IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models"

by Terasvirta, T & Anderson, H M

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. M. J. Herrerias & Javier Ordoñez, 2011. "If the Unites States sneezes, does the world need paracetamol?," Working Papers 2011/03, Economics Department, Universitat Jaume I, Castellón (Spain).
  2. Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo, 2004. "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," SSE/EFI Working Paper Series in Economics and Finance 561, Stockholm School of Economics, revised 04 Nov 2004.
  3. Miguel Artiach, 2011. "Second-order moments of frequency asymmetric cycles," Working Papers. Serie AD 2011-27, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  4. Rodrigo F. Aranda L. & Patricio Jaramillo G., 2010. "Non-linear Dynamics in the Chilean Stock Market: Evidence on Traded Volumes and Returns," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(3), pages 67-94, December.
  5. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  6. Marina Tkalec, 2011. "The Dynamics of Deposit Euroization in European Post-transition Countries: Evidence from Threshold VAR," Working Papers 1102, The Institute of Economics, Zagreb.
  7. Costanza Torricelli & Marianna Brunetti, 2006. "Economic activity and Recession Probabilities: spread predictive power in Italy," Computing in Economics and Finance 2006 350, Society for Computational Economics.
  8. M. Portugal & I.A. de Morais, 2004. "STRUCTURAL CHANGE IN THE BRAZILIAN DEMAND FOR IMPORTS: A regime switching approach," Econometric Society 2004 Latin American Meetings 346, Econometric Society.
  9. Sandberg, Rickard, 2016. "Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined," Economic Modelling, Elsevier, vol. 52(PB), pages 699-713.
  10. Arango, Luis E. & Melo, Luis F., 2006. "Expansions and contractions in Brazil, Colombia and Mexico: A view through nonlinear models," Journal of Development Economics, Elsevier, vol. 80(2), pages 501-517, August.
  11. Marcelo Savino Portugal & Igor Alexandre Clemente de Morais, 2004. "Business Cycle In The Industrial Production Of Brazilian States," Econometric Society 2004 Latin American Meetings 23, Econometric Society.
  12. Craigwell, Roland & Mathouraparsad, Sebastien & Maurin, Alain, 2011. "Unemployment hysteresis in the English-speaking Caribbean: evidence from non-linear models," MPRA Paper 33440, University Library of Munich, Germany.
  13. Skalin, Joakim & Teräsvirta, Timo, 1996. "Another Look at Swedish Business Cycles, 1861-1988," SSE/EFI Working Paper Series in Economics and Finance 130, Stockholm School of Economics.
  14. Boriss Siliverstovs, . "The Bi-parameter Smooth Transition AutoRegressive model," Economics Working Papers 2000-16, Department of Economics and Business Economics, Aarhus University.
  15. Peat, Maurice & Stevenson, Max, 1996. "Asymmetry in the business cycle: Evidence from the Australian labour market," Journal of Economic Behavior & Organization, Elsevier, vol. 30(3), pages 353-368, September.
  16. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
  17. Ferrara, Laurent & Marcellino, Massimiliano & Mogliani, Matteo, 2015. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," International Journal of Forecasting, Elsevier, vol. 31(3), pages 664-679.
  18. Denise R. Osborn & Paul W. Simpson, 2000. "Forecasting UK Industrial Production Over the Business Cycle," Econometric Society World Congress 2000 Contributed Papers 1059, Econometric Society.
  19. María Clara Aristizábal Restrepo, . "Evaluación asimétrica de una red neuronal artificial:Aplicación al caso de la inflación en Colombia," Borradores de Economia 377, Banco de la Republica de Colombia.
  20. Rossen, Anja, 2014. "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers 157, Hamburg Institute of International Economics (HWWI).
  21. Stefan Reitz , Mark P. Taylor, 2012. "FX Intervention in the Yen-US Dollar Market: A Coordination Channel Perspective," Kiel Working Papers 1765, Kiel Institute for the World Economy.
  22. Leon, Hyginus & Sarno, Lucio & Valente, Giorgio, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," CEPR Discussion Papers 5527, C.E.P.R. Discussion Papers.
  23. Fakhri Hasanov, 2012. "The impact of the real exchange rate on non-oil exports. Is there an asymmetric adjustment towards the equilibrium?," Working Papers 2012-005, The George Washington University, Department of Economics, Research Program on Forecasting.
  24. D R Osborn & P J Perez & M Sensier, 2005. "Business Cycle Linkages for the G7 Countries:Does the US Lead the World?," Centre for Growth and Business Cycle Research Discussion Paper Series 50, Economics, The Univeristy of Manchester.
  25. repec:ipg:wpaper:2014-553 is not listed on IDEAS
  26. Guerreiro, David & Mignon, Valérie, 2013. "On price convergence in Eurozone," Economic Modelling, Elsevier, vol. 34(C), pages 42-51.
  27. Corinne Perraudin, 1995. "La dynamique asymétrique de l'emploi au cours du cycle," Économie et Prévision, Programme National Persée, vol. 120(4), pages 121-139.
  28. Moral-Carcedo, Julian & Vicens-Otero, Jose, 2005. "Modelling the non-linear response of Spanish electricity demand to temperature variations," Energy Economics, Elsevier, vol. 27(3), pages 477-494, May.
  29. Ana María Iregui & Costas Milas & Jesus Otero, 2002. "On the dynamics of lending and deposit interest rates in emerging markets:a non-linear approach," Economics and Finance Discussion Papers 02-29, Economics and Finance Section, School of Social Sciences, Brunel University.
  30. Luis Eduardo Arango & Luis Fernando Melo, 2001. "Expansions and Contractions in Some Latin American Countries: A View Throught Non- Linear Models," BORRADORES DE ECONOMIA 002691, BANCO DE LA REPÚBLICA.
  31. Mark P. Taylor & Stefan Reitz, 2013. "Exchange Rates in Target Zones - Evidence from the Danish Krone," Kiel Working Papers 1827, Kiel Institute for the World Economy.
  32. Virginie Coudert & Valérie Mignon, 2016. "Reassessing the empirical relationship between the oil price and the dollar," EconomiX Working Papers 2016-2, University of Paris West - Nanterre la Défense, EconomiX.
  33. Luis Eduardo Arango Thomas, 1998. "Some univariate time series properties of output," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 49, pages 7-46, Julio Dic.
  34. Pede, Valerien O. & Florax, Raymond J.G.M. & Holt, Matthew T., 2008. "Modeling Non-Linear Spatial Dynamics: A Family of Spatial STAR Models and an Application to U.S. Economic Growth," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6518, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  35. Ghosn, Sandra, 2014. "Le rôle de la psychologie dans les dynamiques de la production, des inégalités et de la redistribution," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14330 edited by Jacques, Jean-François, August.
  36. Pablo Mejia-Reyes & Denise Osborn & Marianne Sensier, 2010. "Modelling real exchange rate effects on output performance in Latin America," Applied Economics, Taylor & Francis Journals, vol. 42(19), pages 2491-2503.
  37. Valentina Corradi & Norman Swanson, 2003. "Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives," Departmental Working Papers 200316, Rutgers University, Department of Economics.
  38. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working papers 2012-12, University of Connecticut, Department of Economics.
  39. Carlo Altavilla & Matteo Ciccarelli, 2006. "Inflation Forecasts, Monetary Policy and Unemployment Dynamics: Evidence from the US and the Euro Area," Discussion Papers 7_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
  40. Richard Ashley, 2012. "On the Origins of Conditional Heteroscedasticity in Time Series," Korean Economic Review, Korean Economic Association, vol. 28, pages 5-25.
