| C0 General |
| | David Jamieson Bolder and Shudan Liu: Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective (Bank of Canada Working papers 2007-49, Oct 2007) | Abstract
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| | David Jamieson Bolder and Tiago Rubin: Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis (Bank of Canada Working papers 2007-13, Feb 2007) | Abstract
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| | David Jamieson Bolder: Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective (Bank of Canada Working papers 2006-48, Dec 2006) | Abstract
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| C00 General |
| | Joshua Brodie, Ingrid Daubechies, Christine De Mol: Sparse and stable Markowitz portfolios (European Central Bank Working papers 0936, Sep 2008) | Full text |
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| C1 Econometric and Statistical Methods: General |
| | Alina Barnett, Jan J J Groen and Haroon Mumtaz: Time-varying inflation expectations and economic fluctuations in the United Kingdom: a structural VAR analysis (Bank of England Working papers 392, Jun 2010) | Abstract
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| | Vasco Cúrdia and Daria Finocchiaro: Monetary Regime Change and Business Cycles (Sveriges Riksbank Working Papers 241, 29 Apr 2010) | Abstract
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| | Pawel J. Szerszen: Bayesian Analysis of Stochastic Volatility Models with Levy Jumps: Application to Risk Analysis (Board of Governors of the Federal Reserve System FEDS series 2009-40, Oct 2009) | Abstract
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| | Ingvar Strid and Karl Walentin: Block Kalman filtering for large-scale DSGE models (Sveriges Riksbank Working Papers 224, 01 Jul 2008) | Abstract
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| | Alain Monfort and Fulvio Pegoraro: Switching VARMA Term Structure Models - Extended Version (Bank of France Working Papers Nr 191, Dec 2007) | Abstract
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| | Chinhui Juhn and Simon Potter: Is There Still an Added-Worker Effect? (Federal Reserve Bank of New York Staff reports 310, Dec 2007) | Abstract
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| | Alain Monfort and Fulvio Pegoraro: Multi-Lag Term Structure Models with Stochastic Risk Premia (Bank of France Working Papers Nr 189, Nov 2007) | Abstract
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| | Henri Bertholon, Alain Monfort and Fulvio Pegoraro: Pricing and Inference with Mixtures of Conditionally Normal Processes (Bank of France Working Papers Nr 188, Nov 2007) | Abstract
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| | Vasco Cúrdia and Daria Finocchiaro: Monetary Regime Change and Business Cycles (Federal Reserve Bank of New York Staff reports 294, Jul 2007) | Abstract
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| | Mario Forni, Domenico Giannone: Opening the black box: structural factor models with large gross-sections (European Central Bank Working papers 0712, Jan 2007) | Full text |
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| | Klaus Düllmann, Nancy Masschelein: Sector Concentration in Loan Portfolios and Economic Capital (National Bank of Belgium Working Papers 105, 17 Nov 2006) | Abstract
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| | Klaus Düllmann, Nancy Masschelein: Sector concentration in loan portfolios and economic capital (Deutsche Bundesbank Banking Supervision Discussion Papers 2006/09, Nov 2006) | Full text |
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| | Jean-Marie Dufour and David Tessier: Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices (Bank of Canada Working papers 2006-39, Oct 2006) | Abstract
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| | Antonio Diez de los Rios and René Garcia: Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns (Bank of Canada Working papers 2006-31, Sep 2006) | Abstract
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| | Lawrence J. Christiano Martin Eichenbaum Robert Vigfusson: Assessing Structural VARs (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0866, Aug 2006) | Abstract
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| | Alejandro García and Ramazan Gençay: Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events (Bank of Canada Working papers 2006-17, May 2006) | Abstract
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| | Ingrid Lo: An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate (Bank of Canada Working papers 2005-45, Dec 2005) | Abstract
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| | Alfred Hamerle, Michael Knapp, Thilo Liebig, Nicole Wildenauer: Incorporating prediction and estimation risk in point-in-time credit portfolio models (Deutsche Bundesbank Banking Supervision Discussion Papers 2005/13, Nov 2005) | Full text |
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| | Julia Campos; Neil R. Ericsson; David F. Hendry: General-to-specific Modeling: An Overview and Selected Bibliography (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0838, Aug 2005) | Abstract
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| | Ricardo Caballero and Stavros Panageas: Contingent Reserves Management: An Applied Framework (Boston Fed Working papers 05-02, Mar 2005) | Abstract
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| | Jeffrey C. Fuhrer and Giovanni P. Olivei: Estimating Forward Looking Euler Equations with GMM Estimators: An Optimal Instruments Approach (Boston Fed Working papers 04-02, Nov 2004) | Abstract
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| | Neil R. Ericsson: The ET Interview: Professor David F. Hendry (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0811, Jul 2004) | Abstract
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| | James D. Hamilton, Daniel F. Waggoner, and Tao Zha: Normalization in Econometrics (Atlanta Fed Working papers 2004-13, Jun 2004) | Abstract
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| | Alfred Hamerle, Thilo Liebig, Daniel Rösch: Credit Risk Factor Modeling and the Basel II IRB Approach (Deutsche Bundesbank Banking Supervision Discussion Papers 2003/02, Nov 2003) | Full text |
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| C10 General |
| | Hashem Pesaran, Alexander Chudik: Econometric analysis of high dimensional VARs featuring a dominant unit, (European Central Bank Working papers 1194, 20 May 2010) | Full text |
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| | Stefan Reitz, Jan C. Ruelke, Mark P. Taylor: On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates (Deutsche Bundesbank Discussion Papers 201008, 17 May 2010) | Full text |
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| | Alexander Chudik, Hashem Pesaran, Elisa Tosetti: Weak and strong cross section dependence and estimation of large panels (European Central Bank Working papers 1100, 16 Oct 2009) | Full text |
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| | Alain Monfort: Optimal Portfolio Allocation under Asset and Surplus VaR Constraints (Bank of France Working Papers Nr 251, Sep 2009) | Abstract
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| | Vanda Almeida: Bayesian estimation of a DSGE model for the Portuguese economy (Bank of Portugal Working papers 200914, Jul 2009) | Abstract
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| | Jan J J Groen, George Kapetanios and Simon Price: Multivariate methods for monitoring structural change (Bank of England Working papers 369, Jun 2009) | Abstract
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| | Caroline Jardet, Alain Monfort and Fulvio Pegoraro: New Information Response Functions. (Bank of France Working Papers Nr 235, Jun 2009) | Abstract
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| | Giovanni Caggiano, George Kapetanios, Vincent Labhard: Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK (European Central Bank Working papers 1051, 13 May 2009) | Full text |
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| | Julián Messina, Chiara Strozzi, Jarkko Turunen,, Journal of Economic Dynamics and Control (forthcoming): Real wages over the business cycle: OECD evidence from the time and frequency domains (European Central Bank Working papers 1003, 19 Feb 2009) | Full text |
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| | Gus Garita and Chen Zhou: Can Open Capital Markets Help Avoid Currency Crises? (Netherlands Bank DNB Working Papers 205, Feb 2009) | Full text |
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| | Alexander Chudik and Hashem Pesaran: Infinite-dimensional VARs and factor models (European Central Bank Working papers 0998, Jan 2009) | Full text |
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| | Malin Andersson, Arne Gieseck, Beatrice Pierluigi and Nick Vidalis: Wage growth dispersion across the euro area countries: some stylised facts (European Central Bank Occasional papers 090, Jul 2008) | Full text |
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| | Jean Imbs: Aggregating Phillips curves (European Central Bank Working papers 0785, Jul 2007) | Full text |
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| | Fabio Canova and Luca Sala: Back to square one: identification issues in DSGE (Bank of Spain Working Papers 0715, Jun 2007) | Abstract
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| | Alejandro García and Ramazan Gençay: Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures (Bank of Canada Working papers 2007-25, Apr 2007) | Abstract
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| | Jean Boivin and Marc P. Giannoni: DSGE Models in a Data-Rich Environment (Bank of France Working Papers Nr 162, Jan 2007) | Abstract
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| | Anastasi A., Blanco E., Elosegui P., Sangiácomo M: Bancarization and determinants of availability of banking services in Argentina. (Central Bank of Argentina Working Papers 2006/15, Oct 2006) | Full text |
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| | Nicholai Benalal, Juan Luiz Diaz del Hoyo, Beatrice Pierluigi and Nick Vidalis: Output growth differentials across the euro area countries: some stylised facts (European Central Bank Occasional papers 045, May 2006) | Full text |
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| | Stefan Reitz, Mark P. Taylor: The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis (Deutsche Bundesbank Discussion Papers 200608, 27 Feb 2006) | Full text |
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| | Hugo J. Reis: Business Cycle at a Sectoral Level: the Portuguese Case (Bank of Portugal Working papers 200509, Nov 2005) | Abstract
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| | Ruth Judson and Richard Porter: Estimating the Worldwide Volume of Counterfeit U.S. Currency: Data and Extrapolation (Board of Governors of the Federal Reserve System FEDS series 2003-52, Nov 2003) | Abstract
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| C11 Bayesian Analysis |
| | Jorge Salas: Bayesian Estimation of a Simple Macroeconomic Model for a Small Open and Partially Dollarized Economy (Central Reserve Bank of Peru Working Papers 2010-007, Jul 2010) | Full text |
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| | Gianni Amisano, Gabriel Fagan: Money growth and inflation: a regime switching approach, (European Central Bank Working papers 1207, 10 Jun 2010) | Full text |
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| | James Chapman and Yinan Zhang: Estimating the Structure of the Payment Network in the LVTS: An Application of Estimating Communities in Network Data (Bank of Canada Working papers 2010-13, Jun 2010) | Abstract
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| | Lawrence Christiano, Roberto Motto, Massimo Rostagno: Financial factors in economic fluctuations, (European Central Bank Working papers 1192, 20 May 2010) | Full text |
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| | Pablo Guerron-Quintana: Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting (Philadelphia Fed Working Papers 10-14:, Apr 2010) | Full text |
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| | Pablo Guerron-Quintana: Reading the Recent Monetary History of the U.S., 1959-2007 (Philadelphia Fed Working Papers 10-15:, Apr 2010) | Full text |
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| | Antti J Tanskanen – Petri Niininen – Kari Vatanen: Risk-based classification of financial instruments in the Finnish statutory pension scheme TyEL (Bank of Finland Discussion Papers 2010/09, 30 Mar 2010) | Abstract
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| | Alejandro Justiniano, Giorgio E. Primiceri, and Andrea Tambalotti: Investment Shocks and the Relative Price of Investment (Federal Reserve Bank of New York Staff reports 411, Dec 2009) | Abstract
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| | Aaron Mehrotra and Tomáš Slacík: Evaluating inflation determinants with a money supply rule in four Central and Eastern European EU member states (Bank of Finland BOFIT Discussion Papers 2009/18, 11 Oct 2009) | Abstract
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| | Pawel J. Szerszen: Bayesian Analysis of Stochastic Volatility Models with Levy Jumps: Application to Risk Analysis (Board of Governors of the Federal Reserve System FEDS series 2009-40, Oct 2009) | Abstract
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| | Carlo Altavilla, Matteo Ciccarelli, Journal of Money, Credit and Banking, Vol. 41, No. 7 (October 2009): The effects of monetary policy on unemployment dynamics under model uncertainty: evidence from the US and the euro area (European Central Bank Working papers 1089, 30 Sep 2009) | Full text |
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| | Vanda Almeida: Bayesian estimation of a DSGE model for the Portuguese economy (Bank of Portugal Working papers 200914, Jul 2009) | Abstract
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| | Saki Bigio: Learning under Fear of Floating (Central Reserve Bank of Peru Working Papers 2009-004, Apr 2009) | Full text |
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| | Nikola Tarashev: Measuring portfolio credit risk correctly: why parameter uncertainty matters (Bank for International Settlements Working papers 280, Apr 2009) | Abstract
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| | Kai Christoffel, Keith Kuester, Tobias Linzert: The role of labor markets for euro area monetary policy (European Central Bank Working papers 1035, 24 Mar 2009) | Full text |
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| | John Geweke, Gianni Amisano: Optimal Prediction Pools (European Central Bank Working papers 1017, 03 Mar 2009) | Full text |
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| | Kai Christoffel: The Role of Labor Markets for Euro Area Monetary Policy (Philadelphia Fed Working Papers 09-1, Mar 2009) | Full text |
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| | António Afonso and Ricardo M. Sousa: The macroeconomic effects of fiscal policy (European Central Bank Working papers 0991, Jan 2009) | Full text |
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| | Matteo Ciccarelli and Juan Angel García: What drives euro area break-even inflation rates? (European Central Bank Working papers 0996, Jan 2009) | Full text |
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| | Michele Ca’ Zorzi: Current account benchmarks for central and eastern Europe: a desperate search? (European Central Bank Working papers 0995, Jan 2009) | Full text |
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| | Peńa Tonatiuh; Martínez Serafín; Abudu Bolanle: Bankruptcy Prediction: A Comparison of Some Statistical and Machine Learning Techniques (Bank of Mexico Working Papers 2009-18, 2009) | Full text |
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| | Marta Banbura: Large Bayesian VARs (European Central Bank Working papers 0966, Nov 2008) | Full text |
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| | Morten L. Bech: Which Bank Is the "Central" Bank?An Application of Markov Theory to the CanadianLarge Value Transfer System (Federal Reserve Bank of New York Staff reports 356, Nov 2008) | Abstract
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| | Daniel O. Beltran and David Draper: Estimating the Parameters of a Small Open Economy DSGE Model: Identifiability and Inferential Validity (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0955, Nov 2008) | Abstract
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| | John Geweke and Gianni Amisano: Comparing and evaluating Bayesian predictive distributions of assets returns (European Central Bank Working papers 0969, Nov 2008) | Full text |
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| | Marek Jarocinski: Responses to monetary policy shocks in the east and the west of Europe: a comparison (European Central Bank Working papers 0970, Nov 2008) | Full text |
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| | Kai Christoffel: The New Area-Wide Model of the euro area: a micro-founded open-economy model for forecasting and policy analysis (European Central Bank Working papers 0944, Oct 2008) | Full text |
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| | Morten Bech, James T. E. Chapman, and Rod Garratt: Which Bank is the "Central" Bank? An Application of Markov Theory to the Canadian Large Value Transfer System (Bank of Canada Working papers 2008-42, Oct 2008) | Abstract
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| | Virginia Queijo von Heideken: How Important are Financial Frictions in the U.S. and the Euro Area (Sveriges Riksbank Working Papers 223, 05 Jun 2008) | Abstract
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| | Lillie Lam, Laurence Fung and Ip-wing Yu: Comparing Forecast Performance of Exchange Rate Models (Hong Kong Monetary Authority Working Papers WP08_08, Jun 2008) | Abstract
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| | Marco Del Negro and Frank Schorfheide: Inflation Dynamics in a Small Open-Economy Model under Inflation Targeting: Some Evidence from Chile (Federal Reserve Bank of New York Staff reports 329, Jun 2008) | Abstract
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| | Marco Del Negro and Christopher Otrok: Dynamic Factor Models with Time-Varying Parameters: Measuring Changes in International Business Cycles (Federal Reserve Bank of New York Staff reports 326, May 2008) | Abstract
