information," Working Paper 19-17, Federal Reserve Bank of Richmond.
- Lucrezia Reichlin & Giovanni Ricco & Thomas Hasenzagl, 2020.
"Financial Variables as Predictors of Real Growth Vulnerability,"
Documents de Travail de l'OFCE
2020-06, Observatoire Francais des Conjonctures Economiques (OFCE).
- Reichlin, Lucrezia & Ricco, Giovanni & Hasenzagl, Thomas, 2020. "Financial variables as predictors of real growth vulnerability," Discussion Papers 05/2020, Deutsche Bundesbank.
- Lucrezia Reichlin & Giovanni Ricco & Thomas Hasenzagl, 2020. "Financial Variables as Predictors of Real Growth Vulnerability," SciencePo Working papers Main hal-03403077, HAL.
- Reichlin, Lucrezia & Ricco, Giovanni & Hasenzagl, Thomas, 2020. "Financial Variables as Predictors of Real Growth Vulnerability," CEPR Discussion Papers 14322, C.E.P.R. Discussion Papers.
- Lucrezia Reichlin & Giovanni Ricco & Thomas Hasenzagl, 2020. "Financial Variables as Predictors of Real Growth Vulnerability," Working Papers hal-03403077, HAL.
- Schüler, Yves S., 2020. "The impact of uncertainty and certainty shocks," Discussion Papers 14/2020, Deutsche Bundesbank.
- Nikolay Hristov & Oliver Hülsewig & Johann Scharler, 2021.
"Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus,"
International Journal of Central Banking, International Journal of Central Banking, vol. 17(3), pages 337-383, September.
- Nikolay Hristov & Oliver Hülsewig & Johann Scharler, 2020. "Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus," CESifo Working Paper Series 8178, CESifo.
- Hristov, Nikolay & Hülsewig, Oliver & Scharler, Johann, 2020. "Unconventional monetary policy shocks in the euro area and the sovereign-bank nexus," Discussion Papers 19/2020, Deutsche Bundesbank.
- Mandler, Martin & Scharnagl, Michael, 2020. "Estimating the effects of the Eurosystem's asset purchase programme at the country level," Discussion Papers 29/2020, Deutsche Bundesbank.
- Hartwig, Benny, 2020.
"Robust Inference in Time-Varying Structural VAR Models: The DC-Cholesky Multivariate Stochastic Volatility Model,"
VfS Annual Conference 2020 (Virtual Conference): Gender Economics
224528, Verein für Socialpolitik / German Economic Association.
- Hartwig, Benny, 2020. "Robust inference intime-varying structural VAR models: The DC-Cholesky multivariate stochasticvolatility model," Discussion Papers 34/2020, Deutsche Bundesbank.
- Gareis, Johannes & Mayer, Eric, 2020. "Financial shocks and the relative dynamics of tangible and intangible investment: Evidence from the euro area," Discussion Papers 39/2020, Deutsche Bundesbank.
- Herwartz, Helmut & Rohloff, Hannes & Wang, Shu, 2020. "Proxy SVAR identification of monetary policy shocks: MonteCarlo evidence and insights for the US," University of Göttingen Working Papers in Economics 404, University of Goettingen, Department of Economics.
- Herwartz, Helmut & Ochsner, Christian & Rohloff, Hannes, 2020.
"The credit composition of global liquidity,"
University of Göttingen Working Papers in Economics
409, University of Goettingen, Department of Economics.
- Helmut Herwartz & Christian Ochsner & Hannes Rohloff, 2021. "The Credit Composition of Global Liquidity," MAGKS Papers on Economics 202115, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Inoue, Atsushi & Kilian, Lutz, 2022.
"Joint Bayesian inference about impulse responses in VAR models,"
Journal of Econometrics, Elsevier, vol. 231(2), pages 457-476.
- Atsushi Inoue & Lutz Kilian, 2020. "Joint Bayesian Inference about Impulse Responses in VAR Models," Working Papers 2022, Federal Reserve Bank of Dallas.
- Inoue, Atsushi & Kilian, Lutz, 2020. "Joint Bayesian inference about impulse responses in VAR models," CFS Working Paper Series 650, Center for Financial Studies (CFS).
- Jianu, Ionut, 2020. "Examining the drivers of business cycle divergence between Euro Area and Romania," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 27(2), pages 19-32.
- Gießler Stefan & Heinisch Katja & Holtemöller Oliver, 2021.
"(Since When) Are East and West German Business Cycles Synchronised?,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 241(1), pages 1-28, February.
- Gießler, Stefan & Heinisch, Katja & Holtemöller, Oliver, 2020. "(Since When) Are East and West German Business Cycles Synchronised?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue Ahead of , pages 1-28.
- Gießler, Stefan & Heinisch, Katja & Holtemöller, Oliver, 2019. "(Since when) Are East and West German business cycles synchronised?," IWH Discussion Papers 7/2019, Halle Institute for Economic Research (IWH).
- Heinrich, Markus, 2020. "Does the Current State of the Business Cycle matter for Real-Time Forecasting? A Mixed-Frequency Threshold VAR approach," EconStor Preprints 219312, ZBW - Leibniz Information Centre for Economics.
- Marlene Kionka & Martin Odening & Jana Plogmann & Matthias Ritter, 2021.
"Measuring liquidity in agricultural land markets,"
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"The effects of fiscal policy shocks in Bangladesh: An agnostic identification procedure,"
Economic Analysis and Policy, Elsevier, vol. 71(C), pages 626-644.
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"Impulse response analysis in conditional quantile models with an application to monetary policy,"
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"Revisiting the role of fiscal policy in determining interest rate in India,"
Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 26(2), pages 293-318, April.
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"Computationally efficient inference in large Bayesian mixed frequency VARs,"
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"Pricing Cryptocurrency Options,"
Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 250-279.
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- Richard Ashley & Kwok Ping Tsang & Randal Verbrugge, 2020.
"A new look at historical monetary policy (and the great inflation) through the lens of a persistence-dependent policy rule,"
Oxford Economic Papers, Oxford University Press, vol. 72(3), pages 672-691.
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"Identifying Modern Macro Equations with Old Shocks,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 135(4), pages 2255-2298.
- Régis Barnichon & Geert Mesters, 2019. "Identifying modern macro equations with old shocks," Economics Working Papers 1659, Department of Economics and Business, Universitat Pompeu Fabra.
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- Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2020.
"Identification and Estimation in Non-Fundamental Structural VARMA Models,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(4), pages 1915-1953.
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- Massimiliano Caporin & Zahra Mohammadi Nikpour & Paola Valbonesi, 2020. "Oil Price Uncertainty and Conflicts: Evidence from the Middle East and North Africa," "Marco Fanno" Working Papers 0250, Dipartimento di Scienze Economiche "Marco Fanno".
- Caggiano, Giovanni & Castelnuovo, Efrem & Delrio, Silvia & Kima, Richard, 2021.
"Financial uncertainty and real activity: The good, the bad, and the ugly,"
European Economic Review, Elsevier, vol. 136(C).
- Giovanni Caggiano & Efrem Castelnuovo & Richard Kima & Silvia Delrio, 2020. "Financial Uncertainty and Real Activity: The Good, the Bad, and the Ugly," CAMA Working Papers 2020-67, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Giovanni Caggiano & Efrem Castelnuovo & Silvia Delrio & Richard Kima, 2020. "Financial Uncertainty and Real Activity: The Good, the Bad, and the Ugly," "Marco Fanno" Working Papers 0255, Dipartimento di Scienze Economiche "Marco Fanno".
- Giovanni Caggiano & Efrem Castelnuovo & Silvia Delrio & Richard Kima, 2020. "Financial Uncertainty and Real Activity: The Good, the Bad, and the Ugly," CESifo Working Paper Series 8426, CESifo.
- Caggiano, Giovanni & Castelnuovo, Efrem & Kima, Richard, 2020.
"The global effects of Covid-19-induced uncertainty,"
Economics Letters, Elsevier, vol. 194(C).
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- Giovanni Caggiano & Efrem Castelnuovo & Richard Kima, 2020. "The global effects of Covid-19-induced uncertainty," "Marco Fanno" Working Papers 0256, Dipartimento di Scienze Economiche "Marco Fanno".
- Giovanni Caggiano & Efrem Castelnuovo & Richard Kima, 2020. "The Global Effects of Covid-19-Induced Uncertainty," CESifo Working Paper Series 8280, CESifo.
- Giovanni Caggiano & Efrem Castelnuovo & Richard Kima, 2020. "The Global Effects of Covid-19-Induced Uncertainty," CAMA Working Papers 2020-50, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2020.
"Uncertainty and Monetary Policy in Good and Bad Times: A Replication of the VAR Investigation by Bloom (2009),"
CAMA Working Papers
2020-74, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2020. "Uncertainty and monetary policy in good and bad times: A replication of the VAR investigation by Bloom (2009)," "Marco Fanno" Working Papers 0261, Dipartimento di Scienze Economiche "Marco Fanno".
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2020. "Uncertainty and Monetary Policy in Good and Bad Times: A Replication of the VAR Investigation by Bloom (2009)," CESifo Working Paper Series 8497, CESifo.
- Harris Ntantanis & Lawrence Pohlman, 2020. "Market implied GDP," Journal of Asset Management, Palgrave Macmillan, vol. 21(7), pages 636-646, December.
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- Ahelegbey, Daniel Felix & Giudici, Paolo & Hashem, Shatha Qamhieh, 2021.
"Network VAR models to measure financial contagion,"
The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
- Daniel Felix Ahelegbey & Paolo Giudici & Shatha Qamhieh Hashem, 2020. "Network VAR models to Measure Financial Contagion," DEM Working Papers Series 178, University of Pavia, Department of Economics and Management.
- Arianna Agosto & Daniel Felix Ahelegbey, 2022.
"Default count-based network models for credit contagion,"
Journal of the Operational Research Society, Taylor & Francis Journals, vol. 73(1), pages 139-152, January.
- Arianna Agosto & Daniel Felix Ahelegbey, 2020. "Default count-based network models for credit contagion," DEM Working Papers Series 180, University of Pavia, Department of Economics and Management.
- Fianu, Emmanuel Senyo & Ahelegbey, Daniel Felix & Grossi, Luigi, 2022.
"Modeling risk contagion in the Italian zonal electricity market,"
European Journal of Operational Research, Elsevier, vol. 298(2), pages 656-679.
- Daniel Felix Ahelegbey & Emmanuel Senyo Fianu & Luigi Grossi, 2020. "Modeling Risk Contagion in the Italian Zonal Electricity Market," DEM Working Papers Series 182, University of Pavia, Department of Economics and Management.
- Giudici, Paolo & Leach, Thomas & Pagnottoni, Paolo, 2022.
"Libra or Librae? Basket based stablecoins to mitigate foreign exchange volatility spillovers,"
Finance Research Letters, Elsevier, vol. 44(C).
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- Daniel Felix Ahelegbey & Oyakhilome Wallace Ibhagui, 2020. "Interconnected Deviations from Covered Interest Parity," DEM Working Papers Series 191, University of Pavia, Department of Economics and Management.
- Shuonan Zhang, 2020. "State-owned enterprises and entrusted lending: A DSGE analysis for growth and business cycles in China," Working Papers in Economics & Finance 2020-01, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Ioannis Chatziantoniou & David Gabauer & Hardik A. Marfatia, 2022.
"Dynamic connectedness and spillovers across sectors: Evidence from the Indian stock market,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 69(3), pages 283-300, July.
- Ioannis Chatziantoniou & David Gabauer & Hardik A. Marfatia, 2020. "Dynamic Connectedness And Spillovers Across Sectors: Evidence From The Indian Stock Market," Working Papers in Economics & Finance 2020-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Jhonatan Portilla & Gabriel Rodríguez & Paul Castillo B., 2022.
"Evolution of Monetary Policy in Peru: An Empirical Application Using a Mixture Innovation TVP-VAR-SV Model [Metas de Inflación en Una Economía Dolarizada: La Experencia Del Perú],"
CESifo Economic Studies, CESifo Group, vol. 68(1), pages 98-126.
- Jhonatan Portilla Goicochea & Gabriel Rodríguez, 2020. "Evolution of Monetary Policy in Peru: An Empirical Application using a Mixture Innovation TVP-VAR-SV Model," Documentos de Trabajo / Working Papers 2020-485, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Jiménez, Alvaro & Rodríguez, Gabriel & Ataurima Arellano, Miguel, 2023.
"Time-varying impact of fiscal shocks over GDP growth in Peru: An empirical application using hybrid TVP-VAR-SV models,"
Structural Change and Economic Dynamics, Elsevier, vol. 64(C), pages 314-332.
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- Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore, 2020.
"A Scoring Rule for Factor and Autoregressive Models Under Misspecification,"
Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
- Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Domenico Sartore, 2018. "A scoring rule for factor and autoregressive models under misspecification," Working Papers 2018:18, Department of Economics, University of Venice "Ca' Foscari".
- Semei Coronado & Rangan Gupta & Besma Hkiri & Omar Rojas, 2020. "Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(4), pages 44-76, December.
- Giovanni Pellegrino, 2021.
"Uncertainty and monetary policy in the US: A journey into nonlinear territory,"
Economic Inquiry, Western Economic Association International, vol. 59(3), pages 1106-1128, July.
- Giovanni Pellegrino, 2015. "Uncertainty And Monetary Policy In The US: A Journey Into Non-Linear Territory," "Marco Fanno" Working Papers 0184, Dipartimento di Scienze Economiche "Marco Fanno".
- Giovanni Pellegrino, 2020. "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Economics Working Papers 2020-05, Department of Economics and Business Economics, Aarhus University.
- Giovanni Pellegrino, 2017. "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Melbourne Institute Working Paper Series wp2017n06, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Giovanni Pellegrino & Federico Ravenna & Gabriel Züllig, 2021.
"The Impact of Pessimistic Expectations on the Effects of COVID‐19‐Induced Uncertainty in the Euro Area,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 841-869, August.
- Ravenna, Federico & Pellegrino, Giovanni & Züllig, Gabriel, 2020. "The Impact of Pessimistic Expectations on the Effects of COVID-19-Induced Uncertainty in the Euro Area," CEPR Discussion Papers 15321, C.E.P.R. Discussion Papers.
- Giovanni Pellegrino & Federico Ravenna & Gabriel Züllig, 2020. "The Impact of Pessimistic Expectations on the Effects of COVID-19-Induced Uncertainty in the Euro Area," Economics Working Papers 2020-12, Department of Economics and Business Economics, Aarhus University.
- Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman, 2020. "A statistical model of the global carbon budget," CREATES Research Papers 2020-18, Department of Economics and Business Economics, Aarhus University.
- Eric Hillebrand & Jakob Mikkelsen & Lars Spreng & Giovanni Urga, 2020. "Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings," CREATES Research Papers 2020-19, Department of Economics and Business Economics, Aarhus University.
- Hamisu S. Ali & Solomon P. Nathaniel & Gizem Uzuner & Festus V. Bekun & Samuel A. Sarkodie, 2020.
"Trivariate Modelling of the Nexus between Electricity Consumption, Urbanization and Economic Growth in Nigeria: Fresh Insights from Maki Cointegration and Causality Tests,"
Working Papers of the African Governance and Development Institute.
20/010, African Governance and Development Institute..
- Hamisu S. Ali & Solomon P. Nathaniel & Gizem Uzuner & Festus V. Bekun & Samuel A. Sarkodie, 2020. "Trivariate Modelling of the Nexus between Electricity Consumption, Urbanization and Economic Growth in Nigeria: Fresh Insights from Maki Cointegration and Causality Tests," Research Africa Network Working Papers 20/010, Research Africa Network (RAN).
- Hamisu S. Ali & Solomon P. Nathaniel & Gizem Uzuner & Festus V. Bekun & Samuel A. Sarkodie, 2020. "Trivariate Modelling of the Nexus between Electricity Consumption, Urbanization and Economic Growth in Nigeria: Fresh Insights from Maki Cointegration and Causality Tests," Working Papers 20/010, European Xtramile Centre of African Studies (EXCAS).
- Güven Sevil & Tutku Ünkaracalar, 2020. "An Assessment of The Relationship Between CDS Spreads And Portfolio Investments: Turkey Case," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 35(113), pages 285-300, April.
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"On bootstrapping tests of equal forecast accuracy for nested models,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1844-1864, November.
- Firmin Doko Tchatoka & Qazi Haque, 2020. "On bootstrapping tests of equal forecast accuracy for nested models," Economics Discussion / Working Papers 20-06, The University of Western Australia, Department of Economics.
- Firmin Doko Tchatoka & Qazi Haque, 2020. "On bootstrapping tests of equal forecast accuracy for nested models," School of Economics and Public Policy Working Papers 2020-03, University of Adelaide, School of Economics and Public Policy.
- Firmin Doko Tchatoka & Qazi Haque, 2020. "On bootstrapping tests of equal forecast accuracy for nested models," CAMA Working Papers 2020-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Christian K. Wolf, 2020. "SVAR (Mis)identification and the Real Effects of Monetary Policy Shocks," American Economic Journal: Macroeconomics, American Economic Association, vol. 12(4), pages 1-32, October.
- Campos, Luciano & Casas, Agustín, 2021.
"Rara Avis: Latin American populism in the 21st century,"
European Journal of Political Economy, Elsevier, vol. 70(C).
- Luciano Campos & Agustín Casas, 2020. "Rara Avis: Latin American populism in the 21st century," Working Papers 13, Red Nacional de Investigadores en Economía (RedNIE).
- Luciano Campos & Agustín Casas, 2020. "Rara Avis: Latin American populism in the 21st century," Asociación Argentina de Economía Política: Working Papers 4322, Asociación Argentina de Economía Política.
- Akaki Liqokeli, 2020. "Measuring Credit Gaps for Macroprudential Policy Guidance: An Application to Georgia," NBG Working Papers 05/2020, National Bank of Georgia.
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"Technological novelty and productivity growth: a cliometric approach,"
Working Papers of BETA
2020-37, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Marianna Epicoco & Magali Jaoul-Grammare & Anne Plunket, 2020. "Technological novelty and productivity growth: a cliometric approach," Working Papers 04-20, Association Française de Cliométrie (AFC).
- Ulisses Monteiro Ruiz de Gamboa & Vladimir Fernandes Maciel & Bruno Dale Vendruscolo & Haroldo Silva, 2020. "The Potential Effects Of The Competitive Tax Regime For Clothing And Apparel: An Application Of Vector Autoregression (Var)," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 17(1), pages 146-164, January-J.
- Hamisu S. Ali & Solomon P. Nathaniel & Gizem Uzuner & Festus V. Bekun & Samuel A. Sarkodie, 2020.
"Trivariate Modelling of the Nexus between Electricity Consumption, Urbanization and Economic Growth in Nigeria: Fresh Insights from Maki Cointegration and Causality Tests,"
Working Papers
20/010, European Xtramile Centre of African Studies (EXCAS).
- Hamisu S. Ali & Solomon P. Nathaniel & Gizem Uzuner & Festus V. Bekun & Samuel A. Sarkodie, 2020. "Trivariate Modelling of the Nexus between Electricity Consumption, Urbanization and Economic Growth in Nigeria: Fresh Insights from Maki Cointegration and Causality Tests," Working Papers of the African Governance and Development Institute. 20/010, African Governance and Development Institute..
- Hamisu S. Ali & Solomon P. Nathaniel & Gizem Uzuner & Festus V. Bekun & Samuel A. Sarkodie, 2020. "Trivariate Modelling of the Nexus between Electricity Consumption, Urbanization and Economic Growth in Nigeria: Fresh Insights from Maki Cointegration and Causality Tests," Research Africa Network Working Papers 20/010, Research Africa Network (RAN).
- Davinson Stev Abril‐Salcedo & Luis Fernando Melo‐Velandia & Daniel Parra‐Amado, 2020.
"Nonlinear relationship between the weather phenomenon El niño and Colombian food prices,"
Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 64(4), pages 1059-1086, October.
- Abril-Salcedo, Davinson Stev & Melo-Velandia, Luis Fernando & Parra-Amado, Daniel, 2020. "Nonlinear relationship between the weather phenomenon El ni~no and Colombian food prices," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 64(04), January.
- Davinson Stev Abril Salcedo & Luis Fernando Melo-Velandia & Daniel Parra-Amado, 2019. "Nonlinear relationship between the weather phenomenon El Niño and Colombian food prices," Borradores de Economia 1085, Banco de la Republica de Colombia.
- Melo-Velandia, Luis Fernando & Parra-Amado, Daniel & Abril-Salcedo, Davinson Stev, 2019. "Nonlinear relationship between the weather phenomenon El Niño and Colombian food prices," Working papers 23, Red Investigadores de Economía.
- Plogmann, Jana & Mußhoff, Oliver & Odening, Martin & Ritter, Matthias, 2020.
"What Moves the German Land Market? A Decomposition of the Land Rent-Price Ratio,"
German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 69(01).
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- Plogmann, Jana & Mußhoff, Oliver & Odening, Martin & Ritter, Matthias, 2019. "What Moves the German Land Market? A Decomposition of the Land Rent-Price Ratio," 165th Seminar, April 4-5, 2019, Berlin, Germany 288444, European Association of Agricultural Economists.
- Grzegorz Marcjasz & Bartosz Uniejewski & Rafał Weron, 2020.
"Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts,"
Energies, MDPI, vol. 13(7), pages 1-16, April.
- Grzegorz Marcjasz & Bartosz Uniejewski & Rafal Weron, 2020. "Beating the naive: Combining LASSO with naive intraday electricity price forecasts," WORking papers in Management Science (WORMS) WORMS/20/01, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
- Katarzyna Maciejowska & Bartosz Uniejewski & Tomasz Serafin, 2020.
"PCA Forecast Averaging—Predicting Day-Ahead and Intraday Electricity Prices,"
Energies, MDPI, vol. 13(14), pages 1-19, July.
- Katarzyna Maciejowska & Bartosz Uniejewski & Tomasz Serafin, 2020. "PCA forecast averaging - predicting day-ahead and intraday electricity prices," WORking papers in Management Science (WORMS) WORMS/20/02, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
- Serafin, Tomasz & Marcjasz, Grzegorz & Weron, Rafał, 2022.
"Trading on short-term path forecasts of intraday electricity prices,"
Energy Economics, Elsevier, vol. 112(C).
- Tomasz Serafin & Grzegorz Marcjasz & Rafal Weron, 2020. "Trading on short-term path forecasts of intraday electricity prices," WORking papers in Management Science (WORMS) WORMS/20/17, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
- Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore & Wing-Keung Wong, 2020.
"A Scoring Rule for Factor and Autoregressive Models Under Misspecification,"
Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
- Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore & Wing-Keung Wong, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," International Association of Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
- Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Domenico Sartore, 2018. "A scoring rule for factor and autoregressive models under misspecification," Working Papers 2018:18, Department of Economics, University of Venice "Ca' Foscari".
- Semei Coronado & Rangan Gupta & Besma Hkiri & Omar Rojas, 2020.
"Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries,"
Advances in Decision Sciences, Asia University, Taiwan, vol. 24(4), pages 44-76, December.
- Semei Coronado & Rangan Gupta & Besma Hkiri & Omar Rojas, 2020. "Time-Varying Spillovers between Currency and Stock Markets in the USA: Historical Evidence From More than Two Centuries," International Association of Decision Sciences, Asia University, Taiwan, vol. 24(4), pages 44-76, December.
- Nursena Küçüksoy & Uğur Akkoç, 2020. "Türkiye İle Çin İkili Ticaretinde J Eğrisi: NARDL Yaklaşımı," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 5(2), pages 190-209.
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"Polynomial Chaos Expansion: Efficient Evaluation and Estimation of Computational Models,"
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"Polynomial Chaos Expansion: Efficient Evaluation and Estimation of Computational Models,"
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"Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1054-1065, October.
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"Semi-Structural VAR and Unobserved Components Models to Estimate Finance-Neutral Output Gap,"
JRC Working Papers in Economics and Finance
2020-11, Joint Research Centre, European Commission.
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"From Fixed‐Event to Fixed‐Horizon Density Forecasts: Obtaining Measures of Multihorizon Uncertainty from Survey Density Forecasts,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(7), pages 1675-1704, October.
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"Understanding the Size of the Government Spending Multiplier: It’s in the Sign,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(1), pages 87-117.
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- Régis Barnichon & Davide Debortoli & Christian Matthes, 2020. "Understanding the Size of the Government Spending Multiplier: It's in the Sign," Working Paper Series 2021-01, Federal Reserve Bank of San Francisco.
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"A Sufficient Statistics Approach for Macro Policy Evaluation,"
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- Mohammad Ghaderi, 2020. "Public Health Interventions in the Face of Pandemics: Network Structure, Social Distancing, and Heterogeneity," Working Papers 1193, Barcelona School of Economics.
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"Asymmetric Effects of Monetary Policy Easing and Tightening,"
CEPR Discussion Papers
15005, C.E.P.R. Discussion Papers.
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- Davide Debortoli & Mario Forni & Luca Gambetti & Luca Sala, 2020. "Asymmetric Effects of Monetary Policy Easing and Tightening," Center for Economic Research (RECent) 146, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
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"Nonlinear relationship between the weather phenomenon El ni~no and Colombian food prices,"
Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 64(04), January.
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- Melo-Velandia, Luis Fernando & Parra-Amado, Daniel & Abril-Salcedo, Davinson Stev, 2019. "Nonlinear relationship between the weather phenomenon El Niño and Colombian food prices," Working papers 23, Red Investigadores de Economía.
- R. Andrew Butters & Daniel F. Spulber, 2020. "The Extent Of The Market And Integration Through Factor Markets: Evidence From Wholesale Electricity," Economic Inquiry, Western Economic Association International, vol. 58(3), pages 1076-1108, July.
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"The Effects Of Asset Purchases And Normalization Of U.S. Monetary Policy,"
Economic Inquiry, Western Economic Association International, vol. 58(3), pages 1279-1296, July.
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- Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2020.
"Desperate Times Call For Desperate Measures: Government Spending Multipliers In Hard Times,"
Economic Inquiry, Western Economic Association International, vol. 58(4), pages 1949-1957, October.
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- Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2019. "Desperate times call for desperate measures: government spending multipliers in hard times," Department of Economics Working Papers 2019-11, McMaster University.
- Sokbae (Simon) Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2020. "Desperate times call for desperate measures: government spending multipliers in hard times," CeMMAP working papers CWP29/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2019. "Desperate times call for desperate measures: government spending multipliers in hard times," Working Paper Series no129, Institute of Economic Research, Seoul National University.
- Alexander Ballantyne & Tom Cusbert & Richard Evans & Rochelle Guttmann & Jonathan Hambur & Adam Hamilton & Elizabeth Kendall & Rachael McCririck & Gabriela Nodari & Daniel M. Rees, 2020.
"MARTIN Has Its Place: A Macroeconometric Model of the Australian Economy,"
The Economic Record, The Economic Society of Australia, vol. 96(314), pages 225-251, September.
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"Interconnectedness in the Australian National Electricity Market: A Higher‐Moment Analysis,"
The Economic Record, The Economic Society of Australia, vol. 96(315), pages 450-469, December.
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"Electoral Externalities in Federations – Evidence from German Opinion Polls,"
Kyklos, Wiley Blackwell, vol. 73(2), pages 227-252, May.
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"Bank loan supply shocks and alternative financing of non‐financial corporations in the euro area,"
Manchester School, University of Manchester, vol. 88(S1), pages 126-150, September.
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"Economic Policy Uncertainty Spillovers in Booms and Busts,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(1), pages 125-155, February.
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- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," Working Paper series 18-28, Rimini Centre for Economic Analysis.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic policy uncertainty spillovers in booms and busts," CAMA Working Papers 2018-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," CESifo Working Paper Series 7086, CESifo.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," "Marco Fanno" Working Papers 0220, Dipartimento di Scienze Economiche "Marco Fanno".
- Jan Čapek & Jesús Crespo Cuaresma, 2020.
"We just estimated twenty million fiscal multipliers,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(3), pages 483-502, June.
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"The Government Spending Multiplier at the Zero Lower Bound: Evidence from the United States,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1262-1294, December.
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"Response Surface Regressions for Critical Value Bounds and Approximate p‐values in Equilibrium Correction Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1456-1481, December.
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"Non‐Linearity and Cross‐Country Dependence of Income Inequality,"
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"Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence,"
South African Journal of Economics, Economic Society of South Africa, vol. 88(2), pages 174-185, June.
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- Raphael Raduzzi & Antonio Ribba, 2020.
"The macroeconomics outcome of oil shocks in the small Eurozone economies,"
The World Economy, Wiley Blackwell, vol. 43(1), pages 191-211, January.
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- Antonio Ribba, 2020.
"Is the unemployment–inflation trade‐off still alive in the Euro Area and its member countries? It seems so,"
The World Economy, Wiley Blackwell, vol. 43(9), pages 2393-2410, September.
- Antonio Ribba, 2019. "Is the unemployment inflation trade-off still alive in the Euro Area and its member countries? It seems so," Center for Economic Research (RECent) 143, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
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- Mauricio Mora Barrenechea, 2020. "Cambios en el tiempo de los efectos de los precios de las materias primas en Bolivia," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 32(1), pages 123-168, January -.
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"Estimating Hysteresis Effects,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 17(1), pages 35-70, January.
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"Global financial cycles since 1880,"
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"Identification of Structural Vector Autoregressions by Stochastic Volatility,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 328-341, January.
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- Bertsche, Dominik & Braun, Robin, 2020. "Identification of structural vector autoregressions by stochastic volatility," Bank of England working papers 869, Bank of England.
- Dominik Bertsche & Robin Braun, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz 2018-03, Department of Economics, University of Konstanz.
- Bertsche, Dominik & Braun, Robin, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181631, Verein für Socialpolitik / German Economic Association.
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"Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets,"
Review of International Economics, Wiley Blackwell, vol. 30(2), pages 606-628, May.
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- Funke, Michael & Loermann, Julius & Tsang, Andrew, 2020. "Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets," BOFIT Discussion Papers 22/2020, Bank of Finland, Institute for Economies in Transition.
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"The global effects of Covid-19-induced uncertainty,"
Economics Letters, Elsevier, vol. 194(C).
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- Caggiano, Giovanni & Castelnuovo, Efrem & Kima, Richard, 2020. "The global effects of Covid-19-induced uncertainty," Research Discussion Papers 11/2020, Bank of Finland.
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"The great moderation: updated evidence with joint tests for multiple structural changes in variance and persistence,"
Empirical Economics, Springer, vol. 62(3), pages 1193-1218, March.
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"Cointegrated Dynamics for a Generalized Long Memory Process: Application to Interest Rates,"
Journal of Time Series Econometrics, De Gruyter, vol. 12(1), pages 1-18, January.
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"The role of uncertainty on agricultural futures markets momentum trading and volatility,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-39, June.
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"The role of uncertainty on agricultural futures markets momentum trading and volatility,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-39, June.
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"When is the fiscal multiplier high? A comparison of four business cycle phases,"
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"A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model,"
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"Precautionary liquidity shocks, excess reserves and business cycles,"
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"Is there a national housing market bubble brewing in the United States?,"
Macroeconomic Dynamics, Cambridge University Press, vol. 27(8), pages 2191-2228, December.
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"Economic policy uncertainty: Persistence and cross-country linkages,"
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"Financial uncertainty and real activity: The good, the bad, and the ugly,"
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"A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model,"
Journal of International Money and Finance, Elsevier, vol. 119(C).
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"The diffusion of technological progress in ICT,"
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"MULTIPRIL, a New Database on Multilateral Price Levels and Currency Misalignments,"
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"The role of carry trades on the effectiveness of Japan's quantitative easing,"
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International Journal of Central Banking, International Journal of Central Banking, vol. 20(4), pages 275-320, October.
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- Schorfheide, Frank & Song, Dongho, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," CEPR Discussion Papers 16760, C.E.P.R. Discussion Papers.
- Frank Schorfheide & Dongho Song, 2020. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," PIER Working Paper Archive 20-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Frank Schorfheide & Dongho Song, 2021. "Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic," NBER Working Papers 29535, National Bureau of Economic Research, Inc.
- Muhammad Mohsin & Li Naiwen & Muhammad Zia-UR-Rehman & Sobia Naseem & Sajjad Ahmad Baig, 2020. "The volatility of bank stock prices and macroeconomic fundamentals in the Pakistani context: an application of GARCH and EGARCH models," Oeconomia Copernicana, Institute of Economic Research, vol. 11(4), pages 609-636, December.
- Margarita Debuque-Gonzales, 2020. "Policy responses to shocks and monetary effectiveness under inflation targeting: The Philippine case," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, vol. 57(2), pages 116-145, December.
- Gulzar Khan & Ather Maqsood Ahmed, 2020. "Understanding Business Cycle Fluctuations in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 59(1), pages 1-28.
- Mushtaq Hussain Khan & Junaid Ahmed & Mazhar Mughal & Imtiaz Hussain Khan, 2023.
"Oil price volatility and stock returns: Evidence from three oil‐price wars,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3162-3182, July.
- Mushtaq Hussain Khan & Junaid Ahmed & Mazhar Mughal, 2020. "Oil Price Volatility and Stock Returns: Evidence from Three Oil-price Wars," PIDE-Working Papers 2020:22, Pakistan Institute of Development Economics.
- Filippo Gusella & Engelbert Stockhammer, 2021.
"Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter,"
Metroeconomica, Wiley Blackwell, vol. 72(4), pages 758-797, November.
- Filippo Gusella & Engelbert Stockhammer, 2020. "Testing fundamentalist-momentum trader financial cycles. An empirical analysis via the Kalman filter," Working Papers PKWP2009, Post Keynesian Economics Society (PKES).
- PINSHI, Christian P., 2020. "Uncertainty, monetary policy and COVID-19," MPRA Paper 100147, University Library of Munich, Germany.
- Christian Pinshi, 2020.
"COVID-19 uncertainty and monetary policy,"
Working Papers
hal-02566796, HAL.
- PINSHI, Christian P., 2020. "COVID-19 uncertainty and monetary policy," MPRA Paper 100184, University Library of Munich, Germany.
- Lopez Buenache, German & Borsi, Mihály Tamás & Rosa-García, Alfonso, 2020. "Credit cycles and labor market slacks: predictive evidence from Markov-switching models," MPRA Paper 100362, University Library of Munich, Germany.
- Quaas, Georg, 2020. "The reproduction number and its measurement. A critique of the Robert Koch Institute," MPRA Paper 100780, University Library of Munich, Germany.
- Arigoni, Filippo & Lenarčič, Črt, 2020. "The impact of trade policy uncertainty shocks on the Euro Area," MPRA Paper 100832, University Library of Munich, Germany.
- Pinshi, Christian P., 2020. "Monetary policy, uncertainty and COVID-19," MPRA Paper 100836, University Library of Munich, Germany, revised 27 May 2020.
- Delis, Manthos & Savva, Christos & Theodossiou, Panayiotis, 2020. "A Coronavirus Asset Pricing Model: The Role of Skewness," MPRA Paper 100877, University Library of Munich, Germany.
- Quaas, Georg, 2020. "The reproduction number and its measurement. A critique of the Robert Koch Institute. Revised," MPRA Paper 101026, University Library of Munich, Germany, revised 10 Jun 2020.
- Christian Pinshi & Anselme M Kabeya, 2020.
"Financial development and Economic growth in the Democratic Republic of the Congo : Supply leading or Demand following?,"
Working Papers
hal-02886686, HAL.
- PINSHI, Christian P. & KABEYA, Anselme M., 2020. "Financial development and Economic growth in the Democratic Republic of the Congo : Supply leading or Demand following?," MPRA Paper 101459, University Library of Munich, Germany.
- Alain MALATA & Christian PINSHI, 2020.
"Fading The Effects Of Coronavirus With Monetary Policy,"
Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 11(2), pages 105-110.
- Alain K Malata & Christian Pinshi, 2020. "Fading the effects of coronavirus with monetary policy," Working Papers hal-02889520, HAL.
- MALATA, Alain K. & PINSHI, Christian P., 2020. "Fading the effects of coronavirus with monetary policy," MPRA Paper 101526, University Library of Munich, Germany, revised Jun 2020.
- Christian Pinshi, 2020.
"Arithmétique du Pass-through de la COVID-19 sur le Système financier Congolais,"
Working Papers
hal-02897385, HAL.
- PINSHI, Christian P., 2020. "Arithmétique du Pass-through de la COVID 19 sur le Système financier Congolais [COVID-19 Pass-through Arithmetic on the Congolese Financial System]," MPRA Paper 101783, University Library of Munich, Germany.
- Christian Pinshi, 2020.
"On the causal nature between financial development and economic growth in the Democratic Republic of the Congo: Is it supply leading or demand following?,"
Working Papers
hal-02898899, HAL.
- PINSHI, Christian P., 2020. "On the causal nature between financial development and economic growth in the Democratic Republic of the Congo: Is it supply leading or demand following?," MPRA Paper 101837, University Library of Munich, Germany, revised 14 Jul 2020.
- Bhandari, Avishek, 2020. "Long Memory and Correlation Structures of Select Stock Returns Using Novel Wavelet and Fractal Connectivity Networks," MPRA Paper 101946, University Library of Munich, Germany.
- Fantazzini, Dean, 2020.
"Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 59, pages 33-54.
- Fantazzini, Dean, 2020. "Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries," MPRA Paper 102315, University Library of Munich, Germany.
- Fantazzini, Dean, 2020. "Discussing copulas with Sergey Aivazian: a memoir," MPRA Paper 102317, University Library of Munich, Germany.
- Okpara, Godwin Chigozie, 2020. "News on Stock Market Returns and Conditional Volatility in Nigeria: An EGARCH-in-Mean Approach," MPRA Paper 102381, University Library of Munich, Germany, revised 12 Aug 2020.
- Aslam, Faheem & Aziz, Saqib & Nguyen, Duc Khuong & Mughal, Khurrum S. & Khan, Maaz, 2020.
"On the efficiency of foreign exchange markets in times of the COVID-19 pandemic,"
Technological Forecasting and Social Change, Elsevier, vol. 161(C).
- Faheem Aslam & Saqib Aziz & Duc K. Nguyen & Khurram S. Mughal & Maaz Khan, 2020. "On the Efficiency of Foreign Exchange Markets in Times of the COVID-19 Pandemic," Working Papers 2020-010, Department of Research, Ipag Business School.
- Aslam, Faheem & Aziz, Saqib & Nguyen, Duc Khuong & Mughal, Khurram S. & Khan, Maaz, 2020. "On the Efficiency of Foreign Exchange Markets in times of the COVID-19 Pandemic," MPRA Paper 102458, University Library of Munich, Germany, revised Jul 2020.
- Faheem Aslam & Saqib Aziz & Duc Khuong Nguyen & Khurrum Mughal & Maaz Khan, 2020. "On the efficiency of foreign exchange markets in times of the COVID-19 pandemic," Post-Print hal-02966920, HAL.
- García-Albán, Freddy & Gonzalez-Astudillo, Manuel & Vera-Albán, Cristhian, 2020. "Good Luck or Good Policy? An Analysis of the Effects of Oil Revenue and Fiscal Policy Shocks: The Case of Ecuador," MPRA Paper 102592, University Library of Munich, Germany.
- Avellán, Guillermo & González-Astudillo, Manuel & Salcedo, Juan José, 2020. "A Streamlined Procedure to Construct a Macroeconomic Uncertainty Index with an Application to the Ecuadorian Economy," MPRA Paper 102593, University Library of Munich, Germany.
- Tomás del Barrio Castro & Gianluca Cubadda & Denise R. Osborn, 2022.
"On cointegration for processes integrated at different frequencies,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 412-435, May.
- Tomás del Barrio Castro & Gianluca Cubadda & Denise R. Osborn, 2020. "On Cointegration for Processes Integrated at Different Frequencies," CEIS Research Paper 502, Tor Vergata University, CEIS, revised 11 Sep 2020.
- del Barrio Castro, Tomás & Cubada, Ginaluca & Osborn, Denise R., 2020. "On cointegration for processes integrated at different frequencies," MPRA Paper 102611, University Library of Munich, Germany.
- Pinshi, Christian, 2020.
"Rethinking error correction model in macroeconometric analysis : A relevant review,"
MPRA Paper
98202, University Library of Munich, Germany.
- PINSHI, Christian P., 2020. "Rethinking Error Correction Model in Macroeconometric Analysis: A Relevant Review," MPRA Paper 102644, University Library of Munich, Germany.
- Christian Pinshi, 2020. "Rethinking error correction model in macroeconometric analysis : A relevant review," Working Papers hal-02454971, HAL.
- Stavros Degiannakis & Christos Floros & Enrique Salvador & Dimitrios Vougas, 2022.
"On the stationarity of futures hedge ratios,"
Operational Research, Springer, vol. 22(3), pages 2281-2303, July.
- Degiannakis, Stavros & Floros, Christos & Salvador, Enrique & Vougas, Dimitrios, 2020. "On the Stationarity of Futures Hedge Ratios," MPRA Paper 102907, University Library of Munich, Germany.
- Kuikeu, Oscar, 2020. "Intérêt de la diligence: appréhension de l’impact économique de la Covid-19 au Cameroun sous le prisme de la santé Reproductive. Une approche par la Modélisation VAR [Interest of civism: economic i," MPRA Paper 102943, University Library of Munich, Germany.
- Kuikeu, Oscar, 2020. "La Covid-19 à l’épreuve des faits: quel est donc l’impact économique attendu au Cameroun? Une approche par la Modélisation VAR [The factsheets of the Covid-19: what is the real economic impact in C," MPRA Paper 103127, University Library of Munich, Germany.
- Fokin, Nikita & Haritonova, Marina, 2020. "Сравнительный Анализ Прогнозных Моделей Российского Ввп В Условиях Наличия Структурных Сдвигов [Comparative analysis of the forecasting models for Russia’s GDP under the structural breaks]," MPRA Paper 103412, University Library of Munich, Germany.
- Saccal, Alessandro, 2020. "A note on minimality in Dynare," MPRA Paper 103656, University Library of Munich, Germany.
- Shahzad, Umer & Doğan, Buhari & Sinha, Avik & Fareed, Zeeshan, 2021.
"Does Export product diversification help to reduce energy demand: Exploring the contextual evidences from the newly industrialized countries,"
Energy, Elsevier, vol. 214(C).
- Umer, Shahzad & Buhari, Dogan & Avik, Sinha & Zeeshan, Fareed, 2020. "Does Export product diversification help to reduce energy demand: Exploring the contextual evidences from the newly industrialized countries," MPRA Paper 103718, University Library of Munich, Germany, revised 2020.
- Dean Fantazzini & Nikita Kolodin, 2020.