  41. Mehmet Balcilar & Kirsten Thompson & Rangan Gupta & Renee van Eyden, 2014. "Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach," Working Papers 201414, University of Pretoria, Department of Economics.
  42. Cai, Yuzhi, 2007. "A quantile approach to US GNP," Economic Modelling, Elsevier, vol. 24(6), pages 969-979, November.
  43. Franses, Ph.H.B.F. & Paap, R., 1998. "Modelling asymmetric persistence over the business cycle," Econometric Institute Research Papers EI 9852, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  44. Victor Pontines, 2013. "How Useful Is an Asian Currency Unit (ACU) Index for Surveillance in East Asia?," Governance Working Papers 23398, East Asian Bureau of Economic Research.
  45. Melike Bildirici & Özgür Ömer Ersin, 2014. "Nonlinearity, Volatility and Fractional Integration in Daily Oil Prices: Smooth Transition Autoregressive ST-FI(AP)GARCH Models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 108-135, October.
  46. Huang, Alex YiHou & Hu, Wen-Cheng, 2012. "Regime switching dynamics in credit default swaps: Evidence from smooth transition autoregressive model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1497-1508.
  47. Arouri, Mohamed & Hammoudeh, Shawkat & Jawadi, Fredj & Nguyen, Duc Khuong, 2014. "Financial linkages between US sector credit default swaps markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 223-243.
  48. Derek Stimel, 2010. "Choice of Aggregate Demand Proxy and its Affect on Phillips Curve Nonlinearity: U.S. Evidence," Economics Bulletin, AccessEcon, vol. 30(1), pages 543-557.
  49. Clements, Michael P & Krolzig, Hans-Martin, 2003. "Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 196-211, January.
  50. Michael G. Arghyrou & Maria Dolores Gadea, 2008. "The single monetary policy and domestic macro-fundamentals: Evidence from Spain," Documentos de Trabajo dt2008-05, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
  51. Derek Stimel, 2009. "An examination of U.S. Phillips curve nonlinearity and its relationship to the business cycle," Economics Bulletin, AccessEcon, vol. 29(2), pages 736-748.
  52. Dayton M. Lambert & Wan Xu & Raymond J. G. M. Florax, 2014. "Partial Adjustment Analysis of Income and Jobs, and Growth Regimes in the Appalachian Region with Smooth Transition Spatial Process Models," International Regional Science Review, , vol. 37(3), pages 328-364, July.
  53. Hyeong Ho Moon & Tae-Hwan Kim & Seongho Nah, 2012. "On measuring the nonlinear effect of interest rates on inflation and output," Working papers 2013rwp-53, Yonsei University, Yonsei Economics Research Institute.
  54. Dueker, Michael J. & Sola, Martin & Spagnolo, Fabio, 2007. "Contemporaneous threshold autoregressive models: Estimation, testing and forecasting," Journal of Econometrics, Elsevier, vol. 141(2), pages 517-547, December.
  55. Milas Costas & Legrenzi Gabriella, 2006. "Non-linear Real Exchange Rate Effects in the UK Labour Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(1), pages 1-34, March.
  56. Mohamed Boutahar & Imene Mootamri & Anne Peguin-Feissolle, 2008. "A fractionally integrated exponential STAR model applied to the US real effective exchange rate," Working Papers halshs-00340831, HAL.
  57. Kaufmann, Sylvia, 2015. "K-state switching models with time-varying transition distributions—Does loan growth signal stronger effects of variables on inflation?," Journal of Econometrics, Elsevier, vol. 187(1), pages 82-94.
  58. Christian Pierdzioch & Stefan Reitz & Jan-Christoph Ruelke, 2014. "Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market," Kiel Working Papers 1947, Kiel Institute for the World Economy.
  59. Donald W. K. Andrews & Xu Cheng, 2011. "Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure," Cowles Foundation Discussion Papers 1824R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2012.
  60. Kumawat, Lokendra, 2010. "Effect of Rainfall on Seasonals in Indian Manufacturing Production: Evidence from Sectoral Data," MPRA Paper 25300, University Library of Munich, Germany.
  61. Milas, C., 2003. "Non-linear multivariate adjustment of the UK real exchange rate," Working Papers 03/08, Department of Economics, City University London.
  62. van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F., 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Research Papers EI 2000-23/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  63. Di Caro, Paolo, 2014. "Testing and explaining economic resilience with an application to Italian regions," MPRA Paper 60298, University Library of Munich, Germany.
  64. Bank for International Settlements, 2008. "Transmission mechanisms for monetary policy in emerging market economies," BIS Papers, Bank for International Settlements, number 35, June.
  65. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
  66. Nektarios Aslanidis, 2004. "Income inequality and growth: A regime-switching approach," Working Papers 0406, University of Crete, Department of Economics.
  67. Pontines, Victor & Siregar, Reza Y., 2010. "Exchange Rate Asymmetry and Flexible Exchange Rates under Inflation Targeting Regimes: Evidence from Four East and Southeast Asian Countries," MPRA Paper 25260, University Library of Munich, Germany.
  68. Ahmad Baharumshah & Venus Liew, 2006. "Forecasting Performance of Exponential Smooth Transition Autoregressive Exchange Rate Models," Open Economies Review, Springer, vol. 17(2), pages 235-251, April.
  69. Franses, Ph.H.B.F. & van Dijk, D.J.C., 2001. "The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production," Econometric Institute Research Papers EI 2001-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  70. Guochen Pan & Jingyan Guo & Qiaoling Jing, 2016. "The Relationship between Insurance Industry and Banking Sector in China: Asymmetric Granger Causality Test," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 114-127, June.
  71. Juan Carlos Cuestas & Estefanía Mourelle, 2009. "Inflation persistence and asymmetries: evidence for African countries," Working Papers 2009/2, Nottingham Trent University, Nottingham Business School, Economics Division.
  72. V. Coudert & C. Couharde & V. Mignon, 2013. "Pegging emerging currencies in the face of dollar swings," Applied Economics, Taylor & Francis Journals, vol. 45(36), pages 5076-5085, December.
  73. Jean-Pierre Allegret & Hélène Raymond & Houda Rharrabti, 2014. "The impact of the global and eurozone crises on European banks stocks Some evidence of shift contagion," EconomiX Working Papers 2014-24, University of Paris West - Nanterre la Défense, EconomiX.
  74. Galbraith, John W. & van Norden, Simon, 2011. "Kernel-based calibration diagnostics for recession and inflation probability forecasts," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1041-1057, October.
  75. Jui-Chuan (Della) Chang & Dennis W. Jansen, 2005. "The Effect of Monetary Policy on Bank Lending and Aggregate Output: Asymmetries from Nonlinearities in the Lending Channel," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 129-153, May.
  76. Woodward, George & Brooks, Robert, 2009. "Do realized betas exhibit up/down market tendencies?," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 511-519, June.
  77. Emilio Zanetti Chini, 2013. "Generalizing smooth transition autoregressions," CEIS Research Paper 294, Tor Vergata University, CEIS, revised 25 Sep 2014.
  78. Anderson, Heather M. & Ramsey, James B., 2002. "U.S. and Canadian industrial production indices as coupled oscillators," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 33-67, January.
  79. Stefan Reitz & M.P Taylor, 2006. "The Coordination Channel of Foreign Exchange Intervention," Computing in Economics and Finance 2006 16, Society for Computational Economics.
  80. Stefan Reitz & Frank Westerhoff, 2007. "Commodity price cycles and heterogeneous speculators: a STAR–GARCH model," Empirical Economics, Springer, vol. 33(2), pages 231-244, September.
  81. Kulaksizoglu, Tamer & Kulaksizoglu, Sebnem, 2009. "The U.S. Excess Money Growth and Inflation Relation in the Long-Run: A Nonlinear Analysis," MPRA Paper 23780, University Library of Munich, Germany.
