Browsing Department of Economics (ECO) by Title

Title: A Model for Ordinal Responses with an Application to Policy Interest Rate Author(s): SIRCHENKO, Andrei Date: 2012 Type of Publication: Working Paper Series/Report no.: Economics Education and Research Consortium (EERC) Working Papers Abstract: The decisions to reduce, leave unchanged, or increase (the price, rating, policy interest rate, etc.) are often characterized by abundant no-change outcomes that are generated by different processes. Moreover, the positive ...

Title: Model Selection for Nested and Overlapping Nonlinear Dynamic and Possibly Mis-specified Models Author(s): MARCELLINO, Massimiliano; ROSSI, Barbara Date: 2008 Type of Publication: Article

Title: Modeling and Forecasting Exchange-Rates With a Bayesian Time-Varying Coefficient Model Author(s): CANOVA, Fabio Date: 1993 Type of Publication: Article Abstract: This paper employs a multivariate Bayesian time-varying coefficients (TVC) approach to model and forecast exchange rate data. It is shown that, if used as a data-generating mechanism, a TVC model induces nonlinearities in ...

Title: Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model Author(s): LU, Yang K.; PERRON, Pierre Date: 2010 Type of Publication: Article Abstract: We consider the estimation of a random level shift model for which the series of interest is the sum of a short-memory process and a jump or level shift component. For the latter component, we specify the commonly used ...

Title: Modeling Conditional Skewness in Stock Returns Author(s): LANNE, Markku; SAIKKONEN, Pentti Date: 2005 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: Modeling Expectations with Noncausal Autoregressions Author(s): LANNE, Markku; SAIKKONEN, Pentti Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper is concerned with univariate noncausal autoregressive models and their potential usefulness in economic applications. We argue that noncausal autoregres- sive models are especially well suited for modeling ...

Title: Modelling Interactions Between State and Private Sector in a 'Previously' Centrally Planned Economy Author(s): VALBONESI, Paola Date: 1993 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: Modelling of Cointegration in the Vector Autoregressive Model Author(s): JOHANSEN, Soren Date: 2000 Type of Publication: Article Abstract: A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends are defined. The statistical model for cointegrated ...

Title: Modelling Shifts in the Wage-Price and Unemployment-Inflation Relationships in Italy, Poland and the Uk Author(s): MARCELLINO, Massimiliano; MIZON, Grayham E. Date: 2000 Type of Publication: Article Abstract: The relationship between wages, prices, productivity, inflation and unemployment in Italy, Poland, and the UK between the 1960s and the early 1990s is modelled as a cointegrated vector autoregression subject to regime ...

Title: Modelling Structural Breaks, Long Memory and Stock Market Volatility: an Overview Author(s): BANERJEE, Anindya; URGA, Giovanni Date: 2005 Type of Publication: Article

Title: Modelling Vintage Structures with DDEs: Principles and Applications Author(s): BOUCEKKINE, Raouf; DE LA CROIX, David; LICANDRO, Omar Date: 2004 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: Modelling Vintage Structures with DDEs: Principles and Applications Author(s): LICANDRO, Omar; BOUCEKKINE, Raouf; DE LA CROIX, David Date: 2004 Type of Publication: Article

Title: Models for Dynamic Macroeconomics Author(s): BERTOLA, Giuseppe; BAGLIANO, Fabio Date: 2004 Type of Publication: Book

Title: Models of the labor market with diffusion processes Author(s): PRAT, Julien Date: 2004 Type of Publication: Thesis Series/Report no.: EUI PhD theses

Title: Modern Macroeconomic Theory Author(s): FITOUSSI, Jean-Paul Date: 1983 Type of Publication: Book

Title: A Modern Reconsideration of the Theory of Optimal Currency Areas Author(s): CORSETTI, Giancarlo Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: What can be learnt from revisiting the Optimal Currency Areas (OCA) theory 50 years from its birth, in light of recent advances in open economy macro and monetary theory? This paper presents a stylized micro-founded model ...

Title: A modern reconsideration of the theory of Optimal Currency Areas Author(s): CORSETTI, Giancarlo Date: 2008 Type of Publication: Article Abstract: What can be learnt from revisiting the Optimal Currency Areas (OCA) theory 50 years from its birth, in light of recent advances in open economy macro and monetary theory? This paper presents a stylized micro-founded model ...

Title: Moment Condition Models in Empirical Economics Author(s): RISCADO, Sara Maria de Almeida Duarte Lopes Date: 2012 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: In the first chapter of this dissertation, we approach the estimation of dynamic stochastic general equilibrium models through a moments-based estimator, the empirical likelihood. We try to show that this inference process ...

Title: Monetary and Budgetary Policy Interaction: An SVAR Analysis of Stabilization Policies in Monetary Union Author(s): CLAEYS, Peter Date: 2004 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: Monetary and Fiscal Policy Interactions under a Stability Pact Author(s): BUTI, Marco; ROEGER, Werner; IN'T VELD, Jan Date: 2001 Type of Publication: Working Paper Series/Report no.: EUI ECO

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