"Does the Hashrate Affect the Bitcoin Price?,"
JRFM, MDPI, vol. 13(11), pages 1-29, October.
- Fantazzini, Dean & Kolodin, Nikita, 2020. "Does the hashrate affect the bitcoin price?," MPRA Paper 103812, University Library of Munich, Germany.
- Alessandro SACCAL, 2021.
"A Note On Gensys’ Minimality,"
Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 12(1), pages 57-60.
- Saccal, Alessandro, 2020. "A note on gensys’ minimality," MPRA Paper 103818, University Library of Munich, Germany.
- Kuikeu, Oscar, 2020. "Essai sur la stabilité monétaire: la Cyclicité et la contra cyclicité de l’activité productive comme critères de cette stabilité. Cas de la Communauté économique et Monétaire de l’Afrique centrale (CE," MPRA Paper 104006, University Library of Munich, Germany.
- Yadav, Jayant, 2020. "Flight to Safety in Business cycles," MPRA Paper 104093, University Library of Munich, Germany.
- Kuikeu, Oscar, 2020. "La Coopération internationale à l’épreuve des faits : sur quelle base légiférer ? enseignements des relations de parité monétaire. Le cas de la Communauté économique et Monétaire d’Afrique centrale (C," MPRA Paper 104320, University Library of Munich, Germany.
- Arigoni, Filippo & Breznikar, Miha & Lenarčič, Črt & Maletič, Matjaž, 2020. "Impact of fiscal measures in response to the COVID-19 pandemic on small-open economies: lessons from Slovenia," MPRA Paper 104474, University Library of Munich, Germany.
- Chuluunbayar, Delgerjargal, 2020. "Asymmetric transmission and effects of resource shocks: Case of Mongolia," MPRA Paper 104641, University Library of Munich, Germany.
- Mora Barrenechea, Mauricio, 2020. "Time-varying effects of commodities prices in the Bolivian economy," MPRA Paper 104706, University Library of Munich, Germany.
- Kuikeu, Oscar, 2020. "Age d’entrée dans le Mariage : enseignements tirés des Modèles de Durée. Le cas des économies de la Communauté économique et Monétaire d’Afrique centrale (CEMAC) [Date of entry into civil Union: le," MPRA Paper 104752, University Library of Munich, Germany.
- Li, Chenxing & Maheu, John M, 2020. "A Multivariate GARCH-Jump Mixture Model," MPRA Paper 104770, University Library of Munich, Germany.
- Murhula, Pacifique, 2020. "Tendance de l'inflation sous-jacente en RDC: une modélisation à partir de l'approche VAR structurelle [Trend of Core inflation in DRCongo: a model based on the Structural VAR approach]," MPRA Paper 105005, University Library of Munich, Germany, revised 08 Jan 2021.
- Pincheira, Pablo & Jarsun, Nabil, 2020. "Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate," MPRA Paper 105056, University Library of Munich, Germany.
- Lomonosov, Daniil & Polbin, Andrey & Fokin, Nikita, 2020. "Влияние Шоков Мировой Деловой Активности, Предложения Нефти И Спекулятивных Нефтяных Шоков На Экономику Рф [The impact of global economic activity, oil supply and speculative oil shocks on the Russ," MPRA Paper 106019, University Library of Munich, Germany.
- Fulvia Pennoni & Francesco Bartolucci & Gianfranco Forte & Ferdinando Ametrano, 2022.
"Exploring the dependencies among main cryptocurrency log‐returns: A hidden Markov model,"
Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 51(1), February.
- Pennoni, Fulvia & Bartolucci, Francesco & Forte, Gianfranco & Ametrano, Ferdinando, 2020. "Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model," MPRA Paper 106150, University Library of Munich, Germany.
- Diego R. Känzig, 2021.
"The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements,"
American Economic Review, American Economic Association, vol. 111(4), pages 1092-1125, April.
- Känzig, Diego Raoul, 2020. "The macroeconomic effects of oil supply news: Evidence from OPEC announcements," MPRA Paper 106249, University Library of Munich, Germany.
- Metodieva, Tsvetana Harizanova & Bartos, Hristina Harizanova, 2020. "Relation between emitted CO2, asset expenditures, produced energy from renewables and energy consumption. Evidence from Bulgaria," MPRA Paper 106348, University Library of Munich, Germany.
- Uduji, Joseph Ikechukwu & Okolo-Obasi, Elda Nduka & Asongu, Simplice A., 2021.
"Oil extraction in Nigeria's Ogoniland: The role of corporate social responsibility in averting a resurgence of violence,"
Resources Policy, Elsevier, vol. 70(C).
- Uduji, Joseph & Okolo-Obasi, Elda & Asongu, Simplice, 2020. "Oil Extraction in Nigeria’s Ogoniland: the Role of Corporate Social Responsibility in Averting a Resurgence of Violence," MPRA Paper 107514, University Library of Munich, Germany.
- MALATA, Alain K. & PINSHI, Christian P., 2020. "Système financier et COVID-19 : Un examen de l’impact en RDC [Financial system and COVID-19: A review of the impact in the DRC]," MPRA Paper 107772, University Library of Munich, Germany.
- PINSHI, Christian P. & MALATA, Alain, 2020. "Canal d’incertitude de la COVID-19 : Quelles stratégies et tactiques pour la politique monétaire ? [COVID-19 Uncertainty Channel: What Strategies and Tactics for Monetary Policy?]," MPRA Paper 109313, University Library of Munich, Germany.
- Jabbie, Mohamed & Jackson, Emerson Abraham, 2020. "On the Validity of Purchasing Power Parity (PPP): The Case of Sierra Leone," MPRA Paper 110659, University Library of Munich, Germany, revised 05 Jun 2020.
- Ben Youssef, Slim, 2020. "The relationships between renewable energy, net energy imports, arms exports, and military expenditures in the USA," MPRA Paper 110959, University Library of Munich, Germany.
- Cuesta, Lizeth, 2020. "Efecto del crecimiento demográfico en la deuda externa. Estudio para países sudamericanos usando un análisis de cointegración [Effect of population growth on external debt. Study for South American," MPRA Paper 111041, University Library of Munich, Germany, revised 11 Apr 2021.
- Urom, Christian & Guesmi, Khaled & Abid, Ilyes & Dagher, Leila, 2023.
"Dynamic integration and transmission channels among interest rates and oil price shocks,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 296-317.
- Urom, christian & Guesmi, Khaled & abid, ilyes & Dagher, Leila, 2020. "Dynamic integration and transmission channels among interest rates and oil price shocks," MPRA Paper 116082, University Library of Munich, Germany.
- PINSHI, Christian P., 2020.
"Rethinking Error Correction Model in Macroeconometric Analysis: A Relevant Review,"
MPRA Paper
102644, University Library of Munich, Germany.
- Pinshi, Christian, 2020. "Rethinking error correction model in macroeconometric analysis : A relevant review," MPRA Paper 98202, University Library of Munich, Germany.
- Christian Pinshi, 2020. "Rethinking error correction model in macroeconometric analysis : A relevant review," Working Papers hal-02454971, HAL.
- Neifar, Malika, 2020. "Cyclical Output, Cyclical Unemployment, and augmented Okun's Law in MENA zone," MPRA Paper 98953, University Library of Munich, Germany.
- NEIFAR, MALIKA & HarzAllah, AMIRA, 2020. "Can Canadian Stock market provide complete hedge against Inflation ?," MPRA Paper 99093, University Library of Munich, Germany.
- Mansour-Ichrakieh, Layal, 2020. "The impact of Israeli Geopolitical Risks on the Lebanese Financial Market: A Destabilizer Multiplier," MPRA Paper 99119, University Library of Munich, Germany.
- Kuikeu, Oscar, 2020. "Convergence des politiques fiscales de la CEMAC: une application des tests de la racine unitaire en données de panel [Fiscal policies Convergence in CEMAC: an application of panel data unit root te," MPRA Paper 99216, University Library of Munich, Germany.
- Kuikeu, Oscar, 2020. "Le Protectionnisme: analyse économétrique. Le cas de la Communauté économique et Monétaire de l’Afrique centrale (CEMAC) [The Protectionism: econometic analysis. The case of CEMAC]," MPRA Paper 99295, University Library of Munich, Germany.
- Gluschenko, Konstantin, 2020. "Nonlinear Models of Convergence," MPRA Paper 99316, University Library of Munich, Germany.
- Mansour-Ichrakieh, Layal, 2020. "The impact of Israeli Geopolitical Risks on the Lebanese Financial Market: A Destabilizer Multiplier," MPRA Paper 99376, University Library of Munich, Germany.
- Andrey Polbin, 2021.
"Multivariate unobserved component model for an oil-exporting economy: the case of Russia,"
Applied Economics Letters, Taylor & Francis Journals, vol. 28(8), pages 681-685, May.
- Polbin, Andrey, 2020. "Multivariate Unobserved Component Model for an Oil-exporting Economy: The Case of Russia," MPRA Paper 99381, University Library of Munich, Germany.
- Gabriel, Ricardo Duque & Pessoa, Ana Sofia, 2024.
"Adopting the euro: A synthetic control approach,"
European Journal of Political Economy, Elsevier, vol. 83(C).
- Gabriel, Ricardo Duque & Pessoa, Ana Sofia, 2020. "Adopting the Euro: a synthetic control approach," MPRA Paper 99391, University Library of Munich, Germany.
- Mariolis, Theodore & Veltsistas, Panagiotis, 2020. "Γιορτάζοντας τα 60 χρόνια των Θεωριών του Rudolf E. Kálmán και του Piero Sraffa: Τα Συστήματα Τιμών του Πραγματικού Κόσμου είναι Σχεδόν Μη-Ελέγξιμα [Celebrating 60 Years of Rudolf E. Kálmán’s and P," MPRA Paper 99648, University Library of Munich, Germany.
- Bhandari, Avishek, 2020. "Long memory and fractality among global equity markets: A multivariate wavelet approach," MPRA Paper 99653, University Library of Munich, Germany.
- Neifar, Malika, 2020. "Multivariate GARCH Approaches: case of major sectorial Tunisian stock markets," MPRA Paper 99658, University Library of Munich, Germany.
- Kuikeu, Oscar, 2020. "L’impact économique du COVID-19 au Cameroun: une approche par la Modélisation VAR [Economic impact of COVID-19 in Cameroon: an empirical assessment with the VAR Methodology]," MPRA Paper 99727, University Library of Munich, Germany.
- Cepni, Oguzhan & Dul, Wiehan & Gupta, Rangan & Wohar, Mark E., 2021.
"The dynamics of U.S. REITs returns to uncertainty shocks: A proxy SVAR approach,"
Research in International Business and Finance, Elsevier, vol. 58(C).
- Oguzhan Cepni & Wiehan Dul & Rangan Gupta & Mark E. Wohar, 2020. "The Dynamics of U.S. REITs Returns to Uncertainty Shocks: A Proxy SVAR Approach," Working Papers 202001, University of Pretoria, Department of Economics.
- Oguzhan Cepni & David Gabauer & Rangan Gupta & Khuliso Ramabulana, 2020. "Time-Varying Spillover of US Trade War on the Growth of Emerging Economies," Working Papers 202002, University of Pretoria, Department of Economics.
- Rangan Gupta & Chi Keung Marco Lau & Jacobus A. Nel & Xin Sheng, 2020.
"Monetary policy uncertainty spillovers in time and frequency domains,"
Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-30, December.
- Rangan Gupta & Chi Keung Marco Lau & Jacobus A Nel & Xin Sheng, 2020. "Monetary Policy Uncertainty Spillovers in Time- and Frequency-Domains," Working Papers 202005, University of Pretoria, Department of Economics.
- Semei Coronado & Rangan Gupta & Saban Nazlioglu & Omar Rojas, 2023.
"Time‐varying causality between bond and oil markets of the United States: Evidence from over one and half centuries of data,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2239-2247, July.
- Semei Coronado & Rangan Gupta & Saban Nazlioglu & Omar Rojas, 2020. "Time-Varying Causality between Bond and Oil Markets of the United States: Evidence from Over One and Half Centuries of Data," Working Papers 202006, University of Pretoria, Department of Economics.
- Edmond Berisha & David Gabauer & Rangan Gupta & Chi Keung Marco Lau, 2021.
"Time-varying influence of household debt on inequality in United Kingdom,"
Empirical Economics, Springer, vol. 61(4), pages 1917-1933, October.
- Edmond Berisha & David Gabauer & Rangan Gupta & Chi Keung Marco Lau, 2020. "Time-Varying Influence of Household Debt on Inequality in United Kingdom," Working Papers 202017, University of Pretoria, Department of Economics.
- Hardik A. Marfatia & Rangan Gupta & Keagile Lesame, 2021.
"Dynamic Impact of Unconventional Monetary Policy on International REITs,"
JRFM, MDPI, vol. 14(9), pages 1-19, September.
- Hardik A. Marfatia & Rangan Gupta & Keagile Lesame, 2020. "Dynamic Impact of Unconventional Monetary Policy on International REITs," Working Papers 202020, University of Pretoria, Department of Economics.
- Elie Bouri & Riza Demirer & David Gabauer & Rangan Gupta, 2020. "Sentiment and Financial Market Connectedness: The Role of Investor Happiness," Working Papers 202022, University of Pretoria, Department of Economics.
- Gupta, Rangan & Ma, Jun & Theodoridis, Konstantinos & Wohar, Mark E., 2023.
"Is there a national housing market bubble brewing in the United States?,"
Macroeconomic Dynamics, Cambridge University Press, vol. 27(8), pages 2191-2228, December.
- Gupta, Rangan & Ma, Jun & Theodoridis, Konstantinos & Wohar, Mark E, 2020. "Is there a National Housing Market Bubble Brewing in the United States?," Cardiff Economics Working Papers E2020/3, Cardiff University, Cardiff Business School, Economics Section.
- Rangan Gupta & Jun Ma & Konstantinos Theodoridis & Mark E. Wohar, 2020. "Is there a National Housing Market Bubble Brewing in the United States?," Working Papers 202023, University of Pretoria, Department of Economics.
- Selçuk Gul & Rangan Gupta, 2020. "A Note on the Time-Varying Impact of Global, Region- and Country-Specific Uncertainties on the Volatility of International Trade," Working Papers 202025, University of Pretoria, Department of Economics.
- Edmond Berisha & David Gabauer & Rangan Gupta & Jacobus Nel, 2022.
"Time-varying predictability of financial stress on inequality in United Kingdom,"
Journal of Economic Studies, Emerald Group Publishing Limited, vol. 50(5), pages 987-1007, August.
- Edmond Berisha & David Gabauer & Rangan Gupta & Jacobus Nel, 2020. "Time-Varying Predictability of Financial Stress on Inequality in United Kingdom," Working Papers 202030, University of Pretoria, Department of Economics.
- Syed Jawad Hussain Shahzad & Rangan Gupta & Riza Demirer & Christian Pierdzioch, 2020. "Oil-Shocks and Directional Predictability of Macroeconomic Uncertainties of Developed Economies: Evidence from High-Frequency Data," Working Papers 202031, University of Pretoria, Department of Economics.
- Demirer, Riza & Gabauer, David & Gupta, Rangan & Ji, Qiang, 2021.
"Monetary policy and speculative spillovers in financial markets,"
Research in International Business and Finance, Elsevier, vol. 56(C).
- Riza Demirer & David Gabauer & Rangan Gupta & Qiang Ji, 2020. "Monetary Policy and Speculative Spillovers in Financial Markets," Working Papers 202032, University of Pretoria, Department of Economics.
- Semih Emre Çekin & Rangan Gupta & Eric Olson, 2021.
"The Taylor curve: international evidence,"
Applied Economics, Taylor & Francis Journals, vol. 53(40), pages 4680-4691, August.
- Semih Emre Cekin & Rangan Gupta & Eric Olson, 2020. "The Taylor Curve: International Evidence," Working Papers 202034, University of Pretoria, Department of Economics.
- Afees A. Salisu & Rangan Gupta, 2021.
"Dynamic effects of monetary policy shocks on macroeconomic volatility in the United Kingdom,"
Applied Economics Letters, Taylor & Francis Journals, vol. 28(18), pages 1594-1599, October.
- Afees A. Salisu & Rangan Gupta, 2020. "Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility in the United Kingdom," Working Papers 202041, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Gupta, Rangan & Bouri, Elie & Ji, Qiang, 2020.
"The role of global economic conditions in forecasting gold market volatility: Evidence from a GARCH-MIDAS approach,"
Research in International Business and Finance, Elsevier, vol. 54(C).
- Afees A. Salisu & Rangan Gupta & Elie Bouri & Qiang Ji, 2020. "The Role of Global Economic Conditions in Forecasting Gold Market Volatility: Evidence from a GARCH-MIDAS Approach," Working Papers 202043, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Theshne Kisten, 2021.
"The impact of uncertainty shocks in South Africa: The role of financial regimes,"
Review of Financial Economics, John Wiley & Sons, vol. 39(4), pages 442-454, October.
- Mehmet Balcilar & Rangan Gupta & Theshne Kisten, 2020. "The Impact of Uncertainty Shocks in South Africa: The Role of Financial Regimes," Working Papers 202046, University of Pretoria, Department of Economics.
- Bouri, Elie & Cepni, Oguzhan & Gabauer, David & Gupta, Rangan, 2021.
"Return connectedness across asset classes around the COVID-19 outbreak,"
International Review of Financial Analysis, Elsevier, vol. 73(C).
- Elie Bouri & Oguzhan Cepni & David Gabauer & Rangan Gupta, 2020. "Return Connectedness across Asset Classes around the COVID-19 Outbreak," Working Papers 202047, University of Pretoria, Department of Economics.
- Rangan Gupta & Xin Sheng, 2020. "The Effects of Oil Shocks on Macroeconomic Uncertainty: Evidence from a Large Panel Dataset of US States," Working Papers 202048, University of Pretoria, Department of Economics.
- Afees A. Salisu & Rangan Gupta & Elie Bouri & Qiang Ji, 2020. "Forecasting Oil Volatility Using a GARCH-MIDAS Approach: The Role of Global Economic Conditions," Working Papers 202051, University of Pretoria, Department of Economics.
- Balcilar, Mehmet & Berisha, Edmond & Gupta, Rangan & Pierdzioch, Christian, 2021.
"Time-varying evidence of predictability of financial stress in the United States over a century: The role of inequality,"
Structural Change and Economic Dynamics, Elsevier, vol. 57(C), pages 87-92.
- Mehmet Balcilar & Edmond Berisha & Rangan Gupta & Christian Pierdzioch, 2020. "Time-Varying Evidence of Predictability of Financial Stress in the United States over a Century: The Role of Inequality," Working Papers 202054, University of Pretoria, Department of Economics.
- Oguzhan Cepni & Rangan Gupta & Yigit Onay, 2022.
"The role of investor sentiment in forecasting housing returns in China: A machine learning approach,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1725-1740, December.
- Oguzhan Cepni & Rangan Gupta & Yigit Onay, 2020. "The Role of Investor Sentiment in Forecasting Housing Returns in China: A Machine Learning Approach," Working Papers 202055, University of Pretoria, Department of Economics.
- Bouri, Elie & Gabauer, David & Gupta, Rangan & Tiwari, Aviral Kumar, 2021.
"Volatility connectedness of major cryptocurrencies: The role of investor happiness,"
Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
- Elie Bouri & David Gabauer & Rangan Gupta & Aviral Kumar Tiwari, 2020. "Volatility Connectedness of Major Cryptocurrencies: The Role of Investor Happiness," Working Papers 202059, University of Pretoria, Department of Economics.
- Semei Coronado & Rangan Gupta & Besma Hkiri & Omar Rojas, 2020. "Time-Varying Spillover between Currency and Stock Markets in the United States: More than Two Centuries of Historical Evidence," Working Papers 202060, University of Pretoria, Department of Economics.
- Gupta, Rangan & Sheng, Xin & Balcilar, Mehmet & Ji, Qiang, 2021.
"Time-varying impact of pandemics on global output growth,"
Finance Research Letters, Elsevier, vol. 41(C).
- Rangan Gupta & Xin Sheng & Mehmet Balcilar & Qiang Ji, 2020. "Time-Varying Impact of Pandemics on Global Output Growth," Working Papers 202062, University of Pretoria, Department of Economics.
- Rangan Gupta & Syed Jawad Hussain Shahzad & Xin Sheng & Sowmya Subramaniam, 2020. "The Role of Oil and Risk Shocks in the High-Frequency Movements of the Term Structure of Interest Rates of the United States," Working Papers 202063, University of Pretoria, Department of Economics.
- Gabauer, David & Gupta, Rangan & Marfatia, Hardik A. & Miller, Stephen M., 2024.
"Estimating U.S. housing price network connectedness: Evidence from dynamic Elastic Net, Lasso, and ridge vector autoregressive models,"
International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 349-362.
- David Gabauer & Rangan Gupta & Hardik A. Marfatia & Stephen M. Miller, 2020. "Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models," Working papers 2020-08, University of Connecticut, Department of Economics.
- David Gabauer & Rangan Gupta & Hardik A. Marfatia & Stephen M. Miller, 2020. "Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models," Working Papers 202065, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Elie Bouri & Rangan Gupta & Clement Kweku Kyei, 2021.
"High-Frequency Predictability of Housing Market Movements of the United States: The Role of Economic Sentiment,"
Journal of Behavioral Finance, Taylor & Francis Journals, vol. 22(4), pages 490-498, October.
- Mehmet Balcilar & Elie Bouri & Rangan Gupta & Clement Kweku Kyei, 2020. "High-Frequency Predictability of Housing Market Movements of the United States: The Role of Economic Sentiment," Working Papers 202066, University of Pretoria, Department of Economics.
- Zhuhua Jiang & Rangan Gupta & Sowmya Subramaniam & Seong-Min Yoon, 2020. "The Effect of Air Quality and Weather on the Chinese Stock Market: Evidence from Shenzhen Stock Exchange," Working Papers 202070, University of Pretoria, Department of Economics.
- Bouri, Elie & Gupta, Rangan & Kyei, Clement Kweku & Shivambu, Rinsuna, 2021.
"Uncertainty and daily predictability of housing returns and volatility of the United States: Evidence from a higher-order nonparametric causality-in-quantiles test,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 200-206.
- Elie Bouri & Rangan Gupta & Clement Kweku Kyei & Rinsuna Shivambu, 2020. "Uncertainty and Daily Predictability of Housing Returns and Volatility of the United States: Evidence from a Higher-Order Nonparametric Causality-in-Quantiles Test," Working Papers 202071, University of Pretoria, Department of Economics.
- Sheng, Xin & Marfatia, Hardik A. & Gupta, Rangan & Ji, Qiang, 2021.
"House price synchronization across the US states: The role of structural oil shocks,"
The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
- Xin Sheng & Hardik A. Marfatia & Rangan Gupta & Qiang Ji, 2020. "House Price Synchronization across the US States: The Role of Structural Oil Shocks," Working Papers 202076, University of Pretoria, Department of Economics.
- Rangan Gupta & Hardik A. Marfatia & Christian Pierdzioch & Afees A. Salisu, 2022.
"Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty,"
The Journal of Real Estate Finance and Economics, Springer, vol. 64(4), pages 523-545, May.
- Rangan Gupta & Hardik A. Marfatia & Christian Pierdzioch & Afees A. Salisu, 2020. "Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty," Working Papers 202077, University of Pretoria, Department of Economics.
- Gupta, Rangan & Subramaniam, Sowmya & Bouri, Elie & Ji, Qiang, 2021.
"Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities,"
International Review of Economics & Finance, Elsevier, vol. 71(C), pages 289-298.
- Rangan Gupta & Sowmya Subramaniam & Elie Bouri & Qiang Ji, 2020. "Infectious Disease-Related Uncertainty and the Safe-Haven Characteristic of US Treasury Securities," Working Papers 202078, University of Pretoria, Department of Economics.
- Goodness C. Aye, 2020. "Effect of Fiscal and Monetary Policies on Economic Activities in South Africa: The Role of Policy Uncertainty," Working Papers 202082, University of Pretoria, Department of Economics.
- David Gabauer & Rangan Gupta & Jacobus Nel & Woraphon Yamaka, 2021.
"Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom,"
Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 155(3), pages 771-788, June.
- David Gabauer & Rangan Gupta & Jacobus Nel & Woraphon Yamaka, 2020. "Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom," Working Papers 202084, University of Pretoria, Department of Economics.
- Elie Bouri & Rangan Gupta & Clement Kweku Kyei & Sowmya Subramaniam, 2020. "High-Frequency Movements of the Term Structure of Interest Rates of the United States: The Role of Oil Market Uncertainty," Working Papers 202085, University of Pretoria, Department of Economics.
- Christophe Andre & David Gabauer & Rangan Gupta, 2020. "Time-Varying Spillovers between Housing Sentiment and Housing Market in the United States," Working Papers 202091, University of Pretoria, Department of Economics.
- Helena Chytilová & Petr Frejlich, 2020. "Kontroverze konceptu minimální mzdy, aplikace na Českou republiku [Concept of Minimum Wage Controversy: The Case of the Czech Republic]," Politická ekonomie, Prague University of Economics and Business, vol. 2020(4), pages 423-442.
- Lucie Kábelová & Markéta Arltová, 2020. "Účinnost rodinné politiky v České republice [Effectiveness of Family Policy in the Czech Republic]," Politická ekonomie, Prague University of Economics and Business, vol. 2020(6), pages 679-694.
- Mikkel Plagborg‐Møller & Christian K. Wolf, 2021.
"Local Projections and VARs Estimate the Same Impulse Responses,"
Econometrica, Econometric Society, vol. 89(2), pages 955-980, March.
- Mikkel Plagborg-Møller & Christian K. Wolf, 2020. "Local Projections and VARs Estimate the Same Impulse Responses," Working Papers 2020-16, Princeton University. Economics Department..
- Elena Deryugina & Alexey Ponomarenko, 2020.
"Disinflation and Reliability of Underlying Inflation Measures,"
Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(1), pages 91-111, March.
- Elena Deryugina & Alexey Ponomarenko, 2019. "Disinflation and reliability of underlying inflation measures," Bank of Russia Working Paper Series wps44, Bank of Russia.
- Kaloyan Ganev, 2020. "Real-Time vs. Full-Sample Performance of One-Sided and Two-Sided HP Filters. An Application to 27 EU Member States’ GDP Data," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(3), pages 251-272, September.
- Michał Majsterek & Emilia Gosińska, 2020. "Structural Change in the Deterministic and Stochastic Part of VECM. I(1) and I(2) Case," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(4), pages 317-345, December.
- Victor Bystrov, 2020. "Identification and Estimation of Initial Conditions in Non-Minimal State-Space Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(4), pages 413-429, December.
- Henri Keränen & Sakari Lähdemäki, 2020. "Identification of fiscal SVARs in small open economies using trading partner forecast errors as instruments," Working Papers 330, Työn ja talouden tutkimus LABORE, The Labour Institute for Economic Research LABORE.
- Zsurkis, Gabriel & Nicolau, João & Rodrigues, Paulo M. M, 2021.
"The expected time to cross a threshold and its determinants: a simple and flexible framework,"
Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
- Paulo M.M. Rodrigues & Gabriel Zsurkis, 2020. "The expected time to cross a threshold and its determinants: A simple and flexible framework," Working Papers w202006, Banco de Portugal, Economics and Research Department.
- Nuttanan Wichitaksorn, 2020. "Analyzing and Forecasting Thai Macroeconomic Data using Mixed-Frequency Approach," PIER Discussion Papers 146, Puey Ungphakorn Institute for Economic Research.
- Camilla Mastromarco & Léopold Simar & Valentin Zelenyuk, 2021.
"Predicting recessions with a frontier measure of output gap: an application to Italian economy,"
Empirical Economics, Springer, vol. 60(6), pages 2701-2740, June.
- Camilla Mastromarco & Léopold Simar & Valentin Zelenyuk, 2020. "Predicting Recessions with a Frontier Measure of Output Gap: An Application to Italian Economy," CEPA Working Papers Series WP102020, School of Economics, University of Queensland, Australia.
- Mastromarco, Camilla & Simar, Léopold & Zelenyuk, Valentin, 2021. "Predicting recessions with a frontier measure of output gap: an application to Italian economy," LIDAM Reprints ISBA 2021010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Andrew Clark, 2020. "A Pound Centric look at the Pound vs. Krona Exchange Rate Movement from 1844 to 1965," Economics Discussion Papers em-dp2020-22, Department of Economics, University of Reading.
- Stefan Schiman, 2021.
"Labor Supply Shocks and the Beveridge Curve: Empirical Evidence from EU Enlargement,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 108-127, April.
- Stefan Schiman, 2020. "Code and data files for "Labor Supply Shocks and the Beveridge Curve: Empirical Evidence from EU Enlargement"," Computer Codes 19-166, Review of Economic Dynamics.
- Jose E. Gomez-Gonzalez & Jorge Hirs-Garzon, 2021.
"Dynamic Spillovers between REITs and Stock Markets in Global Financial Markets,"
Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 27(1), pages 20-28, January.
- Gomez-Gonzalez, Jose Eduardo & Hirs-Garzon, Jorge, 2020. "Dynamic Spillovers between REITs and Stock Markets in Global Financial Markets," Working papers 47, Red Investigadores de Economía.
- Bakas, Dimitrios & Triantafyllou, Athanasios, 2020.
"Commodity price volatility and the economic uncertainty of pandemics,"
Economics Letters, Elsevier, vol. 193(C).
- Bakas, Dimitrios & Triantafyllou, Athanasios, 2020. "Commodity Price Volatility and the Economic Uncertainty of Pandemics," Essex Finance Centre Working Papers 27364, University of Essex, Essex Business School.
- Dimitrios Bakas & Athanasios Triantafyllou, 2020. "Commodity Price Volatility and the Economic Uncertainty of Pandemics," Working Paper series 20-12, Rimini Centre for Economic Analysis.
- Cem Cakmakli & Yasin Simsek, 2020.
"Bridging the COVID-19 Data and the Epidemiological Model using Time Varying Parameter SIRD Model,"
Papers
2007.02726, arXiv.org, revised Feb 2021.
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- Cem Cakmaklı & Yasin Simsek, 2020. "Bridging the COVID-19 Data and the Epidemiological Model using Time Varying Parameter SIRD Model," Working Paper series 20-23, Rimini Centre for Economic Analysis, revised Feb 2021.
- Chetan Dave & Scott J. Dressler & Lei Zhang, 2020.
"Bank Lending, Monetary Policy Transmission, and Interest on Excess Reserves: a FAVAR Analysis,"
Villanova School of Business Department of Economics and Statistics Working Paper Series
44, Villanova School of Business Department of Economics and Statistics.
- Dave, Chetan & Dressler, Scott J. & Zhang, Lei, 2020. "Bank Lending, Monetary Policy Transmission, and Interest on Excess Reserves: A FAVAR Analysis," Working Papers 2020-6, University of Alberta, Department of Economics.
- Makushkin, Mikhail & Lapshin, Victor, 2020. "Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 30-52.
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"Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 59, pages 33-54.
- Fantazzini, Dean, 2020. "Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries," MPRA Paper 102315, University Library of Munich, Germany.
- Kurovskiy, Gleb, 2020. "Disentanglement of natural interest rate shocks and monetary policy shocks nexus," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 59, pages 128-143.
- Nwabuisi, Olanrewaju F. & Oke-Bello, Adesina M. & Oyewole, Adegboyega S. & Toriola, Anu K. & Folami, Rahmon Abiodun & Afolabi, Adewale Olakunle, 2020. "The effect of bank credit on the performance of the manufacturing sector in Nigeria," BizEcons Quarterly, Strides Educational Foundation, vol. 9, pages 18-29.
- Toriola, Anu Keshiro & Folami, Rahmon Abiodun & Afolabi, Adewale Olakunle & Ajayi, Felix Odunayo, 2020. "The implications of exchange rate fluctuations on human welfare in Nigeria," BizEcons Quarterly, Strides Educational Foundation, vol. 7, pages 13-25.
- Demiral, Ezgi & Celem, Abreg S., 2020. "Türkiye’de İstihdam Yaratmayan Büyüme Olgusunun Dinamik Analizi (Dynamic Analysis of Jobless Growth in Turkey)," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 11(1), pages 63-76, January.
- Karakaya, Ceylan & Sahinoglu, Tuba, 2020. "The Relationship between Defense Spending and Economic Growth: The Case of Turkey," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 11(2), pages 335-351, April.
- Kocak, Necmettin Alpay, 2020. "Analysis of the Relationship between Household and Real Sector Expectations in Turkey (Türkiye’de Hanehalkı ve Reel Sektör Beklentileri Arasındaki İlişkinin Analizi)," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 11(4), pages 989-1000, October.
- Mert, Nilcan & Cengiz, Sibel, 2020. "Innovation Generation Capacity of Turkey According to the Triple Helix Approach (Üçlü Sarmal Yaklaşımına Göre Türkiye’nin Yenilik Yaratma Kapasitesi)," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 11(4), pages 1001-1012, October.
- Lee, Hahn Shik & Lee, Woo Suk, 2020. "Connectedness among Northeast Asian Housing Markets and Business Cycles," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 24(2), pages 185-203, June.
- Gnagne, Pascal Xavier & Bonga-Bonga, Lumengo, 2020. "The Impact of Exchange Rate Volatility on the Security Markets in BRICS Economies," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 73(1), pages 21-50.
- Kinfack, Emilie & Bonga-Bonga, Lumengo, 2020. "Trade Linkages and Business Cycle Co-movement: Analysis of Trade between African Economies and their Main Trading partners," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 73(2), pages 275-306.
- Yahya, Abdullahi Zakari & Nkwatoh, Louis Sevitenyi, 2020. "Viability of a Stable West African Monetary Union," Empirical Economic Review, Department of Economics and Statistics, Dr Hassan Murad School of Management, University of Management and Technology, Lahore, vol. 3(1), pages 1-18.
- Rehman, Haseeb ur & Zeb, Sikandar, 2020. "Determinants of Environmental Degradation in Economy of Pakistan," Empirical Economic Review, Department of Economics and Statistics, Dr Hassan Murad School of Management, University of Management and Technology, Lahore, vol. 3(1), pages 83-105.
- Nizamani, Abdul Rahman & Shaikh, Erum Khushnood Zahid, 2020. "Adverse Supply Shocks and the Financial Response: An Empirical Study," Sukkur IBA Journal of Management and Business, Sukkur IBA University, vol. 7(2), pages 20-35, July-Dece.
- Khan, Nazmus Sadat, 2020. "Spillover Effects of Trade Shocks in the Central and Eastern European and Baltic Countries," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 35(1), pages 39-68.
- Selmi, Refk & Bouoiyour, Jamal & Hammoudeh, Shawkat, 2020. "Common and Country-Specific Uncertainty Fluctuations in Major Oil-Producing Countries: A Comparative Study," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 35(4), pages 724-750.
- Ooft, Gavin, 2020. "Forecasting Monthly Inflation: An Application To Suriname," Studies in Applied Economics 144, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
- Argha, Leila & Mowlaei, Mohammad & Khezri, Mohsen, 2020. "Investigation of Dynamic Conditional Correlation between Selected Assets with Iran’s Return of Stock Price Index: DCC- FIAPARCH Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 6(4), pages 251-274, February.
- Hashemi, Hooshmand & Mohamadi, Teimor & Khalili, Farzeneh & Asgari, Farid, 2020. "Estimating gasoline product demand in Iran during the period from 1995 to 2017 using the state-space model and relevant guidelines for price liberalizations," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 7(1), pages 1-28, May.
- Hoseeini Ebrahimabad, S.A & Jahangiri, Kh & Ghaemi Asl, M & Heydari, H, 2020. "Investigation of the volatility spillover effect and dynamic conditional correlations in Tehran Stock Exchange using wavelet-based Bayesian conditional variance heteroscedasticity," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 7(1), pages 149-184, May.
- Ebadi, Jafar & Elahi, Naser & Houshmand Gohar, Saeideh, 2020. "Systemic Risk and Mutual Fund," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 7(2), pages 199-222, August.
- Chehrazi Madreseh, Sorour & Jalaee Esfandabadi, Seyed Abdolmajid, 2020. "The Effect of Permanent and Transitory Shocks of Productivity on the Degree of Absorption of Technology Spillovers," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 7(3), pages 51-70, October.
- Cachaga Herrera, Pablo & Romero Cuevas, José Martin, 2020. "Efecto asimétrico de la actividad económica en la liquidez del sistema financiero boliviano," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB) "San Pablo", issue 33, pages 181-211, May.
- Liu, Xiaobin & Shi, Shuping & Yu, Jun, 2020. "Persistent and Rough Volatility," Economics and Statistics Working Papers 23-2020, Singapore Management University, School of Economics.
- Ivanovski, Zoran & Narasanov, Zoran & Korunovska, Vesna, 2020. "Granger Causality Test For The Government’S Capital Expenditures On The Gdp Of The Republic North Macedonia In Var Environment," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 11(2), pages 183-201.
- Adnan KHURSHID & Yin KEDONG & Adrian Cantemir CALIN & Cristina Georgiana ZELDEA & Sun QIANG & Duan WENQI, 2020. "Is the Relationship between Remittances and Economic Growth Influenced by the Governance and Development of the Financial Sector? New Evidence from the Developing Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 37-56, March.
- Krzysztof DRACHAL, 2020. "Forecasting the Inflation Rate in Poland and U.S. Using Dynamic Model Averaging (DMA) and Google Queries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 18-34, July.
- Emilian DOBRESCU, 2020. "Self-fulfillment degree of economic expectations within an integrated space: The European Union case study," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-32, December.
- Polbin, Andrey V. (Полбин, Андрей В.), 2020. "Estimating Time-Varying Long-Run Growth Rate of Russian GDP in the ARX Model with Oil Prices [Оценка Траектории Темпов Трендового Роста Ввп России В Arx-Модели С Ценами На Нефть]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 1, pages 40-63, February.
- Tommaso Proietti & Alessandro Giovannelli, 2021.
"Nowcasting monthly GDP with big data: A model averaging approach,"
Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(2), pages 683-706, April.
- Tommaso Proietti & Alessandro Giovannelli, 2020. "Nowcasting Monthly GDP with Big Data: a Model Averaging Approach," CEIS Research Paper 482, Tor Vergata University, CEIS, revised 12 May 2020.
- Proietti, Tommaso & Giovannelli, Alessandro & Ricchi, Ottavio & Citton, Ambra & Tegami, Christían & Tinti, Cristina, 2021.
"Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1376-1398.
- Alessandro Giovannelli & Tommaso Proietti & Ambra Citton & Ottavio Ricchi & Cristian Tegami & Cristina Tinti, 2020. "Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach," CEIS Research Paper 489, Tor Vergata University, CEIS, revised 30 May 2020.
- Tomás del Barrio Castro & Gianluca Cubadda & Denise R. Osborn, 2022.
"On cointegration for processes integrated at different frequencies,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 412-435, May.
- del Barrio Castro, Tomás & Cubada, Ginaluca & Osborn, Denise R., 2020. "On cointegration for processes integrated at different frequencies," MPRA Paper 102611, University Library of Munich, Germany.
- Tomás del Barrio Castro & Gianluca Cubadda & Denise R. Osborn, 2020. "On Cointegration for Processes Integrated at Different Frequencies," CEIS Research Paper 502, Tor Vergata University, CEIS, revised 11 Sep 2020.
- Clement Olalekan Olaniyi, 2020. "Application of Bootstrap Simulation and Asymmetric Causal Approach to Fiscal Deficit-Inflation Nexus," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 12(2), pages 123-140, May.
- Ranjan Kumar Mohanty & Sidheswar Panda & Biswabhusan Bhuyan, 2020. "Does Defence Spending and its Composition Affect Economic Growth in India?," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 14(1), pages 62-85, February.
- Sevgi Coskun, 2020. "Technology Shocks and Non-stationary Hours in Emerging Countries and DSVAR," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 14(2), pages 129-163, May.
- Chor Foon Tang & Salah Abosedra, 2020. "Does Financial Development Moderate the Effects on Growth Volatility? The Experience of Malaysia," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 14(4), pages 361-381, November.
- Ghassen El Montasser & Rangan Gupta & Jooste Charl & Stephen M. Miller, 2020.
"The Time-series Linkages between US Fiscal Policy and Asset Prices,"
Public Finance Review, , vol. 48(3), pages 303-339, May.
- Ghassen El Montasser & Rangan Gupta & Charl Jooste & Stephen M. Miller, 2015. "The Time-Series Linkages between US Fiscal Policy and Asset Prices," Working Papers 201519, University of Pretoria, Department of Economics.
- Ghassen El Montasser & Rangan Gupta & Charl Jooste & Stephen M. Miller, 2016. "The time-series linkages between US fiscal policy and asset prices," Working papers 2016-15, University of Connecticut, Department of Economics.
- Biswajit Maitra, 2020. "Exploring Import-led Growth in India: Evidence from the Post-reform Period," South Asian Journal of Macroeconomics and Public Finance, , vol. 9(1), pages 87-113, June.
- Nusrat Akber & Megha Gupta & Kirtti Ranjan Paltasingh, 2020. "The Crowding-in/ out Debate in Investments in India: Fresh Evidence from NARDL Application," South Asian Journal of Macroeconomics and Public Finance, , vol. 9(2), pages 167-189, December.
- Victor Pontines & Davaajargal Luvsannyam & Enkhjin Atarbaatar & Ulziikhutag Munkhtsetseg, 2020.
"The Effectiveness of Currency Intervention in a Commodity-Exporter: Evidence from Mongolia,"
CAMA Working Papers
2020-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Victor Pontines & Davaajargal Luvsannyam & Enkhjin Atarbaatar & Ulziikhutag Munkhtsetseg, 2020. "The Effectiveness of Currency Intervention in a Commodity-Exporter: Evidence from Mongolia," Working Papers wp41, South East Asian Central Banks (SEACEN) Research and Training Centre.
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"International information flows, sentiments, and cross‐country business cycle fluctuations,"
Review of International Economics, Wiley Blackwell, vol. 30(4), pages 1110-1147, September.
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"International confidence spillovers and business cycles in small open economies,"
Empirical Economics, Springer, vol. 61(2), pages 773-798, August.
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"Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions,"
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"Adaptive weights clustering of research papers,"
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"Business cycle dating and forecasting with real-time Swiss GDP data,"
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"Demand systems with heteroscedastic disturbances,"
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"A time–frequency analysis of the Canadian macroeconomy and the yield curve,"
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"Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data,"
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"A note on the stability of the Swedish Phillips curve,"
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"On the pernicious effects of oil price uncertainty on US real economic activities,"
Empirical Economics, Springer, vol. 59(6), pages 2689-2715, December.
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"A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies,"
Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 19-69, March.