  82. Stefan Reitz & Jan C. Rülke & Mark P. Taylor, 2011. "On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates," The Economic Record, The Economic Society of Australia, vol. 87(278), pages 465-479, 09.
  83. Reitz, Stefan & Slopek, Ulf Dieter, 2008. "Nonlinear oil price dynamics: a tale of heterogeneous speculators?," Discussion Paper Series 1: Economic Studies 2008,10, Deutsche Bundesbank, Research Centre.
  84. Man-Suk Oh & Dong Wan Shin, 2002. "Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(5), pages 771-789.
  85. Mohamed El Hedi Arouri & F. Jawadi & Duc Khuong Nguyen, 2010. "Synchronization and nonlinear interdependence of short-term interest rates:," Working Papers hal-00507820, HAL.
  86. Sylvia Kaufmann, 2014. "K-state switching models with time-varying transition distributions – Does credit growth signal stronger effects of variables on inflation?," Working Papers 14.04, Swiss National Bank, Study Center Gerzensee.
  87. Simon M. Potter, 1999. "Nonlinear time series modelling: an introduction," Staff Reports 87, Federal Reserve Bank of New York.
  88. Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2016. "Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach," Working Papers 201647, University of Pretoria, Department of Economics.
  89. Mahua Barari & Nityananda Sarkar & Srikanta Kundu & Kushal Banik Chowdhury, 2014. "Forecasting House Prices in the United States with Multiple Structural Breaks," International Econometric Review (IER), Econometric Research Association, vol. 6(1), pages 1-23, April.
  90. M Sensier & D R Osborn & N Öcal, 2002. "Asymmetric Interest Rate Effects for the UK Real Economy," Centre for Growth and Business Cycle Research Discussion Paper Series 10, Economics, The Univeristy of Manchester.
  91. Terence Mills & Kerry Patterson, 2013. "Carmichael's Arctan Trend: Precursor of Smooth Transition Functions," Economics & Management Discussion Papers em-dp2013-06, Henley Business School, Reading University.
  92. Ubilava, David, 2016. "The Role of El Niño Southern Oscillation in Commodity Price Movement and Predictability," Working Papers 2016-10, University of Sydney, School of Economics.
  93. Mohamed El Hedi Arouri & Fredj Jawadi & Khuong Nguyen Duc, 2010. "Modeling nonlinear and heterogeneous dynamic linkages in international monetary markets," Working Papers 14, Development and Policies Research Center (DEPOCEN), Vietnam.
  94. Hasanov, Mübariz & Araç, Aysen & Telatar, Funda, 2010. "Nonlinearity and structural stability in the Phillips curve: Evidence from Turkey," Economic Modelling, Elsevier, vol. 27(5), pages 1103-1115, September.
  95. Ubilava, David, 2014. "International Wheat Price Responses to ENSO Shocks: Modelling Transmissions Using Smooth Transitions," Working Papers 2014-06, University of Sydney, School of Economics.
  96. Aslanidis, Nektarios & Xepapadeas, Anastasios, 2006. "Smooth transition pollution-income paths," Ecological Economics, Elsevier, vol. 57(2), pages 182-189, May.
  97. Oscar Jorda, 1998. "Decision Rules for Selecting between Exponential and Logistic STAR," Working Papers 611, University of California, Davis, Department of Economics.
  98. Laurent Ferrara & Dominique Guegan, 2006. "Real-time detection of the business cycle using SETAR models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185372, HAL.
  99. Sarantis, Nicholas, 2001. "Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence," International Journal of Forecasting, Elsevier, vol. 17(3), pages 459-482.
  100. Sei-Wan Kim & Radha Bhattacharya, 2009. "Regional Housing Prices in the USA: An Empirical Investigation of Nonlinearity," The Journal of Real Estate Finance and Economics, Springer, vol. 38(4), pages 443-460, May.
  101. Kisswani, Khalid/ M. & Nusair, Salah/ A., 2011. "Non-linear convergence in Asian interest rates and inflation rates," MPRA Paper 34179, University Library of Munich, Germany.
  102. Ubilava, David, 2013. "El Niño Southern Oscillation and Primary Agricultural Commodity Prices: Causal Inferences from Smooth Transition Models," 2013 Conference (57th), February 5-8, 2013, Sydney, Australia 152202, Australian Agricultural and Resource Economics Society.
  103. repec:kap:iaecre:v:11:y:2005:i:2:p:135-147 is not listed on IDEAS
  104. Reitz, Stefan & Westerhoff, Frank, 2003. "Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists," CFS Working Paper Series 2003/10, Center for Financial Studies (CFS).
  105. Rocha, Jordano Vieira & Pereira, Pedro L. Valls, 2015. "Forecast comparison with nonlinear methods for Brazilian industrial production," Textos para discussão 397, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  106. repec:ebl:ecbull:v:6:y:2008:i:26:p:1-18 is not listed on IDEAS
  107. Hansen,B.E., 1999. "Testing for linearity," Working papers 7, Wisconsin Madison - Social Systems.
  108. Jennifer Castle & David Hendry, 2007. "Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation," Economics Series Working Papers 309, University of Oxford, Department of Economics.
  109. Hsu, Kuang-Chung & Chiang, Hui-Chu, 2011. "Nonlinear effects of monetary policy on stock returns in a smooth transition autoregressive model," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 339-349.
  110. Lekkos, Ilias & Milas, Costas, 2004. "Time-varying excess returns on UK government bonds: A non-linear approach," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 45-62, January.
  111. Rodrigo Aranda & Patricio Jaramillo, 2008. "Nonlinear Dynamic in the Chilean Stock Market: Evidence from Returns and Trading Volume," Working Papers Central Bank of Chile 463, Central Bank of Chile.
  112. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
  113. Allan D. Brunner, 1997. "On The Dynamic Properties Of Asymmetric Models Of Real GNP," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 321-352, May.
  114. Beate Schirwitz, 2013. "Business Fluctuations, Job Flows and Trade Unions - Dynamics in the Economy," ifo Beiträge zur Wirtschaftsforschung, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 47, May.
  115. Nektarios Aslanidis & Luke Hartigan, 2016. "Is the Assumption of Linearity in Factor Models too Strong in Practice?," Discussion Papers 2016-03, School of Economics, The University of New South Wales.
  116. Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," SSE/EFI Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005.
  117. repec:ipg:wpaper:2014-468 is not listed on IDEAS
  118. Sigl-Grüb, C. & Schiereck, D., 2010. "Speculation and Nonlinear Price Dynamics in Commodity Futures Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 56603, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  119. Gabriel Rodríguez, 2010. "Application of Three Non-Linear Econometric Approaches to Identify Business Cycles in Peru," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,Centre for International Research on Economic Tendency Surveys, vol. 2010(2), pages 1-25.
  120. Kisswani, Khalid /M. & Nusair, Salah /A., 2012. "Non-linearities in the dynamics of oil prices," MPRA Paper 36586, University Library of Munich, Germany.
  121. Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2015. "Revisiting non-linearities in business cycles around the world," MPRA Paper 65668, University Library of Munich, Germany.
  122. Chen, Yi-Ting & Kuan, Chung-Ming, 2002. "The pseudo-true score encompassing test for non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 106(2), pages 271-295, February.
  123. Houda Ben Hadj Boubaker, 2011. "The Forecasting Performance of Seasonal and Nonlinear Models," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 1(1), pages 26-39, March.
  124. Cabrales, Antonio & Hoshi, Takeo, 1996. "Heterogeneous beliefs, wealth accumulation, and asset price dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1073-1100.
