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Citations for "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks"

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  1. Emmanuel De Veirman & Ashley Dunstan, 2011. "Time-Varying Returns, Intertemporal Substitution and Cyclical Variation in Consumption," CAMA Working Papers 2011-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  2. Silvério, Renan & Szklo, Alexandre, 2012. "The effect of the financial sector on the evolution of oil prices: Analysis of the contribution of the futures market to the price discovery process in the WTI spot market," Energy Economics, Elsevier, vol. 34(6), pages 1799-1808.
  3. Piergiorgio Alessandri, 2004. "Aggregate Consumption and the Stock Market: Should We Worry about Non-linear Wealth Effects?," Birkbeck Working Papers in Economics and Finance 0410, Birkbeck, Department of Economics, Mathematics & Statistics.
  4. Hugo Oliveros & Carlos Huertas, "undated". "Desequilibrios Nominales y Reales del Tipo de Cambio en Colombia," Borradores de Economia 220, Banco de la Republica de Colombia.
  5. Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  6. Weber, Enzo, 2006. "Common and uncommon sources of growth in Asia Pacific," MPRA Paper 3715, University Library of Munich, Germany, revised Jun 2007.
  7. Winkelried Quezada, Diego, 2004. "Tendencias comunes y análisis de la política monetaria en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 11.
  8. Weber, Enzo, 2010. "Foreign and Domestic Growth Drivers in Eastern Europe," University of Regensburg Working Papers in Business, Economics and Management Information Systems 444, University of Regensburg, Department of Economics.
  9. Amigues, Jean-Pierre & Favard, Pascal & Gaudet, Gerard & Moreaux, Michel, 1998. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute Is Limited," Journal of Economic Theory, Elsevier, vol. 80(1), pages 153-170, May.
  10. Centoni, Marco & Cubadda, Gianluca & Hecq, Alain, 2003. "Common Shocks, Common Dynamics, and the International Business Cycle," Economics & Statistics Discussion Papers esdp03007, University of Molise, Dept. EGSeI.
  11. Winkelried, Diego & Gutiérrez, José, 2012. "Dinámica inflacionaria regional y el esquema de metas de inflación en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 24, pages 79-98.
  12. Helmut Luetkepohl, 2005. "Structural Vector Autoregressive Analysis for Cointegrated Variables," Economics Working Papers ECO2005/02, European University Institute.
  13. Alain W. HECQ, 2005. "Common Trends and Common Cycles in Latin America: A 2-step vs an Iterative Approach," Computing in Economics and Finance 2005 258, Society for Computational Economics.
  14. Cristina M. Scherrer, 2014. "Cross listing: price discovery dynamics and exchange rate effects," CREATES Research Papers 2014-53, Department of Economics and Business Economics, Aarhus University.
  15. Simon Price & Andrew Blake, 2004. "Consumers' expenditure, durables and dynamics: the UK consumption ECM redux," Money Macro and Finance (MMF) Research Group Conference 2003 75, Money Macro and Finance Research Group.
  16. Haluk Erlat & Guzin Erlat, 1998. "Permanent and transitory shocks on real and nominal exchange rates in Turkey during the post-1980 period," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 26(4), pages 379-396, December.
  17. Bingcheng Yan & Eric Zivot, 2007. "A Structural Analysis of Price Discovery Measures," Working Papers UWEC-2006-08-FC, University of Washington, Department of Economics, revised Apr 2007.
  18. N. Kundan Kishor, 2007. "Does Consumption Respond More to Housing Wealth Than to Financial Market Wealth? If So, Why?," The Journal of Real Estate Finance and Economics, Springer, vol. 35(4), pages 427-448, November.
  19. Gustavo Fruet Dias & Marcelo Fernandes & Cristina M. Scherrer, 2016. "Improving on daily measures of price discovery," CREATES Research Papers 2016-25, Department of Economics and Business Economics, Aarhus University.
  20. N. Kundan Kishor & Hardik A. Marfatia, 2017. "The Dynamic Relationship Between Housing Prices and the Macroeconomy: Evidence from OECD Countries," The Journal of Real Estate Finance and Economics, Springer, vol. 54(2), pages 237-268, February.
  21. Emilio Fernandez-Corugedo & Simon Price & Andrew Blake, 2003. "The dynamics of consumers' expenditure: the UK consumption ECM redux," Bank of England working papers 204, Bank of England.
  22. Barunik, Jozef & Krehlik, Tomas, 2016. "Measuring the frequency dynamics of financial and macroeconomic connectedness," FinMaP-Working Papers 54, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  23. Lee, Jiho, 2013. "Consumption, financial wealth and labor income in Korea," Japan and the World Economy, Elsevier, vol. 25, pages 59-67.
  24. Yan, Bingcheng & Zivot, Eric, 2010. "A structural analysis of price discovery measures," Journal of Financial Markets, Elsevier, vol. 13(1), pages 1-19, February.