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"Integration and convergence in European electricity markets,"
Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(2), pages 463-492, July.
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"Does globalization exacerbate income inequality in two largest emerging economies? The role of FDI and remittances inflows,"
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2019
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"Exchange rates, foreign currency exposure and sovereign risk,"
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"Bayesian Structural VAR models: a new approach for prior beliefs on impulse responses,"
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"Time-varying general dynamic factor models and the measurement of financial connectedness,"
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"Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed Since the Crisis?,"
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"Forecasting and stress testing with quantile vector autoregression,"
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"Mapping China’s time-varying house price landscape,"
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"The Global Financial Cycle and US monetary policy in an interconnected world,"
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"Bayesian VAR forecasts, survey information, and structural change in the euro area,"
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"Forecasting inflation in the euro area: countries matter!,"
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"Nonlinear relationship between the weather phenomenon El niño and Colombian food prices,"
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"Regime‐dependent effects of uncertainty shocks: A structural interpretation,"
Quantitative Economics, Econometric Society, vol. 12(4), pages 1139-1170, November.
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"Bayesian VAR forecasts, survey information, and structural change in the euro area,"
International Journal of Forecasting, Elsevier, vol. 37(2), pages 971-999.
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"The Global Financial Cycle and US monetary policy in an interconnected world,"
Journal of International Money and Finance, Elsevier, vol. 115(C).
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"The Phillips multiplier,"
Journal of Monetary Economics, Elsevier, vol. 117(C), pages 689-705.
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"Identifying Modern Macro Equations with Old Shocks,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 135(4), pages 2255-2298.
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"The identification problem for linear rational expectations models,"
Economics Working Papers
1669, Department of Economics and Business, Universitat Pompeu Fabra.
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"Crimea and punishment: the impact of sanctions on Russian economy and economies of the euro area,"
EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 19(1), pages 39-51.
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"Capturing the power options smile by an additive two-factor model for overlapping futures prices,"
Energy Economics, Elsevier, vol. 95(C).
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- Christoph Görtz & Christopher Gunn & Thomas Lubik, "undated".
"What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs,"
Carleton Economic Papers
19-09, Carleton University, Department of Economics.
- Christoph Gortz & Christopher Gunn & Thomas A. Lubik, 2019. "What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs," Discussion Papers 19-09, Department of Economics, University of Birmingham.
- Christoph Görtz & Christopher Gunn & Thomas A. Lubik, 2022. "What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs," Working Paper series 22-11, Rimini Centre for Economic Analysis.
- Christoph Gortz & Christopher Gunn & Thomas A. Lubik, 2022. "What Drives Inventory Accumulation? News on Rates of Return and Marginal Costs," CAMA Working Papers 2022-53, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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"Nowcasting private consumption: traditional indicators, uncertainty measures, credit cards and some internet data,"
IFC Bulletins chapters, in: Bank for International Settlements (ed.), The use of big data analytics and artificial intelligence in central banking, volume 50,
Bank for International Settlements.
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"Do SVARs with sign restrictions not identify unconventional monetary policy shocks?,"
Working Papers
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- Marina Tiunova, 2019. "Commodity and Financial Cycles in Resource-based Economies," Russian Journal of Money and Finance, Bank of Russia, vol. 78(3), pages 38-70, September.
- Elena Deryugina & Alexey Ponomarenko, 2020.
"Disinflation and Reliability of Underlying Inflation Measures,"
Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(1), pages 91-111, March.
- Elena Deryugina & Alexey Ponomarenko, 2019. "Disinflation and reliability of underlying inflation measures," Bank of Russia Working Paper Series wps44, Bank of Russia.
- Sergei Seleznev, 2019. "Truncated priors for tempered hierarchical Dirichlet process vector autoregression," Bank of Russia Working Paper Series wps47, Bank of Russia.
- Ramis Khabibullin, 2019. "What measures of real economic activity slack are helpful for forecasting Russian inflation?," Bank of Russia Working Paper Series wps50, Bank of Russia.
- Ranjan K. Mohanty & N. R. Bhanumurthy, 2019.
"Analyzing the Dynamic Relationships between Physical Infrastructure, Financial Development and Economic Growth in India,"
Asian Economic Journal, East Asian Economic Association, vol. 33(4), pages 381-403, December.
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- Nektarios A. Michail, 2019.
"Examining The Stability Of Okun'S Coefficient,"
Bulletin of Economic Research, Wiley Blackwell, vol. 71(3), pages 240-256, July.
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"Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014,"
Bulletin of Economic Research, Wiley Blackwell, vol. 71(4), pages 616-640, October.
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- Ansgar Belke & Thomas Osowski, 2019.
"International Effects Of Euro Area Versus U.S. Policy Uncertainty: A Favar Approach,"
Economic Inquiry, Western Economic Association International, vol. 57(1), pages 453-481, January.
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- Belke, Ansgar & Osowski, Thomas, 2017. "International Effects of Euro Area versus US Policy Uncertainty: A FAVAR Approach," GLO Discussion Paper Series 35, Global Labor Organization (GLO).
- Belke, Ansgar & Osowski, Thomas, 2017. "International effects of euro area versus US policy uncertainty: A FAVAR approach," Ruhr Economic Papers 689, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Leonardo Gambacorta & Adrian van Rixtel & Stefano Schiaffi, 2019.
"Changing Business Models In International Bank Funding,"
Economic Inquiry, Western Economic Association International, vol. 57(2), pages 1038-1055, April.
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"Limited Asset Market Participation And The Euro Area Crisis: An Empirical Dsge Model,"
Economic Inquiry, Western Economic Association International, vol. 57(3), pages 1302-1323, July.
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"On secular stagnation and low interest rates: Demography matters,"
International Finance, Wiley Blackwell, vol. 22(3), pages 262-278, December.
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"US Fiscal Policy and Asset Prices: The Role of Partisan Conflict,"
International Review of Finance, International Review of Finance Ltd., vol. 19(4), pages 851-862, December.
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"Review of Solution and Estimation Methods for Nonlinear Dynamic Stochastic General Equilibrium Models with the Zero Lower Bound,"
The Japanese Economic Review, Springer, vol. 70(1), pages 51-104, March.
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"Nonstationary Cointegration in the Fractionally Cointegrated VAR Model,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(4), pages 519-543, July.
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"Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(6), pages 914-935, November.
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"Testing Cointegrating Relationships Using Irregular and Non‐Contemporaneous Series with an Application to Paleoclimate Data,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(6), pages 936-950, November.
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"Regime Switches in Japan's Fiscal Policy: Markov‐Switching VAR Approach,"
Manchester School, University of Manchester, vol. 87(5), pages 724-749, September.
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"Testing Part of a DSGE Model by Indirect Inference,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(1), pages 178-194, February.
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"Detecting Co‐Movements in Non‐Causal Time Series,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
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"On the Sources of the Feldstein–Horioka Puzzle across Time and Frequencies,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(4), pages 889-910, August.
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"Forecasting with High‐Dimensional Panel VARs,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(5), pages 937-959, October.
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"Detecting Imbalances in House Prices: What Goes Up Must Come Down?,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 121(4), pages 1587-1619, October.
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"Volatility persistence and asymmetry under the microscope: the role of information demand for gold and oil,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 180-197, February.
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"Political uncertainty and stock market volatility: new evidence from the 2014 Scottish Independence Referendum,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(2), pages 314-330, May.
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"On the exposure of the BRIC countries to global economic shocks,"
The World Economy, Wiley Blackwell, vol. 42(1), pages 122-142, January.
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- Belke, Ansgar & Dreger, Christian & Dubova, Irina, 2017. "On the exposure of the BRIC countries to global economic shocks," GLO Discussion Paper Series 37, Global Labor Organization (GLO).
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- Juan Carlos Carlo Santos, 2019. "Pronósticos del PIB mediante modelos de factores dinámicos," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 30(1), pages 125-174, January -.
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"New kid on the block? China vs the US in world oil markets,"
CAMA Working Papers
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"Assessing U.S. Aggregate Fluctuations Across Time and Frequencies,"
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"Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector?,"
MPRA Paper
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"Identifying government spending shocks and multipliers in Korea,"
Journal of Asian Economics, Elsevier, vol. 76(C).
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- Akçay Selçuk, 2019. "Does Oil Price Asymmetrically Impact Remittance Outflows? The Case of Oman," Review of Middle East Economics and Finance, De Gruyter, vol. 15(2), pages 1-9, August.
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"The Impact of Fiscal Policy on Economic Activity over the Business Cycle: An Empirical Investigation in the Case of Algeria,"
Review of Middle East Economics and Finance, De Gruyter, vol. 15(3), pages 1-23, December.
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"Parameter estimation and inference with spatial lags and cointegration,"
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"On the Identification of Fractionally Cointegrated VAR Models With the Condition,"
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"Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence,"
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"R2 Bounds for Predictive Models: What Univariate Properties Tell us About Multivariate Predictability,"
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"Forecasting India’s economic growth: a time-varying parameter regression approach,"
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"Voice or public sector management? An empirical investigation of determinants of public sector performance based on a survey of public officials,"
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"Bootstrapping non-stationary stochastic volatility,"
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"Impulse Response Estimation by Smooth Local Projections,"
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"Shocking Interest Rate Floors,"
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"News-driven housing booms: Spain vs. Germany,"
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"Sharia Banking Dynamics and the Macroeconomic Responses: Evidence from Indonesia,"
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"Common trends in producers’ expectations, the nonlinear linkage with Uruguayan GDP and its implications in economic growth forecasting,"
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"Time-varying cointegration and the Kalman filter,"
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"The Phillips multiplier,"
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- Barnichon, Regis & Mesters, Geert, 2019. "Identifying Modern Macro Equations with Old Shocks," CEPR Discussion Papers 13765, C.E.P.R. Discussion Papers.
- Piotr Zwiernik & Majid M. Al-Sadoon, 2019.
"The Identification Problem for Linear Rational Expectations Models,"
Working Papers
1114, Barcelona School of Economics.
- Majid Al-Sadoon & Piotr Zwiernik, 2019. "The identification problem for linear rational expectations models," Economics Working Papers 1669, Department of Economics and Business, Universitat Pompeu Fabra.
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"Understanding the Size of the Government Spending Multiplier: It’s in the Sign,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(1), pages 87-117.
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- Régis Barnichon & Davide Debortoli & Christian Matthes, 2020. "Understanding the Size of the Government Spending Multiplier: It's in the Sign," Working Paper Series 2021-01, Federal Reserve Bank of San Francisco.
- Régis Barnichon & Davide Debortoli & Christian Matthes, 2019. "Understanding the size of the government spending multiplier: It’s in the sign," Economics Working Papers 1688, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2020.
- Régis Barnichon & Christian Matthes, 2017. "Understanding the Size of the Government Spending Multiplier: It's in the Sign," Working Paper 17-15, Federal Reserve Bank of Richmond.
- Christian Matthes & Davide Debortoli & Régis Barnichon, 2020. "Understanding the Size of the Government Spending Multiplier: It's in the Sign," Working Papers 1145, Barcelona School of Economics.
- Barnichon, Regis & Matthes, Christian, 2016. "Understanding the Size of the Government Spending Multiplier: It's in the Sign," CEPR Discussion Papers 11373, C.E.P.R. Discussion Papers.
- Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2024.
"From Fixed‐Event to Fixed‐Horizon Density Forecasts: Obtaining Measures of Multihorizon Uncertainty from Survey Density Forecasts,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(7), pages 1675-1704, October.
- Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019. "From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts," Working Papers 1947, Banco de España.
- Gergely Ganics & Tatevik Sekhposyan & Barbara Rossi, 2020. "From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts," Working Papers 1142, Barcelona School of Economics.
- Gergely Ganics & Barbara Rossi & Tatevik Sekhposyan, 2019. "From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts," Economics Working Papers 1689, Department of Economics and Business, Universitat Pompeu Fabra.
- Engelbert Stockhammer, 2019.
"Coupling cycle mechanisms: Minsky debt cycles and the multiplier-accelerator,"
Working Papers
PKWP1904, Post Keynesian Economics Society (PKES).
- S. Devrim Yilmaz & Engelbert Stockhammer, 2019. "Coupling Cycle Mechanisms: Minsky debt cycles and the Multiplier-Accelerator," CEPN Working Papers 2019-02, Centre d'Economie de l'Université de Paris Nord.
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- Federico Bassi, 2019. "Capacity Utilization and the NAIRCU - Evidences of Hysteresis in EU countries," CEPN Working Papers 2019-09, Centre d'Economie de l'Université de Paris Nord.
- Bolboaca, Maria, 2019. "The Impact of Technological Change," Economics Working Paper Series 1902, University of St. Gallen, School of Economics and Political Science.
- Mengheng Li & Ivan Mendieta-Munoz, 2019.
"The multivariate simultaneous unobserved components model and identification via heteroskedasticity,"
Working Paper Series
2019/08, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Ivan Mendieta-Munoz & Mengheng Li, 2019. "The Multivariate Simultaneous Unobserved Compenents Model and Identification via Heteroskedasticity," Working Paper Series, Department of Economics, University of Utah 2019_06, University of Utah, Department of Economics.
- Mengheng Li & Ivan Mendieta-Munoz, 2019. "The multivariate simultaneous unobserved components model and identification via heteroskedasticity," Working Paper Series 2019/08, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Qazi Haque & Leandro M. Magnusson & Kazuki Tomioka, 2021.
"Empirical Evidence on the Dynamics of Investment Under Uncertainty in the U.S,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1193-1217, October.
- Qazi Haque & Leandro M. Magnusson & Kazuki Tomioka, 2019. "Empirical Evidence on the Dynamics of Investment Under Uncertainty in the US," CAMA Working Papers 2019-87, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Qazi Haque & Leandro M. Magnusson & Kazuki Tomioka, 2019. "Empirical evidence on the dynamics of investment under uncertainty in the U.S," Economics Discussion / Working Papers 19-18, The University of Western Australia, Department of Economics.
- Litwiński Michł, 2019. "The Influence of Income Inequalities on Socio-Economic Development in the European Union," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(1), pages 45-60, March.
- Litwiński Michł, 2019. "The Influence of Income Inequalities on Socio-Economic Development in the European Union," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(1), pages 45-60, March.
- Shobande Olatunji A., 2019. "Monetary Policy Spillovers Through Industrial Growth in Nigeria: A Time Series Analysis," Economics and Business, Sciendo, vol. 33(1), pages 94-110, January.
- Sekuła Paweł, 2019. "Causality Analysis Between Stock Market Indices," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(1), pages 74-93, March.
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- Bechný Jakub, 2019. "Output gap in the Czech economy: DSGE approach," Review of Economic Perspectives, Sciendo, vol. 19(2), pages 137-156, June.
- Mavikela Nomahlubi & Mhaka Simba & Phiri Andrew, 2019.
"The Inflation-Growth Relationship in SSA Inflation-Targeting Countries,"
Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, vol. 64(2), pages 84-102, August.
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- Mavikela, Nomahlubi & Mhaka, Simba & Phiri, Andrew, 2018. "The inflation-growth relationship in SSA inflation targeting countries," MPRA Paper 82141, University Library of Munich, Germany.
- Yang Hu & Les Oxley & Chunlin Lang, 2019. "Can Economic Policy Uncertainty, Volume, Transaction Activity and Twitter Predict Bitcoin? Evidence from Time-Varying Granger Causality Tests," Working Papers in Economics 19/12, University of Waikato.
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- Gerard J. van den Berg & Bas van der Klaauw, 2019.
"Structural Empirical Evaluation Of Job Search Monitoring,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 60(2), pages 879-903, May.
- Van den Berg, Gerard & van der Klaauw, Bas, 2013. "Structural Empirical Evaluation of Job Search Monitoring," CEPR Discussion Papers 9751, C.E.P.R. Discussion Papers.
- van den Berg, Gerar J. & van der Klaauw, Bas, 2015. "Structural empirical evaluation of job search monitoring," Working Paper Series 2015:16, IFAU - Institute for Evaluation of Labour Market and Education Policy.
- van den Berg, Gerard J. & van der Klaauw, Bas, 2013. "Structural Empirical Evaluation of Job Search Monitoring," IZA Discussion Papers 7740, Institute of Labor Economics (IZA).
- Hilde C. Bjørnland & Leif Anders Thorsrud, 2019.
"Commodity prices and fiscal policy design: Procyclical despite a rule,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 161-180, March.
- Hilde C. Bjørnland & Leif Anders Thorsrud, 2015. "Commodity prices and fiscal policy design: Procyclical despite a rule," Working Papers No 5/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Hilde C. Bjornland & Leif Anders Thorsrud, 2016. "Commodity prices and fiscal policy design: Procyclical despite a rule," CAMA Working Papers 2016-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Michael W. McCracken & Joseph T. McGillicuddy, 2019.
"An empirical investigation of direct and iterated multistep conditional forecasts,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 181-204, March.
- Michael W. McCracken & Joseph McGillicuddy, 2017. "An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts," Working Papers 2017-40, Federal Reserve Bank of St. Louis.
- Gabriele Fiorentini & Enrique Sentana, 2019.
"Dynamic specification tests for dynamic factor models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 325-346, April.
- Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Econometrics Working Papers Archive 2018_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Matteo Barigozzi & Christian Brownlees, 2019.
"NETS: Network estimation for time series,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 347-364, April.
- Matteo Barigozzi & Christian T. Brownlees, 2013. "Nets: Network estimation for time series," Economics Working Papers 1391, Department of Economics and Business, Universitat Pompeu Fabra.
- Barigozzi, Matteo & Brownlees, Christian T., 2018. "Nets: network estimation for time series," LSE Research Online Documents on Economics 90493, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Christian Brownlees, 2015. "Nets: Network Estimation for Time Series," Working Papers 723, Barcelona School of Economics.
- Giovanni Angelini & Emanuele Bacchiocchi & Giovanni Caggiano & Luca Fanelli, 2019.
"Uncertainty across volatility regimes,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 437-455, April.
- Angelini, Giovanni & Bacchiocchi, Emanuele & Caggiano, Giovanni & Fanelli, Luca, 2017. "Uncertainty across volatility regimes," Bank of Finland Research Discussion Papers 35/2017, Bank of Finland.
- Giovanni Angelini & Emanuele Bacchiocchi & Giovanni Caggiano & Luca Fanelli, 2017. "Uncertainty Across Volatility Regimes," CESifo Working Paper Series 6799, CESifo.
- Anthony Garratt & Shaun P. Vahey & Yunyi Zhang, 2019.
"Real‐time forecast combinations for the oil price,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 456-462, April.
- Anthony Garratt & Shaun P. Vahey & Ynuyi Zhang, 2018. "Real-time Forecast Combinations for the Oil Price," National Institute of Economic and Social Research (NIESR) Discussion Papers 494, National Institute of Economic and Social Research.
- Anthony Garratt & Shaun P. Vahey & Yunyi Zhang, 2018. "Real-time forecast combinations for the oil price," CAMA Working Papers 2018-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Florian Huber & Gregor Kastner & Martin Feldkircher, 2019.
"Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 621-640, August.
- Florian Huber & Gregor Kastner & Martin Feldkircher, 2016. "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models," Papers 1607.04532, arXiv.org, revised Jul 2018.
- Huber, Florian & Kastner, Gregor & Feldkircher, Martin, 2018. "Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models," Working Papers in Economics 2018-5, University of Salzburg.
- Xin Jin & John M. Maheu & Qiao Yang, 2019.
"Bayesian parametric and semiparametric factor models for large realized covariance matrices,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 641-660, August.
- Jin, Xin & Maheu, John M & Yang, Qiao, 2017. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper 81920, University Library of Munich, Germany.
- Xin Jin & John M. Maheu & Qiao Yang, 2018. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," Working Paper series 18-02, Rimini Centre for Economic Analysis.
- Lucia Alessi & Mark Kerssenfischer, 2019.
"The response of asset prices to monetary policy shocks: Stronger than thought,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 661-672, August.
- Alessi, Lucia & Kerssenfischer, Mark, 2016. "The response of asset prices to monetary policy shocks: stronger than thought," Working Paper Series 1967, European Central Bank.
- Davaajargal Luvsannyam & Khuslen Batmunkh, 2019.
"A factor‐augmented vector autoregressive (FAVAR) approach for monetary policy: Replication of the empirical results in “measuring the effects of monetary policy”,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 820-821, August.
- Luvsannyam, Davaajargal & Batmunkh, Khuslen, 2018. "A Factor Augmented Vector Autoregressive (FAVAR) approach for Monetary Policy: Replication of the empirical results in “Measuring the effects of Monetary Policy”," MPRA Paper 89814, University Library of Munich, Germany.
- Giovanni Angelini & Luca Fanelli, 2019.
"Exogenous uncertainty and the identification of structural vector autoregressions with external instruments,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(6), pages 951-971, September.
- Angelini, Giovanni & Fanelli, Luca, 2018. "Exogenous uncertainty and the identification of Structural Vector Autoregressions with external instruments," MPRA Paper 93864, University Library of Munich, Germany, revised May 2019.
- George Kapetanios & Massimiliano Marcellino & Fabrizio Venditti, 2019.
"Large time‐varying parameter VARs: A nonparametric approach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1027-1049, November.
- Marcellino, Massimiliano & Kapetanios, George & Venditti, Fabrizio, 2016. "Large Time-Varying Parameter VARs: A Non-Parametric Approach," CEPR Discussion Papers 11560, C.E.P.R. Discussion Papers.
- George Kapetanios & Massimiliano Marcellino & Fabrizio Venditti, 2017. "Large time-varying parameter VARs: a non-parametric approach," Temi di discussione (Economic working papers) 1122, Bank of Italy, Economic Research and International Relations Area.
- Pablo Cuba‐Borda & Luca Guerrieri & Matteo Iacoviello & Molin Zhong, 2019.
"Likelihood evaluation of models with occasionally binding constraints,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1073-1085, November.
- Pablo A. Cuba-Borda & Luca Guerrieri & Matteo Iacoviello & Molin Zhong, 2019. "Likelihood Evaluation of Models with Occasionally Binding Constraints," Finance and Economics Discussion Series 2019-028, Board of Governors of the Federal Reserve System (U.S.).
- Wei Lin & Gloria González‐Rivera, 2019.
"Extreme returns and intensity of trading,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1121-1140, November.
- Gloria Gonzalez-Rivera & Wei Lin, 2016. "Extreme Returns and Intensity of Trading," Working Papers 201607, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Wei Lin, 2017. "Extreme Returns and Intensity of Trading," Working Papers 201801, University of California at Riverside, Department of Economics.
- Olesya Grishchenko & Sarah Mouabbi & Jean‐Paul Renne, 2019.
"Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(5), pages 1053-1096, August.
- Olesya V. Grishchenko & Sarah Mouabbi & Jean-Paul Renne, 2017. "Measuring Inflation Anchoring and Uncertainty : A US and Euro Area Comparison," Finance and Economics Discussion Series 2017-102, Board of Governors of the Federal Reserve System (U.S.).
- Zeyyad Mandalinci & Haroon Mumtaz, 2019.
"Global Economic Divergence and Portfolio Capital Flows to Emerging Markets,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(6), pages 1713-1730, September.
- Zeyyad Mandalinci & Haroon Mumtaz, 2015. "Global Economic Divergence and Portfolio Capital Flows to Emerging Markets," Working Papers 757, Queen Mary University of London, School of Economics and Finance.
- Jan Pablo Burgard & Matthias Neuenkirch & Matthias Nöckel, 2019.
"State‐Dependent Transmission of Monetary Policy in the Euro Area,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(7), pages 2053-2070, October.
- Jan Pablo Burgard & Matthias Neuenkirch & Matthias Nöckel, 2016. "State-Dependent Transmission of Monetary Policy in the Euro Area," Research Papers in Economics 2016-15, University of Trier, Department of Economics.
- Jan Pablo Burgard & Matthias Neuenkirch & Matthias Nöckel, 2018. "State-Dependent Transmission of Monetary Policy in the Euro Area," CESifo Working Paper Series 7074, CESifo.
- Martín Almuzara & Dante Amengual & Enrique Sentana, 2019.
"Normality tests for latent variables,"
Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
- Tincho Almuzara & Dante Amengual & Enrique Sentana, 2017. "Normality Tests for Latent Variables," Working Papers wp2017_1708, CEMFI.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2019. "Identification with External Instruments in Structural VARs under Partial Invertibility," The Warwick Economics Research Paper Series (TWERPS) 1213, University of Warwick, Department of Economics.
- Delle Monache, Davide & Petrella, Ivan, 2019.
"Efficient matrix approach for classical inference in state space models,"
Economics Letters, Elsevier, vol. 181(C), pages 22-27.
- Delle Monache, Davide & Petrella, Ivan, 2019. "Efficient Matrix Approach for Classical Inference in State Space Models," EMF Research Papers 19, Economic Modelling and Forecasting Group.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2018.
"Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017,"
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers
ESCoE DP-2018-14, Economic Statistics Centre of Excellence (ESCoE).
- Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2019. "Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017," EMF Research Papers 20, Economic Modelling and Forecasting Group.
- Anthony Garratt & Ivan Petrella, 2022.
"Commodity prices and inflation risk,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 392-414, March.
- Garratt, Anthony & Petrella, Ivan, 2019. "Commodity Prices and Inflation Risk," EMF Research Papers 23, Economic Modelling and Forecasting Group.
- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2021.
"Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1054-1065, October.
- Petrella, Ivan & Delle Monache, Davide & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," CEPR Discussion Papers 14107, C.E.P.R. Discussion Papers.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," EMF Research Papers 29, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2020. "Price dividend ratio and long-run stock returns: a score driven state space model," Temi di discussione (Economic working papers) 1296, Bank of Italy, Economic Research and International Relations Area.
- Delle Monache, Davide & Venditti, Fabrizio & Petrella, Ivan, 2020. "Price dividend ratio and long-run stock returns: a score driven state space model," Working Paper Series 2369, European Central Bank.
- Zezethu Zandile & Andrew Phiri, 2019.
"Fdi As A Contributing Factor To Economic Growth In Burkina Faso: How True Is This?,"
Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-27, March.
- Zandile, Zezethu & Phiri, Andrew, 2018. "FDI as a contributing factor to economic growth in Burkina Faso: How true is this?," MPRA Paper 87282, University Library of Munich, Germany.
- Zandile Zezethu & Andrew Phiri, 2018. "FDI as a contributing factor to economic growth in Burkina Faso: How true is this?," Working Papers 1823, Department of Economics, Nelson Mandela University.
- Rafal Weron & Florian Ziel, 2018.
"Electricity price forecasting,"
HSC Research Reports
HSC/18/08, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Katarzyna Maciejowska & Rafal Weron, 2019. "Electricity price forecasting," HSC Research Reports HSC/19/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Maciejowska, Katarzyna, 2020.
"Assessing the impact of renewable energy sources on the electricity price level and variability – A quantile regression approach,"
Energy Economics, Elsevier, vol. 85(C).
- Katarzyna Maciejowska, 2019. "Assessing the impact of renewable energy sources on the electricity price level and variability - a Quantile Regression approach," HSC Research Reports HSC/19/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Uniejewski, Bartosz & Weron, Rafał, 2021.
"Regularized quantile regression averaging for probabilistic electricity price forecasting,"
Energy Economics, Elsevier, vol. 95(C).
- Bartosz Uniejewski & Rafal Weron, 2019. "Regularized Quantile Regression Averaging for probabilistic electricity price forecasting," HSC Research Reports HSC/19/04, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Martínez-Iriarte, Julián & Sun, Yixiao & Wang, Xuexin, 2020.
"Asymptotic F tests under possibly weak identification,"
Journal of Econometrics, Elsevier, vol. 218(1), pages 140-177.
- Martínez-Iriarte, Julián & Sun, Yixiao & Wang, Xuexin, 2019. "Asymptotic F Tests under Possibly Weak Identification," University of California at San Diego, Economics Working Paper Series qt6qk200q8, Department of Economics, UC San Diego.
- Julian Martinez-Iriarte & Yixiao Sun & Xuexin Wang, 2019. "Asymptotic F Tests under Possibly Weak Identification," Working Papers 2019-03-12, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Ismail Olaleke Fasanya Oluwatomisin Oyewole Taofeek Agbatogun, 2019. "Measuring Return and Volatility Spillovers among Sectoral Stocks in Nigeria," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 22(2), pages 71-94, November.
- Breitenlechner, Max & Nuutilainen, Riikka, 2019. "China's monetary policy and the loan market: How strong is the credit channel in China?," BOFIT Discussion Papers 15/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
- Thomas A. Lubik & Christian Matthes & Fabio Verona, 2019.
"Assessing U.S. Aggregate Fluctuations Across Time and Frequencies,"
Working Paper
19-6, Federal Reserve Bank of Richmond.
- Lubik, Thomas A. & Matthes, Christian & Verona, Fabio, 2019. "Assessing U.S. aggregate fluctuations across time and frequencies," Bank of Finland Research Discussion Papers 5/2019, Bank of Finland.
- Ambrocio, Gene, 2019. "Measuring household uncertainty in EU countries," Bank of Finland Research Discussion Papers 17/2019, Bank of Finland.
- Bettendorf, Timo & Heinlein, Reinhold, 2019. "Connectedness between G10 currencies: Searching for the causal structure," Discussion Papers 06/2019, Deutsche Bundesbank.
- Kerssenfischer, Mark, 2019.
"Information Effects of Euro Area Monetary Policy: New evidence from high-frequency futures data,"
VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy
203524, Verein für Socialpolitik / German Economic Association.
- Kerssenfischer, Mark, 2019. "Information effects of euro area monetary policy: New evidence from high-frequency futures data," Discussion Papers 07/2019, Deutsche Bundesbank.
- Fischer, Henning & Stolper, Oscar, 2019. "The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants," Discussion Papers 08/2019, Deutsche Bundesbank.
- Hauber, Philipp & Schumacher, Christian & Zhang, Jiachun, 2019. "A flexible state-space model with lagged states and lagged dependent variables: Simulation smoothing," Discussion Papers 15/2019, Deutsche Bundesbank.
- Mandler, Martin & Scharnagl, Michael, 2022.
"Financial cycles across G7 economies: A view from wavelet analysis,"
The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
- Mandler, Martin & Scharnagl, Michael, 2019. "Financial cycles across G7 economies: A view from wavelet analysis," Discussion Papers 22/2019, Deutsche Bundesbank.
- Martin Mandler & Michael Scharnagl, 2020.
"Bank loan supply shocks and alternative financing of non‐financial corporations in the euro area,"
Manchester School, University of Manchester, vol. 88(S1), pages 126-150, September.
- Mandler, Martin & Scharnagl, Michael, 2019. "Bank loan supply shocks and alternative financing of non-financial corporations in the euro area," Discussion Papers 23/2019, Deutsche Bundesbank.
- Malte Knüppel & Fabian Krüger, 2022.
"Forecast uncertainty, disagreement, and the linear pool,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 23-41, January.
- Knüppel, Malte & Krüger, Fabian, 2017. "Forecast Uncertainty, Disagreement, and Linear Pools of Density Forecasts," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168294, Verein für Socialpolitik / German Economic Association.
- Knüppel, Malte & Krüger, Fabian, 2019. "Forecast uncertainty, disagreement, and the linear pool," Discussion Papers 28/2019, Deutsche Bundesbank.
- Nikolay Hristov & Markus Roth, 2019.
"Uncertainty Shocks and Financial Crisis Indicators,"
CESifo Working Paper Series
7839, CESifo.
- Hristov, Nikolay & Roth, Markus, 2019. "Uncertainty shocks and financial crisis indicators," Discussion Papers 36/2019, Deutsche Bundesbank.
- Eraslan, Sercan & Schröder, Maximilian, 2019. "Nowcasting GDP with a large factor model space," Discussion Papers 41/2019, Deutsche Bundesbank.
- Murach, Michael & Wagner, Helmut, 2019. "The effects of external shocks on the business cycle in China: A structural change perspective," CEAMeS Discussion Paper Series 1/2016, University of Hagen, Center for East Asia Macro-economic Studies (CEAMeS), revised 2019.
- Herwartz, Helmut & Lange, Alexander & Maxand, Simone, 2019. "Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle," University of Göttingen Working Papers in Economics 375, University of Goettingen, Department of Economics.
- Assenmacher-Wesche, Katrin & Beyer, Andreas, 2019.
"A cointegration model of money and wealth,"
CFS Working Paper Series
619, Center for Financial Studies (CFS).
- Assenmacher, Katrin & Beyer, Andreas, 2020. "A cointegration model of money and wealth," Working Paper Series 2365, European Central Bank.
- Krüger, Jens & Ruths Sion, Sebastian, 2019. "Improving oil price forecasts by sparse VAR methods," Darmstadt Discussion Papers in Economics 237, Darmstadt University of Technology, Department of Law and Economics.
- Konstantin A. Kholodilin & Aleksei Netsunajev, 2019.
"Crimea and punishment: the impact of sanctions on Russian economy and economies of the euro area,"
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"Spillovers from the ECB's Non-standard Monetary Policy Measures on Southeastern Europe,"
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"Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed Since the Crisis?,"
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"Identifying Dornbusch's Exchange Rate Overshooting with Structural VECs: Evidence from Mexico,"
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"The Effects Of Asset Purchases And Normalization Of U.S. Monetary Policy,"
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"Macroeconomic Regimes, Technological Shocks and Employment Dynamics,"
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"Macroeconomic Regimes, Technological Shocks and Employment Dynamics,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 599-625, August.
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"The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 46(2), pages 353-368, May.
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"Testing DSGE Models by Indirect Inference: a Survey of Recent Findings,"
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"Can Consumption Growth in China Keep Up as Investment Slows?,"
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"Desperate Times Call For Desperate Measures: Government Spending Multipliers In Hard Times,"
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"Economic growth, environmental degradation and business cycles in Eswatini,"
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"The human capital–economic growth nexus in SSA countries: what can strengthen the relationship?,"
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"Virtual Historical Simulation for estimating the conditional VaR of large portfolios,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 356-380.
- Christian Francq & Jean-Michel Zakoian, 2019. "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Papers 1909.04661, arXiv.org.
- Francq, Christian & Zakoian, Jean-Michel, 2019. "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," MPRA Paper 95965, University Library of Munich, Germany.
- Dean Fantazzini & Stephan Zimin, 2020.
"A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies,"
Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 19-69, March.
- Fantazzini, Dean & Zimin, Stephan, 2019. "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," MPRA Paper 95988, University Library of Munich, Germany.
- Bhadury, Soumya & Ghosh, Saurabh & Kumar, Pankaj, 2019. "Nowcasting GDP Growth Using a Coincident Economic Indicator for India," MPRA Paper 96007, University Library of Munich, Germany.
- Chatziantoniou, Ioannis & Degiannakis, Stavros & Delis, Panagiotis & Filis, George, 2019. "Can spillover effects provide forecasting gains? The case of oil price volatility," MPRA Paper 96266, University Library of Munich, Germany.
- Maas, Benedikt, 2019. "Nowcasting and forecasting US recessions: Evidence from the Super Learner," MPRA Paper 96408, University Library of Munich, Germany.
- Valdivia Coria, Joab Dan & Valdivia Coria, Daney David, 2019. "Construcción de una Bolivia artificial: Efectos de la Política Económica desde 2006 [Construction of an artificial Bolivia: Effects of the Economic Policy since 2006]," MPRA Paper 96626, University Library of Munich, Germany.
- Kuikeu, Oscar, 2019. "Le syndrome hollandais en zone CEMAC: une approche par la modélisation VAR structurelle [The Dutch Disease in CEMAC: an assessment with the Structural VAR methodology]," MPRA Paper 96813, University Library of Munich, Germany.
- Jackson, Emerson Abraham & Tamuke, Edmund, 2019.
"Predicting disaggregated tourist arrivals in Sierra Leone using ARIMA model,"
EconStor Preprints
202547, ZBW - Leibniz Information Centre for Economics.
- Jackson, Emerson Abraham & Tamuke, Edmund, 2019. "Predicting disaggregated tourist arrivals in Sierra Leone using ARIMA model," MPRA Paper 96845, University Library of Munich, Germany, revised 23 Dec 2019.
- Pincheira, Pablo & Hardy, Nicolás, 2021.
"Forecasting aluminum prices with commodity currencies,"
Resources Policy, Elsevier, vol. 73(C).
- Pincheira, Pablo & Hardy, Nicolás, 2019. "Forecasting Aluminum Prices with Commodity Currencies," MPRA Paper 97005, University Library of Munich, Germany.
- Kurovskiy, Gleb, 2019. "Disentanglement of natural interest rate shocks and monetary policy shocks nexus," MPRA Paper 97547, University Library of Munich, Germany.
- Salamaliki, Paraskevi, 2019. "Assessing labor market conditions in Greece: a note," MPRA Paper 97559, University Library of Munich, Germany.
- Mansur, Alfan, 2019.
"Sharia Banking Dynamics and the Macroeconomic Responses: Evidence from Indonesia,"
Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 53(2), pages 139-152.
- Mansur, Alfan, 2019. "Sharia Banking Dynamics and the Macroeconomic Responses: Evidence from Indonesia," MPRA Paper 97883, University Library of Munich, Germany, revised 02 Oct 2019.
- Chuluunbayar, Delgerjargal, 2019. "Output Composition of Monetary Policy Transmission in Mongolia," MPRA Paper 98111, University Library of Munich, Germany.
- Zikidou, Stavroula & Hadjidema, Stamatina, 2019. "Households Health Expenditure in interannual correlation with Public Health Expenditure in Greece," MPRA Paper 98907, University Library of Munich, Germany.
- Lusompa, Amaze, 2019.
"Local Projections, Autocorrelation, and Efficiency,"
MPRA Paper
99856, University Library of Munich, Germany, revised 11 Apr 2020.
- Amaze Lusompa, 2021. "Local Projections, Autocorrelation, and Efficiency," Research Working Paper RWP 21-01, Federal Reserve Bank of Kansas City.
- Plakandaras, Vasilios & Tiwari, Aviral Kumar & Gupta, Rangan & Ji, Qiang, 2020.
"Spillover of sentiment in the European Union: Evidence from time- and frequency-domains,"
International Review of Economics & Finance, Elsevier, vol. 68(C), pages 105-130.
- Vasilios Plakandaras & Aviral Kumar Tiwari & Rangan Gupta & Qiang Ji, 2019. "Spillover of Sentiment in the European Union: Evidence from Time- and Frequency-Domains," Working Papers 201909, University of Pretoria, Department of Economics.
- Rangan Gupta & Chi-Keung (Marco) Lau & Xin Sheng, 2019. "Macroeconomic Uncertainty Connections across the US States: Evidence from a Bayesian Graphical Structural VAR (BGSVAR) Model," Working Papers 201910, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2019. "The Risk Exposures of Safe Havens to Global and Regional Stock Market Shocks: A Novel Approach," Working Papers 201915, University of Pretoria, Department of Economics.
- Marfatia, Hardik A. & Gupta, Rangan & Cakan, Esin, 2021.
"Dynamic impact of the U.S. monetary policy on oil market returns and volatility,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 159-169.
- Hardik A. Marfatia & Rangan Gupta & Esin Cakan, 2019. "Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility," Working Papers 201916, University of Pretoria, Department of Economics.
- Goodness C. Aye, 2019. "Fiscal Policy Uncertainty and Economic Activity in South Africa: An Asymmetric Analysis," Working Papers 201922, University of Pretoria, Department of Economics.
- Goodness C. Aye, 2019. "Short and Long Run Asymmetric Effects of Monetary and Fiscal Policy Uncertainty on Economic Activity in the U.S," Working Papers 201923, University of Pretoria, Department of Economics.
- Manabu Asai & Rangan Gupta & Michael McAleer, 2019.
"The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures,"
Energies, MDPI, vol. 12(17), pages 1-17, September.
- Manabu Asai & Rangan Gupta & Michael McAleer, 2019. "The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures," Documentos de Trabajo del ICAE 2019-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Rangan Gupta & Michael McAleer, 2019. "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Working Papers 201925, University of Pretoria, Department of Economics.
- Asai, M. & Gupta, R. & McAleer, M.J., 2019. "The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures," Econometric Institute Research Papers EI2019-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Nazlioglu, Saban & Gupta, Rangan & Bouri, Elie, 2020.
"Movements in international bond markets: The role of oil prices,"
International Review of Economics & Finance, Elsevier, vol. 68(C), pages 47-58.
- Saban Nazlioglu & Rangan Gupta & Elie Bouri, 2019. "Movements in International Bond Markets: The Role of Oil Prices," Working Papers 201935, University of Pretoria, Department of Economics.
- Rangan Gupta & Hardik A. Marfatia & Eric Olson, 2020.
"Effect of uncertainty on U.S. stock returns and volatility: evidence from over eighty years of high-frequency data,"
Applied Economics Letters, Taylor & Francis Journals, vol. 27(16), pages 1305-1311, September.
- Rangan Gupta & Hardik A. Marfatia & Eric Olson, 2019. "Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data," Working Papers 201942, University of Pretoria, Department of Economics.
- Gabauer, David & Gupta, Rangan, 2020.
"Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach,"
Structural Change and Economic Dynamics, Elsevier, vol. 52(C), pages 167-173.
- David Gabauer & Rangan Gupta, 2019. "Spillovers across Macroeconomic, Financial and Real Estate Uncertainties: A Time-Varying Approach," Working Papers 201944, University of Pretoria, Department of Economics.
- Aviral Kumar Tiwari & Christophe André & Rangan Gupta, 2020.
"Spillovers between US real estate and financial assets in time and frequency domains,"
Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 38(6), pages 525-537, April.
- Aviral Kumar Tiwari & Christophe Andre & Rangan Gupta, 2019. "Spillovers between US Real Estate and Financial Assets in Time and Frequency Domains," Working Papers 201947, University of Pretoria, Department of Economics.
- Asai, Manabu & Gupta, Rangan & McAleer, Michael, 2020.
"Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks,"
International Journal of Forecasting, Elsevier, vol. 36(3), pages 933-948.
- Manabu Asai & Rangan Gupta & Michael McAleer, 2019. "Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks," Working Papers 201951, University of Pretoria, Department of Economics.
- Petre Caraiani & Rangan Gupta & Chi Keung Marco Lau & Hardik A. Marfatia, 2022.
"Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment,"
Journal of Behavioral Finance, Taylor & Francis Journals, vol. 23(3), pages 241-261, July.
- Petre Caraiani & Rangan Gupta & Chi Keung Marco Lau & Hardik A. Marfatia, 2019. "Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment," Working Papers 201953, University of Pretoria, Department of Economics.
- Nazlioglu, Saban & Gupta, Rangan & Gormus, Alper & Soytas, Ugur, 2020.
"Price and volatility linkages between international REITs and oil markets,"
Energy Economics, Elsevier, vol. 88(C).