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| | Virginia Queijo von Heideken: Monetary Policy Regimes and the Volatility of Long-Term Interest Rates (Sveriges Riksbank Working Papers 220, 07 Mar 2008) | Abstract
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| | Alejandro Justiniano, Giorgio E. Primiceri, and Andrea Tambalotti: Investment Shocks and Business Cycles (Federal Reserve Bank of New York Staff reports 322, Mar 2008) | Abstract
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| | Gianni Amisano and Roberto Savona: Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk. (European Central Bank Working papers 0881, Mar 2008) | Full text |
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| | Michal Brzoza-Brzezina, Jesus Crespo Cuaresma: Mr. Wicksell and the global economy: What drives real interest rates? (Austrian National Bank Working Papers WP139, 29 Jan 2008) | Abstract
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| | Laurence Fung and Ip-wing Yu: Assessing the Credibility of The Convertibility Zone of The Hong Kong Dollar (Hong Kong Monetary Authority Working Papers WP07_19, Dec 2007) | Abstract
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| | Michael K Andersson and Sune Karlsson: Bayesian forecast combination for VAR models (Sveriges Riksbank Working Papers 216, 22 Nov 2007) | Abstract
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| | John Geweke and Gianni Amisano: Hierarchical Markov normal mixture models with applications to financial asset returns (European Central Bank Working papers 0831, Nov 2007) | Full text |
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| | Sylvia Kaufmann and Maria Teresa Valderrama: The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US (European Central Bank Working papers 0816, Sep 2007) | Full text |
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| | Marco J. Lombardi and Silvia Sgherri: (Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate (European Central Bank Working papers 0794, Aug 2007) | Full text |
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| | Jeannine Bailliu, Ali Dib, Takashi Kano, and Lawrence Schembri: Multilateral Adjustment and Exchange Rate Dynamics: The Case of Three Commodity Currencies (Bank of Canada Working papers 2007-41, Jul 2007) | Abstract
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| | Michael Scharnagl, Christian Schumacher: Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities (Deutsche Bundesbank Discussion Papers 200709, 04 May 2007) | Full text |
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| | Jana Eklund, Sune Karlsson: Computational Efficiency in Bayesian Model and Variable Selection (Central Bank of Iceland Working Papers 35, May 2007) | Abstract
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| | Jana Eklund, Sune Karlsson: An Embarrassment of Riches: Forecasting Using Large Panels (Central Bank of Iceland Working Papers 34, May 2007) | Abstract
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| | Gary Koop and Simon Potter: A Flexible Approach to Parametric Inference in Nonlinear Time Series Models (Federal Reserve Bank of New York Staff reports 285, May 2007) | Abstract
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| | Gianni Amisano and Oreste Tristani: Euro area inflation persistence in an estimated nonlinear DSGE model (European Central Bank Working papers 0754, May 2007) | Full text |
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| | Joăo Amador, Carlos Coimbra: Total Factor Productivity Growth in the G7 Countries: Different or Alike? (Bank of Portugal Working papers 200709, Apr 2007) | Abstract
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| | Joăo Amador, Carlos Coimbra: Characteristics of the Portuguese Economic Growth: What has been Missing? (Bank of Portugal Working papers 200708, Apr 2007) | Abstract
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| | Malin Adolfson , Stefan Laséen , Jesper Lindé and Mattias Villani: Evaluating An Estimated New Keynesian Small Open Economy Model (Sveriges Riksbank Working Papers 203, 08 Feb 2007) | Abstract
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| | Christine De Mol: Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to principal components? (European Central Bank Working papers 0700, Dec 2006) | Full text |
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| | Anders Warne: Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3 (European Central Bank Working papers 0692, Nov 2006) | Full text |
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| | Christine De Mol, Domenico Giannone, Lucrezia Reichlin: Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components? (Deutsche Bundesbank Discussion Papers 200632, 13 Oct 2006) | Full text |
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| | Anastasi A., Blanco E., Elosegui P., Sangiácomo M: Bancarization and determinants of availability of banking services in Argentina. (Central Bank of Argentina Working Papers 2006/15, Oct 2006) | Full text |
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| | Sylvia Kaufmann and Peter Kugler: Expected Money Growth, Markov Trends and the Instability of Money Demand in the Euro Area (Austrian National Bank Working Papers WP131, 15 Sep 2006) | Abstract
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| | Chiara Scotti: A Bivariate Model of Fed and ECB Main Policy Rates (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0875, Sep 2006) | Abstract
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| | by Fabio Milani: A Bayesian DSGE Model with Infinite-Horizon Learning: Do "Mechanical" Sources of Persistence Become Superfluous? (IJCB International Journal of Central Banking 06q3a3, Sep 2006) | Abstract
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| | Hashem Pesaran, Davide Pettenuzzo, Allan Timmermann: Learning, structural instability and present value calculations (Deutsche Bundesbank Discussion Papers 200627, 29 Aug 2006) | Full text |
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| | Kurt F. Lewis, Charles H. Whiteman: Empirical Bayesian density forecasting in Iowa and shrinkage for the Monte Carlo era (Deutsche Bundesbank Discussion Papers 200628, 29 Aug 2006) | Full text |
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| | Dennis: The Frequency of Price Adjustment and New Keynesian Business Cycle Dynamics (San Francisco Fed Working Papers 2006-22, Aug 2006) | Full text |
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| | Kai Christoffel: Identifying the role of labor markets for monetary policy in an estimated DSGE model (European Central Bank Working papers 0635, Jun 2006) | Full text |
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| | Paolo Giordani and Robert Kohn: Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models (Sveriges Riksbank Working Papers 196, 24 May 2006) | Abstract
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| | Marek Jarocinski: Responses to Monetary Policy Shocks in the East and the West of Europe: A Comparison (Austrian National Bank Working Papers WP124, 17 May 2006) | Abstract
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| | Toshitaka Sekine: Time-varying exchange rate pass-through: experiences of some industrial countries (Bank for International Settlements Working papers 202, Mar 2006) | Abstract
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| | Anthony Garratt, Gary Koop and Shaun P. Vahey: Forecasting Substantial Data Revisions in the Presence of Model Uncertainty (Reserve Bank of New Zealand Discussion Papers DP2006/02, Feb 2006) | Abstract
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| | Thomas A Lubik: A Simple, Structural, and Empirical Model of the Antipodean Transmission Mechanism (Reserve Bank of New Zealand Discussion Papers DP2005/06, Dec 2005) | Abstract
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| | Jana Eklund and Sune Karlsson: Forecast combination and model averaging using predictive measures (Sveriges Riksbank Working Papers 191, 12 Oct 2005) | Abstract
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| | Kirdan Lees and Troy Matheson: Mind your Ps and Qs! Improving ARMA forecasts with RBC priors (Reserve Bank of New Zealand Discussion Papers DP2005/02, Oct 2005) | Abstract
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| | Marco Del Negro and Christopher Otrok: Monetary Policy and the House Price Boom across U.S. States (Atlanta Fed Working papers 2005-24, Oct 2005) | Abstract
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| | Mattias Villani: Bayesian Inference of General Linear Restrictions on the Cointegration Space (Sveriges Riksbank Working Papers 189, 30 Sep 2005) | Abstract
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| | Malin Adolfson , Jesper Lindé and Mattias Villani: Forecasting Performance of an Open Economy Dynamic Stochastic General Equilibrium Model (Sveriges Riksbank Working Papers 190, 30 Sep 2005) | Abstract
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| | Linnea Polgreen and Pedro Silos: Capital-Skill Complementarity and Inequality: A Sensitivity Analysis (Atlanta Fed Working papers 2005-20, Aug 2005) | Abstract
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| | Levin, Onatski, Williams, N. Williams: Monetary Policy under Uncertainty in Micro-Founded Macroeconomic Models (San Francisco Fed Working Papers 2005-15, Jul 2005) | Full text |
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| | Maarten Dossche and Gerdie Everaert: Measuring inflation persistence: a structural time series approach (National Bank of Belgium Working Papers 070, 21 Jun 2005) | Abstract
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| | Maarten Dossche and Gerdie Everaert: Measuring inflation persistence: a structural time series approach (European Central Bank Working papers 0495, Jun 2005) | Full text |
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| | Marco Del Negro, Frank Schorfheide: On the fit and forecasting performance of New-Keynesian models (European Central Bank Working papers 0491, Jun 2005) | Full text |
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| | Malin Adolfson , Stefan Laséen , Jesper Lindé and Mattias Villani: Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through (Sveriges Riksbank Working Papers 179, 01 Mar 2005) | Abstract
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| | Mattias Villani: Inference in Vector Autoregressive Models with an Informative Prior on the Steady State (Sveriges Riksbank Working Papers 181, 01 Mar 2005) | Abstract
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| | Malin Adolfson , Stefan Laséen , Jesper Lindé and Mattias Villani: Are Constant Interest Rate Forecasts Modest Interventions? Evidence from an Estimated Open Economy DSGE Model of the Euro Area (Sveriges Riksbank Working Papers 180, 01 Mar 2005) | Abstract
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| | Gary Koop, Simon M. Potter, and Rodney W. Strachan: Reexamining the Consumption-Wealth Relationship:The Role of Model Uncertainty (Federal Reserve Bank of New York Staff reports 202, Mar 2005) | Abstract
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| | George Kapetanios, Vincent Labhard and Simon Price: Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation (Bank of England Working papers 268, 2005) | Abstract
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| | Balázs Vonnák: Estimating the Effect of Hungarian Monetary Policy within a Structural VAR Framework (Magyar Nemzeti Bank (the central bank of Hungary) Working papers 2005/01, 2005) | Abstract
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| | Mattias Villani and Rolf Larsson: The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis (Sveriges Riksbank Working Papers 175, 01 Dec 2004) | Abstract
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| | Marco Del Negro, Frank Schorfheide, Frank Smets, and Raf Wouters: On the Fit and Forecasting Performance of New Keynesian Models (Atlanta Fed Working papers 2004-37, Dec 2004) | Abstract
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| | Gary M. Koop and Simon M. Potter: Prior Elicitation in Multiple Change-Point Models (Federal Reserve Bank of New York Staff reports 197, Dec 2004) | Abstract
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| | Gary M. Koop and Simon M. Potter: Forecasting and Estimating Multiple Change-Point Models with an Unknown Number of Change Points (Federal Reserve Bank of New York Staff reports 196, Dec 2004) | Abstract
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| | Jukka Corander and Mattias Villani: A Bayesian Approach to Modelling Graphical Vector Autoregressions (Sveriges Riksbank Working Papers 171, 01 Oct 2004) | Abstract
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| | Tobias Adrian and Francesco Franzoni: Learning about Beta: A New Look at CAPM Tests (Federal Reserve Bank of New York Staff reports 193, Sep 2004) | Abstract
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| | Nicholai Benalal, Juan Luis Diaz del Hoyo, Bettina Landau: To aggregate or not to aggregate? Euro area inflation forecasting (European Central Bank Working papers 0374, Jul 2004) | Full text |
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| | Chang-Jin Kim, James Morley and Jeremy M. Piger: A Bayesian Approach to Counterfactual Analysis with an Application to the Volatility Reduction in U.S. Real GDP (St Louis Fed Working Papers 2004-014, Jul 2004) | Full text |
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| | Andrew T. Levin and Jeremy M. Piger: Is inflation persistence intrinsic in industrial economies? (European Central Bank Working papers 0334, Apr 2004) | Full text |
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| | Mattias Villani , Anders Warne: Monetary Policy Analysis in a Small Open Economy using Bayesian Cointegrated Structural VARs (Sveriges Riksbank Working Papers 156, 01 Dec 2003) | Abstract
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| | James M. Nason and John H. Rogers: The Present-Value Model of the Current Account Has Been Rejected: Round Up the Usual Suspects (Atlanta Fed Working papers 2003-7a, Oct 2003) | Abstract
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| | Frank Schorfheide: Learning and Monetary Policy Shifts (Atlanta Fed Working papers 2003-23, Oct 2003) | Abstract
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| | Timothy Cogley and Thomas J. Sargent: Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S. (Atlanta Fed Working papers 2003-25, Oct 2003) | Abstract
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| | Mattias Villani: Bayes Estimators of the Cointegration Space (Sveriges Riksbank Working Papers 150, 01 Sep 2003) | Abstract
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| | Sylvia Frühwirth-Schnatter, Sylvia Kaufmann: Investigating asymmetries in the bank lending channel. An analysis using Austrian banks' balance sheet data (Austrian National Bank Working Papers WP085, 28 Jul 2003) | Abstract
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| | Gary Koop and Simon Potter: Forecasting in Large Macroeconomic Panels Using Bayesian Model Averaging (Federal Reserve Bank of New York Staff reports 163, Mar 2003) | Abstract
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| | Tor Jacobson and Sune Karlsson: Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach (Sveriges Riksbank Working Papers 138, 01 Aug 2002) | Abstract
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| | Marco Del Negro and Frank Schorfheide: Priors from General Equilibrium Models for VARs (Atlanta Fed Working papers 2002-14, Aug 2002) | Abstract
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| | Jesus Fernández-Villaverde and Juan F. Rubio-Ramírez: Comparing Dynamic Equilibrium Economies to Data (Atlanta Fed Working papers 2001-23, Nov 2001) | Abstract
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| | Pau Rabanal and Juan F. Rubio-Ramírez: Nominal versus Real Wage Rigidities: A Bayesian Approach (Atlanta Fed Working papers 2001-22, Nov 2001) | Abstract
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| C12 Hypothesis Testing |
| | Paulo M.M. Rodrigues; Antonio Rubia: The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance (Bank of Portugal Working papers 201011, Jun 2010) | Abstract
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| | Matias D. Cattaneo, Richard K. Crump, and Michael Jansson: Bootstrapping Density-Weighted Average Derivatives (Federal Reserve Bank of New York Staff reports 452, May 2010) | Abstract
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| | Noriega Antonio E.; Ventosa-Santaulŕria Daniel: Spurious Long-Horizon Regression in Econometrics (Bank of Mexico Working Papers 2010-06, 2010) | Full text |
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| | Fuchun Li and Greg Tkacz: A Consistent Test for Multivariate Conditional Distributions (Bank of Canada Working papers 2009-34, Dec 2009) | Abstract
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| | Javier Mencía and Enrique Sentana: Distributional tests in multivariate dynamic models with Normal and Student t innovations (Bank of Spain Working Papers 0929, Dec 2009) | Abstract
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| | Fabio Busetti, Juri Marcucci and Giovanni Veronese: Comparing forecast accuracy: a Monte Carlo investigation (Bank of Italy Working Papers 723, Sep 2009) | Abstract
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| | Matteo Barigozzi, Lucia Alessi, Marco Capasso: The distribution of households consumption-expenditure budget shares (European Central Bank Working papers 1061, 16 Jun 2009) | Full text |
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| | Sandra Gaisser, Christoph Memmel, Rafael Schmidt, Carsten Wehn: Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books - a multivariate nonparametric approach (Deutsche Bundesbank Banking Supervision Discussion Papers 2009/07, Jun 2009) | Full text |
|
| | Min Wei and Jonathan Wright: Confidence Intervals for Long-Horizon Predictive Regressions via Reverse Regressions (Board of Governors of the Federal Reserve System FEDS series 2009-27, Jun 2009) | Abstract