  125. João Paulo Martin Faleiros & Denisard Cnéio de Oliveira Alves, 2006. "Não Linearidade Nos Ciclos De Negócios: Modelo Auto-Regressivo “Smooth Transition” Para O Índice Geral De Produção Industrial Brasileiro E Bens De Capital," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 10, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  126. Aslanidis, Nektarios & Xepapadeas, Anastasios, 2008. "Regime switching and the shape of the emission-income relationship," Economic Modelling, Elsevier, vol. 25(4), pages 731-739, July.
  127. repec:kap:iaecre:v:13:y:2007:i:3:p:334-346 is not listed on IDEAS
  128. Dick van Dijk & Dennis Fok & Philip Hans Franses, 2005. "A multi-level panel STAR model for US manufacturing sectors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 811-827.
  129. Corradi, Valentina & Swanson, Norman R., 2002. "A consistent test for nonlinear out of sample predictive accuracy," Journal of Econometrics, Elsevier, vol. 110(2), pages 353-381, October.
  130. Mills, Terence C., 1995. "Business cycle asymmetries and non-linearities in U.K. macroeconomic time series," Ricerche Economiche, Elsevier, vol. 49(2), pages 97-124, June.
  131. Tse, Yiuman, 2001. "Index arbitrage with heterogeneous investors: A smooth transition error correction analysis," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1829-1855, October.
  132. Milena Hoyos & Mario Galindo, 2011. "Comparación de los modelos SETAR y STAR para el índice de empleo industrial colombiano," DOCUMENTOS DE TRABAJO - ESCUELA DE ECONOMÍA 008347, UN - RCE - CID.
  133. JAWADI Fredj, 2008. "Does nonlinear econometrics confirm the macroeconomic models of consumption?," Economics Bulletin, AccessEcon, vol. 5(17), pages 1-11.
  134. Gilles DUFRENOT & Val=E9rie MIGNON & Anne PEGUIN-FEISSOLE, 2003. "Business cycles asymmetry and monetary policy: a further investigatio= n=20 using MRSTAR models," Macroeconomics 0309002, EconWPA.
  135. Murto, Risto, 1994. "Nonlinear dynamics of speculative attacks on the Finnish markka, 1987-1992," Research Discussion Papers 13/1994, Bank of Finland.
  136. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, November.
  137. Frédérique Bec & Othman Bouabdallah & Laurent Ferrara, 2011. "The European Way Out of Recessions," THEMA Working Papers 2011-23, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  138. Antonia López-Villavicencio & Valérie Mignon, 2013. "Nonlinearity of the inflation-output trade-off and time-varying price rigidity," Working Papers 2013-02, CEPII research center.
  139. Lee, Oesook & Shin, Dong Wan, 2001. "A note on stationarity of the MTAR process on the boundary of the stationarity region," Economics Letters, Elsevier, vol. 73(3), pages 263-268, December.
  140. Mohamed El Hedi Arouri & Duc Khuong Nguyen & Fredj Jawadi, 2010. "What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis?," Working Papers hal-00507826, HAL.
  141. Clements, M.P. & Krolzig, H-M., 1999. "Business Cycle Asymmetries: Characterisationand Testing Based on Markov-Switching Autoregression," The Warwick Economics Research Paper Series (TWERPS) 522, University of Warwick, Department of Economics.
  142. David Ubilava, 2012. "El Niño, La Niña, and world coffee price dynamics," Agricultural Economics, International Association of Agricultural Economists, vol. 43(1), pages 17-26, 01.
  143. Saglio, Sophie & López-Villavicencio, Antonia, 2012. "Introducing price-setting behaviour in the Phillips Curve: the role of nonlinearities," MPRA Paper 46646, University Library of Munich, Germany.
  144. Chen, Show-Lin & Wu, Jyh-Lin, 2000. "A Re-Examination of Purchasing Power Parity in Japan and Taiwan," Journal of Macroeconomics, Elsevier, vol. 22(2), pages 271-284, April.
  145. Jingwen Fan & Michael G. Arghyrou, 2013. "Uk Fiscal Policy Sustainability, 1955–2006," Manchester School, University of Manchester, vol. 81(6), pages 961-991, December.
  146. Eitrheim, Oyvind & Terasvirta, Timo, 1996. "Testing the adequacy of smooth transition autoregressive models," Journal of Econometrics, Elsevier, vol. 74(1), pages 59-75, September.
  147. George Athanasopoulos & Heather M. Anderson & Farshid Vahid, 2007. "Nonlinear autoregressive leading indicator models of output in G-7 countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 63-87.
  148. Luis Arango & Andres Gonzalez, 2001. "Some evidence of smooth transition nonlinearity in Colombian inflation," Applied Economics, Taylor & Francis Journals, vol. 33(2), pages 155-162.
  149. Omay, Tolga & Hasanov, Mubariz & Ucar, Nuri, 2012. "Energy consumption and economic growth: evidence from nonlinear panel cointegration and causality tests," MPRA Paper 37653, University Library of Munich, Germany.
  150. Holmes, Mark J. & Maghrebi, Nabil, 2004. "Asian real interest rates, nonlinear dynamics, and international parity," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 387-405.
  151. Dominique Guegan & Laurent Ferrara, 2005. "Detection of the Industrial Business Cycle using SETAR models," Post-Print halshs-00201309, HAL.
  152. Max Stevenson & Maurice Peat, 2000. "Forecasting Australian Unemployment Rates," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, vol. 4(1), pages 41-55, March.
  153. Arouri, Mohamed El Hédi & Jawadi, Fredj & Nguyen, Duc Khuong, 2012. "Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS," Economic Modelling, Elsevier, vol. 29(3), pages 884-892.
  154. Goodwin, Barry K. & Holt, Matthew T. & Prestemon, Jeffrey P., 2012. "Nonlinear exchange rate pass-through in timber products: the case of oriented strand board in Canada and the United States," MPRA Paper 40834, University Library of Munich, Germany.
  155. Osama D. Sweidan, 2008. "Does Policy Interest Rate Have Asymmetric Adjustment: Case Of Jordan," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(2), pages 151-158.
  156. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis.
  157. repec:ntu:ntugeo:vol2-iss1-14-042 is not listed on IDEAS
  158. Param Silvapulle & Titi Kanti Lestari & Jae Kim, 2004. "Nonlinear Modelling of Purchasing Power Parity in Indonesia," Econometric Society 2004 Australasian Meetings 316, Econometric Society.
  159. Georgellis, Yannis & Gregoriou, Andros & Tsitsianis, Nikolaos, 2009. "Reference-dependent preferences in the public and private sectors: A nonlinear perspective," MPRA Paper 17021, University Library of Munich, Germany.
  160. Chen, XiaoHua & Maringer, Dietmar, 2011. "Detecting time-variation in corporate bond index returns: A smooth transition regression model," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 95-103, January.
  161. Annette Detken, 2002. "Nonlinearities in Swiss macroeconomic data," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(I), pages 39-60, March.
  162. Ubilava, David & Holt, Matthew T., 2009. "Nonlinearities in the World Vegetable Oil Price System: El Nino Effects," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49360, Agricultural and Applied Economics Association.
  163. Xu, Wan & Lambert, Dayton M., 2011. "Business Establishment Growth in the Appalachian Region, 2000-2007: An Application of Smooth Transition Spatial Process Models," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 43(03), August.
  164. Uctum, Remzi, 2007. "Économétrie des modèles à changement de régimes : un essai de synthèse," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 447-482, décembre.
  165. McMillan, David G., 2004. "Nonlinear predictability of short-run deviations in UK stock market returns," Economics Letters, Elsevier, vol. 84(2), pages 149-154, August.