- Saban Nazlioglu & Rangan Gupta & Alper Gormus & Ugur Soytas, 2019. "Price and Volatility Linkages between International REITs and Oil Markets," Working Papers 201954, University of Pretoria, Department of Economics.
- Bouri, Elie & Gupta, Rangan, 2021.
"Predicting Bitcoin returns: Comparing the roles of newspaper- and internet search-based measures of uncertainty,"
Finance Research Letters, Elsevier, vol. 38(C).
- Elie Bouri & Rangan Gupta, 2019. "Predicting Bitcoin Returns: Comparing the Roles of Newspaper- and Internet Search-Based Measures of Uncertainty," Working Papers 201955, University of Pretoria, Department of Economics.
- Hardik A. Marfatia & Rangan Gupta & Stephen M. Miller, 2019.
"125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets,"
Working Papers
201956, University of Pretoria, Department of Economics.
- Hardik A. Marfatia & Rangan Gupta & Stephen M. Miller, 2020. "125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets," Working papers 2020-12, University of Connecticut, Department of Economics.
- Yener Coskun & Christos Bouras & Rangan Gupta & Mark E. Wohar, 2021.
"Multi-Horizon Financial and Housing Wealth Effects across the U.S. States,"
Sustainability, MDPI, vol. 13(3), pages 1-20, January.
- Yener Coskun & Christos Bouras & Rangan Gupta & Mark E. Wohar, 2019. "Multi-Horizon Financial and Housing Wealth Effects across the U.S. States," Working Papers 201958, University of Pretoria, Department of Economics.
- Rangan Gupta & Xiaojin Sun, 2019. "Forecasting Economic Policy Uncertainty of BRIC Countries Using Bayesian VARs," Working Papers 201961, University of Pretoria, Department of Economics.
- Christou, Christina & Gabauer, David & Gupta, Rangan, 2020.
"Time-Varying impact of uncertainty shocks on macroeconomic variables of the united kingdom: Evidence from over 150 years of monthly data,"
Finance Research Letters, Elsevier, vol. 37(C).
- Christina Christou & David Gabauer & Rangan Gupta, 2019. "Time-Varying Impact of Uncertainty Shocks on Macroeconomic Variables of the United Kingdom: Evidence from Over 150 Years of Monthly Data," Working Papers 201962, University of Pretoria, Department of Economics.
- Bonato, Matteo & Gupta, Rangan & Lau, Chi Keung Marco & Wang, Shixuan, 2020.
"Moments-based spillovers across gold and oil markets,"
Energy Economics, Elsevier, vol. 89(C).
- Matteo Bonato & Rangan Gupta & Chi Keung Marco Lau & Shixuan Wang, 2019. "Moments-Based Spillovers across Gold and Oil Markets," Working Papers 201966, University of Pretoria, Department of Economics.
- Mehmet Balcilar & George Ike & Rangan Gupta, 2022.
"The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets: A Mixed-Frequency Granger Causality Approach,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 58(4), pages 1008-1026, March.
- Mehmet Balcilar & George Ike & Rangan Gupta, 2019. "The Role of Economic Policy Uncertainty in Predicting Output Growth in Emerging Markets: A Mixed-Frequency Granger Causality Approach," Working Papers 201975, University of Pretoria, Department of Economics.
- Salisu, Afees A. & Gupta, Rangan, 2021.
"Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach,"
Global Finance Journal, Elsevier, vol. 48(C).
- Afees A. Salisu & Rangan Gupta, 2019. "Oil Shocks and Stock Market Volatility of the BRICS: A GARCH-MIDAS Approach," Working Papers 201976, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Edmond Berisha & Oğuzhan Çepni & Rangan Gupta, 2022.
"The predictive power of the term spread on inequality in the United Kingdom: An empirical analysis,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1979-1988, April.
- Mehmet Balcilar & Edmond Berisha & Oguzhan Cepni & Rangan Gupta, 2019. "The Predictive Power of the Term Spread on Inequality in the United Kingdom: An Empirical Analysis," Working Papers 201981, University of Pretoria, Department of Economics.
- Aviral Kumar Tiwari & Micheal Kofi Boachie & Rangan Gupta, 2021.
"Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory,"
Advances in Decision Sciences, Asia University, Taiwan, vol. 25(1), pages 188-215, March.
- Aviral Kumar Tiwari & Micheal Kofi Boachie & Rangan Gupta, 2019. "Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory," Working Papers 201982, University of Pretoria, Department of Economics.
- Jakub Bechný, 2019. "Unemployment Hysteresis in the Czech Republic," Prague Economic Papers, Prague University of Economics and Business, vol. 2019(5), pages 532-546.
- Tomáš Šestořád, 2019. "Multiplikátor vládních výdajů při nulové nominální úrokové míře [Government Expenditure Multiplier at Zero Nominal Interest Rate]," Politická ekonomie, Prague University of Economics and Business, vol. 2019(1), pages 20-47.
- Karol Szomolányi & Martin Lukáčik & Adriana Lukáčiková, 2019. "Odhad elasticity substitúcie vstupov v slovenskej ekonomike [Estimate of Elasticity of Substitution of Inputs in Slovak Economy]," Politická ekonomie, Prague University of Economics and Business, vol. 2019(6), pages 611-630.
- Michał Gradzewicz, 2019. "How do savings of different sectors respond to interest rate change?," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 11(1), pages 1-22, March.
- Justyna Wróblewska & Anna Pajor, 2019. "One-period joint forecasts of Polish inflation, unemployment and interest rate using Bayesian VEC-MSF models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 11(1), pages 23-45, March.
- Livia Carolina Machado Melo & Cleomar Gomes da Silva, 2019. "An Analysis of the Interaction Between Monetary and Fiscal Policies in Brazil," PSL Quarterly Review, Economia civile, vol. 72(288), pages 53-71.
- António Rua, 2019. "Modelling the Demand for Euro Banknotes," Working Papers w201905, Banco de Portugal, Economics and Research Department.
- Rodrigues, Paulo M.M. & Sibbertsen, Philipp & Voges, Michelle, 2019.
"Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium,"
Hannover Economic Papers (HEP)
dp-656, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Paulo M.M. Rodrigues & Philipp Sibbertsen, 2019. "Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium," Working Papers w201912, Banco de Portugal, Economics and Research Department.
- Nielsen, Morten Ørregaard & Seo, Won-Ki & Seong, Dakyung, 2023.
"Inference On The Dimension Of The Nonstationary Subspace In Functional Time Series,"
Econometric Theory, Cambridge University Press, vol. 39(3), pages 443-480, June.
- Morten Ørregaard Nielsen & Won-Ki Seo & Dakyung Seong, 2020. "Inference on the dimension of the nonstationary subspace in functional time series," Working Paper 1420, Economics Department, Queen's University.
- Morten Ørregaard Nielsen & Wonk-ki Seo & Dakyung Seong, 2022. "Inference on the dimension of the nonstationary subspace in functional time series," CREATES Research Papers 2022-04, Department of Economics and Business Economics, Aarhus University.
- Zakipour-Saber, Shayan, 2019.
"State-dependent Monetary Policy Regimes,"
Research Technical Papers
4/RT/19, Central Bank of Ireland.
- Shayan Zakipour-Saber, 2019. "State-dependent Monetary Policy Regimes," Working Papers 882, Queen Mary University of London, School of Economics and Finance.
- Alessio Volpicella, 2022.
"SVARs Identification Through Bounds on the Forecast Error Variance,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1291-1301, June.
- Alessio Volpicella, 2019. "SVARs Identification through Bounds on the Forecast Error Variance," Working Papers 890, Queen Mary University of London, School of Economics and Finance.
- Germano Ruisi, 2019. "Time-Varying Local Projections," Working Papers 891, Queen Mary University of London, School of Economics and Finance.
- Efrosiniya Karatetskaya & Valeriya Lakshina, 2019. "Volatility spillovers with spatial effects in the oil and gas market (in Russian)," Quantile, Quantile, issue 14, pages 83-95, June.
- Alexander Ballantyne & Tom Cusbert & Richard Evans & Rochelle Guttmann & Jonathan Hambur & Adam Hamilton & Elizabeth Kendall & Rachael McCririck & Gabriela Nodari & Daniel M. Rees, 2020.
"MARTIN Has Its Place: A Macroeconometric Model of the Australian Economy,"
The Economic Record, The Economic Society of Australia, vol. 96(314), pages 225-251, September.
- Alexander Ballantyne & Tom Cusbert & Richard Evans & Rochelle Guttmann & Jonathan Hambur & Adam Hamilton & Elizabeth Kendall & Rachael McCririck & Gabriela Nodari & Daniel Rees, 2019. "MARTIN Has Its Place: A Macroeconometric Model of the Australian Economy," RBA Research Discussion Papers rdp2019-07, Reserve Bank of Australia.
- Francesco Furlanetto & Orjan Robstad, 2019.
"Immigration and the macroeconomy: some new empirical evidence,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 34, pages 1-19, October.
- Francesco Furlanetto & Orjan Robstad, 2019. "Online Appendix to "Immigration and the macroeconomy: some new empirical evidence"," Online Appendices 18-245, Review of Economic Dynamics.
- Francesco Furlanetto & Orjan Robstad, 2019.
"Immigration and the macroeconomy: some new empirical evidence,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 34, pages 1-19, October.
- Francesco Furlanetto & Orjan Robstad, 2019. "Code and data files for "Immigration and the macroeconomy: some new empirical evidence"," Computer Codes 18-245, Review of Economic Dynamics.
- Paul Beaudry & Patrick Feve & Alain Guay & Franck Portier, 2019.
"When is Nonfundamentalness in SVARs a Real Problem?,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 34, pages 221-243, October.
- Paul Beaudry & Patrick Feve & Alain Guay & Franck Portier, 2019. "Code and data files for "When is Nonfundamentalness in SVARs a Real Problem?"," Computer Codes 18-478, Review of Economic Dynamics.
- Francesco Furlanetto & Orjan Robstad, 2019.
"Immigration and the macroeconomy: some new empirical evidence,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 34, pages 1-19, October.
- Francesco Furlanetto & Ørjan Robstad, 2016. "Immigration and the macroeconomy: some new empirical evidence," Working Paper 2016/18, Norges Bank.
- Francesco Furlanetto & Orjan Robstad, 2019. "Online Appendix to "Immigration and the macroeconomy: some new empirical evidence"," Online Appendices 18-245, Review of Economic Dynamics.
- Francesco Furlanetto & Ørjan Robstad, 2017. "Immigration and the macroeconomy: some new empirical evidence," Working Papers 1716, Banco de España.
- Francesco Furlanetto & Orjan Robstad, 2019. "Code and data files for "Immigration and the macroeconomy: some new empirical evidence"," Computer Codes 18-245, Review of Economic Dynamics.
- Fève, Patrick & Moura, Alban & Pierrard, Olivier, 2022.
"The fall in shadow banking and the slow U.S. recovery,"
Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
- Fève, Patrick & Moura, Alban & Pierrard, Olivier, 2019. "Shadow Banking and the Great Recession: Evidence from an Estimated DSGE Model," TSE Working Papers 19-996, Toulouse School of Economics (TSE).
- Patrick Feve, 2019. "Shadow Banking and the Great Recession," 2019 Meeting Papers 199, Society for Economic Dynamics.
- Patrick Fève & Alban Moura & Olivier Pierrard, 2019. "Shadow banking and the Great Recession: Evidence from an estimated DSGE model," BCL working papers 125, Central Bank of Luxembourg.
- Francesco Bianchi & Howard Kung & Mikhail Tirskikh, 2023.
"The origins and effects of macroeconomic uncertainty,"
Quantitative Economics, Econometric Society, vol. 14(3), pages 855-896, July.
- Francesco Bianchi & Howard Kung & Mikhail Tirskikh, 2018. "The Origins and Effects of Macroeconomic Uncertainty," NBER Working Papers 25386, National Bureau of Economic Research, Inc.
- Francesco Bianchi & Howard Kung & Mikhail Tirskikh, 2019. "The Origins and Effects of Macroeconomic Uncertainty," 2019 Meeting Papers 245, Society for Economic Dynamics.
- Bianchi, Francesco & Kung, Howard & Tirskikh, Mikhail, 2019. "The Origins and Effects of Macroeconomic Uncertainty," CEPR Discussion Papers 13450, C.E.P.R. Discussion Papers.
- Ho, Paul, 2023.
"Global robust Bayesian analysis in large models,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 608-642.
- Paul Ho, 2019. "Global Robust Bayesian Analysis in Large Models," 2019 Meeting Papers 390, Society for Economic Dynamics.
- Paul Ho, 2020. "Global Robust Bayesian Analysis in Large Models," Working Paper 20-07, Federal Reserve Bank of Richmond.
- Andrew Foerster & Andreas Hornstein & Pierre-Daniel Sarte & Mark W. Watson, 2019.
"Aggregate Implications of Changing Sectoral Trends,"
NBER Working Papers
25867, National Bureau of Economic Research, Inc.
- Andrew Foerster & Andreas Hornstein & Mark Watson & Pierre-Daniel Sarte, 2019. "Sectoral and Aggregate Structural Change," 2019 Meeting Papers 532, Society for Economic Dynamics.
- Andrew Foerster & Andreas Hornstein & Pierre-Daniel G. Sarte & Mark W. Watson, 2019. "Aggregate Implications of Changing Sectoral Trends," Working Paper 19-11, Federal Reserve Bank of Richmond.
- Sima Siami-Namini, 2019. "Volatility Transmission Among Oil Price, Exchange Rate and Agricultural Commodities Prices," Applied Economics and Finance, Redfame publishing, vol. 6(4), pages 41-61, July.
- Tersoo Shimonkabir SHITILE & Abubakar SULE, 2019. "Welfare Effect of Monetary Financing," Applied Economics and Finance, Redfame publishing, vol. 6(5), pages 145-157, September.
- Kai-Hua Wang & Chi-Wei Su & Ran Tao, 2019. "Does the Mundell-Fleming model fit in China?," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(1), pages 11-28.
- Davinson Stev Abril‐Salcedo & Luis Fernando Melo‐Velandia & Daniel Parra‐Amado, 2020.
"Nonlinear relationship between the weather phenomenon El niño and Colombian food prices,"
Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 64(4), pages 1059-1086, October.
- Abril-Salcedo, Davinson Stev & Melo-Velandia, Luis Fernando & Parra-Amado, Daniel, 2020. "Nonlinear relationship between the weather phenomenon El ni~no and Colombian food prices," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 64(04), January.
- Davinson Stev Abril Salcedo & Luis Fernando Melo-Velandia & Daniel Parra-Amado, 2019. "Nonlinear relationship between the weather phenomenon El Niño and Colombian food prices," Borradores de Economia 1085, Banco de la Republica de Colombia.
- Melo-Velandia, Luis Fernando & Parra-Amado, Daniel & Abril-Salcedo, Davinson Stev, 2019. "Nonlinear relationship between the weather phenomenon El Niño and Colombian food prices," Working papers 23, Red Investigadores de Economía.
- Oscar Becerra & Luis Fernando Melo, 2008.
"Medidas De Riesgo Financiero Usando Cópulas: Teoría Y Aplicaciones,"
Borradores de Economia
4523, Banco de la Republica.
- Becerra, Oscar & Melo-Velandia, Luis Fernando, 2019. "Medidas de riesgo financiero usando cópulas: teoría y aplicaciones," Working papers 7, Red Investigadores de Economía.
- Oscar Becerra & Luis Fernando Melo, 2008. "Medidas de riesgo financiero usando cópulas: teoría y aplicaciones," Borradores de Economia 489, Banco de la Republica de Colombia.
- Melo, Luis F. & Loaiza, Rubén A. & Villamizar-Villegas, Mauricio, 2016.
"Bayesian combination for inflation forecasts: The effects of a prior based on central banks’ estimates,"
Economic Systems, Elsevier, vol. 40(3), pages 387-397.
- Luis F. Melo Velandia & Rubén A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Borradores de Economia 12323, Banco de la Republica.
- Melo-Velandia, Luis Fernando & Loaiza, Rubén & Villamizar-Villegas, Mauricio, 2019. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Working papers 8, Red Investigadores de Economía.
- Luis F. Melo Velandia & Rubén A. Loaiza Maya & Mauricio Villamizar-Villegas, 2014. "Bayesian Combination for Inflation Forecasts: The Effects of a Prior Based on Central Banks’ Estimates," Borradores de Economia 853, Banco de la Republica de Colombia.
- Athanasios Triantafyllou & Dimitrios Bakas & Marilou Ioakimidis, 2023.
"Commodity price uncertainty as a leading indicator of economic activity,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4194-4219, October.
- Athanasios Triantafyllou & Dimitrios Bakas & Marilou Ioakimidis, 2019. "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Working Paper series 19-03, Rimini Centre for Economic Analysis.
- Bakas, Dimitrios & Ioakimidis, Marilou & Triantafyllou, Athanasios, 2020. "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Essex Finance Centre Working Papers 27361, University of Essex, Essex Business School.
- Chatzitzisi, Evanthia & Fountas, Stilianos & Panagiotidis, Theodore, 2021.
"Another look at calendar anomalies,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 823-840.
- Evanthia Chatzitzisi & Stilianos Fountas & Theodore Panagiotidis, 2019. "Another Look at Calendar Anomalies," Discussion Paper Series 2019_02, Department of Economics, University of Macedonia, revised Feb 2019.
- Evanthia Chatzitzisi & Stilianos Fountas & Theodore Panagiotidis, 2019. "Another Look at Calendar Anomalies," Working Paper series 19-07, Rimini Centre for Economic Analysis.
- Sen Gupta, Abhijit & Iyer, Tara, 2019. "Quarterly Forecasting Model for India’s Economic Growth: Bayesian Vector Autoregression Approach," ADB Economics Working Paper Series 573, Asian Development Bank.
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"Maximum Likelihood Estimation for the Fractional Vasicek Model,"
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"Investor Sentiment and Crash Risk in Safe Havens,"
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"Fiscal reaction functions for the advanced economies revisited,"
Empirical Economics, Springer, vol. 62(6), pages 2865-2891, June.
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"Wage Dynamics and Bulgaria: Co-movement and Causality,"
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"Volatility spillovers among global stock markets: measuring total and directional effects,"
Empirical Economics, Springer, vol. 56(5), pages 1581-1599, May.
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"Asymmetric dynamics of insurance premium: the impacts of output and economic policy uncertainty,"
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"Review of Solution and Estimation Methods for Nonlinear Dynamic Stochastic General Equilibrium Models with the Zero Lower Bound,"
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"The Australian real-time fiscal database: An overview and an illustration of its use in analysing planned and realised fiscal policies,"
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"How resilient is ASEAN-5 to trade shocks? Regional and global shocks compared,"
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"Dutch disease dynamics reconsidered,"
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"Empirical Evidence on the Dynamics of Investment Under Uncertainty in the U.S,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1193-1217, October.
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"The Industrial Impact of Economic Uncertainty Shocks in Australia,"
Economic Papers, The Economic Society of Australia, vol. 40(3), pages 248-271, September.
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"Health care investments and economic performance in Portugal: an industry level analysis,"
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"What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model,"
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"The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures,"
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"European Gas Markets, Trading Hubs, and Price Formation: A Network Perspective,"
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"Analyzing the Dynamic Relationships between Physical Infrastructure, Financial Development and Economic Growth in India,"
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"Testing the Friedman-Schwartz hypothesis using time varying correlation,"
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"Response Surface Regressions for Critical Value Bounds and Approximate p‐values in Equilibrium Correction Models,"
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"Financial reforms and industrialisation: evidence from Nigeria,"
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"Financial and fiscal interaction in the Euro Area crisis: This time was different,"
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"Assessing international commonality in macroeconomic uncertainty and its effects,"
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"A new look at historical monetary policy (and the great inflation) through the lens of a persistence-dependent policy rule,"
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"Likelihood evaluation of models with occasionally binding constraints,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1073-1085, November.
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"Oil Price Pass-through into Core Inflation,"
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"Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed Since the Crisis?,"
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"Assessing U.S. aggregate fluctuations across time and frequencies,"
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"Aggregate Implications of Changing Sectoral Trends,"
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"Indeterminacy and Imperfect Information,"
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"Dynamic specification tests for dynamic factor models,"
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"Realized Variance Modeling: Decoupling Forecasting from Estimation,"
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"Bayesian Analysis of Coefficient Instability in Dynamic Regressions,"
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"The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures,"
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"Modeling the Relationship between Crude Oil and Agricultural Commodity Prices,"
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"Comparing the forecasting ability of financial conditions indices: The case of South Africa,"
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"Bayesian Analysis of Realized Matrix-Exponential GARCH Models,"
Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 103-123, January.
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"The fiction of full BEKK: Pricing fossil fuels and carbon emissions,"
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"Risk Spillovers in Returns for Chinese and International Tourists to Taiwan,"
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"Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs,"
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2018-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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"Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK,"
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"Asymptotic Theory for Rotated Multivariate GARCH Models,"
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2018-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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"Long Run Returns Predictability and Volatility with Moving Averages,"
Risks, MDPI, vol. 6(4), pages 1-18, September.
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"Market Timing with Moving Averages for Fossil Fuel and Renewable Energy Stocks,"
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2018-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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"Modeling the Relationship between Crude Oil and Agricultural Commodity Prices,"
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"Dynamics of Tokyo Electric Power Company and the Nikkei: 1985 to 2016 including the Fukushima disaster,"
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"Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities,"
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"What are the macroeconomic effects of high‐frequency uncertainty shocks?,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 662-679, August.
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"Volatility spillover shifts in global financial markets,"
Economic Modelling, Elsevier, vol. 73(C), pages 343-353.
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"Environment-energy-growth nexus in Sub-Saharan Africa: The role of intermediate goods,"
International Economics, CEPII research center, issue 156, pages 254-267.
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"On the robustness of portfolio allocation under copula misspecification,"
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"Asymptotics of Cholesky GARCH models and time-varying conditional betas,"
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"Asymptotics of Cholesky GARCH models and time-varying conditional betas,"
Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
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"Forecasting US GNP growth: The role of uncertainty,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 541-559, August.
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- Christina Christou & Rangan Gupta & Christis Hassapis & Tahir Suleman, 2018.
"The role of economic uncertainty in forecasting exchange rate returns and realized volatility: Evidence from quantile predictive regressions,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(7), pages 705-719, November.
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"Economic significance of commodity return forecasts from the fractionally cointegrated VAR model,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 219-242, February.
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"A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 5-53, February.
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"Cyclical Changes in Firm Volatility,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(2-3), pages 317-349, March.
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"International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(2-3), pages 545-563, March.
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"Measuring Inflation Expectations Uncertainty Using High‐Frequency Data,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(6), pages 1139-1166, September.
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"An Inflation‐Predicting Measure of the Output Gap in the Euro Area,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(6), pages 1189-1224, September.
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"The Effects of Oil Supply and Demand Shocks on U.S. Consumer Sentiment,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(7), pages 1617-1644, October.
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"The State‐Level Impact of Uncertainty Shocks,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(8), pages 1879-1899, December.
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"Inference for VARs identified with sign restrictions,"
Quantitative Economics, Econometric Society, vol. 9(3), pages 1087-1121, November.
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"Quasi‐Bayesian model selection,"
Quantitative Economics, Econometric Society, vol. 9(3), pages 1265-1297, November.
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- Silvia Miranda-Agrippino & Giovanni Ricco, 2018.
"Bayesian vector autoregressions,"
Documents de Travail de l'OFCE
2018-18, Observatoire Francais des Conjonctures Economiques (OFCE).
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- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," SciencePo Working papers Main hal-03458277, HAL.
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"Financial and fiscal interaction in the Euro Area crisis: This time was different,"
European Economic Review, Elsevier, vol. 119(C), pages 333-355.
- Reichlin, Lucrezia & Caruso, Alberto & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis: This Time was Different," CEPR Discussion Papers 13016, C.E.P.R. Discussion Papers.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis : This Time was Different," The Warwick Economics Research Paper Series (TWERPS) 1167, University of Warwick, Department of Economics.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Post-Print hal-03403613, HAL.
- Albert Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis : this time was different," Documents de Travail de l'OFCE 2019-11, Observatoire Francais des Conjonctures Economiques (OFCE).
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," SciencePo Working papers Main hal-03403269, HAL.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," SciencePo Working papers Main hal-03403613, HAL.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Working Papers hal-03403269, HAL.
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"Inflation-Growth Nexus in Botswana: Can Lower Inflation Really Spur Growth in the Country?,"
Global Economy Journal, De Gruyter, vol. 18(4), pages 1-11, December.
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- Gosego Mothuti & Andrew Phiri, 2018. "Inflation-growth nexus in Botswana: Can lower inflation really spur growth in the country?," Working Papers 1824, Department of Economics, Nelson Mandela University.
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"Electricity price forecasting,"
HSC Research Reports
HSC/18/08, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
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- Lance A. Fisher & Hyeon-seung Huh, 2018. "Combining sign and parametric restrictions in SVARs by Givens Rotations," Working papers 2018rwp-122, Yonsei University, Yonsei Economics Research Institute.
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"An IV framework for combining sign and long-run parametric restrictions in SVARs,"
Journal of Macroeconomics, Elsevier, vol. 61(C), pages 1-1.
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"The transmission of international shocks to CIS economies: A global VAR approach,"
Economic Systems, Elsevier, vol. 45(2).
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"Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations,"
Journal of Monetary Economics, Elsevier, vol. 100(C), pages 48-65.
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- Baumeister, Christiane & Hamilton, James D., 2018. "Inference in structural vector auto regressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations," Bank of Finland Research Discussion Papers 14/2018, Bank of Finland.
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"Financial cycles in euro area economies: a cross-country perspective,"
Working Papers
55, The Croatian National Bank, Croatia.
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"How far can we forecast? Statistical tests of the predictive content,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(4), pages 369-392, June.
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"To sign or not to sign? On the response of prices to financial and uncertainty shocks,"
Economics Letters, Elsevier, vol. 171(C), pages 189-192.
- Meinen, Philipp & Röhe, Oke, 2018. "To sign or not to sign? On the response of prices to financial and uncertainty shocks," Discussion Papers 33/2018, Deutsche Bundesbank.
- Eraslan, Sercan & Ali, Faek Menla, 2018. "Oil price shocks and stock return volatility: New evidence based on volatility impulse response analysis," Discussion Papers 38/2018, Deutsche Bundesbank.
- Götz, Thomas B. & Hauzenberger, Klemens, 2018. "Large mixed-frequency VARs with a parsimonious time-varying parameter structure," Discussion Papers 40/2018, Deutsche Bundesbank.
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"The macroeconomic effects of bank capital requirement tightenings: Evidence from a narrative approach,"
CAMA Working Papers
2018-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Eickmeier, Sandra & Kolb, Benedikt & Prieto, Esteban, 2018. "Macroeconomic effects of bank capital regulation," Discussion Papers 44/2018, Deutsche Bundesbank.
- Eickmeier, Sandra & Kolb, Benedikt & Prieto, Esteban, 2023. "The macroeconomic effects of bank capital regulation," CEPR Discussion Papers 18404, C.E.P.R. Discussion Papers.
- Robert Goodhead & Benedikt Kolb, 2025.
"Monetary policy communication shocks and the macroeconomy,"
Economica, London School of Economics and Political Science, vol. 92(365), pages 173-198, January.
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- Goodhead, Robert & Kolb, Benedikt, 2018. "Monetary policy communication shocks and the macroeconomy," Discussion Papers 46/2018, Deutsche Bundesbank.
- Sandra Eickmeier & Benedikt Kolb & Esteban Prieto, 2018.
"Effects of bank capital requirement tightenings on inequality,"
CAMA Working Papers
2018-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Eickmeier, Sandra & Kolb, Benedikt & Prieto, Esteban, 2023. "Effects of Bank Capital Requirement Tightenings on Inequality," CEPR Discussion Papers 18433, C.E.P.R. Discussion Papers.
- Eickmeier, Sandra & Kolb, Benedikt & Prieto, Esteban, 2018. "Effects of bank capital requirement tightenings on inequality," Discussion Papers 54/2018, Deutsche Bundesbank.
- Knüppel, Malte & Schultefrankenfeld, Guido, 2019.
"Assessing the uncertainty in central banks’ inflation outlooks,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1748-1769.
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- Herwartz, Helmut & Roestel, Jan, 2018. "A structural approach to identify financial transmission in distinguished scenarios of crises," Economics Working Papers 2018-08, Christian-Albrechts-University of Kiel, Department of Economics.
- Berger, Tino & Wortmann, Marcus, 2018. "Global vs. group-specific business cycles: The importance of defining the groups," University of Göttingen Working Papers in Economics 334, University of Goettingen, Department of Economics.
- Bruns, Stephan B. & Csereklyei, Zsuzsanna & Stern, David I., 2020.
"A multicointegration model of global climate change,"
Journal of Econometrics, Elsevier, vol. 214(1), pages 175-197.
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- Bruns, Stephan B. & Csereklyei, Zsuzsanna & Stern, David I., 2018. "A multicointegration model of global climate change," University of Göttingen Working Papers in Economics 336, University of Goettingen, Department of Economics.
- Herwartz, Helmut & Maxand, Simone & Rohloff, Hannes, 2018. "Lean against the wind or float with the storm? Revisiting the monetary policy asset price nexus by means of a novel statistical identification approach," University of Göttingen Working Papers in Economics 354, University of Goettingen, Department of Economics.
- Herwartz, Helmut & Rohloff, Hannes, 2018. "Less bang for the buck? Assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment," University of Göttingen Working Papers in Economics 358, University of Goettingen, Department of Economics.
- Lueger, Tim, 2018.
"A VAR Evaluation of Classical Growth Theory,"
Publications of Darmstadt Technical University, Institute for Business Studies (BWL)
97403, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Lüger, Tim, 2018. "A VAR evaluation of classical growth theory," Darmstadt Discussion Papers in Economics 231, Darmstadt University of Technology, Department of Law and Economics.
- Tim Lueger, 2018. "A VAR evaluation of classical growth theory," Proceedings of International Academic Conferences 7508487, International Institute of Social and Economic Sciences.
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"Wage Dynamics and Bulgaria Co-Movement and Causality,"
South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 17(1), pages 91-127.
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- Hristina Manolova & Aleksandar Vasilev, 2017. "Wage Dynamics in Bulgaria: Co-movement and Causality," Bulgarian Economic Papers bep-2017-08, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria // Center for Economic Theories and Policies at Sofia University St Kliment Ohridski, revised Sep 2017.
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"Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(4), pages 715-735, August.
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- Podstawski, Maximilian & Velinov, Anton, 2018. "The state dependent impact of bank exposure on sovereign risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 88, pages 63-75.
- Ooft, Gavin, 2018. "Modelling and Forecasting Inflation for the Economy of Suriname," EconStor Preprints 215534, ZBW - Leibniz Information Centre for Economics.
- Alali, Walid Y. & Ellalee, Haider, 2018. "The Brexit Impact on Inward FDI in the UK," EconStor Preprints 274655, ZBW - Leibniz Information Centre for Economics.
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"What Moves the German Land Market? A Decomposition of the Land Rent-Price Ratio,"
German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 69(01).
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- Plogmann, Jana & Mußhoff, Oliver & Odening, Martin & Ritter, Matthias, 2019. "What Moves the German Land Market? A Decomposition of the Land Rent-Price Ratio," 165th Seminar, April 4-5, 2019, Berlin, Germany 288444, European Association of Agricultural Economists.
- Schreiber, Sven, 2018. "Are bootstrapped cointegration test findings unreliable?," Discussion Papers 2018/8, Free University Berlin, School of Business & Economics.
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"Equilibrium real interest rates, secular stagnation, and the financial cycle: Empirical evidence for euro-area member countries,"
Ruhr Economic Papers
743, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
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- Ansgar Belke & Jens Klose, 2018. "Equilibrium Real Interest Rates, Secular Stagnation, and the Financial Cycle: Empirical Evidence for Euro-Area Member Countries," ROME Working Papers 201801, ROME Network.
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- Schweikert, Karsten, 2018. "Testing for cointegration with threshold adjustment in the presence of structural breaks," Hohenheim Discussion Papers in Business, Economics and Social Sciences 07-2018, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
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"The Greek crisis: A story of self-reinforcing feedback mechanisms,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-22.
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"Post-crisis business investment in the euro area and the role of monetary policy,"
Applied Economics, Taylor & Francis Journals, vol. 50(34-35), pages 3787-3797, July.
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"Dealer behaviour in the Euro money market during times of crisis,"
Applied Economics, Taylor & Francis Journals, vol. 50(48), pages 5204-5219, October.
- Fecht, Falko & Reitz, Stefan, 2018. "Dealer behaviour in the Euro money market during times of crisis," Open Access Publications from Kiel Institute for the World Economy 184750, Kiel Institute for the World Economy (IfW Kiel).
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"Generalized exogenous processes in DSGE: A Bayesian approach,"
SFB 649 Discussion Papers
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"Price discovery on Bitcoin markets,"
Digital Finance, Springer, vol. 1(1), pages 139-161, November.
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"Forecasting the term structure of option implied volatility: The power of an adaptive method,"
Journal of Empirical Finance, Elsevier, vol. 49(C), pages 157-177.
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- Holtemöller, Oliver & Schult, Christoph, 2018. "Expectation formation, financial frictions, and forecasting performance of dynamic stochastic general equilibrium models," IWH Discussion Papers 15/2018, Halle Institute for Economic Research (IWH).
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"Equilibrium Real Interest Rates, Secular Stagnation, and the Financial Cycle: Empirical Evidence for Euro-Area Member Countries,"
GLO Discussion Paper Series
182, Global Labor Organization (GLO).
- Belke, Ansgar & Klose, Jens, 2018. "Equilibrium real interest rates, secular stagnation, and the financial cycle: Empirical evidence for euro-area member countries," Ruhr Economic Papers 743, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Ansgar Belke & Jens Klose, 2018. "Equilibrium Real Interest Rates, Secular Stagnation, and the Financial Cycle: Empirical Evidence for Euro-Area Member Countries," ROME Working Papers 201801, ROME Network.
- Thiem, Christopher, 2018. "Cross-category spillovers of economic policy uncertainty," Ruhr Economic Papers 744, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Prüser, Jan & Schlösser, Alexander, 2018. "On the time-varying effects of economic policy uncertainty on the US economy," Ruhr Economic Papers 761, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Steffen Elstner & Lars P. Feld & Christoph M. Schmidt, 2018.
"The German Productivity Paradox - Facts and Explanations,"
CESifo Working Paper Series
7231, CESifo.
- Elstner, Steffen & Feld, Lars P. & Schmidt, Christoph M., 2018. "The German productivity paradox: Facts and explanations," Ruhr Economic Papers 767, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Christopher Thiem, 2020.
"Cross-Category, Trans-Pacific Spillovers of Policy Uncertainty and Financial Market Volatility,"
Open Economies Review, Springer, vol. 31(2), pages 317-342, April.
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"Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach,"
International Review of Financial Analysis, Elsevier, vol. 56(C), pages 208-220.
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"Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities,"
International Review of Financial Analysis, Elsevier, vol. 57(C), pages 1-12.
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"The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis,"
Finance Research Letters, Elsevier, vol. 24(C), pages 1-9.
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"Models with Multiplicative Decomposition of Conditional Variances and Correlations,"
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"Nonstationary Cointegration in the Fractionally Cointegrated VAR Model,"
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"A multilevel factor approach for the analysis of CDS commonality and risk contribution,"
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"Economic significance of commodity return forecasts from the fractionally cointegrated VAR model,"
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- Wendy Nyakabawo & Rangan Gupta & Hardik A. Marfatia, 2018.
"High Frequency Impact Of Monetary Policy And Macroeconomic Surprises On Us Msas, Aggregate Us Housing Returns And Asymmetric Volatility,"
Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 204-229, December.
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"Generating univariate fractional integration within a large VAR(1),"
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"Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
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"Constructing joint confidence bands for impulse response functions of VAR models – A review,"
Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
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"Measuring the Natural Rates of Interest in Germany and Italy,"
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"Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures,"
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"Stochastic model specification in Markov switching vector error correction models,"
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"An automated approach towards sparse single-equation cointegration modelling,"
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"Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures,"
Energy Economics, Elsevier, vol. 80(C), pages 132-152.
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"How Does Stock Market Volatility React To Oil Price Shocks?,"
Macroeconomic Dynamics, Cambridge University Press, vol. 22(3), pages 666-682, April.
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"The transmission of liquidity shocks via China's segmented money market: Evidence from recent market events,"
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"Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals,"
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"Spreading of an infectious disease between different locations,"
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"Is fairness intuitive? An experiment accounting for subjective utility differences under time pressure,"
Experimental Economics, Springer;Economic Science Association, vol. 22(1), pages 24-50, March.
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"Oil price shocks and uncertainty: How stable is their relationship over time?,"
Economic Modelling, Elsevier, vol. 72(C), pages 42-53.
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"Oil volatility, oil and gas firms and portfolio diversification,"
Energy Economics, Elsevier, vol. 70(C), pages 499-515.
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"R2 Bounds for Predictive Models: What Univariate Properties Tell us About Multivariate Predictability,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(4), pages 681-695, October.
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"Measuring Retail Trade Using Card Transactional Data,"
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"Fiscal policies in the euro area: Revisiting the size of spillovers,"
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"The Rise and Fall of the Natural Interest Rate,"
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"Nowcasting private consumption: traditional indicators, uncertainty measures, credit cards and some internet data,"
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"The global component of inflation volatility,"
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"Labor Market and Financial Shocks: A Time‐Varying Analysis,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 777-801, June.
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"Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models [Pricing the Term Structure with Linear Regressions],"
Journal of Financial Econometrics, Oxford University Press, vol. 20(5), pages 807-838.
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"Detecting exchange rate contagion using copula functions,"
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"Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia,"
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"Inflation Targeting in Emerging Economies,"
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"Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility,"
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"A Time‐Series Model of Interest Rates with the Effective Lower Bound,"
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"Macro-financial linkages: the role of liquidity dependence,"
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"Exchange rate effects of financial regulations,"
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"Identifying oil price shocks and their consequences: The role of expectations in the crude oil market,"
International Finance, Wiley Blackwell, vol. 24(1), pages 53-76, April.
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"Threshold cointegration and spatial price transmission when expectations matter,"
Agricultural Economics, International Association of Agricultural Economists, vol. 49(1), pages 25-39, January.
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"Economic impacts of El Niño southern oscillation: evidence from the Colombian coffee market,"
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"Measuring The World Natural Rate Of Interest,"
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"Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach,"
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"Testing the CVAR in the Fractional CVAR Model,"
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"On the Stability of Euro Area Money Demand and Its Implications for Monetary Policy,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(4), pages 755-787, August.
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"Uncertainty and the Great Recession,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(5), pages 951-971, October.
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"Towards recoupling? Assessing the global impact of a Chinese hard landing through trade and commodity price channels,"
The World Economy, Wiley Blackwell, vol. 41(12), pages 3379-3415, December.
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"Dutch disease dynamics reconsidered,"
European Economic Review, Elsevier, vol. 119(C), pages 411-433.
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"State Space Models with Endogenous Regime Switching,"
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"Dutch disease dynamics reconsidered,"
European Economic Review, Elsevier, vol. 119(C), pages 411-433.
- Hilde C. Bjørnland & Leif Anders Thorsrud & Ragnar Torvik, 2018. "Dutch disease dynamics reconsidered," Working Paper 2018/1, Norges Bank.
- Hilde C. Bjørnland & Leif Anders Thorsrud & Ragnar Torvik, 2018. "Dutch Disease Dynamics Reconsidered," Working Papers No 4/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Hilde C. Bjørnland & Leif Anders Thorsrud & Ragnar Torvik, 2019. "Dutch disease dynamics reconsidered," CAMA Working Papers 2019-55, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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"State Space Models with Endogenous Regime Switching,"
CAEPR Working Papers
2018-012, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Yoosoon Chang & Junior Maih & Fei Tan, 2018. "State Space Models with Endogenous Regime Switching," Working Papers No 9/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
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"DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation,"
Econometrics and Statistics, Elsevier, vol. 16(C), pages 1-27.
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"Bayesian Vector Autoregressions,"
The Warwick Economics Research Paper Series (TWERPS)
1159, University of Warwick, Department of Economics.
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"Estimating nominal interest rate expectations: Overnight indexed swaps and the term structure,"
Journal of Banking & Finance, Elsevier, vol. 119(C).
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"The Transmission of International Shocks to CIS Economies: A Global VAR Approach,"
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"Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations,"
Journal of Monetary Economics, Elsevier, vol. 100(C), pages 48-65.
- Baumeister, Christiane & Hamilton, James, 2018. "Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations," CEPR Discussion Papers 12911, C.E.P.R. Discussion Papers.
- Baumeister, Christiane & Hamilton, James D., 2018. "Inference in structural vector auto regressions when the identifying assumptions are not fully believed : Re-evaluating the role of monetary policy in economic fluctuations," Research Discussion Papers 14/2018, Bank of Finland.
- Christiane Baumeister & James D. Hamilton, 2018. "Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations," NBER Working Papers 24597, National Bureau of Economic Research, Inc.
- Christiane Baumeister & James D. Hamilton, 2018. "Inference in Structural Vector Autoregressions when the Identifying Assumptions are not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations," CESifo Working Paper Series 7048, CESifo.
- Tölö, Eero & Miettinen, Paavo, 2018. "How do shocks to bank capital affect lending and growth?," Research Discussion Papers 25/2018, Bank of Finland.
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- David Umoru & Sylvester Ohiomu & Richard Akpeke, 2018. "The Influence of Oil Price Volatility on Selected Macroeconomic Variables in Nigeria," Acta Universitatis Bohemiae Meridionalis, University of South Bohemia in Ceske Budejovice, Faculty of Economics, vol. 21(1), pages 1-22.
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"Uncertainty shocks and asymmetric dynamics in Korea: a non-linear approach,"
Applied Economics, Taylor & Francis Journals, vol. 51(6), pages 594-610, February.
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- Afees A. Salisu & Taofeek O. Ayinde, 2018.
"Testing for spillovers in naira exchange rates: The role of electioneering & global financial crisis,"
Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 18(4), pages 341-348, December.
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- Marfatia Hardik A., 2018. "Estimating the New Keynesian Phillips Curve for the UK: evidence from the inflation-indexed bonds market," The B.E. Journal of Macroeconomics, De Gruyter, vol. 18(1), pages 1-18, January.
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- Xu Xiaojie, 2018. "Using Local Information to Improve Short-Run Corn Price Forecasts," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 16(1), pages 1-15, January.
- Xu Xiaojie, 2018. "Linear and Nonlinear Causality between Corn Cash and Futures Prices," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 16(2), pages 1-16, November.