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| | Fuchun Li: Testing for Financial Contagion with Applications to the Canadian Banking System (Bank of Canada Working papers 2009-14, May 2009) | Abstract
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| | Jörg Breitung, Sandra Eickmeier: Testing for structural breaks in dynamic factor models (Deutsche Bundesbank Discussion Papers 200905, 16 Mar 2009) | Full text |
|
| | Frederick van der Ploeg and Steven Poelhekke: The Volatility Curse: Revisiting the Paradox of Plenty (Netherlands Bank DNB Working Papers 206, Mar 2009) | Full text |
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| | Noriega Antonio E.; Ramos Francia Manuel: On the dynamics of inflation persistence around the world (Bank of Mexico Working Papers 2009-02, 2009) | Full text |
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| | David C. Wheelock, and Paul Wilson: Are Credit Unions Too Small? (St Louis Fed Working Papers 2008-033, Sep 2008) | Abstract
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| | Maria Ritola: Price convergence and geographic dimension of market integration: Evidence from China (Bank of Finland BOFIT Discussion Papers 2008/13, 26 Aug 2008) | Abstract
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| | Malte Knüppel, Guido Schultefrankenfeld: How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts (Deutsche Bundesbank Discussion Papers 200814, 04 Aug 2008) | Full text |
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| | Nikolay Gospodinov, Raymond Kan, and Cesare Robotti: Working Paper 2010-4 (Atlanta Fed Working papers 2010-04, 10 Mar 2008) | Abstract
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| | Gonzalo Camba-Méndez and George Kapetanios: Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling (European Central Bank Working papers 0850, Jan 2008) | Full text |
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| | Noriega Antonio E.; Ramos Francia Manuel: A Note on the Dynamics of Persistence in US Inflation. (Bank of Mexico Working Papers 2008-12, 2008) | Full text |
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| | Stefan Günnel, Karl-Heinz Tödter: Does Benford's law hold in economic research and forecasting? (Deutsche Bundesbank Discussion Papers 200732, 10 Dec 2007) | Full text |
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| | Erik Hjalmarsson and Par Osterholm: Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0915, Dec 2007) | Abstract
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| | Erik Hjalmarsson and Par Osterholm: A Residual-Based Cointegration Test for Near Unit Root Variables (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0907, Oct 2007) | Abstract
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| | Andreas Pick: Financial contagion and tests using instrumental variables (Netherlands Bank DNB Working Papers 139, Jun 2007) | Full text |
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| | Jeong-Ryeol Kurz-Kim, Mico Loretan: A note on the coefficient of determination in regression models with infinite-variance variables (Deutsche Bundesbank Discussion Papers 200710, 14 May 2007) | Full text |
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| | Jeong-Ryeol Kurz-Kim and Mico Loretan: A Note on the Coefficient of Determination in Models with Infinite Variance Variables (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0895, May 2007) | Abstract
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| | by Fabio Busetti, Lorenzo Forni, Andrew Harvey, and Fabrizio Venditti: Inflation Convergence and Divergence within the European Monetary Union (IJCB International Journal of Central Banking 07q2a4, May 2007) | Abstract
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| | Capistrán Carlos: Optimality Tests for Multi-Horizon Forecasts (Bank of Mexico Working Papers 2007-14, 2007) | Full text |
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| | Jan De Wit: Exploring the CDS-Bond Basis (National Bank of Belgium Working Papers 104, 16 Nov 2006) | Abstract
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| | Jean-Marie Dufour and David Tessier: Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices (Bank of Canada Working papers 2006-39, Oct 2006) | Abstract
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| | Robert Rich and Joseph Tracy: The Relationship between Expected Inflation, Disagreement, and Uncertainty: Evidence from Matched Point and Density Forecasts (Federal Reserve Bank of New York Staff reports 253, Jul 2006) | Abstract
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| | Olivier de Bandt, Catherine Bruneau, Alexis Flageollet: Assessing Aggregate Comovements in France, Germany and Italy. Using a Non Stationary Factor Model of the Euro Area (Bank of France Working Papers Nr 145, Jun 2006) | Abstract
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| | Ali Dib, Mohamed Gammoudi, and Kevin Moran: Forecasting Canadian Time Series with the New Keynesian Model (Bank of Canada Working papers 2006-04, Mar 2006) | Abstract
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| | Anindya Banerjee and Josep Lluís Carrion-i-Silvestre: Cointegration in panel data with breaks and cross-section dependence (European Central Bank Working papers 0591, Feb 2006) | Full text |
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| | Mikael Bask - Tung Liu - Anna Widerberg: The stability of electricity prices: estimation and inference of the Lyapunov exponents (Bank of Finland Discussion Papers 2006/09, 31 Jan 2006) | Abstract
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| | Fabio Busetti, Lorenzo Forni: Inflation convergence and divergence within the European Monetary Union (European Central Bank Working papers 0574, Jan 2006) | Full text |
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| | Jörg Breitung, M. Hashem Pesaram: Unit roots and cointegration in panels (Deutsche Bundesbank Discussion Papers 200542, 30 Nov 2005) | Full text |
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| | Fuchun Li: Testing the Parametric Specification of the Diffusion Function in a Diffusion Process (Bank of Canada Working papers 2005-35, Nov 2005) | Abstract
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| | Arturo Estrella and Anthony P. Rodrigues: One-Sided Test for an Unknown Breakpoint: Theory, Computation, and Application to Monetary Theory (Federal Reserve Bank of New York Staff reports 232, Nov 2005) | Abstract
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| | Feng Zhu: A nonparametric analysis of the shape dynamics of the US personal income distribution: 1962-2000 (Bank for International Settlements Working papers 184, Oct 2005) | Abstract
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| | Mattias Villani: Bayesian Inference of General Linear Restrictions on the Cointegration Space (Sveriges Riksbank Working Papers 189, 30 Sep 2005) | Abstract
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| | Laurent Bilke: Break in the mean and persistence of inflation: a sectoral analysis of French CPI (European Central Bank Working papers 0463, Mar 2005) | Full text |
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| | Peter Reinhard Hansen, Asger Lunde, and James M. Nason: Model Confidence Sets for Forecasting Models (Atlanta Fed Working papers 2005-07, Mar 2005) | Abstract
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| | Peter Reinhard Hansen, Asger Lunde, and James M. Nason: Testing the Significance of Calendar Effects (Atlanta Fed Working papers 2005-02, Jan 2005) | Abstract
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| | Helinä Laakkonen: The impact of macroeconomic news on exchange rate volatility (Bank of Finland Discussion Papers 2004/24, 07 Dec 2004) | Abstract
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| | (DNB): A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets (Netherlands Bank DNB Working Papers 022, Dec 2004) | Full text |
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| | Gregory Gadzinski and Fabrice Orlandi: Inflation persistence in the European Union, the euro area, and the United States (European Central Bank Working papers 0414, Nov 2004) | Full text |
|
| | Todd E. Clark and Michael W. McCracken: Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts (Kansas City Fed Working Papers RWP04-10, Oct 2004) | Abstract
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| | (DNB): On the predictability of GDP data revisions in the Netherlands (Netherlands Bank DNB Working Papers 004, Jul 2004) | Full text |
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| | Daniel Dias, Carlos Robalo Marques, Pedro Duarte Neves, J.M.C.Santos Silva: On the Fisher-Konieczny Index of Price Changes Synchronization (Bank of Portugal Working papers 200407, Jun 2004) | Abstract
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| | Todd E. Clark and Kenneth D. West: Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis (Kansas City Fed Working Papers RWP04-03, May 2004) | Abstract
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| | Paul McNelis and Peter McAdam: Forecasting inflation with thick models and neural networks (European Central Bank Working papers 0352, Apr 2004) | Full text |
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| | Gonzalo Camba-Mendez and George Kapetanios: Estimating the rank of the spectral density matrix (European Central Bank Working papers 0349, Apr 2004) | Full text |
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| | Peter Reinhard Hansen, Asger Lunde, and James M. Nason: Choosing the Best Volatility Models: The Model Confidence Set Approach (Atlanta Fed Working papers 2003-28, Oct 2003) | Abstract
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| | Matt Klaeffling: Macroeconomic modelling of monetary policy (European Central Bank Working papers 0257, Sep 2003) | Full text |
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| | Matt Klaeffing: Monetary policy shocks - a nonfundamental look at the data (European Central Bank Working papers 0228, May 2003) | Full text |
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| | Robert Rich and Joseph Tracy: Modeling Uncertainty: Predictive Accuracy as a Proxy for Predictive Confidence (Federal Reserve Bank of New York Staff reports 161, Feb 2003) | Abstract
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| | Todd E. Clark and Michael W. McCracken: Forecast-Based Model Selection in the Presence of Structural Breaks (Kansas City Fed Working Papers RWP02-05, Aug 2002) | Abstract
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| | U. Michael Bergman and Jan Hansen: Financial Instability and Monetary Policy: The Swedish Evidence (Sveriges Riksbank Working Papers 137, 01 Jun 2002) | Abstract
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| C13 Estimation |
| | Working Paper 2010-11: Further Results on the Limiting Distribution of GMM Sample Moment Conditions (Atlanta Fed Working papers 2010-11, 20 Jul 2010) | Abstract
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| | Libero Monteforte and Gianluca Moretti: Real time forecasts of inflation: the role of financial variables (Bank of Italy Working Papers 767, Jul 2010) | Abstract
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| | Piergiorgio Alessandri and Mathias Drehmann: An economic capital model integrating credit and interest rate risk in the banking book (Bank of England Working papers 388, Jun 2010) | Abstract
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| | Roberto A. De Santis: The Geography of International Portfolio Flows, International CAPM, and the Role of Monetary Policy Frameworks (IJCB International Journal of Central Banking 10q2a6, May 2010) | Abstract
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| | Laurent Ferrara and Siem Jan Koopman: Common business and housing market cycles in the Euro area from a multivariate decomposition (Bank of France Working Papers Nr 275, Jan 2010) | Abstract
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| | Jens Mehrhoff: A solution to the problem of too many instruments in dynamic panel data GMM (Deutsche Bundesbank Discussion Papers 200931, 06 Nov 2009) | Full text |
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| | Malte Knüppel: Efficient estimation of forecast uncertainty based on recent forecast errors (Deutsche Bundesbank Discussion Papers 200928, 06 Oct 2009) | Full text |
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| | Xin Huang, Hao Zhou, and Haibin Zhu: A Framework for Assessing the Systemic Risk of Major Financial Institutions (Board of Governors of the Federal Reserve System FEDS series 2009-37, Sep 2009) | Abstract
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| | Guillaume Horny: Inference in Mixed Proportional Hazard Models with K Random Effects (Bank of France Working Papers Nr 248, Aug 2009) | Abstract
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| | Jean-Marie Dufour, Lynda Khalaf, and Maral Kichian: Structural Inflation Models with Real Wage Rigidities: The Case of Canada (Bank of Canada Working papers 2009-21, Jul 2009) | Abstract
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| | Vanda Almeida: Bayesian estimation of a DSGE model for the Portuguese economy (Bank of Portugal Working papers 200914, Jul 2009) | Abstract
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| | Sandra Gaisser, Christoph Memmel, Rafael Schmidt, Carsten Wehn: Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books - a multivariate nonparametric approach (Deutsche Bundesbank Banking Supervision Discussion Papers 2009/07, Jun 2009) | Full text |
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| | Piergiorgio Alessandri, Mathias Drehmann: An economic capital model integrating credit and interest rate risk in the banking book (European Central Bank Working papers 1041, 30 Apr 2009) | Full text |
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| | Xin Huang, Hao Zhou and Haibin Zhu: Credit frictions and optimal monetary policy (Bank for International Settlements Working papers 281, Apr 2009) | Abstract
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| | David C. Wheelock, and Paul Wilson: Robust, Dynamic Nonparametric Benchmarking: The Evolution of Cost-Productivity and Efficiency Among U.S. Credit Unions (St Louis Fed Working Papers 2009-008, Mar 2009) | Abstract
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| | Jean-Marie Dufour, Lynda Khalaf, and Maral Kichian: Assessing Indexation-Based Calvo Inflation Models (Bank of Canada Working papers 2009-07, Feb 2009) | Abstract
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| | Karim Barhoumi, Olivier Darné and Laurent Ferrara: Are disaggregate data useful for factor analysis in forecasting French GDP? (Bank of France Working Papers Nr 232, Feb 2009) | Abstract
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| | Peter ter Berg: Unification of the Fréchet and Weibull Distribution (Netherlands Bank DNB Working Papers 198, Jan 2009) | Full text |
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| | Halbert White: Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR (European Central Bank Working papers 0957, Nov 2008) | Full text |
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| | Marta Banbura: Large Bayesian VARs (European Central Bank Working papers 0966, Nov 2008) | Full text |
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| | David C. Wheelock, and Paul Wilson: Are Credit Unions Too Small? (St Louis Fed Working Papers 2008-033, Sep 2008) | Abstract
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| | Klaus Böcker, Martin Hillebrand: Interaction of market and credit risk:an analysis of inter-risk correlation and risk aggregation (Deutsche Bundesbank Banking Supervision Discussion Papers 2008/11, Jun 2008) | Full text |
|
| | by Sophocles N. Brissimis and Nicholas S. Magginas: Inflation Forecasts and the New Keynesian Phillips Curve (IJCB International Journal of Central Banking 08q2a1, May 2008) | Abstract
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| | Mathias Drehmann, Steffen Sorensen and Marco Stringa: The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective (Bank of England Working papers 339, Apr 2008) | Abstract
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| | Nikolay Gospodinov, Raymond Kan, and Cesare Robotti: Working Paper 2010-4 (Atlanta Fed Working papers 2010-04, 10 Mar 2008) | Abstract
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|
| | Virginia Queijo von Heideken: Monetary Policy Regimes and the Volatility of Long-Term Interest Rates (Sveriges Riksbank Working Papers 220, 07 Mar 2008) | Abstract
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| | Gianni Amisano and Roberto Savona: Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk. (European Central Bank Working papers 0881, Mar 2008) | Full text |
|
| | Laurence Fung and Ip-wing Yu: Predicting Stock Market Returns by Combining Forecasts (Hong Kong Monetary Authority Working Papers WP08_01, Mar 2008) | Abstract
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| | by Nikola A. Tarashev: An Empirical Evaluation of Structural Credit-Risk Models (IJCB International Journal of Central Banking 08q1a1, Feb 2008) | Abstract
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| | Cortés Espada Josué Fernando; Ramos Francia Manuel; Torres García Alberto: An Empirical Analysis of the Mexican Term Structure of Interest Rates. (Bank of Mexico Working Papers 2008-07, 2008) | Full text |
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| | Cortés Espada Josué Fernando; Ramos Francia Manuel: A Macroeconomic Model of the Term Structure of Interest Rates in Mexico. (Bank of Mexico Working Papers 2008-10, 2008) | Full text |
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| | Cortés Espada Josué Fernando; Ramos Francia Manuel: An Affine Model of the Term Structure of Interest Rates in Mexico (Bank of Mexico Working Papers 2008-09, 2008) | Full text |
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| | Ip-wing Yu, Laurence Fung and Chi-sang Tam: Assessing Bond Market Integration in Asia (Hong Kong Monetary Authority Working Papers WP07_10, Jun 2007) | Abstract
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| | Peter Lildholdt, Nikolaos Panigirtzoglou and Chris Peacock: An affine macro-factor model of the UK yield curve (Bank of England Working papers 322, Jun 2007) | Abstract
