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Title:The impact of the EU emissions trading system on competitiveness and carbon leakage Author(s):VERDE, Stefano F.
Date:2018Type:Working PaperSeries/Number:EUI RSCAS; 2018/53; Florence School of Regulation; ClimateAbstract:Concerns about the potential negative effects on domestic firms’ international competitiveness and ensuing carbon leakage are the main obstacle to the unilateral use of carbon pricing for reducing greenhouse gas emissions. ...

Title:A survey of econometric methods for mixed-frequency data Author(s):FORONI, Claudia; MARCELLINO, Massimiliano
Date:2013Type:Working PaperSeries/Number:EUI ECO; 2013/02Abstract:The development of models for variables sampled at different frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including ...

Title:Exchange Rates and Fundamentals: Co-movement, long-run relationships and short-run dynamics Author(s):BEKIROS, Stelios D.
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/21Abstract:The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy 113, 485-517] and in particular on the relationship between exchange rates and fundamentals. The paper discusses the ...

Title:Structural Vector Autoregressions with Markov Switching: Combining conventional with statistical identification of shocks Author(s):HERWARTZ, Helmut; LUETKEPOHL, Helmut
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/11Abstract:In structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks ...

Title:Vector autoregressive models Author(s):LUETKEPOHL, Helmut
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/30Abstract: they may be present. Specific issues related to trending variables will be mentioned occasionally throughout the chapter. The advantage of levels VAR models over vector error correction models is that they can also be ...

Title:The Multiscale Causal Dynamics of Foreign Exchange Markets Author(s):BEKIROS, Stelios D.
; MARCELLINO, Massimiliano
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/23Abstract:This paper relies on wavelet multiresolution analysis to capture the dependence structure of currency markets and reveal the complex dynamics across different timescales. It investigates the nature and direction of causal ...


Title:Nonlinear Causality Testing with Stepwise Multivariate Filtering Author(s):BEKIROS, Stelios D.
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/22Abstract:This study explores the direction and nature of causal linkages among six currencies denoted relative to United States dollar (USD), namely Euro (EUR), Great Britain Pound (GBP), Japanese Yen (JPY), Swiss Frank (CHF), ...

Title:Estimation Methods Comparison of SVAR Model with the Mixture of Two Normal Distributions – Monte Carlo Analysis Author(s):MACIEJOWSKA, KatarzynaDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/27Abstract:This paper addresses the issue of obtaining maximum likelihood estimates of parameters for structural VAR models with a mixture of distributions. Hence the problem does not have a closed form solution, numerical optimization ...
Title:Pre-Announcement and Timing. The Effects of a Government Expenditure Shock Author(s):KRIWOLUZKY, AlexanderDate:2009Type:Working PaperSeries/Number:EUI MWP; 2009/38Abstract:This paper investigates the effect of a government expenditure shock on consumption and real wages. I identify the shock by exploiting its pre-announced nature, i.e. different signs of the responses in investment, hours ...
Title:Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity Author(s):HERWARTZ, Helmut; LUETKEPOHL, Helmut
Date:2009Type:Working PaperSeries/Number:EUI ECO; 2009/42Abstract:In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be ...