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"Inflation-Growth Nexus in Botswana: Can Lower Inflation Really Spur Growth in the Country?,"
Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 18(4), pages 1-11, December.
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- Mothuti, Gosego & Phiri, Andrew, 2018. "inflation-growth nexus in Botswana: Can lower inflation really spur growth in the country?," MPRA Paper 87497, University Library of Munich, Germany.
- Gosego Mothuti & Andrew Phiri, 2018. "Inflation-growth nexus in Botswana: Can lower inflation really spur growth in the country?," Working Papers 1824, Department of Economics, Nelson Mandela University.
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- Ardakani Omid M. & Kishor N. Kundan, 2018.
"Examining the success of the central banks in inflation targeting countries: the dynamics of the inflation gap and institutional characteristics,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(1), pages 1-19, February.
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- Ardakani Omid M. & Kishor N. Kundan, 2018.
"Examining the success of the central banks in inflation targeting countries: the dynamics of the inflation gap and institutional characteristics,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(1), pages 1-19, February.
- Ardakani, Omid & Kishor, N. Kundan, 2014. "Examining the Success of the Central Banks in Inflation Targeting Countries: The Dynamics of Inflation Gap and the Institutional Characteristics," MPRA Paper 58402, University Library of Munich, Germany.
- Chow Sheung-Chi & Cunado Juncal & Gupta Rangan & Wong Wing-Keung, 2018.
"Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1-15, April.
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- Chow Sheung-Chi & Cunado Juncal & Gupta Rangan & Wong Wing-Keung, 2018.
"Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1-15, April.
- Chow Sheung-Chi & Cunado Juncal & Gupta Rangan & Wong Wing-Keung, 2018. "Causal relationships between economic policy uncertainty and housing market returns in China and India: evidence from linear and nonlinear panel and time series models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1-15, April.
- Sheung-Chi Chow & Juncal Cunado & Rangan Gupta & Wing-Keung Wong, 2016. "Causal Relationships between Economic Policy Uncertainty and Housing Market Returns in China and India: Evidence from Linear and Nonlinear Panel and Time Series Models," Working Papers 201674, University of Pretoria, Department of Economics.
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"Uncertainty in the housing market: evidence from US states,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1-17, April.
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- Christidou Maria & Fountas Stilianos, 2018.
"Uncertainty in the housing market: evidence from US states,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1-17, April.
- Christidou Maria & Fountas Stilianos, 2018. "Uncertainty in the housing market: evidence from US states," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1-17, April.
- Maria Christidou & Stilianos Fountas, 2017. "Uncertainty in the housing market: Evidence from the US states," Discussion Paper Series 2017_08, Department of Economics, University of Macedonia, revised Aug 2017.
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- Chaubal Aditi, 2018. "P-star model for India: a nonlinear approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-28, December.
- Bianca COSTACHE, 2018. "The Relationship Between Insurance And Economic Growth In Germany, Netherlands And Spain," Contemporary Economy Journal, Constantin Brancoveanu University, vol. 3(4), pages 38-43.
- Paul J.J. Welfens & Fabian J. Baier, 2018. "BREXIT and FDI: Key Issues and New Empirical Findings," EIIW Discussion paper disbei241, Universitätsbibliothek Wuppertal, University Library.
- Arthur Korus & Kaan Celebi, 2018. "The Impact of Brexit on the British Pound/Euro Exchange rate," EIIW Discussion paper disbei243, Universitätsbibliothek Wuppertal, University Library.
- Samir Kadiric & Arthur Korus, 2018. "Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets," EIIW Discussion paper disbei251, Universitätsbibliothek Wuppertal, University Library.
- Angelica Gianfreda & Derek Bunn, 2018. "A Stochastic Latent Moment Model for Electricity Price Formation," BEMPS - Bozen Economics & Management Paper Series BEMPS46, Faculty of Economics and Management at the Free University of Bozen.
- F. Marta L. Di Lascio & Andrea Menapace & Maurizio Righetti, 2020.
"Joint and conditional dependence modelling of peak district heating demand and outdoor temperature: a copula-based approach,"
Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 373-395, June.
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- Onatski, Alexei & Wang, Chen, 2019.
"Extreme canonical correlations and high-dimensional cointegration analysis,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 307-322.
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"Monetary policy communication shocks and the macroeconomy,"
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"Testing DSGE Models by Indirect Inference: a Survey of Recent Findings,"
Open Economies Review, Springer, vol. 30(3), pages 593-620, July.
- Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2018. "Testing DSGE Models by indirect inference: a survey of recent findings," Cardiff Economics Working Papers E2018/14, Cardiff University, Cardiff Business School, Economics Section.
- Angelini, Giovanni & Costantini, Mauro & Easaw, Joshy, 2018. "Uncertainty and spillover effects across the Euro area," Cardiff Economics Working Papers E2018/15, Cardiff University, Cardiff Business School, Economics Section.
- Filippeli, Thomai & Harrison, Richard & Theodoridis, Konstantinos, 2018. "DSGE-based Priors for BVARs & Quasi-Bayesian DSGE Estimation," Cardiff Economics Working Papers E2018/5, Cardiff University, Cardiff Business School, Economics Section.
- Angelini, Giovanni & Costantini, Mauro & Easaw, Joshy, 2018. "Uncertainty and spillover effects across the Euro area," Cardiff Economics Working Papers E2018/15, Cardiff University, Cardiff Business School, Economics Section.
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"Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach,"
International Review of Financial Analysis, Elsevier, vol. 56(C), pages 208-220.
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- Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2018. "The small sample properties of Indirect Inference in testing and estimating DSGE models," Cardiff Economics Working Papers E2018/7, Cardiff University, Cardiff Business School, Economics Section.
- Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2018. "Formation of Market Beliefs in the Oil Market," CERGE-EI Working Papers wp619, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
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"Order‐invariant tests for proper calibration of multivariate density forecasts,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 440-456, June.
- Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," Graz Economics Papers 2018-09, University of Graz, Department of Economics.
- Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," CESifo Working Paper Series 7023, CESifo.
- Baumeister, Christiane & Hamilton, James D., 2018.
"Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations,"
Journal of Monetary Economics, Elsevier, vol. 100(C), pages 48-65.
- Baumeister, Christiane & Hamilton, James D., 2018. "Inference in structural vector auto regressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations," Bank of Finland Research Discussion Papers 14/2018, Bank of Finland.
- Christiane Baumeister & James D. Hamilton, 2018. "Inference in Structural Vector Autoregressions when the Identifying Assumptions are not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations," CESifo Working Paper Series 7048, CESifo.
- Christiane Baumeister & James D. Hamilton, 2018. "Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations," NBER Working Papers 24597, National Bureau of Economic Research, Inc.
- Guglielmo Maria Caporale & Luis Gil‐Alana, 2020.
"Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence,"
South African Journal of Economics, Economic Society of South Africa, vol. 88(2), pages 174-185, June.
- Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2018. "Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence," CESifo Working Paper Series 7073, CESifo.
- Jan Pablo Burgard & Matthias Neuenkirch & Matthias Nöckel, 2019.
"State‐Dependent Transmission of Monetary Policy in the Euro Area,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(7), pages 2053-2070, October.
- Jan Pablo Burgard & Matthias Neuenkirch & Matthias Nöckel, 2016. "State-Dependent Transmission of Monetary Policy in the Euro Area," Research Papers in Economics 2016-15, University of Trier, Department of Economics.
- Jan Pablo Burgard & Matthias Neuenkirch & Matthias Nöckel, 2018. "State-Dependent Transmission of Monetary Policy in the Euro Area," CESifo Working Paper Series 7074, CESifo.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2020.
"Economic Policy Uncertainty Spillovers in Booms and Busts,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(1), pages 125-155, February.
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- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," CESifo Working Paper Series 7086, CESifo.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic policy uncertainty spillovers in booms and busts," CAMA Working Papers 2018-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," "Marco Fanno" Working Papers 0220, Dipartimento di Scienze Economiche "Marco Fanno".
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," Working Paper series 18-28, Rimini Centre for Economic Analysis.
- Caggiano, Giovanni & Castelnuovo, Efrem & Figueres, Juan Manuel, 2017.
"Economic policy uncertainty and unemployment in the United States: A nonlinear approach,"
Economics Letters, Elsevier, vol. 151(C), pages 31-34.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2016. "Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach," "Marco Fanno" Working Papers 0209, Dipartimento di Scienze Economiche "Marco Fanno".
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach," CESifo Working Paper Series 7105, CESifo.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2017. "Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach," Melbourne Institute Working Paper Series wp2017n02, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Lutz Kilian & Xiaoqing Zhou, 2018. "Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks: Comment," CESifo Working Paper Series 7166, CESifo.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2019.
"Exponent of Cross-sectional Dependence for Residuals,"
Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(1), pages 46-102, September.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2018. "Exponent of cross-sectional dependence for residuals," Monash Econometrics and Business Statistics Working Papers 13/18, Monash University, Department of Econometrics and Business Statistics.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2018. "Exponent of Cross-sectional Dependence for Residuals," CESifo Working Paper Series 7223, CESifo.
- Elstner, Steffen & Feld, Lars P. & Schmidt, Christoph M., 2018.
"The German productivity paradox: Facts and explanations,"
Ruhr Economic Papers
767, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Steffen Elstner & Lars P. Feld & Christoph M. Schmidt, 2018. "The German Productivity Paradox - Facts and Explanations," CESifo Working Paper Series 7231, CESifo.
- Alanoud Al‐Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2021.
"Political tension and stock markets in the Arabian Peninsula,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 679-683, January.
- Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2018. "Political Tension and Stock Markets in the Arabian Peninsula," CESifo Working Paper Series 7341, CESifo.
- Al-Maadid, Alanoud & Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2020.
"The impact of business and political news on the GCC stock markets,"
Research in International Business and Finance, Elsevier, vol. 52(C).
- Alanoud Al-Maadid & Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2018. "The Impact of Business and Political News on the GCC Stock Markets," CESifo Working Paper Series 7353, CESifo.
- Ashoka Mody & Milan Nedeljkovic, 2018. "Central Bank Policies and Financial Markets: Lessons from the Euro Crisis," CESifo Working Paper Series 7400, CESifo.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018.
"Bayesian Vector Autoregressions,"
The Warwick Economics Research Paper Series (TWERPS)
1159, University of Warwick, Department of Economics.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian Vector Autoregressions," Discussion Papers 1808, Centre for Macroeconomics (CFM).
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," SciencePo Working papers Main hal-03458277, HAL.
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Working Papers hal-03458277, HAL.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," Bank of England working papers 756, Bank of England.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Documents de Travail de l'OFCE 2018-18, Observatoire Francais des Conjonctures Economiques (OFCE).
- Pinter, Gabor, 2018.
"Macroeconomic shocks and risk premia,"
LSE Research Online Documents on Economics
90370, London School of Economics and Political Science, LSE Library.
- Gabor Pinter, 2018. "Macroeconomic Shocks and Risk Premia," Discussion Papers 1812, Centre for Macroeconomics (CFM).
- Sander Willems, 2018. "Asian Option Pricing with Orthogonal Polynomials," Swiss Finance Institute Research Paper Series 18-09, Swiss Finance Institute, revised Feb 2018.
- Eric Jondeau & Amir Khalilzadeh, 2018. "Measuring the Capital Shortfall of Large U.S. Banks," Swiss Finance Institute Research Paper Series 18-11, Swiss Finance Institute, revised Feb 2018.
- J-C Gerlach & Guilherme Demos & Didier Sornette, 2018. "Dissection of Bitcoin's Multiscale Bubble History," Swiss Finance Institute Research Paper Series 18-30, Swiss Finance Institute.
- Damir Filipović & Martin Larsson & Tony Ware, 2018. "Polynomial Processes for Power Prices," Swiss Finance Institute Research Paper Series 18-34, Swiss Finance Institute.
- A. Alekseev & Mikhail Freer, 2018.
"Selection in the Lab: A Network Approach,"
Working Papers ECARES
2018-32, ULB -- Universite Libre de Bruxelles.
- Aleksandr Alekseev & Mikhail Freer, 2018. "Selection in the Lab: A Network Approach," Working Papers 18-13, Chapman University, Economic Science Institute.
- Ojeda-Joya, Jair N. & Sarmiento, Gloria, 2018.
"Sovereign risk and the real exchange rate: A non-linear approach,"
International Economics, Elsevier, vol. 156(C), pages 1-14.
- Jair N. Ojeda-Joya & Gloria Sarmiento, 2018. "Sovereign risk and the real exchange rate: A non-linear approach," International Economics, CEPII research center, issue 156, pages 1-14.
- Jair N. Ojeda-Joya & Gloria Sarmiento, 2016. "Sovereign Risk and the Real Exchange Rate: A Non-Linear Approach," Borradores de Economia 970, Banco de la Republica de Colombia.
- Bahloul, Walid & Gupta, Rangan, 2018.
"Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures,"
International Economics, Elsevier, vol. 156(C), pages 247-253.
- Walid Bahloul & Rangan Gupta, 2018. "Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures," International Economics, CEPII research center, issue 156, pages 247-253.
- Walid Bahloul & Rangan Gupta, 2017. "The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on Returns and Volatility of Oil Futures," Working Papers 201715, University of Pretoria, Department of Economics.
- Boutabba, Mohamed Amine & Diaw, Diadié & Lessoua, Albert, 2018.
"Environment-energy-growth nexus in Sub-Saharan Africa: The role of intermediate goods,"
International Economics, Elsevier, vol. 156(C), pages 254-267.
- Mohamed Amine Boutabba & Diadié Diaw & Albert Lessoua, 2018. "Environment-energy-growth nexus in Sub-Saharan Africa: The role of intermediate goods," International Economics, CEPII research center, issue 156, pages 254-267.
- Mohamed Amine Boutabba & Diadié Diaw & Albert Lessoua, 2018. "Environment-energy-growth nexus in Sub-Saharan Africa: The role of intermediate goods," Post-Print hal-02877946, HAL.
- Hafedh Bouakez & Denis Larocque & Michel Normandin, 2018.
"Separating the wheat from the chaff: A disaggregate analysis of the effects of public spending in the US,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 51(2), pages 361-390, May.
- Hafedh Bouakez & Denis Larocque & Michel Normandin, 2018. "Separating the wheat from the chaff: A disaggregate analysis of the effects of public spending in the US," Canadian Journal of Economics, Canadian Economics Association, vol. 51(2), pages 361-390, May.
- Anthony Garratt & Kevin Lee & Kalvinder Shields, 2018.
"The role of uncertainty, sentiment and cross‐country interactions in G7 output dynamics,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 51(2), pages 391-418, May.
- Anthony Garratt & Kevin Lee & Kalvinder Shields, 2018. "The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics," Canadian Journal of Economics, Canadian Economics Association, vol. 51(2), pages 391-418, May.
- Fiorentini, Gabriele & Sentana, Enrique, 2019.
"Consistent non-Gaussian pseudo maximum likelihood estimators,"
Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive 2018_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers 12682, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2021.
"Specification tests for non‐Gaussian maximum likelihood estimators,"
Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018.
"The rise and fall of the natural interest rate,"
Working Papers
1822, Banco de España.
- Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018. "The Rise and Fall of the Natural Interest Rate," Working Papers wp2018_1805, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018. "The Rise and Fall of the Natural Interest Rate," Working Papers - Economics wp2018_14.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018. "The Rise and Fall of the Natural Interest Rate," Working Paper series 18-29, Rimini Centre for Economic Analysis.
- Pérez-Quirós, Gabriel & Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018. "The Rise and Fall of the Natural Interest Rate," CEPR Discussion Papers 13042, C.E.P.R. Discussion Papers.
- Petre BREZEANU & Ghiur RODICA & Silvia Paula TODOR, 2018. "The Impact Of Vat On The Economy In Relation To Other Taxes In South East Europe," Law, Society & Organisations, Romanian Foundation for Business Intelligence, Editorial Department, issue 4 (1/2018, pages 11-21, June.
- Francisco A. Ramírez de León, 2018. "The Relation Between Credit and Business Cycles in Central America and the Dominican Republic," Investigación Conjunta-Joint Research, in: Alberto Ortiz-Bolaños (ed.), Monetary Policy and Financial Stability in Latin America and the Caribbean, edition 1, volume 1, chapter 4, pages 107-131, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
- Francisco A. Ramírez de León, 2018. "La relación entre los ciclos económicos y del crédito en América Central y la República Dominicana," Investigación Conjunta-Joint Research, in: Alberto Ortiz Bolaños (ed.), Política Monetaria y Estabilidad Financiera en América Latina y el Caribe, edition 1, volume 1, chapter 4, pages 111-136, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
- Alberto Ortiz Bolaños (ed.), 2018. "Monetary Policy and Financial Stability in Latin America and the Caribbean," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, edition 1, volume 1, number 5en, December.
- Alberto Ortiz Bolaños (ed.), 2018. "Política Monetaria y Estabilidad Financiera en América Latina y el Caribe," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, edition 1, volume 1, number 5es, December.
- Carlos R. Barrera Chaupis, 2018. "Inventory Adjustments to Demand Shocks under Flexible Specifications," Monetaria, Centro de Estudios Monetarios Latinoamericanos, CEMLA, vol. 0(1), pages 149-201, january-j.
- Carlos R. Barrera Chaupis, 2018. "Ajuste de inventarios ante choques de demanda según especificaciones flexibles," Monetaria, Centro de Estudios Monetarios Latinoamericanos, CEMLA, vol. 0(1), pages 151-210, enero-jun.
- Tibor Hledik & Jan Vlcek, 2018. "Quantifying the Natural Rate of Interest in a Small Open Economy - The Czech Case," Working Papers 2018/7, Czech National Bank, Research and Statistics Department.
- Bauwens, Luc & Otranto, Edoardo, 2020.
"Nonlinearities and regimes in conditional correlations with different dynamics,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 496-522.
- BAUWENS Luc, & OTRANTO Edoardo,, 2018. "Nonlinearities and regimes in conditional correlations with different dynamics," LIDAM Discussion Papers CORE 2018009, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Otranto, Edoardo, 2020. "Nonlinearities and regimes in conditional correlations with different dynamics," LIDAM Reprints CORE 3128, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- L. Bauwens & E. Otranto, 2018. "Nonlinearities and Regimes in Conditional Correlations with Different Dynamics," Working Paper CRENoS 201803, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Julio César Alonso Cifuentes & María Fernanda Bonilla López, 2018.
"Integración espacial en el mercado de la guayaba pera en el Valle del Cauca,"
Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 37(74), pages 471-494, July.
- Julio César Alonso Cifuentes & María Fernanda Bonilla López, 2018. "Integración espacial en el mercado de la guayaba pera en el Valle del Cauca," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 37(74), pages 471-494, July.
- Julio César Alonso Cifuentes & María Fernanda Bonilla López, 2018.
"Integración espacial en el mercado de la guayaba pera en el Valle del Cauca,"
Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 37(74), pages 471-494, July.
- Julio César Alonso Cifuentes & María Fernanda Bonilla López, 2018. "Integración espacial en el mercado de la guayaba pera en el Valle del Cauca," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 37(74), pages 471-494, July.
- Kun Ma & Gang Diao, 2017. "Study on spillover effect between international soybean market and China's domestic soybean market," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 35(84), pages 260-266, December.
- Kun Ma & Gang Diao, 2017. "Study on spillover effect between international soybean market and China's domestic soybean market," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 35(84), pages 260-266, December.
- Todd B. Walker, 2018.
"Inflation Targeting in Emerging Economies,"
Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 36(85), pages 7-20, April.
- Todd B. Walker, 2018. "Inflation Targeting in Emerging Economies," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 36(85), pages 7-20, November.
- Alejandro López-Vera & Andrés D. Pinchao-Rosero & Norberto Rodríguez-Niño, 2018.
"Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia,"
Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 36(85), pages 48-64, April.
- Alejandro López-Vera & Andrés D. Pinchao-Rosero & Norberto Rodríguez-Niño, 2018. "Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 36(85), pages 48-64, November.
- John J. Garcia-Rendon & Alejandro Gutiérrez Gómez & Luisa Vargas Tobón & Hermilson Velasquez Ceballos, 2018. "Redes inteligentes y mecanismo de respuesta de la demanda: el caso del sector eléctrico colombiano Smart grids and demand response mechanism: the case of the Colombian electricity market?," Documentos de Trabajo de Valor Público 16975, Universidad EAFIT.
- John Jairo García & Alejandro Gutiérrez & Luisa Vargas & Hermilson Velásquez, 2018.
"Redes inteligentes y mecanismo de respuesta de la demanda: el caso del sector eléctrico colombiano,"
Documentos de Trabajo de Valor Público
17010, Universidad EAFIT.
- John J. García-Rendón & Alejandro Gutiérrez Gómez & Luisa Vargas Tobón & Hermilson Velásquez Ceballos, 2019. "Redes inteligentes y mecanismo de respuesta de la demanda: el caso del sector eléctrico colombiano," Revista de Economía del Caribe, Universidad del Norte, vol. 0(0), pages 1-10, June.
- Álvaro Martín Moreno Rivas, 2018. "La conjetura de Shaikh. Un modelo clásico de la tasa de cambio real Colombia - Estados Unidos," Documentos de Trabajo, Escuela de Economía 16809, Universidad Nacional de Colombia, FCE, CID.
- Álvaro Martín Moreno Rivas, 2018. "Del mundo del más o menos al universo de precisión: a propósito de los modelos de ciclos de los negocios de Ragnar Frisch Y Michal Kalecki," Documentos de Trabajo, Escuela de Economía 16810, Universidad Nacional de Colombia, FCE, CID.
- Nicolás Ronderos, 2018. "Variaciones previsibles del ingreso y su efecto sobre el consumo. Un análisis para la economía colombiana," Revista CIFE, Universidad Santo Tomás, vol. 20(33), pages 17-37, July.
- Juan Manuel Candelo Viafara, 2018. "Impactos indirectos de la tasa de cambio y los precios del petróleo en una economía no petrolera: aproximaciones VECM y VAR para el Valle del Cauca, Colombia," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 10(2), pages 403-436, November.
- Bauwens, Luc & Otranto, Edoardo, 2020.
"Nonlinearities and regimes in conditional correlations with different dynamics,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 496-522.
- L. Bauwens & E. Otranto, 2018. "Nonlinearities and Regimes in Conditional Correlations with Different Dynamics," Working Paper CRENoS 201803, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- BAUWENS Luc, & OTRANTO Edoardo,, 2018. "Nonlinearities and regimes in conditional correlations with different dynamics," LIDAM Discussion Papers CORE 2018009, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, Luc & Otranto, Edoardo, 2020. "Nonlinearities and regimes in conditional correlations with different dynamics," LIDAM Reprints CORE 3128, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, Christian M. & Herwartz, Helmut & Maxand, Simone, 2022.
"Identification of structural multivariate GARCH models,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 212-227.
- HAFNER Christian, & HERWARTZ Helmut, & MAXAND Simone,, 2018. "Identification of structural multivariate GARCH models," LIDAM Discussion Papers CORE 2018020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, Christian & Herwartz, Helmut & Maxand, Simone, 2020. "Identification of structural multivariate GARCH models," LIDAM Reprints ISBA 2020032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Yukai Yang & Luc Bauwens, 2018.
"State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering,"
Econometrics, MDPI, vol. 6(4), pages 1-22, December.
- Yukai Yang & Luc Bauwens, 2018. "State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering," CREATES Research Papers 2018-30, Department of Economics and Business Economics, Aarhus University.
- Yukai Yang & Luc Bauwens, 2018. "State-space models on the Stiefel Manifold with a new approach to nonlinear filtering," LIDAM Reprints CORE 2985, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Adam Elbourne & Kan Ji & Sem Duijndam, 2018. "The effects of unconventional monetary policy in the euro area," CPB Discussion Paper 371, CPB Netherlands Bureau for Economic Policy Analysis.
- Adam Elbourne & Kan Ji & Sem Duijndam, 2018. "The effects of unconventional monetary policy in the euro area," CPB Discussion Paper 371.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022.
"A Model of the Fed's View on Inflation,"
The Review of Economics and Statistics, MIT Press, vol. 104(4), pages 686-704, October.
- Hasenzagl, Thomas & Pellegrino, Filippo & Reichlin, Lucrezia & Ricco, Giovanni, 2017. "A Model of the Fed’s View on Inflation," Economic Research Papers 269087, University of Warwick - Department of Economics.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2020. "A Model of the Fed's View on Inflation," Papers 2006.14110, arXiv.org.
- Reichlin, Lucrezia & Hasenzagl, Thomas & Pellegrino, Filippo & Ricco, Giovanni, 2018. "A Model of the Fed's View on Inflation," CEPR Discussion Papers 12564, C.E.P.R. Discussion Papers.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2018. "A model of FED'S view on inflation," Documents de Travail de l'OFCE 2018-03, Observatoire Francais des Conjonctures Economiques (OFCE).
- Thomas Hasenzagl & Fillipo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2018. "A model of the FED's view on inflation," Working Papers hal-03458456, HAL.
- Hasenzagl, Thomas & Pellegrino, Filippo & Reichlin, Lucrezia & Ricco, Giovanni, 2017. "A Model of the Fed’s View on Inflation," The Warwick Economics Research Paper Series (TWERPS) 1145, University of Warwick, Department of Economics.
- Antolín-Díaz, Juan & Petrella, Ivan & Rubio-Ramírez, Juan F., 2021.
"Structural scenario analysis with SVARs,"
Journal of Monetary Economics, Elsevier, vol. 117(C), pages 798-815.
- Petrella, Ivan & Antolin-Diaz, Juan & Rubio-RamÃrez, Juan Francisco, 2018. "Structural Scenario Analysis with SVARs," CEPR Discussion Papers 12579, C.E.P.R. Discussion Papers.
- Brandyn Bok & Daniele Caratelli & Domenico Giannone & Argia M. Sbordone & Andrea Tambalotti, 2018.
"Macroeconomic Nowcasting and Forecasting with Big Data,"
Annual Review of Economics, Annual Reviews, vol. 10(1), pages 615-643, August.
- Brandyn Bok & Daniele Caratelli & Domenico Giannone & Argia M. Sbordone & Andrea Tambalotti, 2017. "Macroeconomic nowcasting and forecasting with big data," Staff Reports 830, Federal Reserve Bank of New York.
- Giannone, Domenico & Tambalotti, Andrea & Sbordone, Argia & Bok, Brandyn & Caratelli, Daniele, 2018. "Macroeconomic Nowcasting and Forecasting with Big Data," CEPR Discussion Papers 12589, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2019.
"Consistent non-Gaussian pseudo maximum likelihood estimators,"
Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers 12682, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive 2018_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
- Baumeister, Christiane & Hamilton, James, 2018. "Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role," CEPR Discussion Papers 12911, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2021.
"Specification tests for non‐Gaussian maximum likelihood estimators,"
Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2019.
"Financial and fiscal interaction in the Euro Area crisis: This time was different,"
European Economic Review, Elsevier, vol. 119(C), pages 333-355.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis : This Time was Different," The Warwick Economics Research Paper Series (TWERPS) 1167, University of Warwick, Department of Economics.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Post-Print hal-03403613, HAL.
- Reichlin, Lucrezia & Caruso, Alberto & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis: This Time was Different," CEPR Discussion Papers 13016, C.E.P.R. Discussion Papers.
- Albert Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis : this time was different," Documents de Travail de l'OFCE 2019-11, Observatoire Francais des Conjonctures Economiques (OFCE).
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," SciencePo Working papers Main hal-03403269, HAL.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," SciencePo Working papers Main hal-03403613, HAL.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Working Papers hal-03403269, HAL.
- Luca Di Bonaventura & Mario Forni & Francesco Pattarin, 2018.
"The Forecasting Performance of Dynamic Factor Models with Vintage Data,"
Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance)
0070, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Forni, Mario & Di Bonaventura, Luca & Pattarin, Francesco, 2018. "The Forcasting Performance of Dynamic Factor Models with Vintage Data," CEPR Discussion Papers 13034, C.E.P.R. Discussion Papers.
- Luca Di Bonaventura & Mario Forni & Francesco Pattarin, 2018. "The Forecasting Performance of Dynamic Factor Models with Vintage Data," Center for Economic Research (RECent) 138, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018.
"The rise and fall of the natural interest rate,"
Working Papers
1822, Banco de España.
- Pérez-Quirós, Gabriel & Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018. "The Rise and Fall of the Natural Interest Rate," CEPR Discussion Papers 13042, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018. "The Rise and Fall of the Natural Interest Rate," Working Papers wp2018_1805, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018. "The Rise and Fall of the Natural Interest Rate," Working Papers - Economics wp2018_14.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018. "The Rise and Fall of the Natural Interest Rate," Working Paper series 18-29, Rimini Centre for Economic Analysis.
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"Modeling of Economic and Financial Conditions for Nowcasting and Forecasting Recessions: A Unified Approach,"
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"Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach,"
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"Some Financial Implications of Global Warming: An Empirical Assessment,"
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"Negative Binomial Autoregressive Process,"
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"The Democrat-Republican growth gap paradox,"
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"Credit Risk Determinants In The Vulnerable Economies Of Europe: Evidence From The Italian Banking System,"
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"Forecasting with Second-Order Approximations and Markov-Switching DSGE Models,"
Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 747-771, December.
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"The Linear Systems Approach To Linear Rational Expectations Models,"
Econometric Theory, Cambridge University Press, vol. 34(3), pages 628-658, June.
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"On The Functional Estimation Of Multivariate Diffusion Processes,"
Econometric Theory, Cambridge University Press, vol. 34(4), pages 896-946, August.
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"Directionally Differentiable Econometric Models,"
Econometric Theory, Cambridge University Press, vol. 34(5), pages 1101-1131, October.
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"Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions,"
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"How Does Stock Market Volatility React To Oil Price Shocks?,"
Macroeconomic Dynamics, Cambridge University Press, vol. 22(3), pages 666-682, April.
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- Sanu, Md Sahnewaz, 2018. "The Contribution of MSMEs in India’s Total Exports and GDP Growth: Evidence from Cointegration and Causality Tests," MPRA Paper 107892, University Library of Munich, Germany, revised Jan 2019.
- Leila Dagher & Ibrahim Jamali & Nasser Badra, 2020.
"The Predictive Power of Oil and Commodity Prices for Equity Markets,"
World Scientific Book Chapters, in: Stéphane Goutte & Khaled Guesmi (ed.), Risk Factors and Contagion in Commodity Markets and Stocks Markets, chapter 3, pages 47-82,
World Scientific Publishing Co. Pte. Ltd..
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- Ngomba Bodi, Francis Ghislain, 2018. "Contributions relatives des chocs de demande agrégée et d’offre agrégée aux fluctuations de la croissance réelle en zone CEMAC [Relative contributions of aggregate demand and supply shocks to busin," MPRA Paper 116376, University Library of Munich, Germany.
- Ellalee, Haider & Alali, Walid Y., 2018. "The Brexit Impact on Inward FDI in the UK," MPRA Paper 117510, University Library of Munich, Germany, revised 20 May 2018.
- Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2018. "Periodicity in Bitcoin returns: A time-varying volatility approach," MPRA Paper 122529, University Library of Munich, Germany, revised 28 Oct 2024.
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"The Inflation-Growth Relationship in SSA Inflation-Targeting Countries,"
Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, vol. 64(2), pages 84-102, August.
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- Gluschenko, Konstantin, 2018. "Market of the Novosibirsk Oblast in the System of Regional Markets," MPRA Paper 83649, University Library of Munich, Germany.
- Maheu, John M. & Song, Yong & Yang, Qiao, 2020.
"Oil price shocks and economic growth: The volatility link,"
International Journal of Forecasting, Elsevier, vol. 36(2), pages 570-587.
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- Maheu, John M & Yang, Qiao & Song, Yong, 2018. "Oil Price Shocks and Economic Growth: The Volatility Link," MPRA Paper 83779, University Library of Munich, Germany.
- Maheu, John M & Song, Yong & Yang, Qiao, 2018. "Oil Price Shocks and Economic Growth: The Volatility Link," MPRA Paper 83999, University Library of Munich, Germany.
- Ambreen FATEMAH & Abdul QAYYUM, 2018.
"Modeling the impact of exports on the economic growth of Pakistan,"
Turkish Economic Review, KSP Journals, vol. 5(1), pages 56-64, March.
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- GRITLI, Mohamed Ilyes, 2018. "Quel avenir du dinar tunisien face à l'euro ? Prévision avec le modèle ARIMA [What future of the Tunisian dinar against the euro? Prediction with the ARIMA model]," MPRA Paper 83937, University Library of Munich, Germany.
- Ana Gómez-Loscos & M. Dolores Gadea & Eduardo Bandres, 2020.
"Business cycle patterns in European regions,"
Empirical Economics, Springer, vol. 59(6), pages 2639-2661, December.
- Gomez-Loscos, Ana & Gadea, M. Dolores & Bandres, Eduardo, 2018. "Business cycle patterns in European regions," MPRA Paper 83964, University Library of Munich, Germany.
- Cerovecki, Clément & Francq, Christian & Hörmann, Siegfried & Zakoïan, Jean-Michel, 2019.
"Functional GARCH models: The quasi-likelihood approach and its applications,"
Journal of Econometrics, Elsevier, vol. 209(2), pages 353-375.
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- Maheu, John M. & Song, Yong & Yang, Qiao, 2020.
"Oil price shocks and economic growth: The volatility link,"
International Journal of Forecasting, Elsevier, vol. 36(2), pages 570-587.
- John M. Maheu & Yong Song & Qiao Yang, 2018. "Oil Price Shocks and Economic Growth: The Volatility Link," Working Paper series 18-03, Rimini Centre for Economic Analysis.
- Maheu, John M & Song, Yong & Yang, Qiao, 2018. "Oil Price Shocks and Economic Growth: The Volatility Link," MPRA Paper 83999, University Library of Munich, Germany.
- Maheu, John M & Yang, Qiao & Song, Yong, 2018. "Oil Price Shocks and Economic Growth: The Volatility Link," MPRA Paper 83779, University Library of Munich, Germany.
- Kavase, Kambale & Phiri, Andrew, 2018.
"Are fiscal budgets sustainable in South Africa? Evidence from provincial level data,"
Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 14(2), February.
- Kambale Kavase & Andrew Phiri, 2018. "Are fiscal budgets sustainable in South Africa? Evidence from provincial level data," Business and Economic Horizons (BEH), Prague Development Center, vol. 14(2), pages 415-423, April.
- Kambale Kavese & Andrew Phiri, 2018. "Are fiscal budgets sustainable in South Africa? Evidence from provincial level data," Working Papers 1804, Department of Economics, Nelson Mandela University, revised Jan 2018.
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- Hlalefang Khobai, 2018.
"Renewable energy consumption and economic growth in Indonesia. Evidence from the ARDL bounds testing approach,"
Working Papers
1806, Department of Economics, Nelson Mandela University, revised Feb 2018.
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- Khobai, Hlalefang, 2018. "Investigating the linkage between Renewable Energy Consumption and Economic Growth: The case of Turkey," MPRA Paper 85082, University Library of Munich, Germany.
- Andrew Phiri, 2018.
"How sustainable are fiscal budgets in the Kingdom of Swaziland?,"
Working Papers
1810, Department of Economics, Nelson Mandela University, revised Mar 2018.
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- Hasumi, Ryo & Iiboshi, Hirokuni & Nakamura, Daisuke, 2018.
"Trends, cycles and lost decades: Decomposition from a DSGE model with endogenous growth,"
Japan and the World Economy, Elsevier, vol. 46(C), pages 9-28.
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"Пространственная Интеграция Региональных Рынков Сибири [Spatial Integration of Siberian Regional Markets],"
MPRA Paper
88920, University Library of Munich, Germany.
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"Structural changes in exchange rate-stock returns dynamics in South Africa: examining the role of crisis and new trading platform,"
Economic Change and Restructuring, Springer, vol. 53(1), pages 171-193, February.
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- Phiri, Andrew, 2018. "Structural changes in exchange rate-stock returns dynamics in South Africa: Examining the role of crisis and new trading platform," MPRA Paper 85826, University Library of Munich, Germany.
- Khobai, Hlalefang, 2018. "The causal linkages between renewable electricity generation and economic growth in South Africa," MPRA Paper 86485, University Library of Munich, Germany.
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"A Provincial Perspective of Nonlinear Okun’s Law for Emerging Markets: The Case of South Africa,"
Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 30(3), pages 59-76, September.
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- Kavese, Kambale & Phiri, Andrew, 2018. "A provincial perspective of nonlinear Okun's law for emerging markets: The case of South Africa," MPRA Paper 86517, University Library of Munich, Germany.
- Akpa, Emeka, 2018. "Private Remittances Received and Household Consumption in Ghana (1980-2016): An ARDL Analysis with Structural Breaks," MPRA Paper 87103, University Library of Munich, Germany.
- Ho, Sin-Yu & Njindan Iyke, Bernard, 2018. "Financial Development, Growth and Poverty Reduction: Evidence from Ghana," MPRA Paper 87121, University Library of Munich, Germany.
- Yves, Togba Boboy & Yoon, Seong-Min, 2018. "Swing in the Fed’s balance sheet policy and spillover effects on emerging Asian countries," MPRA Paper 87141, University Library of Munich, Germany.
- Arora, Vipin, 2018. "Natural Gas and the US Economy: Some Preliminary Rules of Thumb," MPRA Paper 87279, University Library of Munich, Germany.
- Zezethu Zandile & Andrew Phiri, 2019.
"Fdi As A Contributing Factor To Economic Growth In Burkina Faso: How True Is This?,"
Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-27, March.
- Zandile Zezethu & Andrew Phiri, 2018. "FDI as a contributing factor to economic growth in Burkina Faso: How true is this?," Working Papers 1823, Department of Economics, Nelson Mandela University.
- Zandile, Zezethu & Phiri, Andrew, 2018. "FDI as a contributing factor to economic growth in Burkina Faso: How true is this?," MPRA Paper 87282, University Library of Munich, Germany.
- Mothuti Gosego & Phiri Andrew, 2018.
"Inflation-Growth Nexus in Botswana: Can Lower Inflation Really Spur Growth in the Country?,"
Global Economy Journal, De Gruyter, vol. 18(4), pages 1-11, December.
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- Gosego Mothuti & Andrew Phiri, 2018. "Inflation-growth nexus in Botswana: Can lower inflation really spur growth in the country?," Working Papers 1824, Department of Economics, Nelson Mandela University.
- Mothuti, Gosego & Phiri, Andrew, 2018. "inflation-growth nexus in Botswana: Can lower inflation really spur growth in the country?," MPRA Paper 87497, University Library of Munich, Germany.
- Thomas B. Götz & Alain W. Hecq, 2019.
"Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(6), pages 914-935, November.
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- Izunna Anyikwa & Nicolene Haaman & Andrew Phiri, 2018.
"Persistence of suicides in G20 countries: SPSM approach to three generations of unit root tests,"
Working Papers
1825, Department of Economics, Nelson Mandela University.
- Anyikwa, Izunna & Hamman, Nicolene & Phiri, Andrew, 2018. "Persistence of suicides in G20 countries: SPSM approach to three generations of unit root tests," MPRA Paper 87790, University Library of Munich, Germany.
- Marco Barassi & Lajos Horváth & Yuqian Zhao, 2020.
"Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 340-349, April.
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- MESSAILI, Moussa & KAID TLILANE, Nouara, 2018. "Essai d’évaluation de la contribution de la santé à la croissance économique en Algérie [An assessment of the contribution of health to economic growth in Algeria]," MPRA Paper 88013, University Library of Munich, Germany, revised 18 Jul 2018.
- Klößner, Stefan & Pfeifer, Gregor, 2015.
"Synthesizing Cash for Clunkers: Stabilizing the Car Market, Hurting the Environment,"
VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy
113207, Verein für Socialpolitik / German Economic Association.
- Klößner, Stefan & Pfeifer, Gregor, 2018. "Synthesizing Cash for Clunkers: Stabilizing the Car Market, Hurting the Environment?," MPRA Paper 88175, University Library of Munich, Germany.
- Andrew Phiri, 2020.
"Endogenous monetary approach to optimal inflation–growth nexus in Swaziland,"
African Journal of Economic and Management Studies, Emerald Group Publishing Limited, vol. 11(4), pages 559-571, March.
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"Fitting Okun's law for the Swazi Kingdom: Will a nonlinear specification do?,"
Economics Bulletin, AccessEcon, vol. 39(2), pages 1371-1383.
- Andrew Phiri, 2018. "Fitting Okun's law for the Swazi Kingdom: Will a nonlinear specification do?," Working Papers 1829, Department of Economics, Nelson Mandela University.
- Phiri, Andrew, 2018. "Fitting Okun's law for the Swazi Kingdom: Will a nonlinear specification do?," MPRA Paper 88420, University Library of Munich, Germany.
- Gomez-Gonzalez, Jose & Rojas-Espinosa, Wilmer, 2018. "Detecting exchange rate contagion in Asian exchange rate markets using asymmetric DDC-GARCH and R-vine copulas," MPRA Paper 88578, University Library of Munich, Germany.
- Sin-Yu Ho, 2018.
"Determinants of economic growth in Hong Kong: The role of stock market development,"
Cogent Economics & Finance, Taylor & Francis Journals, vol. 6(1), pages 1510718-151, January.
- Ho, Sin-Yu, 2018. "Determinants of Economic Growth in Hong Kong: The Role of Stock Market Development," MPRA Paper 88788, University Library of Munich, Germany.
- Jackson, Emerson Abraham & Tamuke, Edmund, 2018. "Probability Forecast Using Fan Chart Analysis: A case of the Sierra Leone Economy," MPRA Paper 88853, University Library of Munich, Germany, revised 04 Sep 2018.
- Tursoy, Turgut & Faisal, Faisal & Berk, Niyazi & Shahbaz, Muhammad, 2018. "How do Stock Prices and Metal Prices Contribute to Economic Activity in Turkey? The Importance of Linear and Non-linear ARDL," MPRA Paper 88899, University Library of Munich, Germany.
- Gluschenko, Konstantin, 2018.
"Spatial Integration of Siberian Regional Markets,"
MPRA Paper
85667, University Library of Munich, Germany.
- Gluschenko, Konstantin, 2018. "Пространственная Интеграция Региональных Рынков Сибири [Spatial Integration of Siberian Regional Markets]," MPRA Paper 88920, University Library of Munich, Germany.
- CHAFIK, Omar, 2018. "Financial cycle and conduct of monetary policy: theory and empirical evidence," MPRA Paper 88995, University Library of Munich, Germany.
- Bonga, Wellington G., 2018. "Trade Balance Analysis in Zimbabwe: Import and Export Examination Using Vector Auto-Regression Model," MPRA Paper 89002, University Library of Munich, Germany.