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| | Jeong-Ryeol Kurz-Kim, Mico Loretan: A note on the coefficient of determination in regression models with infinite-variance variables (Deutsche Bundesbank Discussion Papers 200710, 14 May 2007) | Full text |
|
| | Jeong-Ryeol Kurz-Kim and Mico Loretan: A Note on the Coefficient of Determination in Models with Infinite Variance Variables (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0895, May 2007) | Abstract
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| | Ip-wing Yu, Laurence Fung and Chi-sang Tam: Assessing Financial Market Integration In Asia - Equity Markets (Hong Kong Monetary Authority Working Papers WP07_04, Apr 2007) | Abstract
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|
| | Todd Prono: 07-1 (Boston Fed Working papers 07-01, Apr 2007) | Abstract
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| | Celso Brunetti, Roberto S. Mariano, Chiara Scotti, and Augustine H.H. Tan: Markov Switching GARCH Models of Currency Turmoil in Southeast Asia (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0889, Jan 2007) | Abstract
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| | Carla Ysusi: Multipower Variation Under Market Microstructure Effects (Bank of Mexico Working Papers 2007-13, 2007) | Full text |
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| | Sylvain Champonnois: Comparing financial systems: a structural analysis (European Central Bank Working papers 0702, Dec 2006) | Full text |
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| | Christine De Mol: Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to principal components? (European Central Bank Working papers 0700, Dec 2006) | Full text |
|
| | Christine De Mol, Domenico Giannone, Lucrezia Reichlin: Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components? (Deutsche Bundesbank Discussion Papers 200632, 13 Oct 2006) | Full text |
|
| | Roberto A. De Santis: The geography of international portfolio flows, international CAPM and the role of monetary policy frameworks (European Central Bank Working papers 0678, Sep 2006) | Full text |
|
| | Federico Ravenna: Vector autoregressions and reduced form representations of DSGE models (Bank of Spain Working Papers 0619, Sep 2006) | Abstract
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| | Richard G. Anderson, Hailong Qian, and Robert H. Rasche: Analysis of Panel Vector Error Correction Models Using Maximum Likelihood, the Bootstrap, and Canonical-Correlation Estimators (St Louis Fed Working Papers 2006-050, Aug 2006) | Full text |
|
| | David C. Wheelock, and Paul Wilson: Robust Non-parametric Quantile Estimation of Efficiency and Productivity Change in U.S. Commercial Banking, 1985-2004 (St Louis Fed Working Papers 2006-041, Jun 2006) | Full text |
|
| | Carry Mout: An Upper Bound of the Sum of Risks: two Applications of Comonotonicity (Netherlands Bank DNB Working Papers 105, Jun 2006) | Full text |
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| | Roberto A. De Santis and Bruno Gérard: Financial integration, international portfolio choice and the European Monetary Union (European Central Bank Working papers 0626, May 2006) | Full text |
|
| | Jeffery D Amato and Maurizio Luisi: Macro factors in the term structure of credit spreads (Bank for International Settlements Working papers 203, Mar 2006) | Abstract
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| | Simone Manganelli: A new theory of forecasting (European Central Bank Working papers 0584, Jan 2006) | Full text |
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| | Fabio Canova and Luca Sala: Back to square one: identification issues in DSGE models (European Central Bank Working papers 0583, Jan 2006) | Full text |
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| | Jörg Breitung, Sandra Eickmeier: Dynamic factor models (Deutsche Bundesbank Discussion Papers 200538, 22 Nov 2005) | Full text |
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| | Jeffery D Amato and Eli M Remolona: The pricing of unexpected credit losses (Bank for International Settlements Working papers 190, Nov 2005) | Abstract
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| | Jean-Marie Dufour, Lynda Khalaf, and Maral Kichian: Inflation Dynamics and the New Keynesian Phillips Curve: An Identification-Robust Econometric Analysis (Bank of Canada Working papers 2005-27, Oct 2005) | Abstract
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| | Alain Durré and Pierre Giot: An international analysis of earnings, stock prices and bond yields (European Central Bank Working papers 0515, Aug 2005) | Full text |
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| | Alan P Murphy: An Economic Activity Index for Ireland: The Dynamic Single-Factor Method (Central Bank and Financial Services Authority of Ireland Research Technical Papers 05/RT/04, Aug 2005) | Abstract
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| | Matthias Mohr: A trend-cycle(-season) filter (European Central Bank Working papers 0499, Jul 2005) | Full text |
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| | Maarten Dossche and Gerdie Everaert: Measuring inflation persistence: a structural time series approach (National Bank of Belgium Working Papers 070, 21 Jun 2005) | Abstract
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| | Maarten Dossche and Gerdie Everaert: Measuring inflation persistence: a structural time series approach (European Central Bank Working papers 0495, Jun 2005) | Full text |
|
| | Henrik Amilon: Estimation of an Adaptive Stock Market Model with Heterogeneous Agents (Sveriges Riksbank Working Papers 177, 24 Feb 2005) | Abstract
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| | (DNB): A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets (Netherlands Bank DNB Working Papers 022, Dec 2004) | Full text |
|
| | Gonzalo Camba-Mendez and George Kapetanios: Forecasting euro area inflation using dynamic factor measures of underlying inflation (European Central Bank Working papers 0402, Nov 2004) | Full text |
|
| | (DNB): On the predictability of GDP data revisions in the Netherlands (Netherlands Bank DNB Working Papers 004, Jul 2004) | Full text |
|
| | Mattias Villani: Bayes Estimators of the Cointegration Space (Sveriges Riksbank Working Papers 150, 01 Sep 2003) | Abstract
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| | Joăo Valle e Azevedo, Siem Jan Koopman, António Rua: Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area (Bank of Portugal Working papers 200316, May 2003) | Abstract
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| | José Brandăo de Brito, Felipa de Mello Sampayo: The Timing and Probability of FDI: An Application to the United States Multinational Enterprises (Bank of Portugal Working papers 200302, May 2003) | Abstract
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| | Joshua V. Rosenberg: Nonparametric Pricing of Multivariate Contingent Claims (Federal Reserve Bank of New York Staff reports 162, Mar 2003) | Abstract
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| | Glen Donaldson, Mark Kamstra, and Lisa Kramer: Stare Down the Barrel and Center the Crosshairs: Targeting the Ex Ante Equity Premium (Atlanta Fed Working papers 2003-4, Jan 2003) | Abstract
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| | Joăo Valle e Azevedo: Business Cycles: Cyclical Comovement Within the European Union in the Period 1960-1999. A Frequency Domain Approach (Bank of Portugal Working papers 200205, May 2002) | Abstract
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| | José Ferreira Machado, Joăo Santos Silva: Identification with Averaged Data and Implications for Hedonic Regression Studies (Bank of Portugal Working papers 200110, May 2001) | Abstract
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| C14 Semiparametric and Nonparametric Methods |
| | Sophocles N. Brissimis, Manthos D. Delis: Bank heterogeneity and monetary policy transmission, (European Central Bank Working papers 1233, 16 Aug 2010) | Full text |
|
| | Torben G. Andersen, Dobrislav Dobrev, and Ernst Schaumburg: Jump-Robust Volatility Estimation using Nearest Neighbor Truncation (Federal Reserve Bank of New York Staff reports 465, Aug 2010) | Abstract
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| | Ulf von Kalckreuth, Leonid Silbermann: Bubbles and incentives: a post-mortem of the Neuer Markt in Germany (Deutsche Bundesbank Discussion Papers 201015, 23 Jul 2010) | Full text |
|
| | Ken Nyholm, Rositsa Vidova-Koleva: Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?, (European Central Bank Working papers 1205, 08 Jun 2010) | Full text |
|
| | Matias D. Cattaneo, Richard K. Crump, and Michael Jansson: Bootstrapping Density-Weighted Average Derivatives (Federal Reserve Bank of New York Staff reports 452, May 2010) | Abstract
Full text |
|
| | Guillaume Horny and Matteo Picchio: Identification of lagged duration dependence in multiple-spell competing risks models (Bank of France Working Papers Nr 260, Dec 2009) | Abstract
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|
| | Sergei Koulayev: Estimating Demand in Search Markets: The Case of Online Hotel Bookings (Boston Fed Working papers 09-16, Dec 2009) | Abstract
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|
| | Guillaume Horny: Inference in Mixed Proportional Hazard Models with K Random Effects (Bank of France Working Papers Nr 248, Aug 2009) | Abstract
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|
| | Chen Zhou: Dependence structure of risk factors and diversification effects (Netherlands Bank DNB Working Papers 219, Jul 2009) | Full text |
|
| | Mark Mink and Jochen Mierau: Measuring Stock Market Contagion with an Application to the Sub-prime Crisis (Netherlands Bank DNB Working Papers 217, Jul 2009) | Full text |
|
| | Sandra Gaisser, Christoph Memmel, Rafael Schmidt, Carsten Wehn: Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books - a multivariate nonparametric approach (Deutsche Bundesbank Banking Supervision Discussion Papers 2009/07, Jun 2009) | Full text |
|
| | David C. Wheelock, and Paul Wilson: Robust, Dynamic Nonparametric Benchmarking: The Evolution of Cost-Productivity and Efficiency Among U.S. Credit Unions (St Louis Fed Working Papers 2009-008, Mar 2009) | Abstract
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|
| | Jian Wang and Jason J. Wu: The Taylor Rule and Interval Forecast for Exchange Rates (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0963, Jan 2009) | Abstract
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|
| | Peńa Tonatiuh; Martínez Serafín; Abudu Bolanle: Bankruptcy Prediction: A Comparison of Some Statistical and Machine Learning Techniques (Bank of Mexico Working Papers 2009-18, 2009) | Full text |
|
| | Ana Lacerda, Russ A.Moro: Analysis of the Predictors of Default for Portuguese Firms (Bank of Portugal Working papers 200822, Dec 2008) | Abstract
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|
| | Joăo Valle e Azevedo, Ana Pereira: Approximating and Forecasting Macroeconomic Signals in Real-Time (Bank of Portugal Working papers 200819, Nov 2008) | Abstract
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|
| | Gábor Kátay-Zoltán Wolf: Driving Factors of Growth in Hungary - a Decomposition Exercise (Magyar Nemzeti Bank (the central bank of Hungary) Working papers 2008/06, Sep 2008) | Abstract
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|
| | David C. Wheelock, and Paul Wilson: Are Credit Unions Too Small? (St Louis Fed Working Papers 2008-033, Sep 2008) | Abstract
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|
| | Jason Allen, Allan W. Gregory, and Katsumi Shimotsu: Empirical Likelihood Block Bootstrapping (Bank of Canada Working papers 2008-18, Jun 2008) | Abstract
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|
| | Laura Coroneo: How Arbitrage-free is the Nelson-Siegel Model? (European Central Bank Working papers 0874, Feb 2008) | Full text |
|
| | António Afonso: Income distribution determinants and public spending efficiency (European Central Bank Working papers 0861, Jan 2008) | Full text |
|
| | Rodríguez Arnulfo; Zúńiga Gerardo; Rodríguez Pedro N.: Analysis of the Performance of Mexican Pension Funds: Evidence from a Stationary Bootstrap Application (Bank of Mexico Working Papers 2008-02, 2008) | Full text |
|
| | Wolfgang K. Härdle, Rouslan A. Moro, Dorothea Schäfer: Estimating probabilities of default with support vector machines (Deutsche Bundesbank Banking Supervision Discussion Papers 2007/18, Dec 2007) | Full text |
|
| | John Geweke and Gianni Amisano: Hierarchical Markov normal mixture models with applications to financial asset returns (European Central Bank Working papers 0831, Nov 2007) | Full text |
|
| | Pedro Portugal: U.S. Unemployment Duration: Has Long Become Longer or Short Become Shorter? (Czech National Bank Working papers 2007/17, Nov 2007) | Abstract
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|
| | Joăo Valle e Azevedo: A Multivariate Band-Pass Filter (Bank of Portugal Working papers 200717, Oct 2007) | Abstract
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|
| | Malte Knüppel, Karl-Heinz Tödter: Quantifying risk and uncertainty in macroeconomic forecasts (Deutsche Bundesbank Discussion Papers 200725, 21 Sep 2007) | Full text |
|
| | Harry Partouche: Time-Varying Coefficients in a GMM Framework: Estimation of a Forward Looking Taylor Rule for the Federal Reserve (Bank of France Working Papers Nr 177, Sep 2007) | Abstract
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| | Joăo Amador, Sónia Cabral, José Ramos Maria: International Trade Patterns over the Last Four Decades: How does Portugal Compare with other Cohesion Countries? (Bank of Portugal Working papers 200714, Sep 2007) | Abstract
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|
| | Steinar Holden and Fredrik Wulfsberg: How Strong is the Case for Downward Real Wage Rigidity? (Boston Fed Working papers 07-06, Jul 2007) | Abstract
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| | Bernardina Algieri and Thierry Bracke: Patterns of current account adjustment: insights from past experience (European Central Bank Working papers 0762, Jun 2007) | Full text |
|
| | David Jamieson Bolder and Tiago Rubin: Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis (Bank of Canada Working papers 2007-13, Feb 2007) | Abstract
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|
| | Barry E. Jones and Travis D. Nesmith: Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics (Board of Governors of the Federal Reserve System FEDS series 2007-03, Feb 2007) | Abstract
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|
| | Simone Manganelli: Asset allocation by penalized least squares (European Central Bank Working papers 0723, Feb 2007) | Full text |
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| | Joăo Amador, Sónia Cabral, José Ramos Maria: Relative Export Structures and Vertical Specialization: A Simple Cross-Country Index (Bank of Portugal Working papers 200701, Jan 2007) | Abstract
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|
| | Barry E. Jones and Livio Stracca: Are money and consumption additively separable in the euro area? A non-parametric approach (European Central Bank Working papers 0704, Dec 2006) | Full text |
|
| | Terhi Jokipii: Forecasting market crashes: further international evidence (Bank of Finland Discussion Papers 2006/22, 03 Oct 2006) | Abstract
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|
| | Aitor Lacuesta: Emigration and human capital: who leaves, who comes back and what difference does it make? (Bank of Spain Working Papers 0620, Aug 2006) | Abstract
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| | Richard G. Anderson, Hailong Qian, and Robert H. Rasche: Analysis of Panel Vector Error Correction Models Using Maximum Likelihood, the Bootstrap, and Canonical-Correlation Estimators (St Louis Fed Working Papers 2006-050, Aug 2006) | Full text |
|
| | Hui Guo, Zijun Wang, and Jian Yang: Does Aggregate Relative Risk Aversion Change Countercyclically over Time? Evidence from the Stock Market (St Louis Fed Working Papers 2006-047, Aug 2006) | Full text |
|
| | Sascha O. Becker, Marc-Andreas Mündler: Margins of multinational labor substitution (Deutsche Bundesbank Discussion Papers 200624, 18 Jul 2006) | Full text |
|
| | José Ferreira Machado, Pedro Portugal, Juliana Guimarăes: U.S. Unemployment Duration: Has Long Become Longer or Short Become Shorter? (Bank of Portugal Working papers 200613, Jun 2006) | Abstract
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|
| | David C. Wheelock, and Paul Wilson: Robust Non-parametric Quantile Estimation of Efficiency and Productivity Change in U.S. Commercial Banking, 1985-2004 (St Louis Fed Working Papers 2006-041, Jun 2006) | Full text |
|
| | Patrick Lünnemann and Thomas Y. Mathä: New survey evidence on the pricing behaviour of Luxembourg firms (European Central Bank Working papers 0617, May 2006) | Full text |
|
| | Mikael Bask - Tung Liu - Anna Widerberg: The stability of electricity prices: estimation and inference of the Lyapunov exponents (Bank of Finland Discussion Papers 2006/09, 31 Jan 2006) | Abstract
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|
| | Tommi A. Vuorenmaa: A wavelet analysis of scaling laws and long-memory in stock market volatility (Bank of Finland Discussion Papers 2005/27, 31 Jan 2006) | Abstract
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|
| | António Afonso: Public sector efficiency: evidence for new EU member states and emerging markets (European Central Bank Working papers 0581, Jan 2006) | Full text |
|
| | Benjamin Yibin Zhang, Hao Zhou, and Haibin Zhu: Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (Board of Governors of the Federal Reserve System FEDS series 2005-63, Dec 2005) | Abstract
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|
| | Fuchun Li: Testing the Parametric Specification of the Diffusion Function in a Diffusion Process (Bank of Canada Working papers 2005-35, Nov 2005) | Abstract
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|
| | Feng Zhu: A nonparametric analysis of the shape dynamics of the US personal income distribution: 1962-2000 (Bank for International Settlements Working papers 184, Oct 2005) | Abstract
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|
| | Benjamin Yibin Zhang, Hao Zhou and Haibin Zhu: Explaining credit default swap spreads with equity volatility and jump risks of individual firms (Bank for International Settlements Working papers 181, Sep 2005) | Abstract