  166. Adom, Philip Kofi, 2015. "Asymmetric impacts of the determinants of energy intensity in Nigeria," Energy Economics, Elsevier, vol. 49(C), pages 570-580.
  167. Robert Sollis, 2004. "Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity," Money Macro and Finance (MMF) Research Group Conference 2003 91, Money Macro and Finance Research Group.
  168. Liew Khim Sen & Ahmad Zubaidi Baharumshah, 2003. "How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models," GE, Growth, Math methods 0307004, EconWPA.
  169. Bel, K. & Paap, R., 2013. "Modeling the impact of forecast-based regime switches on macroeconomic time series," Econometric Institute Research Papers EI 2013-25, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  170. Nadir Ocal, 2002. "Asymmetric effects of military expenditure between Turkey and Greece," Defence and Peace Economics, Taylor & Francis Journals, vol. 13(5), pages 405-416.
  171. Heather M. Anderson, 2002. "Choosing Lag Lengths in Nonlinear Dynamic Models," Monash Econometrics and Business Statistics Working Papers 21/02, Monash University, Department of Econometrics and Business Statistics.
  172. Pami Dua & Lokendra Kumawat, 2007. "Modelling Seasonal Dynamics in Indian Industrial Production--An Extention of TV-STAR Model," Working papers 162, Centre for Development Economics, Delhi School of Economics.
  173. Omay, Tolga & Takay Araz, Bahar & Ilalan, Deniz, 2011. "The effects of terrorist activities on foreign direct investment: nonlinear Evidence," MPRA Paper 31015, University Library of Munich, Germany.
  174. Nektarios Aslanidis, 2006. "Business Cycle Regimes in CEECs Production: a Threshold SUR Approach," Bank of Estonia Working Papers 2006-01, Bank of Estonia, revised 10 Oct 2006.
  175. Dijk, Dick van & Franses, Philip Hans, 1999. "Modeling Multiple Regimes in the Business Cycle," Macroeconomic Dynamics, Cambridge University Press, vol. 3(03), pages 311-340, September.
  176. Altavilla, Carlo & Ciccarelli, Matteo, 2010. "Evaluating the effect of monetary policy on unemployment with alternative inflation forecasts," Economic Modelling, Elsevier, vol. 27(1), pages 237-253, January.
  177. Pede, Valerien O. & Valera, Harold Glenn A. & Alam, Mohammad Jahangir & McKenzie, Andrew M., 2013. "Nonlinearities in Regional Rice Prices in the Philippines: Evidence from a Smooth Transition Autoregressive (STAR) Approach," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150246, Agricultural and Applied Economics Association.
  178. Chen, Show-Lin & Wu, Jyh-Lin, 2005. "Long-run money demand revisited: evidence from a non-linear approach," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 19-37, February.
  179. Balcilar, Mehmet & Gupta, Rangan & Shah, Zahra B., 2011. "An in-sample and out-of-sample empirical investigation of the nonlinearity in house prices of South Africa," Economic Modelling, Elsevier, vol. 28(3), pages 891-899, May.
  180. Reitz, Stefan & Taylor, Mark P., 2008. "The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis," European Economic Review, Elsevier, vol. 52(1), pages 55-76, January.
  181. Gourieroux, Christian & Jasiak, Joann, 2006. "Multivariate Jacobi process with application to smooth transitions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 475-505.
  182. Chan, Felix & Theoharakis, Billy, 2011. "Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1385-1396.
  183. Franses, Philip Hans & Paap, Richard & Vroomen, Bjorn, 2004. "Forecasting unemployment using an autoregression with censored latent effects parameters," International Journal of Forecasting, Elsevier, vol. 20(2), pages 255-271.
  184. Mubariz Hasanov & Tolga Omay, 2007. "Are the Transition Stock Markets Efficient? Evidence from Non-Linear Unit Root Tests," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 7(2), pages 1-12.
  185. Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2015. "Heteroeneous forecasters and nonlinear expectation formation in US stock market," FinMaP-Working Papers 29, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  186. McMillan, David G., 2007. "Non-linear forecasting of stock returns: Does volume help?," International Journal of Forecasting, Elsevier, vol. 23(1), pages 115-126.
  187. Escribano, Álvaro & Jordá, Óscar, 1994. "Testing nonlinearity: decision rules for selecting between logistic and exponential star models," DES - Working Papers. Statistics and Econometrics. WS 3957, Universidad Carlos III de Madrid. Departamento de Estadística.
  188. Mehtap Kesriyeli & Denise R. Osborn & Marianne Sensier, 2004. "Nonlinearity and Structural Change in Interest Rate Reaction Functions for the US, UK and Germany," Working Papers 0414, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  189. Van Dijk, Dick & Franses, Philip Hans & Lucas, Andre, 1999. "Testing for Smooth Transition Nonlinearity in the Presence of Outliers," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 217-35, April.
  190. Ericsson, Neil R & Hendry, David F & Prestwich, Kevin M, 1998. " The Demand for Broad Money in the United Kingdom, 1878-1993," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(1), pages 289-324, March.
  191. Moolman, Elna, 2004. "A Markov switching regime model of the South African business cycle," Economic Modelling, Elsevier, vol. 21(4), pages 631-646, July.
  192. José Cancelo & Estefanía Mourelle, 2005. "Modeling Cyclical Asymmetries in GDP: International Evidence," Atlantic Economic Journal, International Atlantic Economic Society, vol. 33(3), pages 297-309, September.
  193. Jordá, Óscar & Escribano, Álvaro, 1997. "Improved testing and specification of smooth transition regression models," DES - Working Papers. Statistics and Econometrics. WS 6218, Universidad Carlos III de Madrid. Departamento de Estadística.
  194. Apergis, Nicholas, 2015. "Financial portfolio choice: Do business cycle regimes matter? Panel evidence from international household surveys," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 14-27.
  195. Carlo Altavilla & Luigi Landolfo, 2005. "Do central banks act asymmetrically? Empirical evidence from the ECB and the Bank of England," Applied Economics, Taylor & Francis Journals, vol. 37(5), pages 507-519.
  196. George Woodward & Heather Anderson, 2003. "Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter," Monash Econometrics and Business Statistics Working Papers 9/03, Monash University, Department of Econometrics and Business Statistics.
  197. Rahman, Sajjadur & Serletis, Apostolos, 2010. "The asymmetric effects of oil price and monetary policy shocks: A nonlinear VAR approach," Energy Economics, Elsevier, vol. 32(6), pages 1460-1466, November.
  198. Phiri, Andrew, 2014. "Re-evaluating Okun's law in South Africa: A nonlinear co-integration approach," MPRA Paper 57398, University Library of Munich, Germany.
  199. Ubilava, David & Helmers, Claes Gustav, 2011. "The ENSO Impact on Predicting World Cocoa Prices," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103528, Agricultural and Applied Economics Association.
  200. José Cancelo & Estefanía Mourelle, 2005. "Modeling Cyclical Asymmetries in European Imports," International Advances in Economic Research, International Atlantic Economic Society, vol. 11(2), pages 135-147, May.
  201. Nektarios Aslanidis, 2002. "Smooth Transition Regression Models in UK Stock Returns," Working Papers 0201, University of Crete, Department of Economics.
  202. Terence Mills, 2001. "Business cycle asymmetry and duration dependence: An international perspective," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(6), pages 713-724.
  203. Heather M. Anderson & Farshid Vahid, 2003. "Nonlinear Correlograms and Partial Autocorrelograms," Monash Econometrics and Business Statistics Working Papers 19/03, Monash University, Department of Econometrics and Business Statistics.
  204. Nektarios Aslanidis & Charlotte Christiansen, 2010. "Smooth Transition Patterns in the Realized Stock Bond Correlation," CREATES Research Papers 2010-15, Department of Economics and Business Economics, Aarhus University.