- CHAFIK, Omar, 2018. "Financial cycle and conduct of monetary policy: The amplifier/divider theory," MPRA Paper 89170, University Library of Munich, Germany.
- Phiri, Andrew, 2018. "Pursuing the Phillips curve in an African monarchy: The Swazi case," MPRA Paper 89199, University Library of Munich, Germany.
- Roy Trivedi, Smita, 2018. "Exchange rate volatility: Trader's beliefs and the role of news," MPRA Paper 89330, University Library of Munich, Germany.
- Pincheira, Pablo & Hardy, Nicolas, 2018. "The predictive relationship between exchange rate expectations and base metal prices," MPRA Paper 89423, University Library of Munich, Germany.
- Bothwell Nyoni & Andrew Phiri, 2020.
"Renewable Energy - Economic Growth Nexus in South Africa: Linear, Nonlinear or Non-existent?,"
International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 635-644.
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- Nyoni, Bothwell & Phiri, Andrew, 2018. "Renewable energy-economic growth nexus in South Africa: Linear, nonlinear or non-existent?," MPRA Paper 89761, University Library of Munich, Germany.
- Davaajargal Luvsannyam & Khuslen Batmunkh, 2019.
"A factor‐augmented vector autoregressive (FAVAR) approach for monetary policy: Replication of the empirical results in “measuring the effects of monetary policy”,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 820-821, August.
- Luvsannyam, Davaajargal & Batmunkh, Khuslen, 2018. "A Factor Augmented Vector Autoregressive (FAVAR) approach for Monetary Policy: Replication of the empirical results in “Measuring the effects of Monetary Policy”," MPRA Paper 89814, University Library of Munich, Germany.
- Andrea Bastianin & Alessandro Lanza & Matteo Manera, 2018.
"Economic impacts of El Niño southern oscillation: evidence from the Colombian coffee market,"
Agricultural Economics, International Association of Agricultural Economists, vol. 49(5), pages 623-633, September.
- Bastianin, Andrea & Lanza, Alessandro & Manera, Matteo, 2016. "Economic Impacts of El Niño Southern Oscillation: Evidence from the Colombian Coffee Market," EIA: Climate Change: Economic Impacts and Adaptation 250258, Fondazione Eni Enrico Mattei (FEEM).
- Bastianin, Andrea & Lanza, Alessandro & Manera, Matteo, 2018. "Economic impacts of El Niño Southern Oscillation: evidence from the Colombian coffee market," MPRA Paper 89984, University Library of Munich, Germany.
- Andrea Bastianin & Alessandro Lanza & Matteo Manera, 2016. "Economic Impacts of El Niño Southern Oscillation: Evidence from the Colombian Coffee Market," Working Papers 2016.73, Fondazione Eni Enrico Mattei.
- Andrea BASTIANIN & Alessandro LANZA & Matteo MANERA, 2016. "Economic Impacts of El Niño Southern Oscillation: Evidence from the Colombian Coffee Market," Departmental Working Papers 2016-14, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Bilgili, Faik & Mugaloglu, Erhan & Koçak, Emrah, 2018. "The impact of oil prices on CO2 emissions in China: A Wavelet coherence approach," MPRA Paper 90170, University Library of Munich, Germany.
- Pedro Brinca & Nikolay Iskrev & Francesca Loria, 2022.
"On Identification Issues in Business Cycle Accounting Models,"
Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 55-138,
Emerald Group Publishing Limited.
- Brinca, Pedro & Iskrev, Nikolay & Loria, Francesca, 2018. "On Identification Issues in Business Cycle Accounting Models," MPRA Paper 90250, University Library of Munich, Germany.
- Theophilopoulou, Angeliki, 2018. "The impact of macroeconomic uncertainty on inequality: An empirical study for the UK," MPRA Paper 90448, University Library of Munich, Germany.
- Tan, Fei, 2018. "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper 90487, University Library of Munich, Germany.
- BENYOUB, Mohammed, 2018. "L’impact De L’investissement Des Revenus Pétroliers Sur La Croissance, L’inflation Et Le Chômage : Cas D’Algérie (2000-2015) [The Impact of Oil Revenue Investment on Growth, Inflation and Unemploym," MPRA Paper 90489, University Library of Munich, Germany, revised 05 Jul 2018.
- Yaya, OlaOluwa S & Gil-Alana, Luis A., 2018. "High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach," MPRA Paper 90518, University Library of Munich, Germany.
- Oseni, Isiaq & Akpa, Emeka & Aberu, Felix, 2018. "Does Stock Market impact on the Growth of Nigerian Economy using 3SLS Analysis?," MPRA Paper 92285, University Library of Munich, Germany.
- Mansur, Alfan, 2018. "Measuring Systemic Risk on Indonesia’s Banking System," MPRA Paper 93300, University Library of Munich, Germany, revised 12 Apr 2018.
- Giovanni Angelini & Luca Fanelli, 2019.
"Exogenous uncertainty and the identification of structural vector autoregressions with external instruments,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(6), pages 951-971, September.
- Angelini, Giovanni & Fanelli, Luca, 2018. "Exogenous uncertainty and the identification of Structural Vector Autoregressions with external instruments," MPRA Paper 93864, University Library of Munich, Germany, revised May 2019.
- Degiannakis, Stavros & Filis, George & Panagiotakopoulou, Sofia, 2018.
"Oil price shocks and uncertainty: How stable is their relationship over time?,"
Economic Modelling, Elsevier, vol. 72(C), pages 42-53.
- Stavros Degiannakis & George Filis & Sofia Panagiotakopoulou, 2018. "Oil Price Shocks and Uncertainty: How stable is their relationship over time?," BAFES Working Papers BAFES13, Department of Accounting, Finance & Economic, Bournemouth University.
- Degiannakis, Stavros & Filis, George & Panagiotakopoulou, Sofia, 2018. "Oil Price Shocks and Uncertainty: How stable is their relationship over time?," MPRA Paper 96271, University Library of Munich, Germany.
- Degiannakis, Stavros, 2018.
"Multiple days ahead realized volatility forecasting: Single, combined and average forecasts,"
Global Finance Journal, Elsevier, vol. 36(C), pages 41-61.
- Degiannakis, Stavros, 2018. "Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts," MPRA Paper 96272, University Library of Munich, Germany.
- Nurrachmi, Rininta, 2018. "Movements of Islamic Stock Indices in Selected OIC Countries," MPRA Paper 96539, University Library of Munich, Germany.
- Kummer-Noormamode, Sabina, 2018. "The Relationship between Public Debt and Economic Growth: Nonlinearity and Country-Specificity," MPRA Paper 98075, University Library of Munich, Germany.
- Adnen Ben Nasr & Matteo Bonato & Riza Demirer & Rangan Gupta, 2019.
"Investor Sentiment and Crash Risk in Safe Havens,"
Journal of Economics and Behavioral Studies, AMH International, vol. 10(6), pages 97-108.
- Adnen Ben Nasr & Matteo Bonato & Riza Demirer & Rangan Gupta, 2018. "Investor Sentiment and Crash Risk in Safe Havens," Working Papers 201804, University of Pretoria, Department of Economics.
- Nikolaos Antonakakis & David Gabauer & Rangan Gupta, 2018. "International Monetary Policy Spillovers: Evidence from a TVP-VAR," Working Papers 201806, University of Pretoria, Department of Economics.
- Riza Demirer & Rangan Gupta, 2018. "Presidential Cycles and Time-Varying Bond-Stock Correlations: Evidence from More than Two Centuries of Data," Working Papers 201811, University of Pretoria, Department of Economics.
- Aviral Kumar Tiwari & Deven Bathia & Elie Bouri & Rangan Gupta, 2021.
"Investor Sentiment Connectedness: Evidence From Linear And Nonlinear Causality Approaches,"
Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-29, December.
- Aviral Kumar Tiwari & Deven Bathia & Elie Bouri & Rangan Gupta, 2018. "Investor Sentiment Connectedness: Evidence from Linear and Nonlinear Causality Approaches," Working Papers 201814, University of Pretoria, Department of Economics.
- Wendy Nyakabawo & Rangan Gupta & Hardik A. Marfatia, 2018. "High-Frequency Impact of Monetary Policy and Macroeconomic Surprises on US MSAs and Aggregate US Housing Returns and Volatility: A GJR-GARCH Approach," Working Papers 201817, University of Pretoria, Department of Economics.
- Goodness C. Aye & Giray Gozgor & Rangan Gupta, 2020.
"Dynamic and Asymmetric Response of Inequality to Income Volatility: The Case of the United Kingdom,"
Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 147(3), pages 747-762, February.
- Goodness C. Aye & Giray Gozgor & Rangan Gupta, 2018. "Dynamic and Asymmetric Response of Inequality to Income Volatility: The Case of the United Kingdom," Working Papers 201821, University of Pretoria, Department of Economics.
- Gupta, Rangan & Huber, Florian & Piribauer, Philipp, 2020.
"Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models,"
International Review of Financial Analysis, Elsevier, vol. 68(C).
- Rangan Gupta & Florian Huber & Philipp Piribauer, 2018. "Predicting International Equity Returns: Evidence from Time-Varying Parameter Vector Autoregressive Models," Working Papers 201826, University of Pretoria, Department of Economics.
- Goodness Aye, 2018. "Causality between Economic Policy Uncertainty and Real Housing Returns in Emerging Economies: A Cross-Sample Validation Approach," Working Papers 201827, University of Pretoria, Department of Economics.
- Gabauer, David & Gupta, Rangan, 2018.
"On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach,"
Economics Letters, Elsevier, vol. 171(C), pages 63-71.
- David Gabauer & Rangan Gupta, 2018. "On the Transmission Mechanism of Country-Specific and International Economic Uncertainty Spillovers: Evidence from a TVP-VAR Connectedness Decomposition Approach," Working Papers 201829, University of Pretoria, Department of Economics.
- Rangan Gupta & Patrick Kanda & Mark E. Wohar, 2021.
"Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings,"
International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 324-335, March.
- Rangan Gupta & Patrick Kanda & Mark E. Wohar, 2018. "Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings," Working Papers 201830, University of Pretoria, Department of Economics.
- Goodness C. Aye & Rangan Gupta, 2018. "Macroeconomic Uncertainty and the Comovement in Buying versus Renting in the United States," Working Papers 201832, University of Pretoria, Department of Economics.
- Yanele Nyamela & Vasilios Plakandaras & Rangan Gupta, 2020.
"Frequency-dependent real-time effects of uncertainty in the United States: evidence from daily data,"
Applied Economics Letters, Taylor & Francis Journals, vol. 27(19), pages 1562-1566, November.
- Yanele Nyamela & Vasilios Plakandaras & Rangan Gupta, 2018. "Frequency-Dependent Real-Time Effects of Uncertainty in the United States: Evidence from Daily Data," Working Papers 201833, University of Pretoria, Department of Economics.
- Nikolaos Antonakakis & David Gabauer & Rangan Gupta, 2018. "Greek Economic Policy Uncertainty: Does it Matter for the European Union?," Working Papers 201840, University of Pretoria, Department of Economics.
- Juncal Cunado & Rangan Gupta & Chi Keung Marco Lau & Xin Sheng, 2020.
"Time-Varying Impact of Geopolitical Risks on Oil Prices,"
Defence and Peace Economics, Taylor & Francis Journals, vol. 31(6), pages 692-706, August.
- Juncal Cunado & Rangan Gupta & Chi Keung Marco Lau & Xin Sheng, 2018. "Time-Varying Impact of Geopolitical Risks on Oil Prices," Working Papers 201841, University of Pretoria, Department of Economics.
- Rangan Gupta & Chi Keung Marco Lau & Vasilios Plakandaras & Wing-Keung Wong, 2019.
"The role of housing sentiment in forecasting U.S. home sales growth: evidence from a Bayesian compressed vector autoregressive model,"
Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 32(1), pages 2554-2567, January.
- Rangan Gupta & Chi Keung Marco Lau & Vasilios Plakandaras & Wing-Keung Wong, 2018. "The Role of Housing Sentiment in Forecasting US Home Sales Growth: Evidence from a Bayesian Compressed Vector Autoregressive Model," Working Papers 201842, University of Pretoria, Department of Economics.
- Riza Demirer & Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2019.
"Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests,"
Sustainability, MDPI, vol. 11(2), pages 1-15, January.
- Riza Demirer & Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2018. "Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests," Working Papers 201846, University of Pretoria, Department of Economics.
- Plakandaras, Vasilios & Gupta, Rangan & Wong, Wing-Keung, 2019.
"Point and density forecasts of oil returns: The role of geopolitical risks,"
Resources Policy, Elsevier, vol. 62(C), pages 580-587.
- Vasilios Plakandaras & Rangan Gupta & Wing-Keung Wong, 2018. "Point and Density Forecasts of Oil Returns: The Role of Geopolitical Risks," Working Papers 201847, University of Pretoria, Department of Economics.
- Gupta, Rangan & Kanda, Patrick & Tiwari, Aviral Kumar & Wohar, Mark E., 2019.
"Time-varying predictability of oil market movements over a century of data: The role of US financial stress,"
The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Rangan Gupta & Patrick Kanda & Aviral Kumar Tiwari & Mark E. Wohar, 2018. "Time-Varying Predictability of Oil Market Movements Over a Century of Data: The Role of US Financial Stress," Working Papers 201848, University of Pretoria, Department of Economics.
- Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2019.
"Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector,"
Sustainability, MDPI, vol. 11(10), pages 1-12, May.
- Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2018. "Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector," Working Papers 201849, University of Pretoria, Department of Economics.
- Ji, Qiang & Gupta, Rangan & Bekun, Festus Victor & Balcilar, Mehmet, 2019.
"Spillover of mortgage default risks in the United States: Evidence from metropolitan statistical areas and states,"
The Journal of Economic Asymmetries, Elsevier, vol. 19(C), pages 1-1.
- Qiang Ji & Rangan Gupta & Festus Victor Bekun & Mehmet Balcilar, 2018. "Spillover of Mortgage Default Risks in the United States: Evidence from Metropolitan Statistical Areas and States," Working Papers 201850, University of Pretoria, Department of Economics.
- Rangan Gupta & Godwin Olasehinde-Williams & Mark E. Wohar, 2018. "The Impact of US Uncertainty Shocks on a Panel of Advanced and Emerging Market Economies: The Role of Exchange Rate, Trade and Financial Channels," Working Papers 201857, University of Pretoria, Department of Economics.
- Riza Demirer & Rangan Gupta & Qiang Ji & Aviral Kumar Tiwari, 2018. "Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility," Working Papers 201860, University of Pretoria, Department of Economics.
- Sergey Ivashchenko & Semih Emre Çekin & Kevin Kotzé & Rangan Gupta, 2020.
"Forecasting with Second-Order Approximations and Markov-Switching DSGE Models,"
Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 747-771, December.
- Sergey Ivashchenko & Semih Emre Cekin & Kevin Kotze & Rangan Gupta, 2018. "Forecasting with second-order approximations and Markov-switching DSGE models," School of Economics Macroeconomic Discussion Paper Series 2018-10, School of Economics, University of Cape Town.
- Sergey Ivashchenko & Semih Emre Çekin & Kevin Kotzé & Rangan Gupta, 2018. "Forecasting with Second-Order Approximations and Markov Switching DSGE Models," Working Papers 201862, University of Pretoria, Department of Economics.
- Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2019.
"Time-varying causal relationship between stock market and unemployment in the United Kingdom: Historical evidence from 1855 to 2017,"
Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 81-88.
- Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2018. "Time-Varying Causal Relationship between Stock Market and Unemployment in the United Kingdom: Historical Evidence from 1855 to 2017," Working Papers 201863, University of Pretoria, Department of Economics.
- David Gabauer & Sowmya Subramaniam & Rangan Gupta, 2022.
"On the transmission mechanism of Asia‐Pacific yield curve characteristics,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 473-488, January.
- Sowmya Subramaniam & David Gabauer & Rangan Gupta, 2018. "On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics," Working Papers 201864, University of Pretoria, Department of Economics.
- Rangan Gupta & Chi Keung Marco Lau & Wendy Nyakabawo, 2018. "Predicting Aggregate and State-Level US House Price Volatility: The Role of Sentiment," Working Papers 201866, University of Pretoria, Department of Economics.
- Boubaker Heni & Canarella Giorgio & Gupta Rangan & Miller Stephen M., 2021.
"Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(5), pages 289-310, December.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2018. "Long-Memory Modeling and Forecasting: Evidence from the U.S. Historical Series of Inflation," Working Papers 201869, University of Pretoria, Department of Economics.
- Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy, 2019.
"Time-varying impact of uncertainty shocks on the US housing market,"
Economics Letters, Elsevier, vol. 180(C), pages 15-20.
- Christina Christou & Rangan Gupta & Wendy Nyakabawo, 2018. "Time-Varying Impact of Uncertainty Shocks on the US Housing Market," Working Papers 201870, University of Pretoria, Department of Economics.
- Rangan Gupta & Mark E. Wohar, 2018. "Presidential Cycles in the United States and the Dollar-Pound Exchange Rate: Evidence from over Two Centuries of Data," Working Papers 201874, University of Pretoria, Department of Economics.
- André, Christophe & Caraiani, Petre & Călin, Adrian Cantemir & Gupta, Rangan, 2022.
"Can monetary policy lean against housing bubbles?,"
Economic Modelling, Elsevier, vol. 110(C).
- Christophe André & Petre Caraiani & Adrian Cantemir Čalin & Rangan Gupta, 2018. "Can Monetary Policy Lean against Housing Bubbles?," Working Papers 201877, University of Pretoria, Department of Economics.
- Akhona Myataza & Rangan Gupta, 2018. "Political Cycles in the United States and Stock Market Volatility in other Advanced Economies: An EGARCH Approach," Working Papers 201878, University of Pretoria, Department of Economics.
- Caraiani, Petre & Gupta, Rangan, 2020.
"Is the response of the bank of England to exchange rate movements frequency-dependent?,"
Journal of Macroeconomics, Elsevier, vol. 63(C).
- Petre Caraiani & Rangan Gupta, 2018. "Is the Response of the Bank of England to Exchange Rate Movements Frequency-Dependent?," Working Papers 201883, University of Pretoria, Department of Economics.
- Lukáš Kučera, 2018. "Investice v transmisním mechanismu cílování inflace verifikace zdrojů variability investic v České republice [Investment in the Transmission Mechanism of Inflation Targeting - Verification of Sourc," Politická ekonomie, Prague University of Economics and Business, vol. 2018(2), pages 201-217.
- Markéta Arltová & Tomáš Kábrt, 2018. "Hlavní determinanty ovlivňující poptávku po životním pojištění v České republice [Analysis of Determinants, Influencing Life Insurance Demand in the Czech Republic]," Politická ekonomie, Prague University of Economics and Business, vol. 2018(3), pages 344-365.
- Ashoka Mody & Milan Nedeljkovic, 2018. "Central Bank Policies and Financial Markets: Lessons from the Euro Crisis," Working Papers 253, Princeton University, Department of Economics, Center for Economic Policy Studies..
- Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018.
"Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks,"
Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 10(1), pages 1-25, March.
- Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018. "Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks," Post-Print hal-01982032, HAL.
- Daniel Kosiorowski & Dominik Mielczarek & Jerzy P. Rydlewski, 2018. "Forecasting of a Hierarchical Functional Time Series on Example of Macromodel for the Day and Night Air Pollution in Silesia Region - A Critical Overview," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 10(1), pages 53-73, March.
- Robert Socha & Piotr Wdowiński, 2018. "Crude oil price and speculative activity: a cointegration analysis," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 10(3), pages 263-304, September.
- Victor Bystrov, 2018.
"Measuring the Natural Rates of Interest in Germany and Italy,"
Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 10(4), pages 333-353, December.
- Bystrov Victor, 2018. "Measuring the Natural Rates of Interest in Germany and Italy," Lodz Economics Working Papers 7/2018, University of Lodz, Faculty of Economics and Sociology.
- Nikolay Iskrev, 2018.
"Calibration and the estimation of macroeconomic models,"
Working Papers REM
2018/34, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Nikolay Iskrev, 2018. "Calibration and the estimation of macroeconomic models," Working Papers w201801, Banco de Portugal, Economics and Research Department.
- Nikolay Iskrev, 2018.
"Are asset price data informative about news shocks? A DSGE perspective,"
Working Papers REM
2018/33, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Nikolay Iskrev, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Papers w201802, Banco de Portugal, Economics and Research Department.
- Iskrev, Nikolay, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Paper Series 2161, European Central Bank.
- Søren Johansen & Morten Ørregaard Nielsen, 2019.
"Nonstationary Cointegration in the Fractionally Cointegrated VAR Model,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(4), pages 519-543, July.
- Søren Johansen & Morten Ørregaard Nielsen, 2018. "Nonstationary cointegration in the fractionally cointegrated VAR model," CREATES Research Papers 2018-17, Department of Economics and Business Economics, Aarhus University.
- Morten Ø. Nielsen & S Johansen, 2018. "Nonstationary Cointegration In The Fractionally Cointegrated Var Model," Working Paper 1405, Economics Department, Queen's University.
- Soeren Johansen & Morten Oerregaard Nielsen, 2018. "Nonstationary cointegration in the fractionally cointegrated VAR model," Discussion Papers 18-04, University of Copenhagen. Department of Economics.
- Haroon Mumtaz & Alberto Musso, 2021.
"The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 466-481, March.
- Mumtaz, Haroon & Musso, Alberto, 2018. "The evolving impact of global, region-specific and country-specific uncertainty," Working Paper Series 2147, European Central Bank.
- Haroon Mumtaz & Alberto Musso, 2018. "The evolving impact of global, region-specific and country-specific uncertainty," Working Papers 866, Queen Mary University of London, School of Economics and Finance.
- Martin Bruns & Michele Piffer, 2018.
"Bayesian Structural VAR models: a new approach for prior beliefs on impulse responses,"
Working Papers
878, Queen Mary University of London, School of Economics and Finance.
- Martin Bruns & Michele Piffer, 2019. "Bayesian Structural VAR Models: A New Approach for Prior Beliefs on Impulse Responses," Discussion Papers of DIW Berlin 1796, DIW Berlin, German Institute for Economic Research.
- Gutiérrez, Ana Paola & Pérez, Fernando, 2018. "Choques agregados y sectoriales en la economía peruana," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 35, pages 29-53.
- Abu Hasan & Anita Zaman & Zohirul Islam Sikder & Abdul Wadud, 2018. "The Dynamics of Electricity Consumption, Energy Use and GDP in Bangladesh," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 21(68), pages 40-53, June.
- Maria Christidou & Panagiotis Th. Konstantinou & Costas Roumanias, 2018. "Heterogeneous Monetary Policy Transmission in the Housing Market," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 10(1), pages 75-96, January.
- Milena Lipovina-Božoviæ & Maja Ivanoviæ, 2018. "Capital flows in Montenegro: SVAR model," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 36(2), pages 647-675.
- Anttonen, Jetro, 2018. "Nowcasting the Unemployment Rate in the EU with Seasonal BVAR and Google Search Data," ETLA Working Papers 62, The Research Institute of the Finnish Economy.
- Xin Jin & John M. Maheu & Qiao Yang, 2019.
"Bayesian parametric and semiparametric factor models for large realized covariance matrices,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 641-660, August.
- Jin, Xin & Maheu, John M & Yang, Qiao, 2017. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper 81920, University Library of Munich, Germany.
- Xin Jin & John M. Maheu & Qiao Yang, 2018. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," Working Paper series 18-02, Rimini Centre for Economic Analysis.
- Maheu, John M. & Song, Yong & Yang, Qiao, 2020.
"Oil price shocks and economic growth: The volatility link,"
International Journal of Forecasting, Elsevier, vol. 36(2), pages 570-587.
- Maheu, John M & Song, Yong & Yang, Qiao, 2018. "Oil Price Shocks and Economic Growth: The Volatility Link," MPRA Paper 83999, University Library of Munich, Germany.
- John M. Maheu & Yong Song & Qiao Yang, 2018. "Oil Price Shocks and Economic Growth: The Volatility Link," Working Paper series 18-03, Rimini Centre for Economic Analysis.
- Maheu, John M & Yang, Qiao & Song, Yong, 2018. "Oil Price Shocks and Economic Growth: The Volatility Link," MPRA Paper 83779, University Library of Munich, Germany.
- Fiorentini, Gabriele & Sentana, Enrique, 2019.
"Consistent non-Gaussian pseudo maximum likelihood estimators,"
Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers 12682, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive 2018_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
- Claudio, Morana & Giacomo, Sbrana, 2017.
"Some Financial Implications of Global Warming: An Empirical Assessment,"
Working Papers
377, University of Milano-Bicocca, Department of Economics, revised 25 Dec 2017.
- Claudio Morana & Giacomo Sbrana, 2018. "Some financial implications of global warming: An empirical assessment," Working Paper series 18-09, Rimini Centre for Economic Analysis.
- Claudio Morana & Giacomo Sbrana, 2018. "Some Financial Implications of Global Warming: an Empirical Assessment," Working Papers 2018.01, Fondazione Eni Enrico Mattei.
- Claudio Morana & Giacomo Sbrana, 2018. "“Some financial implications of global warming: An empirical assessment"," CeRP Working Papers 175, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Morana, Claudio & Sbrana, Giacomo, 2018. "Some Financial Implications of Global Warming: an Empirical Assessment," CSI: Climate and Sustainable Innovation 268728, Fondazione Eni Enrico Mattei (FEEM).
- Georgios Bampinas & Theodore Panagiotidis & Christina Rouska, 2019.
"Volatility persistence and asymmetry under the microscope: the role of information demand for gold and oil,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 180-197, February.
- Georgios Bampinas & Theodore Panagiotidis & Christina Rouska, 2018. "Volatility persistence and asymmetry under the microscope: The role of information demand for gold and oil," Working Paper series 18-13, Rimini Centre for Economic Analysis.
- Gary Koop & Dimitris Korobilis, 2019.
"Forecasting with High‐Dimensional Panel VARs,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(5), pages 937-959, October.
- Gary Koop & Dimitris Korobilis, 2015. "Forecasting With High Dimensional Panel VARs," Working Papers 2015_25, Business School - Economics, University of Glasgow.
- Gary Koop & Dimitris Korobilis, 2018. "Forecasting with High-Dimensional Panel VARs," Working Paper series 18-20, Rimini Centre for Economic Analysis.
- Koop, G & Korobilis, D, 2018. "Forecasting with High-Dimensional Panel VARs," Essex Finance Centre Working Papers 21329, University of Essex, Essex Business School.
- Koop, Gary & Korobilis, Dimitris, 2015. "Forecasting with High-Dimensional Panel VARs," MPRA Paper 84275, University Library of Munich, Germany, revised 31 Jan 2018.
- Korobilis, Dimitris & Pettenuzzo, Davide, 2019.
"Adaptive hierarchical priors for high-dimensional vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 241-271.
- Dimitris Korobilis & Davide Pettenuzzo, 2017. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregessions," Working Papers 115, Brandeis University, Department of Economics and International Business School.
- Dimitris Korobilis & Davide Pettenuzzo, 2018. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregressions," Working Paper series 18-21, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2021.
"Specification tests for non‐Gaussian maximum likelihood estimators,"
Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
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"Forecasting expected shortfall: Should we use a multivariate model for stock market factors?,"
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"Dynamics of Tokyo Electric Power Company and the Nikkei: 1985 to 2016 including the Fukushima disaster,"
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"Stochastic model specification in Markov switching vector error correction models,"
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"Should I stay or should I go? A latent threshold approach to large‐scale mixture innovation models,"
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"Equilibrium real interest rates, secular stagnation, and the financial cycle: Empirical evidence for euro-area member countries,"
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"Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Italian Banking System,"
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- Gisele Mah, 2018. "Determinants of budget deficit in South Africa: A Bounds cointegration," Proceedings of Economics and Finance Conferences 6909931, International Institute of Social and Economic Sciences.
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"Bayesian Vector Autoregressions,"
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"Estimation of structural impulse responses: short-run versus long-run identifying restrictions,"
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"On the robustness of portfolio allocation under copula misspecification,"
Annals of Operations Research, Springer, vol. 262(2), pages 631-652, March.
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"Oil Market Volatility: Is Macroeconomic Uncertainty Systematically Transmitted to Oil Prices?,"
Dynamic Modeling and Econometrics in Economics and Finance, in: Fredj Jawadi (ed.), Uncertainty, Expectations and Asset Price Dynamics, pages 31-50,
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"The changing transmission mechanism of US monetary policy,"
Empirical Economics, Springer, vol. 54(3), pages 959-987, May.
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"Public debt dynamics: the effects of austerity, inflation, and growth shocks,"
Empirical Economics, Springer, vol. 54(3), pages 1087-1105, May.
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"Modeling dynamics of metal price series via state space approach with two common factors,"
Empirical Economics, Springer, vol. 54(4), pages 1477-1501, June.
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"Nowcasting Indonesia,"
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"The natural yield curve: its concept and measurement,"
Empirical Economics, Springer, vol. 55(2), pages 551-572, September.
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"The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis,"
Empirical Economics, Springer, vol. 55(3), pages 913-935, November.
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"Estimating the natural rate of interest in an open economy,"
Empirical Economics, Springer, vol. 55(3), pages 1291-1318, November.
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"Driving economic fluctuations in Peru: the role of the terms of trade,"
Empirical Economics, Springer, vol. 55(3), pages 1089-1119, November.
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"A new Keynesian framework and wage and price dynamics in the USA,"
Empirical Economics, Springer, vol. 55(3), pages 1271-1289, November.
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"Calculating joint confidence bands for impulse response functions using highest density regions,"
Empirical Economics, Springer, vol. 55(4), pages 1389-1411, December.
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"Do inflation expectations granger cause inflation?,"
Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 35(2), pages 403-431, August.
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"Uncertainty Fluctuations: Measures, Effects and Macroeconomic Policy Challenges,"
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"Which Indicators Matter? Analyzing the Swiss Business Cycle Using a Large-Scale Mixed-Frequency Dynamic Factor Model,"
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"Differences of opinion and stock market volatility: evidence from a nonparametric causality-in-quantiles approach,"
Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(2), pages 339-351, April.
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"Exchange rate policy and external vulnerabilities in Sub-Saharan Africa: nominal, real or mixed targeting?,"
Applied Economics, Taylor & Francis Journals, vol. 53(3), pages 380-399, January.
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"Generating univariate fractional integration within a large VAR(1),"
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"Asymptotics of Cholesky GARCH models and time-varying conditional betas,"
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"Integration and Disintegration of EMU Government Bond Markets,"
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"Nonlinearities in the real exchange rates: new evidence from developed and developing countries,"
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"A note on the stability of the Swedish Phillips curve,"
Empirical Economics, Springer, vol. 59(6), pages 2573-2612, December.
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"Modeling systemic risk with Markov Switching Graphical SUR models,"
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"The Impact of Monetary Strategies on Inflation Persistence,"
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- Nikolay Iskrev, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Papers w201802, Banco de Portugal, Economics and Research Department.
- Nikolay Iskrev, 2018.
"Calibration and the estimation of macroeconomic models,"
Working Papers
w201801, Banco de Portugal, Economics and Research Department.
- Nikolay Iskrev, 2018. "Calibration and the estimation of macroeconomic models," Working Papers REM 2018/34, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Paulo M.D.C. Parente & Richard J. Smith, 2018. "Generalised Empirical Likelihood Kernel Block Bootstrapping," Working Papers REM 2018/55, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- António Afonso & Philemon Kwame Opoku, 2018. "The Relationship between Fiscal and Current Account Imbalances in OECD Economies," Working Papers REM 2018/61, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Salah Eddine SARİ HASSOUN & Mohammed MEKİDİCHE & Mohammed Seghir GUELLİ, 2018. "Examining the Connection amongst Renewable Energy, Economic Growth and Carbon Dioxide Emissions in Algeria," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 14(28), pages 199-223, December.
- van den Berg, Gerard J. & Drepper, Bettina, 2018. "A Unique Bond: Twin Bereavement and Lifespan Associations of Identical and Fraternal Twins," IZA Discussion Papers 11448, Institute of Labor Economics (IZA).
- Britta Gehrke & Brigitte Hochmuth, 2021.
"Counteracting Unemployment in Crises: Non‐Linear Effects of Short‐Time Work Policy,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(1), pages 144-183, January.
- Gehrke, Britta & Hochmuth, Brigitte, 2017. "Counteracting unemployment in crises : non-linear effects of short-time work policy," IAB-Discussion Paper 201727, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Gehrke, Britta & Hochmuth, Brigitte, 2018. "Counteracting Unemployment in Crises: Non-Linear Effects of Short-Time Work Policy," IZA Discussion Papers 11472, Institute of Labor Economics (IZA).
- Bulent Ozel & Mario Eboli & Andrea Toto & Andrea Teglio, 2018. "Robust-yet-fragile: A simulation model on exposure and concentration at interbank networks," Working Papers 2018/15, Economics Department, Universitat Jaume I, Castellón (Spain).
- Abhinav Khemka & Temesgen Kifle & Bryan Morgan, 2018. "Export-Led Growth In India:A Bounds Testing Approach," Journal of Developing Areas, Tennessee State University, College of Business, vol. 52(1), pages 1-14, January-M.
- Jim McFarlane & Boyd Blackwell & Stuart Mounter, 2018. "Good Gardening For A Perennial Economy: What’S The Optimal Growth Path For A Regional Economy?," Journal of Developing Areas, Tennessee State University, College of Business, vol. 52(1), pages 29-44, January-M.
- Sakib Bin Amin & Muntasir Murshed, 2018. "An Empirical Investigation Of Foreign Aid And Dutch Disease In Bangladesh," Journal of Developing Areas, Tennessee State University, College of Business, vol. 52(2), pages 169-182, April-Jun.
- Mehmet Balcilar & Josine Uwilingiye & Rangan Gupta, 2018.
"Dynamic Relationship Between Oil Price And Inflation In South Africa,"
Journal of Developing Areas, Tennessee State University, College of Business, vol. 52(2), pages 73-93, April-Jun.
- Mehmet Balcilar & Josine Uwilingiye & Rangan Gupta, 2014. "Dynamic Relationship between Oil Price and Inflation in South Africa," Working Papers 201430, University of Pretoria, Department of Economics.
- Virender Kumar, 2018. "Dynamics Of Private Capital Flows To India: A Structural VAR Approach," Journal of Developing Areas, Tennessee State University, College of Business, vol. 52(4), pages 129-149, October-D.
- Chiung-Ju Huang & Yuan-Hong Ho, 2018. "Does Taiwan's Defense Spending Crowd out Education and Social Welfare Expenditures?," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 14(1), pages 67-82, February.
- Başak SEZGİN & Selim YILDIRIM, 2018. "The Demand For Electricity Consumption In Turkey," JOURNAL OF LIFE ECONOMICS, Holistence Publications, vol. 5(4), pages 37-56, October.
- Kevin Momanyi, 2018. "A Structural Model of The Demand For Telecare," 2018 Papers pmo1170, Job Market Papers.
- Vouldis Angelos T., 2018.
"Measuring Credit Demand and Supply: A Bayesian Model with an Application to Greece (2003–2011),"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 238(1), pages 33-76, February.
- Vouldis Angelos T., 2018. "Measuring Credit Demand and Supply: A Bayesian Model with an Application to Greece (2003–2011)," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 238(1), pages 33-76, February.
- Vouldis Angelos T., 2018.
"Measuring Credit Demand and Supply: A Bayesian Model with an Application to Greece (2003–2011),"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 238(1), pages 33-76, February.
- Vouldis Angelos T., 2018. "Measuring Credit Demand and Supply: A Bayesian Model with an Application to Greece (2003–2011)," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 238(1), pages 33-76, February.
- Yang, Bingduo & Cai, Zongwu & Hafner, Christian M. & Liu, Guannan, 2018.
"Trending Mixture Copula Models with Copula Selection,"
IRTG 1792 Discussion Papers
2018-057, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Bingduo Yang & Zongwu Cai & Christian M. Hafner & Guannan Liu, 2018. "Trending Mixture Copula Models with Copula Selection," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201809, University of Kansas, Department of Economics, revised Sep 2018.
- Zongwu Cai & Seong Yeon Chang, 2018. "A New Test In A Predictive Regression with Structural Breaks," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201811, University of Kansas, Department of Economics, revised Dec 2018.
- Mikhail Stolbov & Maria Shchepeleva, 2018. "Systemic risk in Europe: deciphering leading measures, common patterns and real effects," Annals of Finance, Springer, vol. 14(1), pages 49-91, February.
- Simone Maciel Cuiabano & Maxwell Opoku-Afari, 2018.
"Exchange Rate Dynamics and Monetary Integration in the EAC Countries,"
Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 46(3), pages 267-279, September.
- Cuiabano, Simone & Opoku-Afari, Maxwell, 2017. "Exchange rate dynamics and monetary integration in the EAC contries," TSE Working Papers 17-848, Toulouse School of Economics (TSE).
- Christos Avdoulas & Stelios Bekiros, 2018. "Nonlinear Forecasting of Euro Area Industrial Production Using Evolutionary Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 521-530, August.
- Mulatu F. Zerihun & Marthinus C. Breitenbach, 2018. "Is SADC an optimal currency area? Evidence from the generalized purchasing power parity test," Economic Change and Restructuring, Springer, vol. 51(2), pages 173-188, May.
- Sin-Yu Ho & Bernard Njindan Iyke, 2018. "Finance-growth-poverty nexus: a re-assessment of the trickle-down hypothesis in China," Economic Change and Restructuring, Springer, vol. 51(3), pages 221-247, August.
- Omid Ranjbar & Tsangyao Chang & Chien-Chiang Lee & Zahra Mila Elmi, 2018. "Catching-up process in the transition countries," Economic Change and Restructuring, Springer, vol. 51(3), pages 249-278, August.
- Abdulnasser Hatemi-J & Rangan Gupta & Axel Kasongo & Thabo Mboweni & Ndivhuho Netshitenzhe, 2018. "Does tourism cause growth asymmetrically in a panel of G-7 countries? A short note," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 49-57, February.
- Petar Sorić, 2018. "Consumer confidence as a GDP determinant in New EU Member States: a view from a time-varying perspective," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(2), pages 261-282, May.
- José Carlos Vides & Antonio A. Golpe & Jesús Iglesias, 2018. "How did the Sovereign debt crisis affect the Euro financial integration? A fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(4), pages 685-706, November.
- Luis A. Gil-Alana & Marinko Skare, 2018. "Testing the great decoupling: a long memory approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(4), pages 801-820, November.
- Dilip Nachane & Amlendu Dubey, 2018. "India in the globalized economy : Growth spillovers & business cycle synchronization," International Economics and Economic Policy, Springer, vol. 15(1), pages 89-115, January.
- Yu-Sheng Lai, 2018. "Dynamic hedging with futures: a copula-based GARCH model with high-frequency data," Review of Derivatives Research, Springer, vol. 21(3), pages 307-329, October.
- Sunil K. Mohanty & Joseph Onochie & Abdulrahman F. Alshehri, 2018. "Asymmetric effects of oil shocks on stock market returns in Saudi Arabia: evidence from industry level analysis," Review of Quantitative Finance and Accounting, Springer, vol. 51(3), pages 595-619, October.
- Heejoon Han & Na Kyeong Lee, 2018. "Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach," Korean Economic Review, Korean Economic Association, vol. 34, pages 213-235.
- Dominik Bertsche & Robin Braun, 2022.
"Identification of Structural Vector Autoregressions by Stochastic Volatility,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 328-341, January.
- Dominik Bertsche & Robin Braun, 2017. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz 2017-11, Department of Economics, University of Konstanz.
- Dominik Bertsche & Robin Braun, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz 2018-03, Department of Economics, University of Konstanz.
- Bertsche, Dominik & Braun, Robin, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181631, Verein für Socialpolitik / German Economic Association.
- Bertsche, Dominik & Braun, Robin, 2020. "Identification of structural vector autoregressions by stochastic volatility," Bank of England working papers 869, Bank of England.
- Ralf Brüggemann & Christian Kascha, 2017.
"Directed Graphs and Variable Selection in Large Vector Autoregressive Models,"
Working Paper Series of the Department of Economics, University of Konstanz
2017-06, Department of Economics, University of Konstanz.
- Bertsche, Dominik & Brüggemann, Ralf & Kascha, Christian, 2019. "Directed Graph and Variable Selection in Large Vector Autoregressive Models," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203656, Verein für Socialpolitik / German Economic Association.
- Dominik Bertsche & Ralf Brüggemann & Christian Kascha, 2018. "Directed Graphs and Variable Selection in Large Vector Autoregressive Models," Working Paper Series of the Department of Economics, University of Konstanz 2018-08, Department of Economics, University of Konstanz.
- Korobilis, D & Yilmaz, K, 2018.
"Measuring Dynamic Connectedness with Large Bayesian VAR Models,"
Essex Finance Centre Working Papers
20937, University of Essex, Essex Business School.
- Dimitris Korobilis & Kamil Yilmaz, 2018. "Measuring Dynamic Connectedness with Large Bayesian VAR Models," Koç University-TUSIAD Economic Research Forum Working Papers 1802, Koc University-TUSIAD Economic Research Forum.
- Mert Demirer & Umut Gokcen & Kamil Yilmaz, 2018. "Financial Sector Volatility Connectedness and Equity Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1803, Koc University-TUSIAD Economic Research Forum.
- Kamil Yilmaz, 2018. "Bank Volatility Connectedness in South East Asia," Koç University-TUSIAD Economic Research Forum Working Papers 1807, Koc University-TUSIAD Economic Research Forum.
- N. Melisa Bilgin & Kamil Yilmaz, 2018. "Producer Price Inflation Connectedness and Input-Output Networks," Koç University-TUSIAD Economic Research Forum Working Papers 1813, Koc University-TUSIAD Economic Research Forum.
- Mellár, Tamás & Németh, Kristóf, 2018. "A kibocsátási rés becslése többváltozós állapottérmodellekben. Szuperhiszterézis és további empirikus eredmények [Estimating output gap in multivariate state space models. Super-hysteresis and furt," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 557-591.
- Søren Johansen & Morten Ørregaard Nielsen, 2019.
"Nonstationary Cointegration in the Fractionally Cointegrated VAR Model,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(4), pages 519-543, July.
- Søren Johansen & Morten Ørregaard Nielsen, 2018. "Nonstationary cointegration in the fractionally cointegrated VAR model," CREATES Research Papers 2018-17, Department of Economics and Business Economics, Aarhus University.
- Soeren Johansen & Morten Oerregaard Nielsen, 2018. "Nonstationary cointegration in the fractionally cointegrated VAR model," Discussion Papers 18-04, University of Copenhagen. Department of Economics.