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| | Lorenzo Cappiello: Measuring comovements by regression quantiles (European Central Bank Working papers 0501, Jul 2005) | Full text |
|
| | António Afonso and Miguel St. Aubyn: Cross-country efficiency of secondary education provision: a semi-parametric analysis with non-discretionary inputs (European Central Bank Working papers 0494, Jun 2005) | Full text |
|
| | (DNB): no 033- Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB Statements (Netherlands Bank DNB Working Papers 033, Apr 2005) | Full text |
|
| | Stefania P. S. Rossi, Markus Schwaiger, Gerhard Winkler: Managerial Behavior and Cost/Profit Efficiency in the Banking Sectors of Central and Eastern European Countries (Austrian National Bank Working Papers WP096, 15 Mar 2005) | Abstract
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|
| | Anil Kumar: Lifecycle Consistent Estimation of Effect of Taxes on Female Labor Supply in the U.S: Evidence from Panel Data (Dallas Fed Working Papers wp0504, Mar 2005) | Full text |
|
| | Anil Kumar: Nonparametric Estimation of the Impact of Taxes on Female Labor Supply (Dallas Fed Working Papers wp0505, Mar 2005) | Full text |
|
| | Helinä Laakkonen: The impact of macroeconomic news on exchange rate volatility (Bank of Finland Discussion Papers 2004/24, 07 Dec 2004) | Abstract
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|
| | Patrick Lünnemann and Thomas Y. Mathä: How persistent is disaggregate inflation? An analysis across EU 15 countries and HICP sub-indices (European Central Bank Working papers 0415, Nov 2004) | Full text |
|
| | Rubén Hernández-Murillo and John Knowles: Racial Profiling or Racist Policing?: Bounds Tests in Aggregate Data (St Louis Fed Working Papers 2004-012, Jun 2004) | Full text |
|
| | Tor Jacobson , Jesper Lindé and Kasper Roszbach: Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different? (Sveriges Riksbank Working Papers 162, 01 Apr 2004) | Abstract
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|
| | Tor Jacobson , Jesper Lindé and Kasper Roszbach: Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks' Risk Classification Policies (Sveriges Riksbank Working Papers 155, 01 Dec 2003) | Abstract
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|
| | António Afonso: Public sector efficiency: an international comparison (European Central Bank Working papers 0242, Jul 2003) | Full text |
|
| | António Rua, Luís Catela Nunes: Coincident and Leading Indicators for the Euro Area: A Frequency Band Approach (Bank of Portugal Working papers 200307, May 2003) | Abstract
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|
| | Magnus Andersson and Magnus Lomakka: Evaluating Implied RNDs by Some New Confidence Interval Estimation Techniques (Sveriges Riksbank Working Papers 146, 01 Jan 2003) | Abstract
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| | Thomas Werner and Christian Upper: Time variation in the tail behaviour of bunds futures returns (European Central Bank Working papers 0199, Dec 2002) | Full text |
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| | José A. F. Machado, Pedro Portugal: Exploring Transition Data Througt Quantile Regression Methods: na Application to U.S. Unemployment Duration (Bank of Portugal Working papers 200201, May 2002) | Abstract
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|
| | Michelle L. Barnes and Anthony W. Hughes: A Quantile Regression Analysis of the Cross Section of Stock Market Returns (Boston Fed Working papers 02-02, Apr 2002) | Abstract
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| C15 Statistical Simulation Methods; Monte Carlo Methods |
| | Torben G. Andersen, Dobrislav Dobrev, and Ernst Schaumburg: Jump-Robust Volatility Estimation using Nearest Neighbor Truncation (Federal Reserve Bank of New York Staff reports 465, Aug 2010) | Abstract
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|
| | Matthieu Lemoine and Christophe Mougin: The Growth-Volatility Relationship: New Evidence Based on Stochastic Volatility in Mean Models (Bank of France Working Papers Nr 285, Jul 2010) | Abstract
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|
| | Ken Nyholm, Rositsa Vidova-Koleva: Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?, (European Central Bank Working papers 1205, 08 Jun 2010) | Full text |
|
| | Thomas Breuer, Martin Jandacka, Javier Menc?a and Martin Summer: A systematic approach to multi-period stress testing of portfolio credit risk (Bank of Spain Working Papers 1018, Jun 2010) | Abstract
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|
| | Paulo M.M. Rodrigues; Antonio Rubia: The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance (Bank of Portugal Working papers 201011, Jun 2010) | Abstract
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|
| | Nikola Tarashev, Claudio Borio and Kostas Tsatsaronis: Attributing systemic risk to individual institutions, May 2010 (Bank for International Settlements Working papers 308, May 2010) | Abstract
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|
| | Miguel A. León-Ledesma, Peter McAdam, Alpo Willman,: In dubio pro CES - Supply estimation with mis-specified technical change, (European Central Bank Working papers 1175, 21 Apr 2010) | Full text |
|
| | Jens Mehrhoff: A solution to the problem of too many instruments in dynamic panel data GMM (Deutsche Bundesbank Discussion Papers 200931, 06 Nov 2009) | Full text |
|
| | Fabio Canova, Matteo Ciccarelli and Eva Ortega: Do institutional changes affect business cycles? Evidence from Europe (Bank of Spain Working Papers 0921, Sep 2009) | Abstract
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|
| | Patrick Fčve, Julien Matheron and Jean-Guillaume Sahuc (in French): Minimum Distance Estimation and Testing of DSGE Models from Structural VARs (Bank of France Working Papers Nr 245, Aug 2009) | Abstract
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|
| | Ramdane Djoudad: Simulations du ratio du service de la dette des consommateurs en utilisant des données micro (Bank of Canada Working papers 2009-18, Jun 2009) | Abstract
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|
| | Giovanni Caggiano, George Kapetanios, Vincent Labhard: Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK (European Central Bank Working papers 1051, 13 May 2009) | Full text |
|
| | Thomas Breuer, Martin Jandacka, Klaus Rheinberger and Martin Summer: How to find plausible, severe, and useful stress scenarios (Austrian National Bank Working Papers WP150, 05 Feb 2009) | Abstract
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|
| | Daniel O. Beltran and David Draper: Estimating the Parameters of a Small Open Economy DSGE Model: Identifiability and Inferential Validity (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0955, Nov 2008) | Abstract
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|
| | Esa Jokivuolle – Kimmo Virolainen – Oskari Vähämaa: Macro-model-based stress testing of Basel II capital requirements (Bank of Finland Discussion Papers 2008/17, 01 Sep 2008) | Abstract
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|
| | Miroslav Misina and David Tessier: Non-Linearities, Model Uncertainty, and Macro Stress Testing (Bank of Canada Working papers 2008-30, Sep 2008) | Abstract
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|
| | Ulf von Kalckreuth: Panel estimation of state dependent adjustment when the target is unobserved (Deutsche Bundesbank Discussion Papers 200809, 09 Jun 2008) | Full text |
|
| | Virginia Queijo von Heideken: How Important are Financial Frictions in the U.S. and the Euro Area (Sveriges Riksbank Working Papers 223, 05 Jun 2008) | Abstract
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|
| | Thomas Breuer, Martin Jandacka, Klaus Rheinberger, Martin Summer: Regulatory capital for market and credit risk interaction: is current regulation always conservative? (Deutsche Bundesbank Banking Supervision Discussion Papers 2008/14, Jun 2008) | Full text |
|
| | by Nikola Tarashev and Haibin Zhu: Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model (IJCB International Journal of Central Banking 08q2a4, May 2008) | Abstract
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|
| | Nikola Tarashev, Haibin Zhu: The pricing of correlated default risk: evidence from the credit derivatives market (Deutsche Bundesbank Banking Supervision Discussion Papers 2008/09, May 2008) | Full text |
|
| | Jan Willem van den End: Liquidity Stress-Tester: A macro model for stress-testing banks' liquidity risk (Netherlands Bank DNB Working Papers 175, May 2008) | Full text |
|
| | Michael B. Gordy and Sandeep Juneja: Nested Simulation in Portfolio Risk Measurement (Board of Governors of the Federal Reserve System FEDS series 2008-21, Apr 2008) | Abstract
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|
| | Virginia Queijo von Heideken: Monetary Policy Regimes and the Volatility of Long-Term Interest Rates (Sveriges Riksbank Working Papers 220, 07 Mar 2008) | Abstract
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|
| | Laura Coroneo: How Arbitrage-free is the Nelson-Siegel Model? (European Central Bank Working papers 0874, Feb 2008) | Full text |
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| | Vassilis Hajivassiliou and Frédérique Savignac: Financing Constraints and a Firm's Decision and Ability to Innovate: Establishing Direct and Reverse Effects (Bank of France Working Papers Nr 202, Feb 2008) | Abstract
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|
| | Marcelo Sánchez: Oil shocks and endogenous markups: results from an estimated euro area DSGE model (European Central Bank Working papers 0860, Jan 2008) | Full text |
|
| | Gonzalo Camba-Méndez and George Kapetanios: Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling (European Central Bank Working papers 0850, Jan 2008) | Full text |
|
| | Noriega Antonio E.; Soria Luis M.; Velázquez Ramón: International Evidence on Stochastic and Deterministic Monetary Neutrality (Bank of Mexico Working Papers 2008-04, 2008) | Full text |
|
| | Laurence Fung and Ip-wing Yu: Assessing the Credibility of The Convertibility Zone of The Hong Kong Dollar (Hong Kong Monetary Authority Working Papers WP07_19, Dec 2007) | Abstract
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| | Maarten van Rooij, Arjen Siegmann and Peter Vlaar: Market Valuation, Pension Fund Policy and Contribution Volatility (Netherlands Bank DNB Working Papers 159, Dec 2007) | Full text |
|
| | Erik Hjalmarsson and Par Osterholm: Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0915, Dec 2007) | Abstract
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|
| | Michael K Andersson and Sune Karlsson: Bayesian forecast combination for VAR models (Sveriges Riksbank Working Papers 216, 22 Nov 2007) | Abstract
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|
| | Marco J. Lombardi and Silvia Sgherri: (Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate (European Central Bank Working papers 0794, Aug 2007) | Full text |
|
| | Steinar Holden and Fredrik Wulfsberg: How Strong is the Case for Downward Real Wage Rigidity? (Boston Fed Working papers 07-06, Jul 2007) | Abstract
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|
| | Nikola A. Tarashev and Haibin Zhu: Modelling and calibration errors in measures of portfolio credit risk (Bank for International Settlements Working papers 230, Jun 2007) | Abstract
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|
| | Jana Eklund, Sune Karlsson: Computational Efficiency in Bayesian Model and Variable Selection (Central Bank of Iceland Working Papers 35, May 2007) | Abstract
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|
| | Gianni Amisano and Oreste Tristani: Euro area inflation persistence in an estimated nonlinear DSGE model (European Central Bank Working papers 0754, May 2007) | Full text |
|
| | David Jamieson Bolder and Tiago Rubin: Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis (Bank of Canada Working papers 2007-13, Feb 2007) | Abstract
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|
| | Miroslav Misina, David Tessier, and Shubhasis Dey: Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector (Bank of Canada Working papers 2006-47, Dec 2006) | Abstract
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|
| | Anders Warne: Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3 (European Central Bank Working papers 0692, Nov 2006) | Full text |
|
| | Jean-Marie Dufour and David Tessier: Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices (Bank of Canada Working papers 2006-39, Oct 2006) | Abstract
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|
| | Pär Österholm: Incorporating Judgement in Fan Charts (Board of Governors of the Federal Reserve System FEDS series 2006-39, Oct 2006) | Abstract
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|
| | Nikola A. Tarashev and Haibin Zhu: The pricing of portfolio credit risk (Bank for International Settlements Working papers 214, Sep 2006) | Abstract
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|
| | Wolfgang Gerke, Ferdinand Mager, Timo Reinschmidt, Christian Schmieder: Empirical risk analysis of pension insurance - the case of Germany (Deutsche Bundesbank Banking Supervision Discussion Papers 2006/07, Sep 2006) | Full text |
|
| | Kurt F. Lewis, Charles H. Whiteman: Empirical Bayesian density forecasting in Iowa and shrinkage for the Monte Carlo era (Deutsche Bundesbank Discussion Papers 200628, 29 Aug 2006) | Full text |
|
| | Richard G. Anderson, Hailong Qian, and Robert H. Rasche: Analysis of Panel Vector Error Correction Models Using Maximum Likelihood, the Bootstrap, and Canonical-Correlation Estimators (St Louis Fed Working Papers 2006-050, Aug 2006) | Full text |
|
| | Carlos Bernadell: A factor risk model with reference returns for the US dollar and Japanese yen bond markets (European Central Bank Working papers 0641, Jun 2006) | Full text |
|
| | Paolo Giordani and Robert Kohn: Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models (Sveriges Riksbank Working Papers 196, 24 May 2006) | Abstract
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|
| | Marek Jarocinski: Responses to Monetary Policy Shocks in the East and the West of Europe: A Comparison (Austrian National Bank Working Papers WP124, 17 May 2006) | Abstract
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|
| | Philip Liu: A Small New Keynesian Model of the New Zealand economy (Reserve Bank of New Zealand Discussion Papers DP2006/03, May 2006) | Abstract
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|
| | by Helmut Elsinger, Alfred Lehar, and Martin Summer: Using Market Information for Banking System Risk Assessment (IJCB International Journal of Central Banking 06q1a4, Feb 2006) | Abstract
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|
| | Erik Hjalmarsson: Should We Expect Significant Out-of-Sample Results When Predicting Stock Returns? (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0855, Feb 2006) | Abstract
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|
| | Zoltán Varsányi: Pillar I treatment of concentrations in the banking book - a multifactor approach (Magyar Nemzeti Bank (the central bank of Hungary) Working papers 2006/11, Jan 2006) | Abstract
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| | Jörg Breitung, M. Hashem Pesaram: Unit roots and cointegration in panels (Deutsche Bundesbank Discussion Papers 200542, 30 Nov 2005) | Full text |
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| | Balázs Égert, László Halpern and Ronald MacDonald: Equilibrium Exchange Rates in Transition Economies:Taking Stock of the Issues (Austrian National Bank Working Papers WP106, 15 Nov 2005) | Abstract
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| | Michael J. Dueker, Stephen J. Spurr, Ada K. Jacox, and David E. Kalist: The Practice Boundaries of Advanced Practice Nurses: An Economic and Legal Analysis (St Louis Fed Working Papers 2005-071, Nov 2005) | Full text |
|
| | Feng Zhu: A nonparametric analysis of the shape dynamics of the US personal income distribution: 1962-2000 (Bank for International Settlements Working papers 184, Oct 2005) | Abstract
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|
| | António R. Antunes: Analysis of delinquent firms using multi-state transitions (Bank of Portugal Working papers 200505, Jun 2005) | Abstract
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| | Balázs Égert, László Halpern: Equilibrium exchange rates in Central and Eastern Europe: A meta-regression analysis (Bank of Finland BOFIT Discussion Papers 2005/04, 05 May 2005) | Abstract
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| | Alessandro Calza and Joăo Sousa: Output and inflation responses to credit shocks: are there threshold effects in the euro area? (European Central Bank Working papers 0481, Apr 2005) | Full text |
|
| | Henrik Amilon: Estimation of an Adaptive Stock Market Model with Heterogeneous Agents (Sveriges Riksbank Working Papers 177, 24 Feb 2005) | Abstract
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|
| | George Kapetanios, Vincent Labhard and Simon Price: Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation (Bank of England Working papers 268, 2005) | Abstract
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|
| | Ingo Fender and John Kiff: CDO rating methodology: Some thoughts on model risk and its implications (Bank for International Settlements Working papers 163, Nov 2004) | Abstract
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|
| | Jeffrey C. Fuhrer and Giovanni P. Olivei: Estimating Forward Looking Euler Equations with GMM Estimators: An Optimal Instruments Approach (Boston Fed Working papers 04-02, Nov 2004) | Abstract
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|
| | Kimmo Virolainen: Macro stress testing with a macroeconomic credit risk model for Finland (Bank of Finland Discussion Papers 2004/18, 12 Oct 2004) | Abstract
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| | Tor Jacobson , Jesper Lindé and Kasper Roszbach: Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different? (Sveriges Riksbank Working Papers 162, 01 Apr 2004) | Abstract
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|
| | James Morley and Jeremy M. Piger: A Steady-State Approach to Trend/Cycle Decomposition (St Louis Fed Working Papers 2004-006, Mar 2004) | Full text |