  205. Gregoriou, Andros & Kontonikas, Alexandros, 2009. "Modeling the behaviour of inflation deviations from the target," Economic Modelling, Elsevier, vol. 26(1), pages 90-95, January.
  206. Rodriguez Gabriel, 2007. "Application of Three Alternative Approaches to Identify Business Cycles in Peru," Working Papers 2007-007, Banco Central de Reserva del Perú.
  207. Nektarios Aslanidis & Susana Iranzo, 2009. "Environment and development: is there a Kuznets curve for CO2 emissions?," Applied Economics, Taylor & Francis Journals, vol. 41(6), pages 803-810.
  208. Michal Rubaszek & Pawel Skrzypczynski & Grzegorz Koloch, 2011. "Forecasting the Polish zloty with non-linear models," National Bank of Poland Working Papers 81, National Bank of Poland, Economic Institute.
  209. McMillan, David G., 2005. "Smooth-transition error-correction in exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 16(2), pages 217-232, August.
  210. Kim, Sei-Wan & Mollick, André V. & Nam, Kiseok, 2008. "Common nonlinearities in long-horizon stock returns: Evidence from the G-7 stock markets," Global Finance Journal, Elsevier, vol. 19(1), pages 19-31.
  211. Ma, Yong, 2014. "Monetary policy based on nonlinear quantity rule: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 34(C), pages 89-104.
  212. Omay, Tolga Omay & Hasanov, Mubariz, 2006. "Türkiye için reaksiyon fonksiyonunun doğrusal olmayan modelle tahmin edilmesi
    [A nonlinear estimation of monetary policy reaction function for Turkey]
    ," MPRA Paper 20154, University Library of Munich, Germany.
  213. Q. Farooq Akram & Øyvind Eitrheim & Lucio Sarno, 2005. "Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003," Working Paper 2005/2, Norges Bank.
  214. Dufrenot, Gilles & Mignon, Valerie & Peguin-Feissolle, Anne, 2004. "Business cycles asymmetry and monetary policy: a further investigation using MRSTAR models," Economic Modelling, Elsevier, vol. 21(1), pages 37-71, January.
  215. N Aslanidis & D R Osborn & M Sensier, 2003. "Explaining movements in UK stock prices: How important is the US market?," Centre for Growth and Business Cycle Research Discussion Paper Series 27, Economics, The Univeristy of Manchester.
  216. repec:ebl:ecbull:v:5:y:2008:i:17:p:1-11 is not listed on IDEAS
  217. Kapetanios, G., 1999. "Threshold Models for Trended Time Series," Cambridge Working Papers in Economics 9905, Faculty of Economics, University of Cambridge.
  218. Woodward, George & Marisetty, Vijaya B., 2005. "Introducing non-linear dynamics to the two-regime market model: Evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 559-581, September.
  219. repec:hal:journl:halshs-00185372 is not listed on IDEAS
  220. Gabe J. Bondt & Stefano Schiaffi, 2015. "Confidence Matters for Current Economic Growth: Empirical Evidence for the Euro Area and the United States," Social Science Quarterly, Southwestern Social Science Association, vol. 96(4), pages 1027-1040, December.
  221. Lumengo BONGA-BONGA, . "Modeling Stock Returns in the South African Stock Exchange: a Nonlinear Approach," EcoMod2010 259600034, EcoMod.
  222. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
  223. Mark J.Holmes, 2002. "Are there non linearities in US: Latin American real exchange behavior," Estudios de Economia, University of Chile, Department of Economics, vol. 29(2 Year 20), pages 177-190, December.
  224. Mei-Se Chien, 2013. "The Non-linear Ripple Effect of Housing Prices in Taiwan: A Smooth Transition Regressive Model," ERES eres2013_51, European Real Estate Society (ERES).
  225. Herrerias, M.J. & Ordóñez, J., 2014. "If the United States sneezes, does the world need “pain-killers”?," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 159-170.
  226. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun.
  227. José Cancelo, 2007. "Cyclical Asymmetries in Unemployment Rates: International Evidence," International Advances in Economic Research, International Atlantic Economic Society, vol. 13(3), pages 334-346, August.
  228. Saikkonen, Pentti & Choi, In, 2000. "Cointegrating smooth transition regressions with applications to the Asian currency crisis," SFB 373 Discussion Papers 2000,98, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  229. Ángel Guillén & Gabriel Rodríguez, 2013. "Trend-cycle decomposition for Peruvian GDP: Application of an alternative method," Documentos de Trabajo / Working Papers 2013-368, Departamento de Economía - Pontificia Universidad Católica del Perú.
  230. Mohamed Boutahar & Imene Mootamri & Anne Peguin-Feissolle, 2007. "An exponential FISTAR model applied to the US real effective exchange rate," Working Papers halshs-00353836, HAL.
  231. Balagtas, Joseph Valdes & Holt, Matthew T., 2006. "Unit Roots, TV-STARs, and the Commodity Terms of Trade: A Further Assessment of the Prebisch-Singer Hypothesis," 2006 Annual meeting, July 23-26, Long Beach, CA 21405, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  232. Byeongseon Seo, 2004. "Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models," Econometric Society 2004 Far Eastern Meetings 749, Econometric Society.
  233. Clements, Michael P. & Smith, Jeremy, 2001. "Evaluating forecasts from SETAR models of exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 133-148, February.
  234. Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2008. "Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space," MPRA Paper 16669, University Library of Munich, Germany.
  235. Khurshid Kiani, 2005. "Detecting Business Cycle Asymmetries Using Artificial Neural Networks and Time Series Models," Computational Economics, Society for Computational Economics, vol. 26(1), pages 65-89, August.
  236. D. Jones & Maurice Peat & Max Stevenson, 1996. "Does the Process of Spatial Aggregation of U.K. Unemplyment Rate Series Serve to Induce or Remove Evidence of Asymmetry in the Business Cycle," Working Paper Series 67, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  237. Nektarios Aslanidis, 2002. "Regime-switching behaviour in European," Working Papers 0202, University of Crete, Department of Economics.
  238. Fredj Jawadi, 2009. "Essay in dividend modelling and forecasting: does nonlinearity help?," Applied Financial Economics, Taylor & Francis Journals, vol. 19(16), pages 1329-1343.
  239. Norman R. Swanson & Lili Cai, 2011. "In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008," Departmental Working Papers 201102, Rutgers University, Department of Economics.
  240. CHEN, Cathy W.S. & WENG, Monica M.C. & WATANABE, Toshiaki, 2015. "Employing Bayesian Forecasting of Value-at-Risk to Determine an Appropriate Model for Risk Management," Discussion paper series HIAS-E-16, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
  241. Saki Bigio & Jorge Salas, 2006. "Non-Linear Effects of Monetary Policy and Real Exchange Rate Shocks in Partially Dollarized Economies: An Empirical Study for Peru," Working Papers 2006-008, Banco Central de Reserva del Perú.
  242. David Ubilava, 2012. "Modeling Nonlinearities in the U.S. Soybean‐to‐Corn Price Ratio: A Smooth Transition Autoregression Approach," Agribusiness, John Wiley & Sons, Ltd., vol. 28(1), pages 29-41, 01.
  243. Nektarios Aslanidis & Anastasios Xepapadeas, . "Regime Switching and the Shape of the," Working Papers 0206, University of Crete, Department of Economics, revised 31 Mar 2003.
  244. Brooks, Chris & Rew, Alistair G., 2002. "Testing for non-stationarity and cointegration allowing for the possibility of a structural break: an application to EuroSterling interest rates," Economic Modelling, Elsevier, vol. 19(1), pages 65-90, January.