- Morten Ø. Nielsen & S Johansen, 2018. "Nonstationary Cointegration In The Fractionally Cointegrated Var Model," Working Paper 1405, Economics Department, Queen's University.
- Soeren Johansen, 2018. "Cointegration and adjustment in the infinite order CVAR representation of some partially observed CVAR(1) models," Discussion Papers 18-05, University of Copenhagen. Department of Economics.
- Katarina Juselius, 2021.
"Searching for a Theory That Fits the Data: A Personal Research Odyssey,"
Econometrics, MDPI, vol. 9(1), pages 1-27, February.
- Katarina Juselius, 2018. "Searching for a theory that fits the data: A personal research odyssey," Discussion Papers 18-07, University of Copenhagen. Department of Economics.
- Mihnea Constantinescu & Anh Dinh Minh Nguyen, 2018. "A century of gaps," Bank of Lithuania Working Paper Series 51, Bank of Lithuania.
- Julius Stakenas, 2018. "Slicing up inflation: analysis and forecasting of Lithuanian inflation components," Bank of Lithuania Working Paper Series 56, Bank of Lithuania.
- Ruijun Bu & Fredj Jawadi & Yuyi Li, 2020.
"A multifactor transformed diffusion model with applications to VIX and VIX futures,"
Econometric Reviews, Taylor & Francis Journals, vol. 39(1), pages 27-53, January.
- Ruijun Bu & Fredj Jawadi & Yuyi Li, 2018. "A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures," Working Papers 20183, University of Liverpool, Department of Economics.
- Bu, Ruijun & Hadri, Kaddour & Kristensen, Dennis, 2021.
"Diffusion copulas: Identification and estimation,"
Journal of Econometrics, Elsevier, vol. 221(2), pages 616-643.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," CREATES Research Papers 2018-20, Department of Economics and Business Economics, Aarhus University.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," Working Papers 20184, University of Liverpool, Department of Economics.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2020. "Diffusion Copulas: Identification and Estimation," Papers 2005.03513, arXiv.org.
- Chávez Bustamante, Felipe O. G. & Mondaca-Marino, Cristian & Rojas-Mora, Julio, 2018. "Dinámicas laborales regionales y su relevancia en el agregado nacional: Una aplicación de Clusterización de Series Temporales para Chile/Regional Labor Dynamics and their Relevance in the National Agg," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 36, pages 961-978, Septiembr.
- Jiménez Toribio, Ramón & García Del Hoyo, Juan José, 2018. "Tráfico portuario de contenedores: Análisis de causalidad entre los puertos de la Península Ibérica/Container Port Traffic: Analysis of Causality between the Ports of the Iberian Peninsula," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 36, pages 715-742, Septiembr.
- Viktors Ajevskis, 2020.
"The natural rate of interest: information derived from a shadow rate model,"
Applied Economics, Taylor & Francis Journals, vol. 52(47), pages 5129-5138, October.
- Viktors Ajevskis, 2018. "The Natural Rate of Interest: Information Derived from a Shadow Rate Model," Working Papers 2018/02, Latvijas Banka.
- Sona Benecka & Ludmila Fadejeva & Martin Feldkircher, 2018.
"Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe,"
Working Papers
2018/2, Czech National Bank, Research and Statistics Department.
- Sona Benecka & Ludmila Fadejeva & Martin Feldkircher, 2018. "Spillovers from Euro Area Monetary Policy: A Focus on Emerging Europe," Working Papers 2018/04, Latvijas Banka.
- Jibonayan Raychaudhuri & Ada Wossink, 2018. "Ecolabels and The Economic Recession," Economics Discussion Paper Series 1807, Economics, The University of Manchester.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2020.
"Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
- Grabowski, Daniel & Staszewska-Bystrova, Anna, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181590, Verein für Socialpolitik / German Economic Association.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201810, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," Lodz Economics Working Papers 1/2018, University of Lodz, Faculty of Economics and Sociology.
- Klose, Jens, 2020.
"Equilibrium real interest rates for the BRICS countries,"
The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
- Jens Klose, 2018. "Equilibrium Real Interest Rates for the BRICS Countries," MAGKS Papers on Economics 201814, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Doost Javid, Mozhdeh & Tehranchian, Amir Mansour, 2018. "Asymmetric Effects of the Real Exchange Rate Shocks on Private Consumption Expenditures in Iran (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهشهای پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 10(34), pages 558-533, January.
- Zamanzadeh, Hamid & Badri, Ahmad, 2018. "Analysis of the effect of unbalanced balance sheet of banking system on monetary variables and its remedy (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهشهای پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 10(34), pages 656-621, January.
- Mohammadi, Ahmad & Abdalkarimi Azar, Serveh & Fegh Majidi, Ali, 2018. "Investigating Price Index Convergence among Iran Provinces with Emphasizing on Cluster Analysis (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهشهای پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 11(36), pages 237-270, September.
- Amrollahi, Elham & Abtahi, Yhya & Aliheidari Bioki, Tahereh, 2018. "Nonlinear Analysis of Exchange Market Pressure Behavior in Iran: Self-Exciting Threshold Autoregressive Approach (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهشهای پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 11(37), pages 413-436, November.
- Bruce E. Hansen & Jeffrey S. Racine, 2024.
"Bootstrap Model Averaging Unit Root Inference,"
Advances in Econometrics, in: Essays in Honor of Subal Kumbhakar, volume 46, pages 81-98,
Emerald Group Publishing Limited.
- Bruce E. Hansen & Jeffrey S. Racine, 2018. "Bootstrap Model Averaging Unit Root Inference," Department of Economics Working Papers 2018-09, McMaster University.
- Evžen Kočenda & Karen Poghosyan, 2018.
"Export Sophistication: A Dynamic Panel Data Approach,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(12), pages 2799-2814, September.
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- Evzen Kocenda & Karen Poghosyan, 2017. "Export sophistication: A dynamic panel data approach," KIER Working Papers 980 Classification-C52; C, Kyoto University, Institute of Economic Research.
- Evzen Kocenda & Karen Poghosyan, 2017. "Export sophistication: A dynamic panel data approach," Working Papers 8, Central Bank of Armenia.
- Karen Poghosyan & Evžen Kočenda, 2016. "Determinants of export sophistication: Evidence from Monte Carlo simulations," Working Papers 360, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
- Dilem Yıldırım & Onur A. Koska, 2018. "Puzzling out the Feldstein-Horioka Paradox for Turkey by a Time-Varying Parameter Approach," ERC Working Papers 1808, ERC - Economic Research Center, Middle East Technical University, revised Apr 2018.
- Morana, Claudio, 2019.
"Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices,"
Econometrics and Statistics, Elsevier, vol. 12(C), pages 42-65.
- Claudio, Morana, 2018. "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Working Papers 382, University of Milano-Bicocca, Department of Economics, revised 04 Jun 2018.
- Alice Albonico & Alessia Paccagnini & Patrizio Tirelli, 2019.
"Limited Asset Market Participation And The Euro Area Crisis: An Empirical Dsge Model,"
Economic Inquiry, Western Economic Association International, vol. 57(3), pages 1302-1323, July.
- Alice Albonico & Alessia Paccagnini & Patrizio Tirelli, 2018. "Limited Asset Market Participation and the Euro Area Crisis. An Empirical DSGE Model," Working Papers 391, University of Milano-Bicocca, Department of Economics, revised Nov 2018.
- R. Dixon & G.C. Lim, 2017.
"Labor's Share, the Firm's Market Power and TFP,"
Melbourne Institute Working Paper Series
wp2017n22, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Robert Dixon & Guay C. Lim, 2018. "Labor’s Share, the firm’s market power and TFP," Department of Economics - Working Papers Series 2038, The University of Melbourne.
- Eyno Rots, 2018. "Business, Housing, and Credit Cycles – The Case of Hungary," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 17(4), pages 5-22.
- Mavikela Nomahlubi & Mhaka Simba & Phiri Andrew, 2019.
"The Inflation-Growth Relationship in SSA Inflation-Targeting Countries,"
Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, vol. 64(2), pages 84-102, August.
- Mavikela, Nomahlubi & Mhaka, Simba & Phiri, Andrew, 2018. "The inflation-growth relationship in SSA inflation targeting countries," MPRA Paper 82141, University Library of Munich, Germany.
- Nomahlubi Mavikela & Simba Mhaka & Andrew Phiri, 2018. "The inflation-growth relationship in SSA inflation targeting countries," Working Papers 1801, Department of Economics, Nelson Mandela University, revised Jan 2018.
- Kavase, Kambale & Phiri, Andrew, 2018.
"Are fiscal budgets sustainable in South Africa? Evidence from provincial level data,"
Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 14(2), February.
- Kambale Kavase & Andrew Phiri, 2018. "Are fiscal budgets sustainable in South Africa? Evidence from provincial level data," Business and Economic Horizons (BEH), Prague Development Center, vol. 14(2), pages 415-423, April.
- Kavese, Kambale & Phiri, Andrew, 2018. "Are fiscal budgets sustainable in South Africa? Evidence from provincial level data?," MPRA Paper 84034, University Library of Munich, Germany.
- Kambale Kavese & Andrew Phiri, 2018. "Are fiscal budgets sustainable in South Africa? Evidence from provincial level data," Working Papers 1804, Department of Economics, Nelson Mandela University, revised Jan 2018.
- Ngondo, Mashilana & Khobai, Hlalefang, 2018.
"The impact of exchange rate on exports in South Africa,"
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85079, University Library of Munich, Germany.
- Mashilana Ngondo & Hlalefang Khobai, 2018. "The impact of exchange rate on exports in South Africa," Working Papers 1809, Department of Economics, Nelson Mandela University, revised Mar 2018.
- Phiri, Andrew, 2018.
"How sustainable are fiscal budgets in the Kingdom of Swaziland?,"
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85149, University Library of Munich, Germany.
- Andrew Phiri, 2018. "How sustainable are fiscal budgets in the Kingdom of Swaziland?," Working Papers 1810, Department of Economics, Nelson Mandela University, revised Mar 2018.
- Izunna Anyikwa & Micheal Brookes & Pierre Le Roux, 2018. "African stock markets integration: an analysis of the relationship between major stock markets in Africa," Working Papers 1812, Department of Economics, Nelson Mandela University, revised Mar 2018.
- Andrew Phiri, 2020.
"Structural changes in exchange rate-stock returns dynamics in South Africa: examining the role of crisis and new trading platform,"
Economic Change and Restructuring, Springer, vol. 53(1), pages 171-193, February.
- Phiri, Andrew, 2018. "Structural changes in exchange rate-stock returns dynamics in South Africa: Examining the role of crisis and new trading platform," MPRA Paper 85826, University Library of Munich, Germany.
- Andrew Phiri, 2018. "Structural changes in exchange rate-stock returns dynamics in South Africa: Examining the role of crisis and new trading platform," Working Papers 1816, Department of Economics, Nelson Mandela University, revised Apr 2018.
- Kavese Kambale & Phiri Andrew, 2020.
"A Provincial Perspective of Nonlinear Okun’s Law for Emerging Markets: The Case of South Africa,"
Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 30(3), pages 59-76, September.
- Kavese, Kambale & Phiri, Andrew, 2018. "A provincial perspective of nonlinear Okun's law for emerging markets: The case of South Africa," MPRA Paper 86517, University Library of Munich, Germany.
- Kambale Kavese & Andrew Phiri, 2018. "A provincial perspective of nonlinear Okun's law for emerging markets: The case of South Africa," Working Papers 1819, Department of Economics, Nelson Mandela University.
- Hlalefang Khobai, 2018. "The causal links between renewable electricity generation and economic growth in South Africa," Working Papers 1821, Department of Economics, Nelson Mandela University.
- Zezethu Zandile & Andrew Phiri, 2019.
"Fdi As A Contributing Factor To Economic Growth In Burkina Faso: How True Is This?,"
Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-27, March.
- Zandile, Zezethu & Phiri, Andrew, 2018. "FDI as a contributing factor to economic growth in Burkina Faso: How true is this?," MPRA Paper 87282, University Library of Munich, Germany.
- Zandile Zezethu & Andrew Phiri, 2018. "FDI as a contributing factor to economic growth in Burkina Faso: How true is this?," Working Papers 1823, Department of Economics, Nelson Mandela University.
- Mothuti Gosego & Phiri Andrew, 2018.
"Inflation-Growth Nexus in Botswana: Can Lower Inflation Really Spur Growth in the Country?,"
Global Economy Journal, De Gruyter, vol. 18(4), pages 1-11, December.
- Gosego Mothuti & Andrew Phiri, 2018. "Inflation-Growth Nexus in Botswana: Can Lower Inflation Really Spur Growth in the Country?," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 18(4), pages 1-11, December.
- Mothuti, Gosego & Phiri, Andrew, 2018. "inflation-growth nexus in Botswana: Can lower inflation really spur growth in the country?," MPRA Paper 87497, University Library of Munich, Germany.
- Gosego Mothuti & Andrew Phiri, 2018. "Inflation-growth nexus in Botswana: Can lower inflation really spur growth in the country?," Working Papers 1824, Department of Economics, Nelson Mandela University.
- Anyikwa, Izunna & Hamman, Nicolene & Phiri, Andrew, 2018.
"Persistence of suicides in G20 countries: SPSM approach to three generations of unit root tests,"
MPRA Paper
87790, University Library of Munich, Germany.
- Izunna Anyikwa & Nicolene Haaman & Andrew Phiri, 2018. "Persistence of suicides in G20 countries: SPSM approach to three generations of unit root tests," Working Papers 1825, Department of Economics, Nelson Mandela University.
- Andrew Phiri, 2020.
"Endogenous monetary approach to optimal inflation–growth nexus in Swaziland,"
African Journal of Economic and Management Studies, Emerald Group Publishing Limited, vol. 11(4), pages 559-571, March.
- Phiri, Andrew, 2018. "Endogenous monetary approach to optimal inflation-growth nexus in Swaziland," MPRA Paper 88258, University Library of Munich, Germany.
- Andrew Phiri, 2018. "Endogenous monetary approach to optimal inflation-growth nexus in Swaziland," Working Papers 1827, Department of Economics, Nelson Mandela University.
- Andrew Phiri, 2019.
"Fitting Okun's law for the Swazi Kingdom: Will a nonlinear specification do?,"
Economics Bulletin, AccessEcon, vol. 39(2), pages 1371-1383.
- Phiri, Andrew, 2018. "Fitting Okun's law for the Swazi Kingdom: Will a nonlinear specification do?," MPRA Paper 88420, University Library of Munich, Germany.
- Andrew Phiri, 2018. "Fitting Okun's law for the Swazi Kingdom: Will a nonlinear specification do?," Working Papers 1829, Department of Economics, Nelson Mandela University.
- Andrew Phiri, 2018. "Pursuing the Philips curve in an African monarchy: A Swazi case study," Working Papers 1832, Department of Economics, Nelson Mandela University.
- Bothwell Nyoni & Andrew Phiri, 2020.
"Renewable Energy - Economic Growth Nexus in South Africa: Linear, Nonlinear or Non-existent?,"
International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 635-644.
- Nyoni, Bothwell & Phiri, Andrew, 2018. "Renewable energy-economic growth nexus in South Africa: Linear, nonlinear or non-existent?," MPRA Paper 89761, University Library of Munich, Germany.
- Bothwell Nyoni & Andrew Phiri, 2018. "Renewable energy-economic growth nexus in South Africa: Linear, nonlinear or non-existent?," Working Papers 1833, Department of Economics, Nelson Mandela University.
- Forni, Mario & Di Bonaventura, Luca & Pattarin, Francesco, 2018.
"The Forcasting Performance of Dynamic Factor Models with Vintage Data,"
CEPR Discussion Papers
13034, C.E.P.R. Discussion Papers.
- Luca Di Bonaventura & Mario Forni & Francesco Pattarin, 2018. "The Forecasting Performance of Dynamic Factor Models with Vintage Data," Center for Economic Research (RECent) 138, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Luca Di Bonaventura & Mario Forni & Francesco Pattarin, 2018. "The Forecasting Performance of Dynamic Factor Models with Vintage Data," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0070, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Mario Forni & Luca Gambetti & Luca Sala, 2018. "Fundamentalness, Granger Causality and Aggregation," Center for Economic Research (RECent) 139, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Cipollini, Andrea & Parla, Fabio, 2020.
"Housing market shocks in italy: A GVAR approach,"
Journal of Housing Economics, Elsevier, vol. 50(C).
- Andrea Cipollini & Fabio Parla, 2018. "Housing Market Shocks in Italy: a GVAR approach," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0069, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Forni, Mario & Di Bonaventura, Luca & Pattarin, Francesco, 2018.
"The Forcasting Performance of Dynamic Factor Models with Vintage Data,"
CEPR Discussion Papers
13034, C.E.P.R. Discussion Papers.
- Luca Di Bonaventura & Mario Forni & Francesco Pattarin, 2018. "The Forecasting Performance of Dynamic Factor Models with Vintage Data," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0070, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Luca Di Bonaventura & Mario Forni & Francesco Pattarin, 2018. "The Forecasting Performance of Dynamic Factor Models with Vintage Data," Center for Economic Research (RECent) 138, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Andrea Cipollini & Fabio Parla, 2018. "Housing Market Shocks in Italy: a GVAR approach," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 18041, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Andrea Cipollini & Fabio Parla, 2018. "Housing Market Shocks in Italy: a GVAR approach," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 69, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2019.
"Exponent of Cross-sectional Dependence for Residuals,"
Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(1), pages 46-102, September.
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"Regime switching panel data models with interactive fixed effects,"
Economics Letters, Elsevier, vol. 177(C), pages 47-51.
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"Testing for common breaks in a multiple equations system,"
Journal of Econometrics, Elsevier, vol. 204(1), pages 66-85.
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"Mapping the stocks in MICEX: Who is central in the Moscow Stock Exchange?,"
Economics of Transition and Institutional Change, John Wiley & Sons, vol. 28(4), pages 581-620, October.
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- Arnoud Stevens & Joris Wauters, 2018. "Is euro area lowflation here to stay ? Insights from a time-varying parameter model with survey data," Working Paper Research 355, National Bank of Belgium.
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"How far does monetary policy reach? Evidence from factor-augmented vector autoregressions for Poland,"
Bank i Kredyt, Narodowy Bank Polski, vol. 49(3), pages 191-216.
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- Michał Brzoza-Brzezina & Jacek Kotłowski, 2021.
"International confidence spillovers and business cycles in small open economies,"
Empirical Economics, Springer, vol. 61(2), pages 773-798, August.
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"Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations,"
Journal of Monetary Economics, Elsevier, vol. 100(C), pages 48-65.
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- Jonathan H. Wright, 2018. "Seasonal Adjustment of NIPA data," NBER Working Papers 24895, National Bureau of Economic Research, Inc.
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"The origins and effects of macroeconomic uncertainty,"
Quantitative Economics, Econometric Society, vol. 14(3), pages 855-896, July.
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"Dynamic treatment effects of job training,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 242-269, March.
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"Money's causal role in exchange rate: Do divisia monetary aggregates explain more?,"
International Review of Economics & Finance, Elsevier, vol. 57(C), pages 402-417.
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"Crowding-out or crowding-in? Public and private investment in India,"
World Development, Elsevier, vol. 109(C), pages 323-333.
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"Models with Multiplicative Decomposition of Conditional Variances and Correlations,"
CREATES Research Papers
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"Measuring the fiscal multiplier when plans take time to implement,"
Discussion Papers
2018/10, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
- Kevin Lee & James Morley & Kian Ong & Kalvinder Shields, 2019. "Measuring the Fiscal Multiplier when Plans Take Time to Implement," CAMA Working Papers 2019-13, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Kevin Lee & James Morley & Kalvinder Shields & Madeleine Sui-Lay Tan, 2018.
"The Australian real-time fiscal database: An overview and an illustration of its use in analysing planned and realised fiscal policies,"
Discussion Papers
2018/11, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
- Kevin Lee & James Morley & Kalvinder Shields & Madeleine Sui-Lay Tan, 2019. "The Australian Real-Time Fiscal Database: An Overview and an Illustration of its Use in Analysing Planned and Realised Fiscal Policies," CAMA Working Papers 2019-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Bruno de Paula Rocha & Igor Viveiro de Souza, 2018. "Novas evidências de causalidade entre sistema financeiro e crescimento econômico no Brasil usando séries de tempo no domínio da frequência [New evidence on the causality between financial system and e," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 28(1), pages 273-295, January-A.
- Pauwels, Koen H., 2018. "Modeling Dynamic Relations Among Marketing and Performance Metrics," Foundations and Trends(R) in Marketing, now publishers, vol. 11(4), pages 215-301, November.
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"Forecasting India’s economic growth: a time-varying parameter regression approach,"
Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 12(3), pages 205-228, September.
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"Analyzing the Dynamic Relationships between Physical Infrastructure, Financial Development and Economic Growth in India,"
Asian Economic Journal, East Asian Economic Association, vol. 33(4), pages 381-403, December.
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- Lorie Dudoignon & Fabienne Le Sager & Aurélie Vanheuverzwyn, 2018. "Big Data and Audience Measurement: A Marriage of Convenience?," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 505-506, pages 133-146.
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"Real‐time forecast combinations for the oil price,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 456-462, April.
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- Anthony Garratt & Shaun P. Vahey & Ynuyi Zhang, 2018. "Real-time Forecast Combinations for the Oil Price," National Institute of Economic and Social Research (NIESR) Discussion Papers 494, National Institute of Economic and Social Research.
- Takamitsu Kurita & B. Nielsen, 2018. "Partial cointegrated vector autoregressive models with structural breaks in deterministic terms," Economics Papers 2018-W03, Economics Group, Nuffield College, University of Oxford.
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- Ani Stoykova, 2018. "Market Dynamics of Stock Exchanges of South East Europe – Efficiency and Harmonization," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 70-87, April.
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"Global factors and trend inflation,"
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"Estimates of the Causal Effects of Education on Earnings over the Life Cycle with Cohort Effects and Endogenous Education,"
CESifo Economic Studies, CESifo Group, vol. 64(3), pages 516-544.
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"Are Drone Strikes Effective in Afghanistan and Pakistan? On the Dynamics of Violence between the United States and the Taliban,"
CESifo Economic Studies, CESifo Group, vol. 64(4), pages 667-697.
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"Are Small-Scale SVARs Useful for Business Cycle Analysis? Revisiting Nonfundamentalness,"
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- Kralik Lóránd István, 2018. "Conditional Correlation on CEE Stock Markets," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 130-136, December.
- Ienovan Alexandra Ana, 2018. "The Impact of Public Governance on Corruption," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 263-267, December.
- Ruiz Porras, Antonio & Fregoso Becerra, Luis Enrique, 2018. "Mercados cambiarios y tipos de cambio de Asia y Latinoamérica: sincronización de largo plazo, cambios estructurales y choques estocásticos || Change Markets and Exchange Rates of Asia and Latin Americ," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 25(1), pages 295-317, Junio.
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"The Democrat-Republican growth gap paradox,"
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"Economic Policy Uncertainty Spillovers in Booms and Busts,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(1), pages 125-155, February.
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"Estimating the real effects of uncertainty shocks at the Zero Lower Bound,"
European Economic Review, Elsevier, vol. 100(C), pages 257-272.
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"Google It Up! A Google Trends-based Uncertainty index for the United States and Australia,"
Economics Letters, Elsevier, vol. 161(C), pages 149-153.
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"Are uncertainty shocks aggregate demand shocks?,"
Economics Letters, Elsevier, vol. 167(C), pages 142-146.
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"Firms’ Dynamics and Business Cycle: New Disaggregated Data,"
DEM Working Papers Series
123, University of Pavia, Department of Economics and Management.
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- Lorenza Rossi & Emilio Zanetti Chini, 2017. "Firms' Dynamics and Business Cycle: New Disaggregated Data," DEM Working Papers Series 141, University of Pavia, Department of Economics and Management.
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Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 14(2), February.
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2017
- Kenza Benhima & Céline Poilly, 2017.
"Do Misperceptions about Demand Matter? Theory and Evidence,"
Cahiers de Recherches Economiques du Département d'économie
17.08, Université de Lausanne, Faculté des HEC, Département d’économie.
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- Kenza Benhima & Céline Poilly, 2017. "Do Misperceptions about Demand Matter? Theory and Evidence," AMSE Working Papers 1717, Aix-Marseille School of Economics, France.
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"Quel impact de la libéralisation du compte capital sur le développement financier en Tunisie ? Les enseignements d'un modèle ARDL,"
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"The zero lower bound and market spillovers: Evidence from the G7 and Norway,"
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"Oil Prices and the Renewable Energy Sector,"
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- Wolfgang Karl Härdle & Cathy Yi-Hsuan Chen, 2017. "Data Science & Digital Society," SFB 649 Discussion Papers SFB649DP2017-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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"Dynamic semi-parametric factor model for functional expectiles,"
Computational Statistics, Springer, vol. 34(2), pages 489-502, June.
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- Alona Zharova & Wolfgang K. Härdle & Stefan Lessmann, 2017. "Is Scientific Performance a Function of Funds?," SFB 649 Discussion Papers SFB649DP2017-028, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Camelia Catalina Joldes, 2017. "The Impact of Globalization on the Capital Market in Romania," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, vol. 5(1), pages 3-8, March.
- Violeta DUTA, 2017. "Analysis and Modeling of NYSE Arca Oil & Gas Stock Index Returns," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, vol. 5(4), pages 48-62, December.
- Hutter, Christian & Weber, Enzo, 2017. "Labour market effects of wage inequality and skill-biased technical change in Germany," IAB-Discussion Paper 201705, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
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"Identifying asymmetric effects of labor market reforms,"
European Economic Review, Elsevier, vol. 110(C), pages 18-40.
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- Weber, Enzo & Gehrke, Britta, 2018. "Identifying Asymmetric Effects of Labor Market Reforms," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181513, Verein für Socialpolitik / German Economic Association.
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"Counteracting Unemployment in Crises: Non‐Linear Effects of Short‐Time Work Policy,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(1), pages 144-183, January.
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- Gehrke, Britta & Hochmuth, Brigitte, 2018. "Counteracting Unemployment in Crises: Non-Linear Effects of Short-Time Work Policy," IZA Discussion Papers 11472, Institute of Labor Economics (IZA).
- Hutter, Christian & Weber, Enzo, 2017. "The effects of skill-biased technical change on productivity flattening and hours worked," IAB-Discussion Paper 201732, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2017.
"Estimating the real effects of uncertainty shocks at the Zero Lower Bound,"
European Economic Review, Elsevier, vol. 100(C), pages 257-272.
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- Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2017. "Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound," Melbourne Institute Working Paper Series wp2017n01, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2017. "Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound," CESifo Working Paper Series 6622, CESifo.
- Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2018. "Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound," "Marco Fanno" Working Papers 0222, Dipartimento di Scienze Economiche "Marco Fanno".
- Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2017. "Estimating the real effects of uncertainty shocks at the zero lower bound," Bank of Finland Research Discussion Papers 6/2017, Bank of Finland.
- Caggiano, Giovanni & Castelnuovo, Efrem & Figueres, Juan Manuel, 2017.
"Economic policy uncertainty and unemployment in the United States: A nonlinear approach,"
Economics Letters, Elsevier, vol. 151(C), pages 31-34.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2016. "Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach," "Marco Fanno" Working Papers 0209, Dipartimento di Scienze Economiche "Marco Fanno".
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach," CESifo Working Paper Series 7105, CESifo.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2017. "Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach," Melbourne Institute Working Paper Series wp2017n02, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Giovanni Pellegrino, 2021.
"Uncertainty and monetary policy in the US: A journey into nonlinear territory,"
Economic Inquiry, Western Economic Association International, vol. 59(3), pages 1106-1128, July.
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- Giovanni Pellegrino, 2017. "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Melbourne Institute Working Paper Series wp2017n06, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Giovanni Pellegrino, 2020. "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Economics Working Papers 2020-05, Department of Economics and Business Economics, Aarhus University.
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2014.
"Uncertainty and Monetary Policy in Good and Bad Times,"
"Marco Fanno" Working Papers
0188, Dipartimento di Scienze Economiche "Marco Fanno".
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2017. "Uncertainty and Monetary Policy in Good and Bad Times," Melbourne Institute Working Paper Series wp2017n09, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2017. "Uncertainty and Monetary Policy in Good and Bad Times," CESifo Working Paper Series 6630, CESifo.
- Giovanni Caggiano & Efrem Castelnuovo & Gabriela Nodari, 2017. "Uncertainty and Monetary Policy in Good and Bad Times," RBA Research Discussion Papers rdp2017-06, Reserve Bank of Australia.
- Caggiano, Giovanni & Castelnuovo, Efrem & Nodari, Gabriela, 2017. "Uncertainty and monetary policy in good and bad times," Bank of Finland Research Discussion Papers 8/2017, Bank of Finland.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2020.
"Economic Policy Uncertainty Spillovers in Booms and Busts,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(1), pages 125-155, February.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2017. "Economic Policy Uncertainty Spillovers in Booms and Busts," Melbourne Institute Working Paper Series wp2017n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," Working Paper series 18-28, Rimini Centre for Economic Analysis.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic policy uncertainty spillovers in booms and busts," CAMA Working Papers 2018-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," CESifo Working Paper Series 7086, CESifo.
- Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," "Marco Fanno" Working Papers 0220, Dipartimento di Scienze Economiche "Marco Fanno".
- Pellegrino, Giovanni, 2018.
"Uncertainty and the real effects of monetary policy shocks in the Euro area,"
Economics Letters, Elsevier, vol. 162(C), pages 177-181.
- Giovanni Pellegrino, 2017. "Uncertainty and the Real Effects of Monetary Policy Shocks in the Euro Area," Melbourne Institute Working Paper Series wp2017n15, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- R. Dixon & G.C. Lim, 2017.
"Labor's Share, the Firm's Market Power and TFP,"
Melbourne Institute Working Paper Series
wp2017n22, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Robert Dixon & Guay C. Lim, 2018. "Labor’s Share, the firm’s market power and TFP," Department of Economics - Working Papers Series 2038, The University of Melbourne.
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"Google It Up! A Google Trends-based Uncertainty index for the United States and Australia,"
Economics Letters, Elsevier, vol. 161(C), pages 149-153.
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- Efrem Castelnuovo & Trung Duc Tran, 2018. "Google it up! A Google Trends-based Uncertainty Index for the United States and Australia," "Marco Fanno" Working Papers 0223, Dipartimento di Scienze Economiche "Marco Fanno".
- Efrem Castelnuovo & Trung Duc Tran, 2017. "Google It Up! A Google Trends-Based Uncertainty Index for the United States and Australia," Melbourne Institute Working Paper Series wp2017n27, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Castelnuovo, Efrem & Duc Tran, Trung, 2017. "Google It Up! A Google Trends-based Uncertainty Index for the United States and Australia," MPRA Paper 82297, University Library of Munich, Germany.
- Benedetta Frassi & Fabio Pammolli & Luca Regis, 2017. "The potential costs of Longevity Risk on Public Pensions. Evidence from Italian data," Working Papers 01/2017, IMT School for Advanced Studies Lucca, revised Jan 2017.
- Chirinos-Leañez, Ana María & Pagliacci, Carolina, 2017. "Credit Supply in Venezuela: A Non-Conventional Bank Lending Channel?," IDB Publications (Working Papers) 8256, Inter-American Development Bank.
- Panky Tri Febiyansah, 2017. "Indonesia’s Fdi – Exports – Gdp Growth Nexus: Trade Or Investment - Driven?," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 19(4), pages 1-20, April.
- Panky Tri Febiyansah, 2017. "Indonesia’s Fdi – Exports – Gdp Growth Nexus: Trade Or Investment - Driven?," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 19(4), pages 469-488, April.
- Sekar Utami Setiastuti, 2017. "Time-Varying Macroeconomic Impacts Of Global Economic Policy Uncertainty To A Small Open Economy: Evidence From Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 20(2), pages 1-20, October.
- Sekar Utami Setiastuti, 2017. "Time-Varying Macroeconomic Impacts Of Global Economic Policy Uncertainty To A Small Open Economy: Evidence From Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 20(2), pages 129-148, October.
- Víctor Quinde Rosales & Rina Bucaram-Leverone, 2017. "Relación de causalidad entre el índice de precios al productor y el índice de precios al consumidor: Caso Ecuador," Revista Actualidad Económica, Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas, vol. 27(93), pages 5-14, Sept-Dic.
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"Is the recent low oil price attributable to the shale revolution?,"
Energy Economics, Elsevier, vol. 67(C), pages 72-82.
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- Cheolbeom Park & Erdenebat Bataa, 2017. "Is the Recent Low Oil Price Attributable to the Shale Revolution?," Discussion Paper Series 1704, Institute of Economic Research, Korea University.
- Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2017.
"Explaining the time-varying effects of oil market shocks on US stock returns,"
Economics Letters, Elsevier, vol. 155(C), pages 84-88.
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- Stypka, Oliver & Wagner, Martin & Grabarczyk, Peter & Kawka, Rafael, 2017. "The Asymptotic Validity of "Standard" Fully Modified OLS Estimation and Inference in Cointegrating Polynomial Regressions," Economics Series 333, Institute for Advanced Studies.
- Jef Boeckx & Maarten Dossche & Gert Peersman, 2017.
"Effectiveness and Transmission of the ECB's Balance Sheet Policies,"
International Journal of Central Banking, International Journal of Central Banking, vol. 13(1), pages 297-333, February.
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- Jef Boeckx & Maarten Dossche & Gert Peersman, 2014. "Effectiveness and Transmission of the ECB’s Balance Sheet Policies," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/887, Ghent University, Faculty of Economics and Business Administration.
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- Diego Winkelried, 2017.
"Inferring Inflation Expectations from Fixed-Event Forecasts,"
International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 1-31, June.
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- Davide Debortoli & Jinill Kim & Jesper Lindé & Ricardo Nunes, 2019.
"Designing a Simple Loss Function for Central Banks: Does a Dual Mandate Make Sense?,"
Economic Journal, Royal Economic Society, vol. 129(621), pages 2010-2038.
- Davide Debortoli & Jinill Kim & Jesper Lindé & Ricardo Nunes, 2017. "Designing a simple loss function for central banks: Does a dual mandate make sense?," Economics Working Papers 1560, Department of Economics and Business, Universitat Pompeu Fabra.
- Davide Debortoli & Jinill Kim & Jesper Lindé & Ricardo C Nunes, 2017. "Designing a Simple Loss Function for Central Banks; Does a Dual Mandate Make Sense?," IMF Working Papers 17/164, International Monetary Fund.
- Davide Debortoli & Jinill Kim & Jesper Lindé & Ricardo Nunes, 2017. "Designing a Simple Loss Function for Central Banks: Does a Dual Mandate Make Sense?," Working Papers 958, Barcelona Graduate School of Economics.
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"Should unconventional monetary policies become conventional?,"
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- Quint, Dominic & Rabanal, Pau, 2017. "Should Unconventional Monetary Policies Become Conventional?," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168218, Verein für Socialpolitik / German Economic Association.
- Quint, Dominic & Rabanal, Pau, 2017.
"Should unconventional monetary policies become conventional?,"
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28/2017, Deutsche Bundesbank.
- Mr. Dominic Quint & Mr. Pau Rabanal, 2017. "Should Unconventional Monetary Policies Become Conventional?," IMF Working Papers 2017/085, International Monetary Fund.
- Pau Rabanal & Dominic Quint, 2017. "Should Unconventional Monetary Policies Become Conventional?," 2017 Meeting Papers 526, Society for Economic Dynamics.
- Quint, Dominic & Rabanal, Pau, 2017. "Should Unconventional Monetary Policies Become Conventional?," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168218, Verein für Socialpolitik / German Economic Association.
- Davide Debortoli & Jinill Kim & Jesper Lindé & Ricardo Nunes, 2019.
"Designing a Simple Loss Function for Central Banks: Does a Dual Mandate Make Sense?,"
The Economic Journal, Royal Economic Society, vol. 129(621), pages 2010-2038.
- Davide Debortoli & Jinill Kim & Jesper Lindé & Ricardo Nunes, 2017. "Designing a simple loss function for central banks: Does a dual mandate make sense?," Economics Working Papers 1560, Department of Economics and Business, Universitat Pompeu Fabra.
- Davide Debortoli & Mr. Jinill Kim & Jesper Lindé & Mr. Ricardo C Nunes, 2017. "Designing a Simple Loss Function for Central Banks: Does a Dual Mandate Make Sense?," IMF Working Papers 2017/164, International Monetary Fund.
- Jinill Kim & Jesper Lindé & Ricardo Nunes & Davide Debortoli, 2017. "Designing a Simple Loss Function for Central Banks: Does a Dual Mandate Make Sense?," Working Papers 958, Barcelona School of Economics.
- Debortoli, Davide & Kim, Jinill & Lindé, Jesper & Nunes, Ricardo, 2018. "Designing a Simple Loss Function for Central Banks: Does a Dual Mandate Make Sense?," Working Paper Series 366, Sveriges Riksbank (Central Bank of Sweden), revised 01 Mar 2019.
- Jan Behringer & Sabine Stephan & Thomas Theobald, 2017. "Macroeconomic factors behind financial instability," IMK Working Paper 178-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
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"Assessing the cross-country interaction of financial cycles: evidence from a multivariate spectral analysis of the USA and the UK,"
Empirical Economics, Springer, vol. 57(2), pages 385-398, August.
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"Money's causal role in exchange rate: Do divisia monetary aggregates explain more?,"
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- Taniya Ghosh & Soumya Bhadury, 2017. "Money's causal role in exchange rate: Do Divisia monetary aggregates explain more?," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2017-010, Indira Gandhi Institute of Development Research, Mumbai, India.
- Soumya Bhadury & Taniya Ghosh, 2018. "Money's Causal Role in Exchange Rate: Do Divisia Monetary Aggregates Explain More?," NCAER Working Papers 113, National Council of Applied Economic Research.
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"U.S. monetary-fiscal regime changes in the presence of endogenous feedback in policy rules,"
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"Market integration and financial linkages among stock markets in Pacific Basin countries,"
Journal of Empirical Finance, Elsevier, vol. 46(C), pages 77-92.
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"Seeking price and macroeconomic stabilisation in the euro area: The role of house prices and stock prices,"
Working Papers del Instituto Complutense de Estudios Internacionales
1707, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
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"“Unbiased estimation of autoregressive models forbounded stochastic processes,"
AQR Working Papers
201710, University of Barcelona, Regional Quantitative Analysis Group, revised Dec 2017.
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"On the exposure of the BRIC countries to global economic shocks,"
The World Economy, Wiley Blackwell, vol. 42(1), pages 122-142, January.
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- Belke, Ansgar H. & Dreger, Christian & Dubova, Irina, 2017. "On the Exposure of the BRIC Countries to Global Economic Shocks," IZA Discussion Papers 10634, Institute of Labor Economics (IZA).
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- Sayera Younus, 2017. "Monetary Transmission Channels In Bangladesh: Evidence From A Floating Exchange Rate Regime," Journal of Developing Areas, Tennessee State University, College of Business, vol. 51(2), pages 255-272, April-Jun.
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"Determinants of house prices and new construction activity: An empirical investigation of the Namibian housing market,"
Journal of Developing Areas, Tennessee State University, College of Business, vol. 51(3), pages 389-407, July-Sept.
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"Revisiting the Invisible Hand Hypothesis: A Comparative Study between Bulgaria and Germany,"
EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 8(1), pages 45-77.
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"How do oil producers respond to giant oil field discoveries?,"
Energy Economics, Elsevier, vol. 80(C), pages 59-74.
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"Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis,"
Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 83-97, January.
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"International stock return predictability: Is the role of U.S. time-varying?,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(1), pages 121-146, February.
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- Goodness C. Aye & Mehmet Balcilar & Rangan Gupta, 2015. "International Stock Return Predictability: Is the Role of U.S. Time-Varying?," Working Papers 201524, University of Pretoria, Department of Economics.
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"The relationship between population growth and standard-of-living growth over 1870–2013: evidence from a bootstrapped panel Granger causality test,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(1), pages 175-201, February.
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"On exchange-rate movements and gold-price fluctuations: evidence for gold-producing countries from a nonparametric causality-in-quantiles test,"
International Economics and Economic Policy, Springer, vol. 14(4), pages 691-700, October.
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"The Impact of US Uncertainty Shocks on Small Open Economies,"
Open Economies Review, Springer, vol. 28(2), pages 347-368, April.
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"Directed Graphs and Variable Selection in Large Vector Autoregressive Models,"
Working Paper Series of the Department of Economics, University of Konstanz
2017-06, Department of Economics, University of Konstanz.
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"Identification of SVAR Models by Combining Sign Restrictions With External Instruments,"
Working Paper Series of the Department of Economics, University of Konstanz
2017-07, Department of Economics, University of Konstanz.
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"Identification of Structural Vector Autoregressions by Stochastic Volatility,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 328-341, January.
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- Dominik Bertsche & Robin Braun, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz 2018-03, Department of Economics, University of Konstanz.
- Bertsche, Dominik & Braun, Robin, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181631, Verein für Socialpolitik / German Economic Association.
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- Arcade NDORICIMPA, 2017. "Analysis of Asymmetries in the Tax-Spending Nexus in Burundi," Journal of Economics and Political Economy, KSP Journals, vol. 4(1), pages 53-70, March.
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- Youssef OUKHALLOU & Abla MRABTI, 2017. "A Small Scale Macroeconomic Model for Morocco," Journal of Economics and Political Economy, KSP Journals, vol. 4(2), pages 159-177, June.
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"On the effects of repeated tax amnesties,"
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- Manamba EPAPHRA, 2017. "An Econometric Analysis of Demand for Money and its Stability in Tanzania," Turkish Economic Review, KSP Journals, vol. 4(2), pages 167-192, June.
- Thor Pajhede, 2017. "A Conditionally Beta Distributed Time-Series Model With Application to Monthly US Corporate Default Rates," Discussion Papers 17-01, University of Copenhagen. Department of Economics.
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"Cointegration between trends and their estimators in state space models and CVAR models,"
CREATES Research Papers
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"Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles,"
Econometrics, MDPI, vol. 5(2), pages 1-20, June.
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"Testing Garch-X Type Models,"
Econometric Theory, Cambridge University Press, vol. 35(5), pages 1012-1047, October.
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"Testing the CVAR in the Fractional CVAR Model,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 836-849, November.
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- Soeren Johansen & Morten Oeregaard Nielsen, 2017. "Testing the CVAR in the fractional CVAR model," Discussion Papers 17-23, University of Copenhagen. Department of Economics.