  25. Bilgili, Faik, 2007. "The Permanent and Transitory Effects on Consumption and Income: Evidence from the Turkish Economy," MPRA Paper 24090, University Library of Munich, Germany, revised 20 Jul 2010.
  26. Chen, Jie, 2006. "Housing Wealth and Aggregate Consumption in Sweden," Working Paper Series 2006:16, Uppsala University, Department of Economics.
  27. K.S.E.M. Hubrich & P.J.G. Vlaar, 2000. "Germany and the euro area: differences in the transmission process of monetary policy," WO Research Memoranda (discontinued) 613, Netherlands Central Bank, Research Department.
  28. Antonio Ribba, 2011. "On some neglected implications of the Fisher effect," Empirical Economics, Springer, vol. 40(2), pages 451-470, April.
  29. Bollerslev, Tim & Osterrieder, Daniela & Sizova, Natalia & Tauchen, George, 2013. "Risk and return: Long-run relations, fractional cointegration, and return predictability," Journal of Financial Economics, Elsevier, vol. 108(2), pages 409-424.
  30. Kirstin Hubrich & Peter Vlaar, 2004. "Monetary transmission in Germany: Lessons for the Euro area," Empirical Economics, Springer, vol. 29(2), pages 383-414, 05.
  31. Juan R. Hernández, 2014. "Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis," Working Papers 2014-09, Banco de México.
  32. Helmut Lütkepohl & Anton Velinov, 2014. "Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity," SFB 649 Discussion Papers SFB649DP2014-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  33. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
  34. Adrian Pagan & M. Hashem Pesaran, 2007. "On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables," CESifo Working Paper Series 1924, CESifo Group Munich.
  35. Centoni, Marco & Cubadda, Gianluca, 2003. "Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series," Economics Letters, Elsevier, vol. 80(1), pages 45-51, July.
  36. Imke Brüggemann, 2003. "Measuring Monetary Policy in Germany: A Structural Vector Error Correction Approach," German Economic Review, Verein für Socialpolitik, vol. 4, pages 307-339, 08.
  37. Giancarlo Corsetti & Panagiotis T. Konstantinou, 2012. "What Drives US Foreign Borrowing? Evidence on the External Adjustment to Transitory and Permanent Shocks," American Economic Review, American Economic Association, vol. 102(2), pages 1062-1092, April.
  38. Fernandez-Corugedo, Emilio & Price, Simon & Blake, Andrew P., 2007. "The dynamics of aggregate UK consumers' non-durable expenditure," Economic Modelling, Elsevier, vol. 24(3), pages 453-469, May.
  39. Hoffmann, Mathias, 2006. "Balanced Growth and Empirical Proxies of the Consumption-Wealth Ratio," Technical Reports 2006,26, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  40. Chen, Wei-Peng & Chung, Huimin & Lien, Donald, 2016. "Price discovery in the S&P 500 index derivatives markets," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 438-452.
  41. Maximo Camacho, 2002. "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002 274, Society for Computational Economics.
  42. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2005. "Reexamining the consumption-wealth relationship: the role of model uncertainty," Staff Reports 202, Federal Reserve Bank of New York.
  43. Helder Sebastião, 2012. "The Relative Contemporaneous Information Response. A New Cointegration-Based Measure of Price Discovery," GEMF Working Papers 2012-04, GEMF, Faculty of Economics, University of Coimbra.
  44. Girish Bahal & Mehdi Raissi & Volodymyr Tulin, 2015. "Crowding-Out or Crowding-In? Public and Private Investment in India," IMF Working Papers 15/264, .
  45. Willie Lahari, 2010. "Permanent and Transitory Shocks among Pacific Island Economies - Prospects for a Pacific Islands Currency Union," Working Papers 1001, University of Otago, Department of Economics, revised Feb 2010.
  46. Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System," Discussion Papers of DIW Berlin 1139, DIW Berlin, German Institute for Economic Research.
  47. Jan J J Groen & Clare Lombardelli, 2004. "Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis," Bank of England working papers 223, Bank of England.
  48. Lütkepohl, Helmut, 2008. "Problems related to over-identifying restrictions for structural vector error correction models," Economics Letters, Elsevier, vol. 99(3), pages 512-515, June.
  49. Duarte, Rita & Marques, Carlos Robalo, 2009. "The dynamic effects of shocks to wages and prices in the United States and the euro area," Working Paper Series 1067, European Central Bank.
  50. Nitschka, Thomas, 2006. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Technical Reports 2006,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  51. Ralf Brüggemann, 2006. "Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions," SFB 649 Discussion Papers SFB649DP2006-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  52. Martin Lettau & Sydney C. Ludvigson, 2013. "Shocks and Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 293-354 National Bureau of Economic Research, Inc.