  245. Rodriguez, Gabriel & Sloboda, Michael J., 2005. "Modeling nonlinearities and asymmetries in quarterly revenues of the US telecommunications industry," Structural Change and Economic Dynamics, Elsevier, vol. 16(1), pages 137-158, March.
  246. Lawrence Xaba & Ntebogang Moroke & Johnson Arkaah & Charlemagne Pooe, 2015. "A Comparative Study of Stock Price Forecasting using nonlinear models," Proceedings of International Academic Conferences 2704207, International Institute of Social and Economic Sciences.
  247. Victor Pontines & Reza Siregar, 2012. "Episodes of Large Exchange Rate Appreciations and Reserves Accumulations in Selected Asian Economies: Is Fear of Appreciation Justified?," CAMA Working Papers 2012-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  248. Gnegne, Yacouba & Jawadi, Fredj, 2013. "Boundedness and nonlinearities in public debt dynamics: A TAR assessment," Economic Modelling, Elsevier, vol. 34(C), pages 154-160.
  249. Ahmad, Yamin & Lo, Ming Chien & Mykhaylova, Olena, 2013. "Causes of nonlinearities in low-order models of the real exchange rate," Journal of International Economics, Elsevier, vol. 91(1), pages 128-141.
  250. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Documents de travail du Centre d'Economie de la Sorbonne 12023r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2013.
  251. Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000. "Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 39-73, May.
  252. Ajax R. B. Moreira & Dani Gamerman, 2015. "Bayesian Analysis of Econometric Time Series Models Using Hybrid Integration Rules," Discussion Papers 0105, Instituto de Pesquisa Econômica Aplicada - IPEA.
  253. Venetis, Ioannis A. & Paya, Ivan & Peel, David A., 2003. "Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach," International Review of Economics & Finance, Elsevier, vol. 12(2), pages 187-206.
  254. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  255. John Galbraith & Simon van Norden, 2008. "The Calibration of Probabilistic Economic Forecasts," CIRANO Working Papers 2008s-28, CIRANO.
  256. Menzie Chinn & Laurent Ferrara & Valérie Mignon, 2013. "Post-recession US employment through the lens of a non-linear Okun’s law," EconomiX Working Papers 2013-12, University of Paris West - Nanterre la Défense, EconomiX.
  257. Carlo Altavilla & Paul De Grauwe, 2010. "Non-linearities in the relation between the exchange rate and its fundamentals," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 1-21.
  258. Aslanidis, Nektarios & Hartigan, Luke, 2016. "Is the Assumption of Linearity in Factor Models too Strong in Practice?," Working Papers 2072/261531, Universitat Rovira i Virgili, Department of Economics.
  259. Georgellis, Yannis & Gregoriou, Andros & Tsitsianis, Nikolaos, 2008. "Adaptation towards reference values: A non-linear perspective," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 768-781, September.
  260. Nadir Ocal & Denise R. Osborn, 2000. "Business cycle non-linearities in UK consumption and production," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 27-43.
  261. Escribano, A. & Franses, Ph.H.B.F. & van Dijk, D.J.C., 1998. "Nonlinearities and outliers: robust specification of STAR models," Econometric Institute Research Papers EI 9832, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  262. Sarantis, Nicholas, 1999. "Modeling non-linearities in real effective exchange rates," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 27-45, January.
  263. Lin, Jeng-Bau & Liang, Chin-Chia & Yeh, Ming-Liang, 2011. "Examining nonlinear dynamics of exchange rates and forecasting performance based on the exchange rate parity of four Asian economies," Japan and the World Economy, Elsevier, vol. 23(2), pages 79-85, March.
  264. Hamori, Shigeyuki, 2000. "Volatility of real GDP: some evidence from the United States, the United Kingdom and Japan," Japan and the World Economy, Elsevier, vol. 12(2), pages 143-152, May.
  265. Luis Eduardo Arango & Fernando Arias & Luz Adriana Flórez, . "Trends, Fluctuations, and Determinants of Commodity Prices," Borradores de Economia 521, Banco de la Republica de Colombia.
  266. Baaziz, Yosra & Labidi, Moez & Lahiani, Amine, 2013. "Does the South African Reserve Bank follow a nonlinear interest rate reaction function?," Economic Modelling, Elsevier, vol. 35(C), pages 272-282.
  267. Rodriguez, Nestor & Eales, James S., 2015. "Structural Change via Threshold Effects: Estimating U.S. Meat Demand Using Smooth Transition Functions and the Effects of More Women in the Labor Force," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 206522, Agricultural and Applied Economics Association;Western Agricultural Economics Association.
  268. Ubilava, David & Helmers, C Gustav, 2012. "Forecasting ENSO with a smooth transition autoregressive model," MPRA Paper 36890, University Library of Munich, Germany.
  269. Khim-Sen Liew & Kian-Ping Lim & Chee-Keong Choong, 2003. "On The Forecastability Of Asean-5 Stock Markets Returns Using Time Series Models," Finance 0307012, EconWPA.
  270. Virginie Coudert & Valérie Mignon, 2011. "The “Forward Premium Puzzle” and the Sovereign Default Risk," Working Papers 2011-17, CEPII research center.
  271. Bradley, Michael D. & Jansen, Dennis W., 2004. "Forecasting with a nonlinear dynamic model of stock returns and industrial production," International Journal of Forecasting, Elsevier, vol. 20(2), pages 321-342.
  272. Bulent Guloglu & Saban Nazlioglu, 2013. "Impacts of Inflation on Agricultural Prices: Panel Smooth Transition Regression Analysis," Research Journal of Politics, Economics and Management, Sakarya University, Faculty of Economics and Administrative Sciences, vol. 1(1), pages 1-20, January.
  273. Domenico J. Marchetti & Giuseppe Parigi, 1998. "Energy Consumption, Survey Data and the Prediction of Industrial Production in Italy," Temi di discussione (Economic working papers) 342, Bank of Italy, Economic Research and International Relations Area.
  274. Virginie Coudert & Cécile Couharde & Valérie Mignon, 2010. "Exchange Rate Flexibility across Financial Crises," CEPN Working Papers hal-00845254, HAL.
  275. Adom, Philip Kofi & Bekoe, William, 2013. "Modelling electricity demand in Ghana revisited: The role of policy regime changes," Energy Policy, Elsevier, vol. 61(C), pages 42-50.
  276. Nachatchapong Kaewsompong & Songsak Sriboonchitta & Prasert Chaitip & Pathairat Pastpipatkul, 2012. "Econometric modeling of the relationship among macroeconomic variables of Thailand: Smooth transition autoregressive regression model," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 1(4), pages 21-38, December.
  277. López Villavicencio, Antonia, 2008. "Nonlinearities or outliers in real exchange rates?," Economic Modelling, Elsevier, vol. 25(4), pages 714-730, July.
  278. McMillan, David G., 2001. "Nonlinear predictability of stock market returns: Evidence from nonparametric and threshold models," International Review of Economics & Finance, Elsevier, vol. 10(4), pages 353-368, December.
  279. Alistair Mees & Berndt Pilgram, 2000. "Non-Linear Markov Modelling Using Canonical Variate Analysis: Forecasting Exchange Rate Volatility," Econometric Society World Congress 2000 Contributed Papers 1162, Econometric Society.
  280. Neil R. Ericsson, David F. Hendry & Kevin M. Prestiwch, . "The UK Demand for Broad Money over the Long run," Economics Papers W29, Economics Group, Nuffield College, University of Oxford.
  281. Wu-Jen Chuang & Liang-Yuh Ou-Yang & Wen-Chen Lo, 2009. "Nonlinear Market Dynamics Between Stock Returns And Trading Volume: Empirical Evidences From Asian Stock Markets," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 56, pages 621-634, November.