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"Thinking fast, thinking badly,"
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- Dr. Gulnihal Aksoy & Prof. Dr. Don Bredin & Deirdre Corcoran & Stilianos Fountas, 2017.
"Relative Price Dispersion and Inflation: Evidence for the UK and the US,"
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"Export Sophistication: A Dynamic Panel Data Approach,"
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- Kenza Benhima & Céline Poilly, 2017. "Do Misperceptions about Demand Matter? Theory and Evidence," AMSE Working Papers 1717, Aix-Marseille School of Economics, France.
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"Trends Cycles and Seasons: Econometric Methods of Signal Extraction,"
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- D.S.G. Pollock, 2017. "Stochastic processes of limited frequency and the effects of oversampling," Discussion Papers in Economics 17/03, Division of Economics, School of Business, University of Leicester.
- Mihnea Constantinescu & Anh Dinh Minh Nguyen, 2017. "Unemployment or Credit: Who Holds The Potential? Results From a Small-Open Economy," Bank of Lithuania Discussion Paper Series 4, Bank of Lithuania.
- Umar Bida Ndako, 2017. "Financial Development, Investment and Economic Growth: Evidence from Nigeria," Journal of Reviews on Global Economics, Lifescience Global, vol. 6, pages 33-41.
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"Dimensions Of Macroeconomic Uncertainty: A Common Factor Analysis,"
Economic Inquiry, Western Economic Association International, vol. 55(2), pages 843-877, April.
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- Mohseni, Hossein & Botshekan, mohammad Hashem, 2017. "Volatility Spillover and Dynamic conditional correlation of exchange rate on banks stock index (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهشهای پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 10(31), pages 1-28, April.
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- Ghasemi Ali Abadi , Mehdi & Shakeri , Abbas & Nassiri Aghdam , Ali, 2017. "Introducing a Model to Measure the Corporate Governance Index in Usury-Free Banking," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 12(1), pages 55-71, January.
- Fegheh Majidi , Ali & Mohammadi , Ahmad & Nanvay Sabegh , Behnaz, 2017. "An Investigation of Convergence Hypothesis of Price Index in Asian Stock Markets," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 12(1), pages 73-88, January.
- Botshekan , Mohamad Hashem & Mohseni , Hosein, 2017. "Volatility Spillover among Industries in the Capital Market in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 12(2), pages 213-233, April.
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- Carlos Figueira, 2017. "Determinants of the Portuguese GDP stagnation during the 2001-2014 period: an empirical investigation," GEE Papers 0068, Gabinete de Estratégia e Estudos, Ministério da Economia, revised Mar 2017.
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"Infrastructure Investment, Labor Productivity, and International Competitiveness: The Case of Portugal,"
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"Is All Infrastructure Investment Created Equal? The Case of Portugal,"
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"Health care investments and economic performance in Portugal: an industry level analysis,"
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"Some Financial Implications of Global Warming: An Empirical Assessment,"
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"Carbon emissions and economic growth in South Africa: A quantile regression approach,"
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- Luxolo Malangeni & Andrew Phiri, 2017. "Education and economic growth in post-Apartheid South Africa," Working Papers 1716, Department of Economics, Nelson Mandela University, revised Dec 2017.
- N. Mhlaba & A. Phiri, 2019.
"Is public debt harmful towards economic growth? New evidence from South Africa,"
Cogent Economics & Finance, Taylor & Francis Journals, vol. 7(1), pages 1603653-160, January.
- Mhlaba, Ncebakazi & Phiri, Andrew, 2017. "Is public debt harmful towards economic growth? New evidence from South Africa," MPRA Paper 83157, University Library of Munich, Germany.
- Ncebakazi Mhlaba & Andrew Phiri, 2017. "Is public debt harmful towards economic growth? New evidence from South Africa," Working Papers 1717, Department of Economics, Nelson Mandela University, revised Dec 2017.
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"Investigating the Macroeconomic Determinants of Hosehold Debt in South Africa,"
International Journal of Economics and Financial Issues, Econjournals, vol. 8(2), pages 62-69.
- Nomatye, Anelisa & Phiri, Andrew, 2017. "Investigating the macroeconomic determinants of household debt in South Africa," MPRA Paper 83303, University Library of Munich, Germany.
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- Raphael Raduzzi & Antonio Ribba, 2017. "The Macroeconomics Outcome of Oil Shocks in the Small Eurozone Economies," Department of Economics 0109, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Antonella Cavallo & Antonio Ribba, 2017. "Measuring the Effects of Oil Price and Euro-area Shocks on CEECs Business Cycles," Department of Economics 0111, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Raphael Raduzzi & Antonio Ribba, 2020.
"The macroeconomics outcome of oil shocks in the small Eurozone economies,"
The World Economy, Wiley Blackwell, vol. 43(1), pages 191-211, January.
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- Cavallo, Antonella & Ribba, Antonio, 2018.
"Measuring the effects of oil price and Euro-area shocks on CEECs business cycles,"
Journal of Policy Modeling, Elsevier, vol. 40(1), pages 74-96.
- Antonella Cavallo & Antonio Ribba, 2017. "Measuring the Effects of Oil Price and Euro-area Shocks on CEECs Business Cycles," Center for Economic Research (RECent) 128, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Mario Forni & Luca Gambetti & Luca Sala, 2017. "News, Uncertainty and Economic Fluctuations (No News is Good News)," Center for Economic Research (RECent) 132, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017.
"The contribution of jumps to forecasting the density of returns,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
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- Souhaib Ben Taieb & James W. Taylor & Rob J. Hyndman, 2017. "Coherent Probabilistic Forecasts for Hierarchical Time Series," Monash Econometrics and Business Statistics Working Papers 3/17, Monash University, Department of Econometrics and Business Statistics.
- Jiang, Bin & Yang, Yanrong & Gao, Jiti & Hsiao, Cheng, 2021.
"Recursive estimation in large panel data models: Theory and practice,"
Journal of Econometrics, Elsevier, vol. 224(2), pages 439-465.
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- Ban Kheng Tan & Anastasios Panagiotelis & George Athanasopoulos, 2017. "Bayesian Inference for a 1-Factor Copula Model," Monash Econometrics and Business Statistics Working Papers 6/17, Monash University, Department of Econometrics and Business Statistics.
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"News Shocks, Business Cycles, and the Disinflation Puzzle,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2115-2151, December.
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- Cuauhtémoc Calderón Villarreal, 2017. "Integración económica, crisis económicas y ciclos económicos en México," Contaduría y Administración, Accounting and Management, vol. 62(1), pages 64-84, Enero-Mar.
- Cuauhtémoc Calderón Villarreal, 2017. "Economic integration, economic crises and economic cycles in Mexico," Contaduría y Administración, Accounting and Management, vol. 62(1), pages 85-104, Enero-Mar.
- Francisco Ortiz Arango & Alma Nelly Montiel Guzmán, 2017. "Transmisión de precios futuros de maíz del Chicago Board of Trade al mercado spot mexicano," Contaduría y Administración, Accounting and Management, vol. 62(3), pages 924-940, Julio-Sep.
- Francisco Ortiz Arango & Alma Nelly Montiel Guzmán, 2017. "Transmission of future prices of corn of the Chicago Board of Trade to the Mexican spot market," Contaduría y Administración, Accounting and Management, vol. 62(3), pages 941-957, Julio-Sep.
- Raúl de Jesús Gutiérrez & Edgar Ortiz & Oswaldo García Salgado, 2017. "Los efectos de largo plazo de la asimetría y persistencia en la predicción de la volatilidad: evidencia para mercados accionarios de América Latina," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1063-1080, Octubre-D.
- Raúl de Jesús Gutiérrez & Edgar Ortiz & Oswaldo García Salgado, 2017. "Long-term effects of the asymmetry and persistence of the prediction of volatility: Evidence for the equity markets of Latin America," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1081-1099, Octubre-D.
- Raïsa Basselier & David de Antonio Liedo & Geert Langenus,, 2017. "Nowcasting real economic activity in the euro area : Assessing the impact of qualitative surveys," Working Paper Research 331, National Bank of Belgium.
- Henryk Bąk & Sebastian Maciejewski, 2017. "The symmetry of demand and supply shocks in the European Monetary Union," Bank i Kredyt, Narodowy Bank Polski, vol. 48(1), pages 1-44.
- Piotr Dybka & Bartosz Olesiński & Piotr Pękała & Andrzej Torój, 2017. "To SVAR or to SVEC? On the transmission of capital buffer shocks to the real economy," Bank i Kredyt, Narodowy Bank Polski, vol. 48(2), pages 119-148.
- Tomasz Wójtowicz, 2017. "High-volume return premium on the stock markets in Warsaw and Vienna," Bank i Kredyt, Narodowy Bank Polski, vol. 48(4), pages 375-402.
- Arkadiusz Manikowski, 2017. "Analysis of the denomination structure of the Polish currency in the context of the launch of the new 500 zloty banknote," Bank i Kredyt, Narodowy Bank Polski, vol. 48(5), pages 495-530.
- Siem Koopman & André Lucas & Marcin Zamojski, 2017. "Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting," NBP Working Papers 258, Narodowy Bank Polski.
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"Exchange rate forecasting with DSGE models,"
Journal of International Economics, Elsevier, vol. 107(C), pages 127-146.
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"Determinants of Low Inflation in an Emerging, Small Open Economy through the Lens of Aggregated and Disaggregated Approach,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(13), pages 3094-3111, October.
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- Anna Sznajderska, 2019.
"The role of China in the world economy: evidence from a global VAR model,"
Applied Economics, Taylor & Francis Journals, vol. 51(15), pages 1574-1587, March.
- Anna Sznajderska, 2017. "The role of China in the world economy: evidence from global VAR model," NBP Working Papers 270, Narodowy Bank Polski.
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"How far does monetary policy reach? Evidence from factor-augmented vector autoregressions for Poland,"
Bank i Kredyt, Narodowy Bank Polski, vol. 49(3), pages 191-216.
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"International credit supply shocks,"
Journal of International Economics, Elsevier, vol. 112(C), pages 219-237.
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- Rebucci, Alessandro & Ferrero, Andrea & Cesa-Bianchi, Ambrogio, 2017. "International Credit Supply Shocks," CEPR Discussion Papers 12501, C.E.P.R. Discussion Papers.
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- Ambrogio Cesa-Bianchi & Andrea Ferrero & Alessandro Rebucci, 2017. "International Credit Supply Shocks," NBER Working Papers 23841, National Bureau of Economic Research, Inc.
- Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2018.
"Estimating global bank network connectedness,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(1), pages 1-15, January.
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- Herbst, Edward & Schorfheide, Frank, 2019.
"Tempered particle filtering,"
Journal of Econometrics, Elsevier, vol. 210(1), pages 26-44.
- Edward P. Herbst & Frank Schorfheide, 2016. "Tempered Particle Filtering," Finance and Economics Discussion Series 2016-072, Board of Governors of the Federal Reserve System (U.S.).
- Edward Herbst & Frank Schorfheide, 2017. "Tempered Particle Filtering," NBER Working Papers 23448, National Bureau of Economic Research, Inc.
- Edward Herbst & Frank Schorfheide, 2016. "Tempered Particle Filtering," PIER Working Paper Archive 16-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 25 Oct 2016.
- Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.
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"Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks,"
American Economic Review, American Economic Association, vol. 109(5), pages 1873-1910, May.
- Christiane Baumeister & James D. Hamilton, 2017. "Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks," CESifo Working Paper Series 6835, CESifo.
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- Ani Stoitsova-Stoykova, 2017. "Co-Movement Of The Capital Markets Of Southeast Europe During The Period 2005-2015," Economics and Management, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, vol. 13(1), pages 38-54.
- Francisco A. Martínez-Hernández, 2017.
"The Political Economy of Real Exchange Rate Behavior: Theory and Empirical Evidence for Developed and Developing Countries, 1960–2010,"
Review of Political Economy, Taylor & Francis Journals, vol. 29(4), pages 566-596, October.
- Francisco A. Martínez-Hernández, 2017. "The Political Economy of Real Exchange Rate Behavior: Theory and Empirical Evidence for Developed and Developing Countries, 1960-2010," Working Papers 1716, New School for Social Research, Department of Economics.
- Willi Semmler & Levent Koçkesen, 2017. "Liquidity, Credit and Output: A Regime Change Model and Empirical Estimations," Working Papers 1730, New School for Social Research, Department of Economics.
- Cristina Amado & Annastiina Silvennoinen & Timo Terasvirta, 2017.
"Modelling and Forecasting WIG20 Daily Returns,"
Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 9(3), pages 173-200, September.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," CREATES Research Papers 2017-29, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Modelling and forecasting WIG20 daily returns," NIPE Working Papers 09/2017, NIPE - Universidade do Minho.
- Mustapha Olalekan Ojo & Luís Aguiar-Conraria & Maria Joana Soares, 2020.
"A time–frequency analysis of the Canadian macroeconomy and the yield curve,"
Empirical Economics, Springer, vol. 58(5), pages 2333-2351, May.
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- A. Kudrin & A. Knobel., 2017. "Fiscal policy as a source of economic growth," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 10.
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- Andreza Aparecida Palma, 2017. "Política monetária e taxa de câmbio em uma pequena economia aberta: uma análise empírica para o Brasil [Monetary policy and exchange rate in a small open economy: an empirical analysis for Brazil]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 27(2), pages 119-155, May-Augus.
- Bekiros, Stelios & Loukeris, Nikolaos & Eleftheriadis, Iordanis, 2017. "Portfolio Optimization With Investor Utility Preference of Higher-Order Moments: A Behavioral Approach," Review of Behavioral Economics, now publishers, vol. 4(2), pages 83-106, September.
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"An Automatic Leading Indicator Based Growth Forecast For 2016-17 and The Outlook Beyond,"
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- Mohanty, Ranjan Kumar & Sahoo, Biresh K., 2017. "Examining the Eco-Macroeconomic Performance Index of India: A Data Envelopment Analysis Approach," Working Papers 17/202, National Institute of Public Finance and Policy.
- Hom Nath Gaire, 2017. "Stock Index, Interest Rate and Gold Price of Nepal: Cointegration and Causality Analysis," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, vol. 29(2), pages 15-30, October.
- Ani Stoitsova-Stoykova, 2017. "Relationship Between Public Expectations and Financial Market Dynamics in South- East Europe Capital Markets," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 237-250, June.
- Vasile-Aurel Caus & Daniel Badulescu & Mircea Cristian Gherman, 2017. "Using Wavelets In Economics. An Application On The Analysis Of Wage-Price Relation," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 2(1), pages 32-42, March.
- Doriana Andreea Ramescu & Nicoleta Sirghi, 2017. "The Price Evolution In The Context Of Economic Crisis," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 2(1), pages 72-80, March.
- Manuel A. Hernandez & Shahidur Rashid & Solomon Lemma & Tadesse Kuma, 2017. "Market Institutions and Price Relationships: The Case of Coffee in the Ethiopian Commodity Exchange," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 99(3), pages 683-704.
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"Commodity Storage and the Market Effects of Biofuel Policies,"
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- Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017.
"Noise Bubbles,"
Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976, September.
- Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noise Bubbles," Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976.
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- Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017.
"Specification Testing in Hawkes Models,"
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- Simona Boffelli & Vasiliki D. Skintzi & Giovanni Urga, 2017. "High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers," Journal of Financial Econometrics, Oxford University Press, vol. 15(1), pages 62-105.
- Seok Young Hong & Oliver Lintono & Hui Jun Zhang, 2017. "An Investigation into Multivariate Variance Ratio Statistics and their Application to Stock Market Predictability," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 173-222.
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"Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models,"
Journal of Financial Econometrics, Oxford University Press, vol. 15(4), pages 509-560.
- Patrick Gagliardini & Eric Ghysels & Mirco Rubin, 2016. "Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models," Swiss Finance Institute Research Paper Series 16-46, Swiss Finance Institute.
- Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2017.
"Forecasting Value-at-Risk under Temporal and Portfolio Aggregation,"
Journal of Financial Econometrics, Oxford University Press, vol. 15(4), pages 649-677.
- Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2015. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Tinbergen Institute Discussion Papers 15-140/III, Tinbergen Institute, revised 19 Apr 2017.
- Hanxue Yang & Juho Kanniainen, 2017. "Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets," Review of Finance, European Finance Association, vol. 21(2), pages 811-844.
- Olaniyi Evans & Olaniyi Lawanson, 2017. "A Multi-Sectoral Study of Financial Inclusion and Economic Output in Nigeria," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(1), pages 195-204, June.
- Alonso, Julio César & Rivera, Andrés Felipe, 2017. "Pronosticando la inflación mensual en Colombia un paso hacia delante: una aproximación "de abajo hacia arriba" || Forecasting the Colombian Monthly Inflation One Step Ahead: A "Bottom t," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 23(1), pages 98-118, Junio.
- Massimiliano Caporin & Fulvio Fontini & Paolo Santucci De Magistris, 2017. "Price convergence within and between the Italian electricity day-ahead and dispatching services markets," "Marco Fanno" Working Papers 0215, Dipartimento di Scienze Economiche "Marco Fanno".
- Francesco Chincoli & Massimo Guidolin, 2017.
"Linear and nonlinear predictability in investment style factors: multivariate evidence,"
Journal of Asset Management, Palgrave Macmillan, vol. 18(6), pages 476-509, October.
- Massimo Guidolin & Francesco Chincoli, 2017. "Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence," BAFFI CAREFIN Working Papers 1754, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Lorenza Rossi & Emilio Zanetti Chini, 2016.
"Firms’ Dynamics and Business Cycle: New Disaggregated Data,"
DEM Working Papers Series
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- Lorenza Rossi & Emilio Zanetti Chini, 2017. "Firms' Dynamics and Business Cycle: New Disaggregated Data," DEM Working Papers Series 141, University of Pavia, Department of Economics and Management.
- Lorenza Rossi & Emilio Zanetti Chini, 2018. "Firms Dynamics and Business Cycle: New Disaggregated Data," DEM Working Papers Series 151, University of Pavia, Department of Economics and Management.
- Alejandra Olivares Rios & Gabriel Rodriguez & Miguel Ataurima Arellano, 2017. "Estimation of the Sovereign Yield Curve of Peru: The Role of Macroeconomic and Latent Factors," Documentos de Trabajo / Working Papers 2017-435, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Phiri, Andrew, 2017.
"Threshold convergence between the federal fund rate and South African equity returns around the colocation period,"
Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 13(01).
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- Phiri, Andrew, 2017. "Threshold convergence between the federal fund rate and South African equity returns around the colocation period," MPRA Paper 76039, University Library of Munich, Germany.
- Andrew Phiri, 2017. "Threshold convergence between the Federal fund rate and South African equity returns around the colocation period," Working Papers 1710, Department of Economics, Nelson Mandela University, revised Aug 2017.
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- Hulya Deniz Karakoyun, & Nurtac Yildirim, 2017. "Demand-side factors of housing price increases in Turkey: Blanchard-Quah SVAR model," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(3), pages 312-332, July.
- Peter C.B. Phillips, 2017.
"Econometric Measurement of Earth's Transient Climate Sensitivity,"
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- Thomas Leirvik & Peter C.B. Phillips & Trude Storelvmo, 2017. "Econometric Measurement of Earth's Transient Climate Sensitivity," Cowles Foundation Discussion Papers 2083, Cowles Foundation for Research in Economics, Yale University.
- Ciprian ȘIPOȘ & Ioana VIAȘU, 2017. "Long Run Multiple Causality Measure on Economic Growth," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(1), pages 117-134.
- Khalid KHAN & Chi-Wei SU & Nicoleta - Claudia MOLDOVAN & De-Ping XIONG, 2017. "Distinctive Characteristics of the Causality between the PPI and CPI: Evidence from Romania," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(2), pages 103-123.
- Aleksandar NAUMOSKI & Sasho ARSOV & Stevan GABER & Vasilka GABER-NAUMOSKA, 2017. "Diminishing Inter-Linkages of the South East European Stock Markets," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(3), pages 91-108.
- Xinyu WU & Senchun REN & Hailin ZHOU, 2017. "Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(4), pages 263-278.
- Петя Йорданова, 2017. "Апробиране На Модел За Управление Риска На Франчайзодателя На База Количествен Подход," Almanac of PhD Students, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, vol. 13(13 Year 2), pages 24-46.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018.
"Estimation of structural impulse responses: short-run versus long-run identifying restrictions,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(2), pages 229-244, April.
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- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions," Discussion Papers of DIW Berlin 1642, DIW Berlin, German Institute for Economic Research.
- Caporale, Guglielmo Maria & Carcel, Hector & Gil-Alana, Luis, 2017.
"Central bank policy rates: Are they cointegrated?,"
International Economics, Elsevier, vol. 152(C), pages 116-123.
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"Testing the Fisher hypothesis in the G-7 countries using I(d) techniques,"
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"Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis,"
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"On secular stagnation and low interest rates: Demography matters,"
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"Spillovers from the ECB's Non-standard Monetary Policy Measures on Southeastern Europe,"
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"Macroeconomic Implications of Oil Price Fluctuations : A Regime-Switching Framework for the Euro Area,"
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Economics of Transition and Institutional Change, John Wiley & Sons, vol. 28(4), pages 581-620, October.
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"Dynamics and factors of inflation convergence in the European union,"
Journal of International Money and Finance, Elsevier, vol. 86(C), pages 93-111.
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"Narrative Sign Restrictions for SVARs,"
American Economic Review, American Economic Association, vol. 108(10), pages 2802-2829, October.
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"Trade effects of silver price fluctuations in 19th-century China: A macro approach,"
China Economic Review, Elsevier, vol. 63(C).
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"Temperature anomalies, radiative forcing and ENSO,"
Working Paper series
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"ArCo: An artificial counterfactual approach for high-dimensional panel time-series data,"
Journal of Econometrics, Elsevier, vol. 207(2), pages 352-380.
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"Financial nowcasts and their usefulness in macroeconomic forecasting,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1708-1724.
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"Some Evidence on Secular Drivers of US Safe Real Rates,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 11(4), pages 113-139, October.
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"Measuring The World Natural Rate Of Interest,"
Economic Inquiry, Western Economic Association International, vol. 56(1), pages 530-544, January.
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"Estimating the natural rate of interest in an open economy,"
Empirical Economics, Springer, vol. 55(3), pages 1291-1318, November.
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"Monitoring banking system connectedness with big data,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 203-220.
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- Olesya Grishchenko & Sarah Mouabbi & Jean‐Paul Renne, 2019.
"Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(5), pages 1053-1096, August.
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- Manuel Gonzalez-Astudillo, 2017. "GDP Trend-cycle Decompositions Using State-level Data," Finance and Economics Discussion Series 2017-051, Board of Governors of the Federal Reserve System (U.S.).
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"Macroeconomic implications of oil price fluctuations: a regime-switching framework for the euro area,"
Working Paper Series
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- Shin, Minchul & Zhang, Boyuan & Zhong, Molin & Lee, Dong Jin, 2018.
"Measuring international uncertainty: The case of Korea,"
Economics Letters, Elsevier, vol. 162(C), pages 22-26.
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- Cristina Conflitti and Matteo Luciani, 2019.
"Oil Price Pass-through into Core Inflation,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 6).
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- Cristina Conflitti & Matteo Luciani, 2017. "Oil Price Pass-Through into Core Inflation," Finance and Economics Discussion Series 2017-085, Board of Governors of the Federal Reserve System (U.S.).
- Cristina Conflitti & Matteo Luciani, 2017. "Oil price pass-through into core inflation," Questioni di Economia e Finanza (Occasional Papers) 405, Bank of Italy, Economic Research and International Relations Area.
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"Oil Price Pass-through into Core Inflation,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 6).
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- Cristina Conflitti & Matteo Luciani, 2019. "Oil Price Pass-Through into Core Inflation," FEDS Notes 2019-04-30, Board of Governors of the Federal Reserve System (U.S.).
- Cristina Conflitti & Matteo Luciani, 2017. "Oil Price Pass-Through into Core Inflation," FEDS Notes 2017-10-19-1, Board of Governors of the Federal Reserve System (U.S.).
- Cristina Conflitti & Matteo Luciani, 2017. "Oil price pass-through into core inflation," Questioni di Economia e Finanza (Occasional Papers) 405, Bank of Italy, Economic Research and International Relations Area.
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"Debt and stabilization policy: Evidence from a Euro Area FAVAR,"
Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 67-91.
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"Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors,"
The Review of Economics and Statistics, MIT Press, vol. 102(1), pages 17-33, March.
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- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers 2017-026, Federal Reserve Bank of St. Louis.
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"An empirical investigation of direct and iterated multistep conditional forecasts,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 181-204, March.
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"International evidence on long-run money demand,"
Journal of Monetary Economics, Elsevier, vol. 117(C), pages 43-63.
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- Luca Benati & Robert E. Lucas Jr. & Juan Pablo Nicolini & Warren Weber, 2020. "International Evidence on Long-Run Money Demand," Diskussionsschriften dp2021, Universitaet Bern, Departement Volkswirtschaft.
- Warren E. Weber & Robert Lucas & Juan Pablo Nicolini & Luca Benati, 2017. "International Evidence on Long Run Money Demand," 2017 Meeting Papers 1154, Society for Economic Dynamics.
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"Online Appendix for: International Evidence on Long-Run Money Demand,"
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"Safety, Liquidity, and the Natural Rate of Interest,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 48(1 (Spring), pages 235-316.
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"Macroeconomic Nowcasting and Forecasting with Big Data,"
Annual Review of Economics, Annual Reviews, vol. 10(1), pages 615-643, August.
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"Priors for the Long Run,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 565-580, April.
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"Identification through Heterogeneity,"
CESifo Working Paper Series
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"Understanding the Size of the Government Spending Multiplier: It’s in the Sign,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(1), pages 87-117.
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- Christian Matthes & Davide Debortoli & Régis Barnichon, 2020. "Understanding the Size of the Government Spending Multiplier: It's in the Sign," Working Papers 1145, Barcelona School of Economics.
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"Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity,"
Econometrics, MDPI, vol. 5(2), pages 1-24, April.
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"Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach,"
Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(3), pages 549-573, April.
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- Francesca Dana Andreescu & Robert Ștefan Sbîrcea, 2017. "Variante de optimizare a portofoliilor de acţiuni diversificate internațional în condiții de restricții ale politicii investiționale," Journal of Financial Studies, Institute of Financial Studies, vol. 2(2), pages 40-55, June.
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"A Simple Test for Causality in Volatility,"
Econometrics, MDPI, vol. 5(1), pages 1-5, March.
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- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017.
"Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity,"
Econometrics, MDPI, vol. 5(2), pages 1-24, April.
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"Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles,"
Econometrics, MDPI, vol. 5(2), pages 1-20, June.
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"Bayesian Analysis of Bubbles in Asset Prices,"
Econometrics, MDPI, vol. 5(4), pages 1-23, October.
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"Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations,"
Sustainability, MDPI, vol. 9(10), pages 1-18, October.
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- Tran Thanh Hoa, 2017. "Forecasting Inflation in Vietnam with Univariate and Vector Autoregressive Models," IHEID Working Papers 05-2017, Economics Section, The Graduate Institute of International Studies.
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"PIIGS in the Euro Area. An Empirical DSGE Model,"
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"Dynamical Interaction between Financial and Business Cycles,"
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"The contribution of jumps to forecasting the density of returns,"
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"Another look on the relationships between oil prices and energy prices,"
Energy Policy, Elsevier, vol. 102(C), pages 318-331.
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"Oil currencies in the face of oil shocks: what can be learned from time-varying specifications?,"
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- Joëts, Marc & Mignon, Valérie & Razafindrabe, Tovonony, 2017.
"Does the volatility of commodity prices reflect macroeconomic uncertainty?,"
Energy Economics, Elsevier, vol. 68(C), pages 313-326.
- Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2015. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Working Papers 2015-02, CEPII research center.
- Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2017. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Post-Print hal-01609784, HAL.
- Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2016. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Post-Print hal-01411696, HAL.
- Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2016. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Post-Print hal-01386096, HAL.
- M. Joëts & V. Mignon & T. Razafindrabe, 2016. "Does the volatility of commodity prices reflect macroeconomic uncertainty ?," Working papers 607, Banque de France.
- Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2017. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Post-Print halshs-01683788, HAL.
- Tovonony Razafindrabe & Valérie Mignon & Marc Joëts, 2016. "Does the volatility of commodity prices reflects macroeconomic uncertainty?," Post-Print hal-01667080, HAL.
- Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2015. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," EconomiX Working Papers 2015-7, University of Paris Nanterre, EconomiX.
- Valérie Mignon & Tovonony Razafindrabe & Marc Joëts, 2016. "Does the volatility of commodity prices reflects macroeconomic uncertainty?," Post-Print hal-01667085, HAL.
- Patrick Fève & Jean‐Guillaume Sahuc, 2017.
"In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 704-718, April.
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- Patrick F ve & Jean-Guillaume Sahuc, 2016. "In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area," Working papers 585, Banque de France.
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- de Truchis, Gilles & Dell’Eva, Cyril & Keddad, Benjamin, 2017.
"On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 82-98.
- Cyril Dell'Eva & Gilles de Truchis & Benjamin Keddad, 2017. "On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning," Post-Print hal-04847446, HAL.
- Gilles de Truchis & Benjamin Keddad & Cyril Dell'Eva, 2017. "On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning," Post-Print hal-01635867, HAL.
- Monica Billio & Anna Petronevich, 2017.
"Dynamical Interaction between Financial and Business Cycles,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
hal-01692239, HAL.
- Monica Billio & Anna Petronevich, 2017. "Dynamical Interaction between Financial and Business Cycles," Post-Print hal-01692239, HAL.
- Monica Billio & Anna Petronevich, 2017. "Dynamical Interaction Between Financial and Business Cycles," Working Papers 2017:24, Department of Economics, University of Venice "Ca' Foscari".
- Gatfaoui, Hayette, 2017.
"Equity market information and credit risk signaling: A quantile cointegrating regression approach,"
Economic Modelling, Elsevier, vol. 64(C), pages 48-59.
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- Al-Khazali, Osamah & Bouri, Elie & Roubaud, David & Zoubi, Taisier, 2017.
"The impact of religious practice on stock returns and volatility,"
International Review of Financial Analysis, Elsevier, vol. 52(C), pages 172-189.
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- Sanhaji Bilel, 2017.
"Testing for Nonlinearity in Conditional Covariances,"
Journal of Time Series Econometrics, De Gruyter, vol. 9(2), pages 1-22, July.
- Bilel Sanhaji, 2017. "Testing for Nonlinearity in Conditional Covariances," Post-Print hal-04218462, HAL.
- Bilel Sanhaji, 2017. "Testing for nonlinearity in conditional covariances," Post-Print hal-02879361, HAL.
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"Foreign policy uncertainty shocks and US macroeconomic activity: Evidence from China,"
Economics Letters, Elsevier, vol. 155(C), pages 121-125.
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"The role of confidence shocks in business cycles and their global dimension,"
International Economics, Elsevier, vol. 151(C), pages 48-65.
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- Sanhaji Bilel, 2017.
"Testing for Nonlinearity in Conditional Covariances,"
Journal of Time Series Econometrics, De Gruyter, vol. 9(2), pages 1-22, July.
- Bilel Sanhaji, 2017. "Testing for nonlinearity in conditional covariances," Post-Print hal-02879361, HAL.
- Bilel Sanhaji, 2017. "Testing for Nonlinearity in Conditional Covariances," Post-Print hal-04218462, HAL.
- Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018.
"Asymptotics of Cholesky GARCH models and time-varying conditional betas,"
Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
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- Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590251, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," AMSE Working Papers 1845, Aix-Marseille School of Economics, France.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590232, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2017. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590471, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," Working Papers halshs-01944656, HAL.
- Serge Darolles & Christian Francq & Sebastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590180, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-01980815, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2017. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590522, HAL.
- Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper 83988, University Library of Munich, Germany.
- Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018.
"Asymptotics of Cholesky GARCH models and time-varying conditional betas,"
Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2016. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590533, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590251, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," AMSE Working Papers 1845, Aix-Marseille School of Economics, France.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590232, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2017. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590522, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," Working Papers halshs-01944656, HAL.
- Serge Darolles & Christian Francq & Sebastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590180, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2017. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-04590471, HAL.
- Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-01980815, HAL.
- Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper 83988, University Library of Munich, Germany.
- de Truchis, Gilles & Dell’Eva, Cyril & Keddad, Benjamin, 2017.
"On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 82-98.
- Gilles de Truchis & Benjamin Keddad & Cyril Dell'Eva, 2017. "On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning," Post-Print hal-01635867, HAL.
- Cyril Dell'Eva & Gilles de Truchis & Benjamin Keddad, 2017. "On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning," Post-Print hal-04847446, HAL.
- Gnimassoun, Blaise & Joëts, Marc & Razafindrabe, Tovonony, 2017.
"On the link between current account and oil price fluctuations in diversified economies: The case of Canada,"
International Economics, Elsevier, vol. 152(C), pages 63-78.
- Blaise Gnimassoun & Marc Joëts & Tovonony Razafindrabe, 2017. "On the link between current account and oil price fluctuations in diversified economies: The case of Canada," International Economics, CEPII research center, issue 152, pages 63-78.
- Blaise Gnimassoun & Marc Joets & Tovonony Razafindrabe, 2016. "On the link between current account and oil price fluctuation in diversified economies: The case of Canada," Economics Working Paper Archive (University of Rennes & University of Caen) 2016-08, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
- Blaise Gnimassoun & Marc Joëts & Tovonony Razafindrabe, 2017. "On the link between current account and oil price fluctuations in diversified economies : The case of Canada," Post-Print halshs-01615104, HAL.
- Blaise Gnimassoun & Marc Joëts & Tovonony Razafindrabe, 2016. "On the link between current account and oil price fluctuation in diversified economies: The case of Canada," Working Papers of BETA 2016-41, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Blaise Gnimassoun & Marc Joëts & Tovonony Razafindrabe, 2016. "On the link between current account and oil price fluctuations in diversified economies: The case of Canada," EconomiX Working Papers 2016-35, University of Paris Nanterre, EconomiX.
- Joëts, Marc & Mignon, Valérie & Razafindrabe, Tovonony, 2017.
"Does the volatility of commodity prices reflect macroeconomic uncertainty?,"
Energy Economics, Elsevier, vol. 68(C), pages 313-326.
- Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2015. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Working Papers hal-04141423, HAL.
- Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2017. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Post-Print halshs-01683788, HAL.
- Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2016. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Post-Print hal-01411696, HAL.
- Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2016. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Post-Print hal-01386096, HAL.
- Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2016. "Does the volatility of commodity prices reflect macroeconomic uncertainty ?," Working papers 607, Banque de France.
- Tovonony Razafindrabe & Valérie Mignon & Marc Joëts, 2016. "Does the volatility of commodity prices reflects macroeconomic uncertainty?," Post-Print hal-01667080, HAL.
- Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2015. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," EconomiX Working Papers 2015-7, University of Paris Nanterre, EconomiX.
- Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2015. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Working Papers 2015-02, CEPII research center.
- Valérie Mignon & Tovonony Razafindrabe & Marc Joëts, 2016. "Does the volatility of commodity prices reflects macroeconomic uncertainty?," Post-Print hal-01667085, HAL.
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"Threshold convergence between the federal fund rate and South African equity returns around the colocation period,"
Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 13(01).
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- Andrew Phiri, 2017. "Threshold convergence between the Federal fund rate and South African equity returns around the colocation period," Working Papers 1710, Department of Economics, Nelson Mandela University, revised Aug 2017.
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"The regional pricing of risk: An empirical investigation of the MENA equity determinants,"
MPRA Paper
70271, University Library of Munich, Germany, revised 2015.
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- Guesmi, Khaled & Kablan, Sandrine, 2015.
"Financial integration and Japanese stock market,"
MPRA Paper
70206, University Library of Munich, Germany.
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- Sofiane Aboura & Julien Chevallier, 2017. "A cross-volatility index for hedging the country risk," Working Papers hal-01529742, HAL.
- Sofiane Aboura & Julien Chevallier, 2017. "Volatility returns with vengeance: Financial markets vs. commodities," Working Papers hal-01529747, HAL.
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"Testing for Extreme Volatility Transmission with Realized Volatility Measures,"
EconomiX Working Papers
2017-20, University of Paris Nanterre, EconomiX.
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- Maxime Leroux & Rachidi Kotchoni & Dalibor Stevanovic, 2017.
"Forecasting economic activity in data-rich environment,"
EconomiX Working Papers
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- Barendra Kumar Bhoi & Harendra Kumar Behera, 2017. "India’s Potential Output Revisited," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(1), pages 101-120, March.
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- Pavlos Stamatiou & Nikolaos Dritsakis, 2017. "Dynamic Modeling of Causal Relationship Between Energy Consumption, CO2 Emissions, and Economic Growth in Italy," Springer Proceedings in Business and Economics, in: Nicholas Tsounis & Aspasia Vlachvei (ed.), Advances in Applied Economic Research, chapter 0, pages 99-109, Springer.
- Sakiru Adebola Solarin, 2017. "Disaggregated military expenditure and the debt level in Nigeria," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(4), pages 1687-1705, July.
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"Time-Varying and Regional Dynamics in Swiss Housing Markets,"
Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 153(I), pages 37-72, March.
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"Persistence, Mean-Reversion and Non-linearities in Infant Mortality Rates,"
Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 131(1), pages 393-405, March.
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- Mulatu F. Zerihun & Juncal Cunado & Rangan Gupta, 2017.
"Are Health Care Expenditures and Personal Disposable Income Characterised by Asymmetric Behaviour? Evidence from US State-Level Data,"
Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 131(2), pages 527-542, March.
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- Muhammed A. Usman & Mekbib G. Haile, 2017. "Producer to retailer price transmission in cereal markets of Ethiopia," Food Security: The Science, Sociology and Economics of Food Production and Access to Food, Springer;The International Society for Plant Pathology, vol. 9(4), pages 815-829, August.
- Wali Ullah, 2017. "Term structure forecasting in affine framework with time-varying volatility," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(3), pages 453-483, August.
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"Political uncertainty and stock market volatility: new evidence from the 2014 Scottish Independence Referendum,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(2), pages 314-330, May.
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- Michal Bencik, 2017. "Do Fiscal Multipliers Vary with Different Character of Monetary-Fiscal Interactions?," Working and Discussion Papers WP 11/2017, Research Department, National Bank of Slovakia.
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"Normality Tests for Dependent Data: Large-Sample and Bootstrap Approaches,"
Birkbeck Working Papers in Economics and Finance
1706, Birkbeck, Department of Economics, Mathematics & Statistics.
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- Arpita Chatterjee & James Morley & Aarti Singh, 2017. "Full Information Estimation of Household Income Risk and Consumption Insurance," Discussion Papers 2017-07, School of Economics, The University of New South Wales.
- Arpita Chatterjee & James Morley & Aarti Singh, 2021.
"Estimating household consumption insurance,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 628-635, August.
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"Quel impact de la libéralisation du compte capital sur le développement financier en Tunisie ? Les enseignements d'un modèle ARDL,"
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"Oil currencies in the face of oil shocks: what can be learned from time-varying specifications?,"
Applied Economics, Taylor & Francis Journals, vol. 49(18), pages 1774-1793, April.
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- Jean-Pierre Allegret & Cécile Couharde & Valérie Mignon & Tovonony Razafindrabe, 2015. "Oil currencies in the face of oil shocks: What can be learned from time-varying specifications?," EconomiX Working Papers 2015-38, University of Paris Nanterre, EconomiX.
- Jean-Pierre Allegret & Cécile Couharde & Valérie Mignon & Tovonony Razafindrabe, 2015. "Oil currencies in the face of oil shocks: What can be learned from time-varying specifications?," Post-Print hal-01411812, HAL.
- Jean-Pierre Allegret & Cécile Couharde & Valérie Mignon & Tovonony Razafindrabe, 2015. "Oil currencies in the face of oil shocks: What can be learned from time-varying specifications?," Working Papers 2015-18, CEPII research center.
- Jean-Pierre Allegret & Cécile Couharde & Valérie Mignon & Tovonony Razafindrabe, 2015. "Oil currencies in the face of oil shocks: What can be learned from time-varying specifications?," Post-Print hal-01411817, HAL.
- Jean-Pierre Allegret & Cécile Couharde & Valérie Mignon & Tovonony Razafindrabe, 2017. "Oil currencies in the face of oil shocks: what can be learned from time-varying specifications?," Post-Print hal-01589267, HAL.
- Rangan Gupta, 2017.
"Forecasting inflation in an inflation targeting economy: structural versus nonstructural models,"
Applied Economics, Taylor & Francis Journals, vol. 49(24), pages 2316-2321, May.
- Rangan Gupta, 2015. "Forecasting Inflation in an Inflation Targeting Economy: Structural Versus Non-Structural Models," Working Papers 201547, University of Pretoria, Department of Economics.
- Jose Arreola Hernandez & Shawkat Hammoudeh & Duc Khuong Nguyen & Mazin A. M. Al Janabi & Juan Carlos Reboredo, 2017.
"Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach,"
Applied Economics, Taylor & Francis Journals, vol. 49(25), pages 2409-2427, May.
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- David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2017.
"Volatility spillover and multivariate volatility impulse response analysis of GFC news events,"
Applied Economics, Taylor & Francis Journals, vol. 49(33), pages 3246-3262, July.
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"Investments and uncertainty revisited: the case of the US economy,"
Applied Economics, Taylor & Francis Journals, vol. 49(45), pages 4521-4529, September.
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"Asymmetric volatility spillovers between the U.K. regional worker flows and vacancies,"
Applied Economics, Taylor & Francis Journals, vol. 49(50), pages 5117-5133, October.
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"Long-term unemployment and labour force participation: a decomposition of unemployment to test for the discouragement and added worker hypotheses,"
Applied Economics, Taylor & Francis Journals, vol. 49(60), pages 5971-5982, December.
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Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 289-353, March.
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"A fractionally integrated Wishart stochastic volatility model,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 42-59, March.
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"Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming,"
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"A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model,"
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"The impact of jumps and leverage in forecasting covolatility,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 638-650, October.
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"Forecasting football match results in national league competitions using score-driven time series models,"
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"Granger Causal Priority and Choice of Variables in Vector Autoregressions,"
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The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 486-498, July.
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"Exchange Rate Dynamics and Monetary Integration in the EAC Countries,"
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"Connecting VIX and Stock Index ETF,"
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"The Pass-Through of RIN Prices to Wholesale and Retail Fuels under the Renewable Fuel Standard,"
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"Extreme returns and intensity of trading,"
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"US Fiscal Policy and Asset Prices: The Role of Partisan Conflict,"
International Review of Finance, International Review of Finance Ltd., vol. 19(4), pages 851-862, December.
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