  53. Jeon, Yongil & Shields, Michael P., 2008. "The Impact of Relative Cohort Size on U.S. Fertility, 1913-2001," IZA Discussion Papers 3587, Institute for the Study of Labor (IZA).
  54. Holtemöller, Oliver, 2002. "Further VAR evidence for the effectiveness of a credit channel in Germany," SFB 373 Discussion Papers 2002,66, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  55. Martin Lettau & Sydney Ludvigson, 2003. "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," NBER Working Papers 9848, National Bureau of Economic Research, Inc.
  56. Lise Pichette & Dominique Tremblay, 2003. "Are Wealth Effects Important for Canada?," Staff Working Papers 03-30, Bank of Canada.
  57. Stan Hurn & Ralf Becker, 2007. "Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8," NCER Working Paper Series 8, National Centre for Econometric Research.
  58. Fisher, Lance A. & Otto, Glenn & Voss, Graham M., 2010. "The response of Australian consumption to housing wealth," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 284-299, March.
  59. Ben S.C. Fung & Marcel Kasumovich, 1997. "Monetary Shocks in the G-6 Countries: Is There a Puzzle?," Staff Working Papers 97-7, Bank of Canada.
  60. Hyeon-seung Huh & David Kim, 2013. "Do SVAR Models Justify Discarding the Technology Shock-Driven Real Business Cycle Hypothesis?," Working papers 2013rwp-59, Yonsei University, Yonsei Economics Research Institute.
  61. Giulio Cifarelli & Giovanna Paladino, 2007. "The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation," Working Papers - Economics wp2007_02.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  62. Fisher, Lance A. & Huh, Hyeon-seung & Otto, Glenn, 2012. "Structural cointegrated models of US consumption and wealth," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1111-1124.
  63. Winkelried, Diego & Gutierrez, José Enrique, 2012. "Regional inflation dynamics and inflation targeting in Peru," Working Papers 2012-018, Banco Central de Reserva del Perú.
  64. Marcio Garcia & Marcelo Medeiros & Francisco Santos, 2014. "Price Discovery in Brazilian FX Markets," Textos para discussão 622, Department of Economics PUC-Rio (Brazil).
  65. Pierre Lafourcade, 2008. "Are Asset Returns Predictable from the National Accounts?," DNB Working Papers 189, Netherlands Central Bank, Research Department.
  66. Jaramillo Franco, Miguel & Serván Lozano, Sergio, 2012. "Modeling exchange rate dynamics in Peru: A cointegration approach using the UIP and PPP," MPRA Paper 70772, University Library of Munich, Germany.
  67. Chen, Jie, 2006. "Re-evaluating the association between housing wealth and aggregate consumption: New evidence from Sweden," Journal of Housing Economics, Elsevier, vol. 15(4), pages 321-348, December.
  68. Cathy Yi-Hsuan Chen & Thomas C. Chiang & Wolfgang Karl Härdle, 2016. "Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries," SFB 649 Discussion Papers SFB649DP2016-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  69. Emmanuel De Veirman & Ashley Dunstan, 2008. "How do Housing Wealth, Financial Wealth and Consumption Interact? Evidence from New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/05, Reserve Bank of New Zealand.
  70. Pagan, A.R. & Pesaran, M. Hashem, 2008. "Econometric analysis of structural systems with permanent and transitory shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3376-3395, October.
  71. Lei Wu & Qingbin Meng & Kuan Xu, 2015. "'Slow-burn' spillover and 'fast and furious' contagion: a study of international stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 933-958, June.
  72. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
  73. Patterson, K. D., 2003. "Exploiting information in vintages of time-series data," International Journal of Forecasting, Elsevier, vol. 19(2), pages 177-197.
  74. Laih, Yih-Wenn & Lai, Hung-Neng & Li, Chun-An, 2015. "Analyst valuation and corporate value discovery," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 235-248.
  75. Chen, Shiu-Sheng & Chou, Yu-Hsi, 2015. "Revisiting the relationship between exchange rates and fundamentals," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 1-22.
  76. Frank Schmid, 2013. "Wealth Effects on Consumption in Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 149(I), pages 87-110, March.
  77. Yang, Zan & Wang, S.T., 2012. "Permanent and transitory shocks in owner-occupied housing: A common trend model of price dynamics," Journal of Housing Economics, Elsevier, vol. 21(4), pages 336-346.
  78. Cristina Mabel Scherrer & Marcelo Fernandes, 2016. "Disentangling the Effect of Private and Public Cash Flows on Firm Value," Working Papers 800, Queen Mary University of London, School of Economics and Finance.
  79. Jorge Herrera Hernández & Ramón A. Castillo Ponce, 2003. "Trends and cycles: How important are long- and short-run restictions? The case of Mexico," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 18(1), pages 133-155.
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