|
| | Ágnes Lublóy: Systemic Risk Implications of the Hungarian Interbank Market (Magyar Nemzeti Bank (the central bank of Hungary) Working papers 2004/10, 2004) | Abstract
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| | Tor Jacobson , Jesper Lindé and Kasper Roszbach: Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks' Risk Classification Policies (Sveriges Riksbank Working Papers 155, 01 Dec 2003) | Abstract
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|
| | James M. Nason and John H. Rogers: The Present-Value Model of the Current Account Has Been Rejected: Round Up the Usual Suspects (Atlanta Fed Working papers 2003-7a, Oct 2003) | Abstract
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| | Sylvia Frühwirth-Schnatter, Sylvia Kaufmann: Investigating asymmetries in the bank lending channel. An analysis using Austrian banks' balance sheet data (Austrian National Bank Working Papers WP085, 28 Jul 2003) | Abstract
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| | Sylvia Kaufmann: The business cycle of European countries Bayesian clustering of country- individual IP growth series (Austrian National Bank Working Papers WP083, 14 Jul 2003) | Abstract
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| | Jonathan Kearns and Roberto Rigobon: Identifying the Efficacy of Central Bank Interventions: Evidence from Australia (Reserve Bank of Australia Research Discussion Papers RDP2003-04, Apr 2003) | Abstract
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| | Glen Donaldson, Mark Kamstra, and Lisa Kramer: Stare Down the Barrel and Center the Crosshairs: Targeting the Ex Ante Equity Premium (Atlanta Fed Working papers 2003-4, Jan 2003) | Abstract
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| | Tor Jacobson , Johan Lyhagen , Rolf Larsson and Marianne Nessén: Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model (Sveriges Riksbank Working Papers 145, 01 Dec 2002) | Abstract
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|
| | Jesus Fernández-Villaverde and Juan F. Rubio-Ramírez: Comparing Dynamic Equilibrium Economies to Data (Atlanta Fed Working papers 2001-23, Nov 2001) | Abstract
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| | Pau Rabanal and Juan F. Rubio-Ramírez: Nominal versus Real Wage Rigidities: A Bayesian Approach (Atlanta Fed Working papers 2001-22, Nov 2001) | Abstract
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| C19 Other |
| | Ysusi Carla: Consumer Price Behavior in Mexico Under Inflation Targeting: A Microdata Approach (Bank of Mexico Working Papers 2010-09, 2010) | Full text |
|
| | Olli Castrén, Trevor Fitzpatrick, Matthias Sydow: Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks (European Central Bank Working papers 1002, 11 Feb 2009) | Full text |
|
| | Josep Maria Puigvert Gutiérrez and Josep Fortiana Gregori: Clustering techniques applied to outlier detection of financial market series using a moving window filtering algorithm (European Central Bank Working papers 0948, Oct 2008) | Full text |
|
| | Jan De Wit: Exploring the CDS-Bond Basis (National Bank of Belgium Working Papers 104, 16 Nov 2006) | Abstract
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|
| | Feng Zhu: The fragility of the Phillips curve: A bumpy ride in the frequency domain (Bank for International Settlements Working papers 183, Oct 2005) | Abstract
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|
| | Patrick Crowley: An intuitive guide to wavelets for economists (Bank of Finland Discussion Papers 2005/01, 27 Apr 2005) | Abstract
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|
| | Peter Reinhard Hansen, Asger Lunde, and James M. Nason: Model Confidence Sets for Forecasting Models (Atlanta Fed Working papers 2005-07, Mar 2005) | Abstract
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|
| | Peter Reinhard Hansen, Asger Lunde, and James M. Nason: Choosing the Best Volatility Models: The Model Confidence Set Approach (Atlanta Fed Working papers 2003-28, Oct 2003) | Abstract
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| C2 Econometric Methods: Single Equation Models |
| | Stefan Gerlach and John Lewis: The Zero Lower Bound, ECB Interest Rate Policy and the Financial Crisis (Netherlands Bank DNB Working Papers 254, Aug 2010) | Full text |
|
| | Edward S. Knotek II: Convenient Prices and Price Rigidity: Cross-Sectional Evidence (Kansas City Fed Working Papers 08-04, Oct 2008) | Abstract
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| | Gabriel Rodríguez: Efficiency of the Monetary Policy and Stability of Central Bank Preferences. Empirical Evidence for Peru (Central Reserve Bank of Peru Working Papers 2007-008, May 2007) | Abstract
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| | Sandra Eickmeier, Christina Ziegler: How good are dynamic factor models at forecasting output and inflation? A meta-analytic approach (Deutsche Bundesbank Discussion Papers 200642, 29 Dec 2006) | Full text |
|
| | Mark J. Jensen: The Long-Run Fisher Effect: Can It Be Tested? (Atlanta Fed Working papers 2006-11, Aug 2006) | Abstract
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|
| | Adam Hale Shapiro (Revised in July 2006): 06-11 (Boston Fed Working papers 06-11, Jul 2006) | Abstract
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|
| | Gilles Mourre: Did the pattern of aggregate employment growth change in the euro area in the late 1990s? (European Central Bank Working papers 0358, May 2004) | Full text |
|
| | Bart Hobijn, Kevin J. Stiroh, and Alexis Antoniades: Taking the Pulse of the Tech Sector:A Coincident Index of High-Tech Activity (Federal Reserve Bank of New York Current issues ci09-10, Oct 2003) | Abstract
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| C20 General |
| | Marek Jarocinski: Imposing parsimony in cross-country growth regressions, (European Central Bank Working papers 1234, 23 Aug 2010) | Full text |
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| | Paulo M.M. Rodrigues, Antonio Rubia, Joăo Valle e Azevedo: Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration (Bank of Portugal Working papers 200902, Jan 2009) | Abstract
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| | Karim Barhoumi and Jamel Jouini: Revisiting the Decline in the Exchange Rate Pass-Through: Further Evidence from Developing Countries. (Bank of France Working Papers Nr 213, Jul 2008) | Abstract
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| | Les Skoczylas and Bruno Tissot: Revisiting recent productivity developments across OECD countries (Bank for International Settlements Working papers 182, Oct 2005) | Abstract
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|
| | Dongkoo Chang: An Analysis of Long-term Determinants of the Current Account and the Evaluation of its Sustainability in Korea (Bank of Korea Economic Papers 36, 27 Jan 2004) | Abstract
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|
| | Ana Aizcorbe: The Stability of Dummy Variable Price Measures Obtained from Hedonic Regressions (Board of Governors of the Federal Reserve System FEDS series 2003-5, Feb 2003) | Abstract
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| C21 Cross-Sectional Models |
| | Eric Girardin and Konstantin A. Kholodilin: How helpful are spatial effects in forecasting the growth of Chinese provinces? (Bank of Finland BOFIT Discussion Papers 2010/15, 18 Aug 2010) | Abstract
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|
| | Ulf von Kalckreuth, Leonid Silbermann: Bubbles and incentives: a post-mortem of the Neuer Markt in Germany (Deutsche Bundesbank Discussion Papers 201015, 23 Jul 2010) | Full text |
|
| | Matias D. Cattaneo, Richard K. Crump, and Michael Jansson: Bootstrapping Density-Weighted Average Derivatives (Federal Reserve Bank of New York Staff reports 452, May 2010) | Abstract
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|
| | Roberto A. De Santis: The Geography of International Portfolio Flows, International CAPM, and the Role of Monetary Policy Frameworks (IJCB International Journal of Central Banking 10q2a6, May 2010) | Abstract
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|
| | Frederick van der Ploeg and Steven Poelhekke: The Volatility Curse: Revisiting the Paradox of Plenty (Netherlands Bank DNB Working Papers 206, Mar 2009) | Full text |
|
| | Danny Leung, Césaire Meh, and Yaz Terajima: Are There Canada-U.S. Differences in SME Financing? (Bank of Canada Working papers 2008-41, Oct 2008) | Abstract
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|
| | Aleksandra Riedl and Silvia Rocha-Akis: Testing the tax competition theory: How elastic are national tax bases in Western Europe? (Austrian National Bank Working Papers WP142, 29 Apr 2008) | Abstract
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|
| | Pedro Portugal: U.S. Unemployment Duration: Has Long Become Longer or Short Become Shorter? (Czech National Bank Working papers 2007/17, Nov 2007) | Abstract
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| | Svetlana Ledyaeva: Spatial econometric analysis of determinants and strategies of FDI in Russian regions in pre- and post-1998 financial crisis periods (Bank of Finland BOFIT Discussion Papers 2007/15, 16 Jul 2007) | Abstract
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| | Jeong-Ryeol Kurz-Kim, Mico Loretan: A note on the coefficient of determination in regression models with infinite-variance variables (Deutsche Bundesbank Discussion Papers 200710, 14 May 2007) | Full text |
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| | Jeong-Ryeol Kurz-Kim and Mico Loretan: A Note on the Coefficient of Determination in Models with Infinite Variance Variables (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0895, May 2007) | Abstract
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| | Roberto A. De Santis: The geography of international portfolio flows, international CAPM and the role of monetary policy frameworks (European Central Bank Working papers 0678, Sep 2006) | Full text |
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| | José Ferreira Machado, Pedro Portugal, Juliana Guimarăes: U.S. Unemployment Duration: Has Long Become Longer or Short Become Shorter? (Bank of Portugal Working papers 200613, Jun 2006) | Abstract
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| | Roberto A. De Santis and Bruno Gérard: Financial integration, international portfolio choice and the European Monetary Union (European Central Bank Working papers 0626, May 2006) | Full text |
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| | Patrick Lünnemann and Thomas Y. Mathä: New survey evidence on the pricing behaviour of Luxembourg firms (European Central Bank Working papers 0617, May 2006) | Full text |
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| | Uwe Böwer and Catherine Guillemineau: Determinants of business cycle synchronisation across euro area countries (European Central Bank Working papers 0587, Feb 2006) | Full text |
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| | Fischer, Andreas M.: Measuring Income Elasticity for Swiss Money Demand: What do the Cantons say about Financial Innovation? (Swiss National Bank Working Papers 2006-01, Jan 2006) | Full text |
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| | Ana del Río and Garry Young: The determinants of unsecured borrowing: evidence from the british household panel survey (Bank of Spain Working Papers 0511, May 2005) | Abstract
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| | Marcin Przybyla and Moreno Roma: Does product market competition reduce inflation? Evidence from EU countries and sectors tries and sectors (European Central Bank Working papers 0453, Mar 2005) | Full text |
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| | Ana Del-Río and Garry Young: The determinants of unsecured borrowing: evidence from the British Household Panel Survey (Bank of England Working papers 263, 2005) | Abstract
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| | Patrick Lünnemann and Thomas Y. Mathä: How persistent is disaggregate inflation? An analysis across EU 15 countries and HICP sub-indices (European Central Bank Working papers 0415, Nov 2004) | Full text |
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| | Rubén Hernández-Murillo and Michael T. Owyang: The Information Content of Regional Employment Data for Forecasting Aggregate Conditions (St Louis Fed Working Papers 2004-005, Mar 2004) | Full text |
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| | Abbigail Chiodo, Rubén Hernández-Murillo and Michael T. Owyang: Nonlinear Hedonics and the Search for School District Quality (St Louis Fed Working Papers 2003-039, Nov 2003) | Full text |
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| | Silvana Tenreyro: On the Trade Impact of Nominal Exchange Rate Volatility (Boston Fed Working papers 03-02, Apr 2003) | Abstract
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| | J.M.C. Santos Silva and Silvana Tenreyro: Gravity-Defying Trade (Boston Fed Working papers 03-01, Apr 2003) | Abstract
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| | José A. F. Machado, Pedro Portugal: Exploring Transition Data Througt Quantile Regression Methods: na Application to U.S. Unemployment Duration (Bank of Portugal Working papers 200201, May 2002) | Abstract
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| | Tiago V. de V. Cavalcanti, Álvaro A. Novo: Institutions and Economic Development: How Strong is the Relation? (Bank of Portugal Working papers 200213, May 2002) | Abstract
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| | Hugo J. Reis, J.M.C.Santos Silva: Hedonic Prices Indexes for New Passenger Cars in Portugal (1997-2001) (Bank of Portugal Working papers 200210, May 2002) | Abstract
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| | Michelle L. Barnes and Anthony W. Hughes: A Quantile Regression Analysis of the Cross Section of Stock Market Returns (Boston Fed Working papers 02-02, Apr 2002) | Abstract
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| | Evangelos Tabakis and Anna Vinci: Analysing and combining multiple credit assessments of financial institutions (European Central Bank Working papers 0123, Feb 2002) | Full text |
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| | Guglielmo Maria Caporale, Paolo Paesani, Luca Onorante: Inflation and inflation uncertainty in the euro area, (European Central Bank Working papers 1229, 22 Jul 2010) | Full text |
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| | Jesus Sierra: International Capital Flows and Bond Risk Premia (Bank of Canada Working papers 2010-14, Jun 2010) | Abstract
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| | António Rua: A Wavelet Approach for Factor-Augmented Forecasting (Bank of Portugal Working papers 201007, Jun 2010) | Abstract
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| | Sanvi Avouyi-Dovi and Julien Idier: Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market (Bank of France Working Papers Nr 278, Jan 2010) | Abstract
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| | Valérie Chauvin and Olivier Damette: Wealth effects: the French case (Bank of France Working Papers Nr 276, Jan 2010) | Abstract
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| | Ibarra-Ramírez Raúl: Forecasting Inflation in Mexico Using Factor Models: Do Disaggregated CPI Data Improve Forecast Accuracy? (Bank of Mexico Working Papers 2010-01, 2010) | Full text |
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| | Noriega Antonio E.; Ventosa-Santaulŕria Daniel: Spurious Long-Horizon Regression in Econometrics (Bank of Mexico Working Papers 2010-06, 2010) | Full text |
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| | Fuchun Li and Greg Tkacz: A Consistent Test for Multivariate Conditional Distributions (Bank of Canada Working papers 2009-34, Dec 2009) | Abstract
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| | Simon Dubecq and Imen Ghattassi: Consumption-Wealth Ratio and Housing Prices (Bank of France Working Papers Nr 264, Dec 2009) | Abstract
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| | Viv B. Hall and C. John McDermott: A Quarterly Post-World War II Real GDP Series for New Zealand (Reserve Bank of New Zealand Discussion Papers DP2009/12, Nov 2009) | Full text |
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| | Aaron Mehrotra and Tomáš Slacík: Evaluating inflation determinants with a money supply rule in four Central and Eastern European EU member states (Bank of Finland BOFIT Discussion Papers 2009/18, 11 Oct 2009) | Abstract
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| | Thomas M. Trimbur: Improving Real-Time Estimates of the Output Gap (Board of Governors of the Federal Reserve System FEDS series 2009-32, Jul 2009) | Abstract
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| | Kerstin Stahn: Changes in import pricing behaviour: the case of Germany (Deutsche Bundesbank Discussion Papers 200914, 16 Jun 2009) | Full text |
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| | Sanvi Avouyi-Dovi, Mireille Bardos, Caroline Jardet, Ludovic Kendaoui and Jérémy Moquet: Macro stress testing with a macroeconomic credit risk model: Application to the French manufacturing sector. (Bank of France Working Papers Nr 238, Jun 2009) | Abstract
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| | Maximo Camacho and Gabriel Perez-Quiros: Ñ-STING: España Short Term INdicator of Growth (495 KB) (Bank of Spain Working Papers 0912, Jun 2009) | Abstract
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| | Olivier Darné and Laurent Ferrara: Identification of slowdowns and accelerations for the euro area economy. (Bank of France Working Papers Nr 239, Jun 2009) | Abstract
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| | Dong He, Zhiwei Zhang and Honglin Wang: Hong Kong's Financial Market Interactions with the US and Mainland China in Crisis and Tranquil Times (Hong Kong Monetary Authority Working Papers WP09_10, Jun 2009) | Abstract
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| | Gabriel Rodríguez: Estimating Output Gap, Core Inflation, and the NAIRU for Peru (Central Reserve Bank of Peru Working Papers 2009-011, Apr 2009) | Full text |
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| | Gabriel Rodríguez: Using A Forward-Looking Phillips Curve to Estimate the Output Gap in Peru (Central Reserve Bank of Peru Working Papers 2009-010, Apr 2009) | Full text |
