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pro vyhledávání: '"jel:E37"'
We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::33ebffdb98309829390d041c24625960
https://hdl.handle.net/11250/3073380
https://hdl.handle.net/11250/3073380
Autor:
Tian, Jing, Anderson, Heather M.
This paper proposes two new weighting schemes that average forecasts using different estimation windows to account for structural change. We let the weights reflect the probability of each time point being the most-recent break point, and we use the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5af9ee0632ba1a8b9b951bbf6d6c62af
Autor:
D.S. Poskitt, Wenying Yao
In this article we investigate the theoretical behaviour of finite lag VAR(n) models fitted to time series that in truth come from an infinite order VAR(?) data generating mechanism. We show that overall error can be broken down into two basic compon
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b39fff5a361787847487328fbd5aa63f
Autor:
Heather M Anderson, Farshid Vahid
This paper argues that VAR models with cointegration and common cycles can be usefully viewed as observable factor models. The factors are linear combinations of lagged levels and lagged differences, and as such, these observable factors have potenti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2cec2b52f81d25b5b28cfcf4f6874ce7
Since the 1970s, exports and imports of manufactured goods have been the engine of international trade and much of that trade relies on container shipping. This paper introduces a new monthly index of the volume of container trade to and from North A
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::7f42bf52ede9bf1c029379e3113e1c92
https://hdl.handle.net/10419/246871
https://hdl.handle.net/10419/246871
The secular decline in the equilibrium real interest rate observed over the past decades has materially limited the room for policy-rate reductions in recessions, and has led to a marked increase in the incidence of episodes where policy rates are li
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::19f4c2a521d3953f9cf74d72a215e456
https://hdl.handle.net/10419/241071
https://hdl.handle.net/10419/241071
Autor:
Milivojevic, Lazar, Tatar, Balint
The authors examine the effectiveness of labor cost reductions as a means to stimulate economic activity and assesses the differences which may occur with the prevailing exchange rate regime. They develop a medium-scale three-region DSGE model and sh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::4e9d58d81bf1f7eebda5afbe5e8b6984
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/56449
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/56449
Autor:
Holden, Tom
This paper builds a dynamic stochastic general equilibrium (DSGE) model of endogenous growth that is capable of generating substantial degrees of endogenous persistence in productivity. When products go out of patent protection, the rush of entry int
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::456b38892da6edfe0be81f6c77c58925
https://ora.ox.ac.uk/objects/uuid:bdeadecf-3c87-4ca5-880f-8a327611e572
https://ora.ox.ac.uk/objects/uuid:bdeadecf-3c87-4ca5-880f-8a327611e572
Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive, we perform an in depth real-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature, nam
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::c4fff239b21feb3468d8ed8437ba71c1
https://hdl.handle.net/11250/2682897
https://hdl.handle.net/11250/2682897
The positive relationship between real exchange rates and natural resource income is well understood and studied. However, climate change and the transition to a lower-carbon economy now challenges this relationship. We document this by proposing a n
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::65178d22c66c56311c9d2763c908172c
https://hdl.handle.net/11250/2711929
https://hdl.handle.net/11250/2711929