  282. Steven Cook & Alan Speight, 2006. "International Business Cycle Asymmetry and Time Irreversible Nonlinearities," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(10), pages 1051-1065.
  283. Khalid Kisswani & Salah Nusair, 2014. "Nonlinear convergence in Asian interest and inflation rates: evidence from Asian countries," Economic Change and Restructuring, Springer, vol. 47(3), pages 155-186, August.
  284. Nektarios Aslanidis & Anastasios Xepapadeas, 2004. "Smooth ‘inverted-V-shaped’ & smooth ‘N-shaped’ pollution-income paths," Working Papers 0405, University of Crete, Department of Economics.
  285. Thomas Chiang & Jiandong Li & Sheng-Yung Yang, 2015. "Dynamic stock–bond return correlations and financial market uncertainty," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 59-88, July.
  286. Salah Nusair, 2012. "Nonlinear adjustment of Asian real exchange rates," Economic Change and Restructuring, Springer, vol. 45(3), pages 221-246, August.
  287. Kwakwa, Paul Adjei, 2014. "Energy-growth nexus and energy demand in Ghana: A review of empirical studies," MPRA Paper 54971, University Library of Munich, Germany, revised 01 Apr 2014.
  288. Venus Khim-Sen Liew & Terence Tai-Leung Chong & Kian-Ping Lim, 2003. "The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies," Applied Economics, Taylor & Francis Journals, vol. 35(12), pages 1387-1392.
  289. Matteo Manera & Alessandro Cologni, 2006. "The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis for the G-7 Countries," Working Papers 2006.29, Fondazione Eni Enrico Mattei.
  290. Bazán, Walter, 2011. "No-linealidades y asimetrías en el crédito peruano," Working Papers 2011-015, Banco Central de Reserva del Perú.
  291. Wan, Jer-Yuh & Kao, Chung-Wei, 2009. "Evidence on the contrarian trading in foreign exchange markets," Economic Modelling, Elsevier, vol. 26(6), pages 1420-1431, November.
  292. repec:ebl:ecbull:v:6:y:2008:i:9:p:1-11 is not listed on IDEAS
  293. Mehmet Fatih Öztek & Nadir Öcal, 2016. "The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets," Empirical Economics, Springer, vol. 50(2), pages 317-360, March.
  294. repec:ebl:ecbull:v:3:y:2005:i:23:p:1-11 is not listed on IDEAS
  295. Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2014. "What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 418-440.
  296. Omar A Mendoza Lugo, 2008. "The differential impact of real interest rates and credit availability on private investment: evidence from Venezuela," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 501-537 Bank for International Settlements.
  297. E Andreou & A Pelloni & M Sensier, 2003. "The effect of nominal shock uncertainty on output growth," Centre for Growth and Business Cycle Research Discussion Paper Series 40, Economics, The Univeristy of Manchester.
  298. Liew Khim Sen & Ahmad Zubaidi Baharumshah, 2003. "Forecasting Performance of Logistic STAR Exchange Rate Model: The Original and Reparameterised Versions," GE, Growth, Math methods 0308001, EconWPA.
  299. Alain Maurin & Roland Craigwell & Sébastien Mathouraparsad, 2011. "Modeling time series of unemployment rates in the Caribbean basin," EcoMod2011 3296, EcoMod.
  300. Baur, Dirk G. & Glover, Kristoffer J., 2014. "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 116-133.
  301. Sofiane Amri, 2008. "Analysing the forward premium anomaly using a Logistic Smooth Transition Regression model," Economics Bulletin, AccessEcon, vol. 6(26), pages 1-18.
  302. Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, vol. 68(2), pages 169-192.
  303. Dahl, Christian M. & Gonzalez-Rivera, Gloria, 2003. "Testing for neglected nonlinearity in regression models based on the theory of random fields," Journal of Econometrics, Elsevier, vol. 114(1), pages 141-164, May.
  304. Nektarios Aslanidis & Denise Osborn & Marianne Sensier, 2003. "Explaining movements in UK stock prices:," Working Papers 0302, University of Crete, Department of Economics.
  305. Mainardi, Stefano, 2001. "Limited arbitrage in international wheat markets: threshold and smooth transition cointegration," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 45(3), September.
  306. repec:ebl:ecbull:v:30:y:2010:i:1:p:543-557 is not listed on IDEAS
  307. Adrian Cantemir Calin & Tiberiu Diaconescu & Oana – Cristina Popovici, 2014. "Nonlinear Models for Economic Forecasting Applications: An Evolutionary Discussion," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 2(1), pages 42-47, June.
  308. Jawadi, Fredj & Khanniche, Sabrina, 2012. "Modeling hedge fund exposure to risk factors," Economic Modelling, Elsevier, vol. 29(4), pages 1003-1018.
  309. repec:hal:journl:halshs-00185373 is not listed on IDEAS
  310. Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.
  311. Jeng-Bau Lin & Jin-Ming Liang & Chin-Chia Liang, 2008. "Nonlinear Mean Reversion and Arbitrage in the Gold Futures Market," Economics Bulletin, AccessEcon, vol. 6(9), pages 1-11.
  312. Foort Hamelink, 2001. "Nonlinear analysis for forecasting currencies: are they useful to the portfolio manager?," The European Journal of Finance, Taylor & Francis Journals, vol. 7(4), pages 335-355.
  313. Baharumshah, Ahmad Zubaidi & Liew, Venus Khim-Sen & Chowdhury, Ibrahim, 2010. "Asymmetry dynamics in real exchange rates: New results on East Asian currencies," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 648-661, October.
  314. Chen, Yi-Ting, 2003. "Discriminating between competing STAR models," Economics Letters, Elsevier, vol. 79(2), pages 161-167, May.
  315. Coudert, Virginie & Couharde, Cécile & Mignon, Valérie, 2011. "Exchange rate volatility across financial crises," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3010-3018, November.
  316. Hinich, Melvin J. & Foster, John & Wild, Phillip, 2006. "Structural change in macroeconomic time series: A complex systems perspective," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 136-150, March.
  317. Araç, Ayşen & Hasanov, Mübariz, 2014. "Asymmetries in the dynamic interrelationship between energy consumption and economic growth: Evidence from Turkey," Energy Economics, Elsevier, vol. 44(C), pages 259-269.
  318. Souhaib Ben Taieb & Rob J Hyndman, 2012. "Recursive and direct multi-step forecasting: the best of both worlds," Monash Econometrics and Business Statistics Working Papers 19/12, Monash University, Department of Econometrics and Business Statistics.
  319. Anderson, Heather M. & Vahid, Farshid, 1998. "Testing multiple equation systems for common nonlinear components," Journal of Econometrics, Elsevier, vol. 84(1), pages 1-36, May.
  320. Escribano, Álvaro & Mira, Santiago, 1995. "Nonlinear time series models: consistency and asymptotic normality of nls under new conditions," DES - Working Papers. Statistics and Econometrics. WS 6202, Universidad Carlos III de Madrid. Departamento de Estadística.
  321. Aslanidis, Nektarios, 2007. "Business Cycle Regimes in CEECs Production: A Threshold SURE Approach," Working Papers 2072/5318, Universitat Rovira i Virgili, Department of Economics.
  322. Jean-Pierre Allegret & Audrey Sallenave, 2015. "The Role of International Reserves Holding in Buffering External Shocks," EconomiX Working Papers 2015-41, University of Paris West - Nanterre la Défense, EconomiX.
  323. Awokuse, Titus O. & Christopoulos, Dimitris K., 2009. "Nonlinear dynamics and the exports-output growth nexus," Economic Modelling, Elsevier, vol. 26(1), pages 184-190, January.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.