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| | Alberto Humala, Gabriel Rodríguez: Foreign Exchange Intervention and Exchange Rate Volatility in Peru (Central Reserve Bank of Peru Working Papers 2009-008, Apr 2009) | Full text |
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| | Dionisio Ramírez Carrera, Gabriel Rodríguez: Have European Unemployment Rates Converged? (Central Reserve Bank of Peru Working Papers 2009-007, Apr 2009) | Full text |
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| | Frank Leung, Kevin Chow and Simon Chan: Measures of Trend Inflation in Hong Kong (Hong Kong Monetary Authority Working Papers WP09_07, Apr 2009) | Abstract
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| | Steven Poelhekke: Human Capital and Employment Growth in German Metropolitan Areas: New Evidence (Netherlands Bank DNB Working Papers 209, Apr 2009) | Full text |
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| | Andrea Silvestrini: Seasonal adjustment of bank deposits and loans (Bank of Italy Occasional Papers 42, Mar 2009) | Abstract
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| | M. Hashem Pesaran and Andreas Pick: Forecasting Random Walks under Drift Instability (Netherlands Bank DNB Working Papers 207, Mar 2009) | Full text |
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| | Jan J. J. Groen and George Kapetanios: Model Selection Criteria for Factor-Augmented Regressions (Federal Reserve Bank of New York Staff reports 363, Feb 2009) | Abstract
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| | Jacob Gyntelberg, Mico Loretan, Tientip Subhanij and Eric Chan: Private information, stock markets, and exchange rates (Bank for International Settlements Working papers 271, Feb 2009) | Abstract
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| | Miguel A. León-Ledesma, Peter McAdam, Alpo Willman: Identifying the elasticity of substitution with biased technical change (European Central Bank Working papers 1001, 28 Jan 2009) | Full text |
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| | Paulo M.M. Rodrigues, Antonio Rubia, Joăo Valle e Azevedo: Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration (Bank of Portugal Working papers 200902, Jan 2009) | Abstract
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| | Noriega Antonio E.; Ramos Francia Manuel: On the dynamics of inflation persistence around the world (Bank of Mexico Working Papers 2009-02, 2009) | Full text |
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| | Rangel Jose Gonzalo; Engle Robert F.: The Factor-Spline-GARCH Model for High and Low Frequency Correlations (Bank of Mexico Working Papers 2009-03, 2009) | Full text |
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| | Capistrán Carlos; Constandse Christian; Ramos Francia Manuel: Using Seasonal Models to Forecast Short-Run Inflation in Mexico (Bank of Mexico Working Papers 2009-05, 2009) | Full text |
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| | Rangel José Gonzalo: Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics (Bank of Mexico Working Papers 2009-15, 2009) | Full text |
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| | Carmen Broto: Inflation targeting in Latin America: Empirical analysis using GARCH models (712 KB) (Bank of Spain Working Papers 0826, Dec 2008) | Abstract
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| | Katrin Assenmacher-Wesche and Stefan Gerlach: The term structure of interest rates across frequencies (European Central Bank Working papers 0976, Dec 2008) | Full text |
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| | Renaud Beaupain and Alain Durré: The interday and intraday patterns of the overnight market: evidence from an electronic platform (European Central Bank Working papers 0988, Dec 2008) | Full text |
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| | Tobias Linzert and Sandra Schmidt: What explains the spread between the euro overnight rate and the ECB's policy rate? (European Central Bank Working papers 0983, Dec 2008) | Full text |
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| | Fabrizio Spargoli – Paolo Zagaglia: The co-movements along the forward curve of natural gas futures: a structural view (Bank of Finland Discussion Papers 2008/26, 15 Oct 2008) | Abstract
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| | Paolo Zagaglia: Money-market segmentation in the euro area: what has changed during the turmoil? (Bank of Finland Discussion Papers 2008/23, 10 Oct 2008) | Abstract
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| | Laurent Ferrara and Dominique Guégan: Business surveys modelling with Seasonal-Cyclical Long Memory models (Bank of France Working Papers Nr 224, Oct 2008) | Abstract
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| | José Ramos Maria, Sara Serra: Forecasting investment: A fishing contest using survey data (Bank of Portugal Working papers 200818, Oct 2008) | Abstract
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| | Meredith Beechey, Erik Hjalmarsson, and Par Osterholm: Testing the Expectations Hypothesis When Interest Rates are Near Integrated (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0953, Oct 2008) | Abstract
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| | Carmen Broto, Javier Díaz-Cassou and Aitor Erce-Domínguez: Measuring and explaining the volatility of capital flows towards emerging countries (621 KB) (Bank of Spain Working Papers 0817, Sep 2008) | Abstract
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| | Katja Drechsel and Laurent Maurin: Flow on conjunctural information and forecast of euro area economic activity (European Central Bank Working papers 0925, Aug 2008) | Full text |
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| | Luciana Juvenal, and Mark P. Taylor: Threshold Adjustment in Deviations from the Law of One Price (St Louis Fed Working Papers 2008-027, Aug 2008) | Abstract
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| | Jason Allen, Allan W. Gregory, and Katsumi Shimotsu: Empirical Likelihood Block Bootstrapping (Bank of Canada Working papers 2008-18, Jun 2008) | Abstract
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| | Carmen Broto and Esther Ruiz: Testing for conditional heteroscedasticity in the components of inflation (1.128 KB (Bank of Spain Working Papers 0812, Jun 2008) | Abstract
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| | Christopher J. Neely, and David E. Rapach: Real Interest Rate Persistence: Evidence and Implications (St Louis Fed Working Papers 2008-018, Jun 2008) | Abstract
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| | Erik Hjalmarsson: Predicting Global Stock Returns (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0933, Jun 2008) | Abstract
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| | Jan J. J. Groen and George Kapetanios: Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting (Federal Reserve Bank of New York Staff reports 327, May 2008) | Abstract
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| | Francisco Craveiro Dias, Maximiano Pinheiro, António Rua: Forecasting Using Targeted Diffusion Indexes (Bank of Portugal Working papers 200807, May 2008) | Abstract
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| | Maximo Camacho and Gabriel Perez-Quiros: Introducing the Euro-STING: Short Term INdicator of Euro Area Growth (701 KB (Bank of Spain Working Papers 0807, Apr 2008) | Abstract
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| | Erik Hjalmarsson: Interpreting Long-Horizon Estimates in Predictive Regressions (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0928, Apr 2008) | Abstract
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| | Luc Dresse and Christophe Van Nieuwenhuyze: Do survey indicators let us see the business cycle? A frequency decomposition (National Bank of Belgium Working Papers 131, 27 Mar 2008) | Abstract
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| | Rajeev Dhawan, Karsten Jeske, and Pedro Silos: Productivity, Energy Prices, and the Great Moderation: A New Link (Atlanta Fed Working papers 2008-11, Mar 2008) | Abstract
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| | Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson and Mico Loretan: Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets (Bank for International Settlements Working papers 249, Mar 2008) | Abstract
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| | Sophie Guilloux and Enisse Kharroubi: Some Preliminary Evidence on the Globalization-Inflation Nexus (Bank of France Working Papers Nr 195, Jan 2008) | Abstract
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| | Charles P. Thomas, Jaime Marquez, and Sean Fahle: Measuring U.S. International Relative Prices: A WARP View of the World (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0917, Jan 2008) | Abstract
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| | Michael J. Dueker, and Martin Sola: Multivariate Markov Switching With Weighted Regime Determination: Giving France More Weight than Finland (St Louis Fed Working Papers 2008-001, Jan 2008) | Full text |
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| | Noriega Antonio E.; Ramos Francia Manuel: A Note on the Dynamics of Persistence in US Inflation. (Bank of Mexico Working Papers 2008-12, 2008) | Full text |
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| | Harri Hasko: ‘Some unpleasant fiscal arithmetic': the role of monetary and fiscal policy in public debt dynamics since the 1970s (Bank of Finland Discussion Papers 2007/28, 21 Dec 2007) | Abstract
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| | Maurizio Michael Habib and Margarita Manolova Kalamova: Are there oil currencies? The real exchange rate of oil exporting countries (European Central Bank Working papers 0839, Dec 2007) | Full text |
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| | Laurence Fung and Ip-wing Yu: Assessing the Credibility of The Convertibility Zone of The Hong Kong Dollar (Hong Kong Monetary Authority Working Papers WP07_19, Dec 2007) | Abstract
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| | Janko Gorter, Jan Jacobs and Jakob de Haan: Taylor Rules for the ECB using Consensus Data (Netherlands Bank DNB Working Papers 160, Dec 2007) | Full text |
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| | Antonello D'Agostino and Paolo Surico: Does global liquidity help to forecast US inflation? (Central Bank and Financial Services Authority of Ireland Research Technical Papers 07/RT/10, Dec 2007) | Abstract
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| | Helinä Laakkonen: Exchange rate volatility, macro announcements and the choice of intraday seasonality filtering method (Bank of Finland Discussion Papers 2007/23, 28 Nov 2007) | Abstract
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| | Michael Funke and Marc Gronwald: The Undisclosed Renminbi Basket: Are The Markets Telling Us Something About Where The Renminbi - Us Dollar Ex-change Rate Is Going? (Bank of Finland BOFIT Discussion Papers 2007/20, 06 Nov 2007) | Abstract
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| | Erik Hjalmarsson: The Stambaugh Bias in Panel Predictive Regressions (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0914, Nov 2007) | Abstract
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| | Aaron Mehrotra: Modelling inflation in China - a regional perspective (European Central Bank Working papers 0829, Nov 2007) | Full text |
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| | Matthieu Bussičre: Exchange rate pass-through to trade prices: the role of non-linearities and asymmetries (European Central Bank Working papers 0822, Oct 2007) | Full text |
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| | Erik Hjalmarsson and Par Osterholm: A Residual-Based Cointegration Test for Near Unit Root Variables (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0907, Oct 2007) | Abstract
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| | Laura D´Amato, Lorena Garegnani, Juan M. Sotes Paladino: Inflation persistence and changes in the monetary regime: The argentine case (Central Bank of Argentina Working Papers 2007/23, Oct 2007) | Full text |
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| | Keith Kuester: Is the new Keynesian Phillips Curve flat? (European Central Bank Working papers 0809, Sep 2007) | Full text |
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| | Agustín Maravall and Ana del Río: Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter (Bank of Spain Working Papers 0728, Sep 2007) | Abstract
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| | Joăo Valle e Azevedo: Exact Limit of the Expected Periodogram in the Unit-Root case (Bank of Portugal Working papers 200713, Sep 2007) | Abstract
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| | Joăo Valle e Azevedo: Interpretation of the Effects of Filtering Integrated Time Series (Bank of Portugal Working papers 200712, Sep 2007) | Abstract
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| | Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson, and Mico Loretan: Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0905, Sep 2007) | Abstract
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| | S. Boragan Aruoba, Francis X. Diebold, and Chiara Scotti: Real-Time Measurement of Business Conditions (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0901, Aug 2007) | Abstract
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| | Balázs Égert: Real Convergence, Price Level Convergence and Inflation Differentials in Europe (Austrian National Bank Working Papers WP138, 05 Jul 2007) | Abstract
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| | Jeannine Bailliu, Ali Dib, Takashi Kano, and Lawrence Schembri: Multilateral Adjustment and Exchange Rate Dynamics: The Case of Three Commodity Currencies (Bank of Canada Working papers 2007-41, Jul 2007) | Abstract
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| | Jean Imbs: Aggregating Phillips curves (European Central Bank Working papers 0785, Jul 2007) | Full text |
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| | Jin-Chuan Duan-András Fülöp: How Frequently Does the Stock Price Jump? - An Analysis of High-Frequency Data with Microstructure Noises (Magyar Nemzeti Bank (the central bank of Hungary) Working papers 2007/04, Jul 2007) | Abstract
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| | Arturo Estrella: Generalized Canonical Regression (Federal Reserve Bank of New York Staff reports 288, Jun 2007) | Abstract
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| | Ip-wing Yu, Laurence Fung and Chi-sang Tam: Assessing Bond Market Integration in Asia (Hong Kong Monetary Authority Working Papers WP07_10, Jun 2007) | Abstract
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| | Arturo Estrella: Extracting Business Cycle Fluctuations:What Do Time Series Filters Really Do? (Federal Reserve Bank of New York Staff reports 289, Jun 2007) | Abstract
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| | Gabriel Rodríguez: Application of Three Alternative Approaches to Identify Business Cycles in Peru (Central Reserve Bank of Peru Working Papers 2007-007, May 2007) | Abstract
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| | Jonathan Wright and Hao Zhou: Bond Risk Premia and Realized Jump Volatility (Board of Governors of the Federal Reserve System FEDS series 2007-22, May 2007) | Abstract
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| | by Fabio Busetti, Lorenzo Forni, Andrew Harvey, and Fabrizio Venditti: Inflation Convergence and Divergence within the European Monetary Union (IJCB International Journal of Central Banking 07q2a4, May 2007) | Abstract
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| | Gary Koop and Simon Potter: A Flexible Approach to Parametric Inference in Nonlinear Time Series Models (Federal Reserve Bank of New York Staff reports 285, May 2007) | Abstract
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| | Luc Aucremanne, Marianne Collin, Thomas Stragier: Assessing the Gap between Observed and Perceived Inflation in the Euro Area: Is the Credibility of the HICP at Stake? (National Bank of Belgium Working Papers 112, 23 Apr 2007) | Abstract
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| | Balázs Égert and Carol S. Leonard: Dutch disease scare in Kazakhstan: Is it real? (Bank of Finland BOFIT Discussion Papers 2007/09, 20 Apr 2007) | Abstract
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| | Ip-wing Yu, Laurence Fung and Chi-sang Tam: Assessing Financial Market Integration In Asia - Equity Markets (Hong Kong Monetary Authority Working Papers WP07_04, Apr 2007) | Abstract
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| | Jane Ihrig, Steven B. Kamin, Deborah Lindner, and Jaime Marquez: Some Simple Tests of the Globalization and Inflation Hypothesis (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0891, Apr 2007) | Abstract
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| | Theofanis Archontakis, Wolfgang Lemke: Threshold dynamics of short-term interest rates: empirical evidence and implications for the term structure (Deutsche Bundesbank Discussion Papers 200702, 16 Feb 2007) | Full text |
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| | Simone Manganelli: Asset allocation by penalized least squares (European Central Bank Working papers 0723, Feb 2007) | Full text |
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| | Celso Brunetti, Roberto S. Mariano, Chiara Scotti, and Augustine H.H. Tan: Markov Switching GARCH Models of Currency Turmoil in Southeast Asia (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0889, Jan 2007) | Abstract
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| | Jiao Wang and Andy G. Ji: Exchange rate sensitivity of China's bilateral trade flows (Bank of Finland BOFIT Discussion Papers 2006/19, 31 Dec 2006) | Abstract
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| | Claudia Stirböck: How strong is the impact of exports and other demand components on German import demand? Evidence from euro-area and non-euro-area imports (Deutsche Bundesbank Discussion Papers 200639, 08 Dec 2006) | Full text |
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| | Jason Allen, Robert Amano, David P. Byrne, and Allan W. Gregory: Canadian City Housing Prices and Urban Market Segmentation (Bank of Canada Working papers 2006-49, Dec 2006) | Abstract
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| | Thomas A. Knetsch, Hans-Eggert Reimers: How to treat benchmark revisions? The case of German production and orders statistics (Deutsche Bundesbank Discussion Papers 200638, 27 Nov 2006) | Full text |
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| | Kerstin Stahn: Has the export pricing behaviour of German enterprises changed? Empirical evidence from German sectoral export prices (Deutsche Bundesbank Discussion Papers 200637, 21 Nov 2006) | Full text |
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| | Roberta Colavecchio, Michael Funke: Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures (Bank of Finland BOFIT Discussion Papers 2006/16, 17 Nov 2006) | Abstract
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| | Péter Gábriel - Pintér Klára: The effect of the MNB's communication on financial markets (Magyar Nemzeti Bank (the central bank of Hungary) Working papers 2006/09, Nov 2006) | Abstract
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| | Jonathan H. Wright and Joseph E. Gagnon: Predicting Sharp Depreciations in Industrial Country Exchange Rates (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0881, Nov 2006) | Abstract
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| | George Tauchen and Hao Zhou: Realized Jumps on Financial Markets and Predicting Credit Spreads (Board of Governors of the Federal Reserve System FEDS series 2006-35, Oct 2006) | Abstract
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| | Federico Ravenna: Vector autoregressions and reduced form representations of DSGE models (Bank of Spain Working Papers 0619, Sep 2006) | Abstract
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| | Isabel Yi Zheng and James Rossiter: Using Monthly Indicators to Predict Quarterly GDP (Bank of Canada Working papers 2006-26, Aug 2006) | Abstract
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| | Robert Rich and Joseph Tracy: The Relationship between Expected Inflation, Disagreement, and Uncertainty: Evidence from Matched Point and Density Forecasts (Federal Reserve Bank of New York Staff reports 253, Jul 2006) | Abstract
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| | Olivier de Bandt, Catherine Bruneau, Alexis Flageollet: Assessing Aggregate Comovements in France, Germany and Italy. Using a Non Stationary Factor Model of the Euro Area (Bank of France Working Papers Nr 145, Jun 2006) | Abstract
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| | Antonello D'Agostino, Domenico Giannone and Paolo Surico: (Un)Predictability and Macroeconomic Stability (Central Bank and Financial Services Authority of Ireland Research Technical Papers 06/RT/05, Jun 2006) | Abstract
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| | Karolina Holmberg: Derivation and Estimation of a New Keynesian Phillips Curve in a Small Open Economy (Sveriges Riksbank Working Papers 197, 24 May 2006) | Abstract
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| | Paolo Giordani and Robert Kohn: Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models (Sveriges Riksbank Working Papers 196, 24 May 2006) | Abstract
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| | Caroline JARDET: Term Structure Anomalies: Term Premium or Peso problem? (Bank of France Working Papers Nr 143, May 2006) | Abstract
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| | Marie Diron: Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data (European Central Bank Working papers 0622, May 2006) | Full text |
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| | Patrick Lünnemann and Thomas Y. Mathä: New survey evidence on the pricing behaviour of Luxembourg firms (European Central Bank Working papers 0617, May 2006) | Full text |
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| | René Lalonde and Nicolas Parent: The Federal Reserve's Dual Mandate: A Time-Varying Monetary Policy Priority Index for the United States (Bank of Canada Working papers 2006-11, Apr 2006) | Abstract
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| | Antonello D’Agostino: (Un)Predictability and macroeconomic stability (European Central Bank Working papers 0605, Apr 2006) | Full text |
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| | Thomas A. Knetsch: Forecasting the price of crude oil via convenience yield predictions (Deutsche Bundesbank Discussion Papers 200612, 28 Mar 2006) | Full text |
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| | Lorenzo Cappiello, Peter Hördahl: The impact of the euro on financial markets (European Central Bank Working papers 0598, Mar 2006) | Full text |
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| | Eric Ghysels and Jonathan H. Wright: Forecasting Professional Forecasters (Board of Governors of the Federal Reserve System FEDS series 2006-10, Mar 2006) | Abstract
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| | Jonathan H. Wright: The Yield Curve and Predicting Recessions (Board of Governors of the Federal Reserve System FEDS series 2006-07, Mar 2006) | Abstract
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| | Kerstin Stahn: Has the impact of key determinants of German exports changed? Results from estimations of Germany's intra euro-area and extra euro-area exports (Deutsche Bundesbank Discussion Papers 200607, 27 Feb 2006) | Full text |
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| | Katrin Assenmacher-Wesche and Stefan Gerlach: Interpreting Euro area inflation at high and low frequencies (Bank for International Settlements Working papers 195, Feb 2006) | Abstract
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| | Anindya Banerjee and Josep Lluís Carrion-i-Silvestre: Cointegration in panel data with breaks and cross-section dependence (European Central Bank Working papers 0591, Feb 2006) | Full text |
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| | by María Dolores Gadea and Laura Mayoral: The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach (IJCB International Journal of Central Banking 06q1a2, Feb 2006) | Abstract
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| | Stefan Gerlach and Wensheng Peng: Output gaps and inflation in Mainland China (Bank for International Settlements Working papers 194, Feb 2006) | Abstract
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| | Alessandro Calza and Andrea Zaghini: Non-linear dynamics in the euro area demand for M1 (European Central Bank Working papers 0592, Feb 2006) | Full text |
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| | Mikael Bask - Tung Liu - Anna Widerberg: The stability of electricity prices: estimation and inference of the Lyapunov exponents (Bank of Finland Discussion Papers 2006/09, 31 Jan 2006) | Abstract
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| | Tommi A. Vuorenmaa: A wavelet analysis of scaling laws and long-memory in stock market volatility (Bank of Finland Discussion Papers 2005/27, 31 Jan 2006) | Abstract
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| | Erik Hjalmarsson: Fully Modified Estimation With Nearly Integrated Regressors (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0854, Jan 2006) | Abstract
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| | Fabio Busetti, Lorenzo Forni: Inflation convergence and divergence within the European Monetary Union (European Central Bank Working papers 0574, Jan 2006) | Full text |
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| | Erik Hjalmarsson: New Methods for Inference in Long-Run Predictive Regressions (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0853, Jan 2006) | Abstract
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| | (DNB): Bond Market and Stock Market Integration in Europe (Netherlands Bank DNB Working Papers 060, Dec 2005) | Full text |
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| | Erik Hjalmarsson: Estimation of Average Local-to-Unity Roots in Heterogenous Panels (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0852, Dec 2005) | Abstract
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| | Jörg Breitung, M. Hashem Pesaram: Unit roots and cointegration in panels (Deutsche Bundesbank Discussion Papers 200542, 30 Nov 2005) | Full text |
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| | Arturo Estrella and Anthony P. Rodrigues: One-Sided Test for an Unknown Breakpoint: Theory, Computation, and Application to Monetary Theory (Federal Reserve Bank of New York Staff reports 232, Nov 2005) | Abstract
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| | Kirdan Lees and Troy Matheson: Mind your Ps and Qs! Improving ARMA forecasts with RBC priors (Reserve Bank of New Zealand Discussion Papers DP2005/02, Oct 2005) | Abstract
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| | Lorenzo Cappiello and Roberto A. De Santis: Explaining exchange rate dynamics: the uncovered equity return parity condition (European Central Bank Working papers 0529, Sep 2005) | Full text |
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| | Stanislav Anatolyev: A ten-year retrospection of the behavior of Russian stock returns (Bank of Finland BOFIT Discussion Papers 2005/09, 13 Aug 2005) | Abstract
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| | Fabio Rumler: Estimates of the Open Economy New Keynesian Phillips Curve for Euro Area Countries (Austrian National Bank Working Papers WP102, 05 Aug 2005) | Abstract
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| | Alain Durré and Pierre Giot: An international analysis of earnings, stock prices and bond yields (European Central Bank Working papers 0515, Aug 2005) | Full text |
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| | Máximo Camacho, Gabriel Pérez-Quirós y Lorena Saiz: Do european business cycles look like one? (Bank of Spain Working Papers 0518, Aug 2005) | Abstract
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| | Michael Funke: Inflation in mainland China - modelling a roller coaster ride (Bank of Finland BOFIT Discussion Papers 2005/06, 15 Jul 2005) | Abstract
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| | Matthias Mohr: A trend-cycle(-season) filter (European Central Bank Working papers 0499, Jul 2005) | Full text |
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| | Lorenzo Cappiello: Measuring comovements by regression quantiles (European Central Bank Working papers 0501, Jul 2005) | Full text |
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| | Levin, Onatski, Williams, N. Williams: Monetary Policy under Uncertainty in Micro-Founded Macroeconomic Models (San Francisco Fed Working Papers 2005-15, Jul 2005) | Full text |
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| | Maarten Dossche and Gerdie Everaert: Measuring inflation persistence: a structural time series approach (National Bank of Belgium Working Papers 070, 21 Jun 2005) | Abstract
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| | Maarten Dossche and Gerdie Everaert: Measuring inflation persistence: a structural time series approach (European Central Bank Working papers 0495, Jun 2005) | Full text |
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| | Fabio Rumler: Estimates of the open economy New Keynesian Phillips curve for euro area countries (European Central Bank Working papers 0496, Jun 2005) | Full text |
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| | Máximo Camacho and Gabriel Pérez-Quirós: Jump-and-rest effect of U.S. business cycles (Bank of Spain Working Papers 0507, Apr 2005) | Abstract
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| | Patrick Lünnemann and Thomas Y. Mathä: Regulated and services' prices and inflation persistence (European Central Bank Working papers 0466, Apr 2005) | Full text |
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| | Laurent Bilke: Break in the mean and persistence of inflation: a sectoral analysis of French CPI (European Central Bank Working papers 0463, Mar 2005) | Full text |
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| | Daniel Dias and Carlos Robalo Marques: Using mean reversion as a measure of persistence (European Central Bank Working papers 0450, Mar 2005) | Full text |
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| | Marcelle Chauvet, and Jeremy M. Piger: A Comparison of the Real-Time Performance of Business Cycle Dating Methods (St Louis Fed Working Papers 2005-021, Mar 2005) | Full text |
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| | Cláudia Duarte, António Rua: Forecasting Inflation Through a Bottom-Up Approach: The Portuguese Case (Bank of Portugal Working papers 200502, Mar 2005) | Abstract
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| | Daniel Dias, Carlos Robalo Marques: Using Mean Reversion as a Measure of Persistence (Bank of Portugal Working papers 200503, Mar 2005) | Abstract
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| | Ricardo Llaudes: The Phillips curve and long-term unemployment (European Central Bank Working papers 0441, Feb 2005) | Full text |
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| | Peter Reinhard Hansen, Asger Lunde, and James M. Nason: Testing the Significance of Calendar Effects (Atlanta Fed Working papers 2005-02, Jan 2005) | Abstract
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| | Szilárd Benk - Zoltán M. Jakab - Gábor Vadas: Potential Output Estimations for Hungary: A Survey of Different Approaches (Magyar Nemzeti Bank (the central bank of Hungary) Occasional papers 2005/43, 2005) | Abstract
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| | Zsolt Darvas - Gábor Vadas: A New Method for Combining Detrending Techniques with Application to Business Cycle Synchronization of the New EU Members (Magyar Nemzeti Bank (the central bank of Hungary) Working papers 2005/05, 2005) | Abstract
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| | Helinä Laakkonen: The impact of macroeconomic news on exchange rate volatility (Bank of Finland Discussion Papers 2004/24, 07 Dec 2004) | Abstract
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| | Gary M. Koop and Simon M. Potter: Prior Elicitation in Multiple Change-Point Models (Federal Reserve Bank of New York Staff reports 197, Dec 2004) | Abstract
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| | Gary M. Koop and Simon M. Potter: Forecasting and Estimating Multiple Change-Point Models with an Unknown Number of Change Points (Federal Reserve Bank of New York Staff reports 196, Dec 2004) | Abstract
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| | Nikola A Tarashev: Are speculative attacks triggered by sunspots? A new test (Bank for International Settlements Working papers 166, Dec 2004) | Abstract
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| | Gregory Gadzinski and Fabrice Orlandi: Inflation persistence in the European Union, the euro area, and the United States (European Central Bank Working papers 0414, Nov 2004) | Full text |
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| | Patrick Lünnemann and Thomas Y. Mathä: How persistent is disaggregate inflation? An analysis across EU 15 countries and HICP sub-indices (European Central Bank Working papers 0415, Nov 2004) | Full text |
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| | Siddhartha Chib and Michael J. Dueker: Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths (St Louis Fed Working Papers 2004-030, Nov 2004) | Full text |
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| | Jukka Corander and Mattias Villani: A Bayesian Approach to Modelling Graphical Vector Autoregressions (Sveriges Riksbank Working Papers 171, 01 Oct 2004) | Abstract
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| | Astrid Van Landschoot: Determinants of euro term structure of credit spreads (European Central Bank Working papers 0397, Oct 2004) | Full text |
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| | Penelope A. Smith and Peter M. Summers: Identification and Normalization in Markov Switching Models of "Business Cycles" (Kansas City Fed Working Papers RWP04-09, Oct 2004) | Abstract
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| | David Norman and Thomas Walker: Co-movement of Australian State Business Cycles (Reserve Bank of Australia Research Discussion Papers RDP2004-09, Oct 2004) | Abstract
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| | Astrid Van Landschoot: Determinants of Euro Term Structure of Credit Spreads (National Bank of Belgium Working Papers 057, Jul 2004) | Full text |
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| | (DNB): On the predictability of GDP data revisions in the Netherlands (Netherlands Bank DNB Working Papers 004, Jul 2004) | Full text |
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| | Rainer Klump, Peter McAdam and Alpo Willman: Factor substitution and factor augmenting technical progress in the US: a normalized supply-side system approach (European Central Bank Working papers 0367, Jun 2004) | Full text |
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| | Sergey V. Chernenko; Krista B. Schwarz; Jonathan H. Wright: The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0808, Jun 2004) | Abstract
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| | Carlos Robalo Marques: Inflation Persistence: Facts or Artefacts? (Bank of Portugal Working papers 200408, Jun 2004) | Abstract
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| | Carlos Robalo Marques: Inflation persistence: facts or artefacts? (European Central Bank Working papers 0371, Jun 2004) | Full text |
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| | Peter Christoffersen and Stefano Mazzotta: The informational content of over-the-counter currency options (European Central Bank Working papers 0366, Jun 2004) | Full text |
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| | Antonio Matas Mir and Denise R Osborn: Seasonal adjustment and the detection of business cycle phases (European Central Bank Working papers 0357, May 2004) | Full text |
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| | Andrew T. Levin and Jeremy M. Piger: Is inflation persistence intrinsic in industrial economies? (European Central Bank Working papers 0334, Apr 2004) | Full text |
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| | Eilev S. Jansen: Modelling inflation in the euro area (European Central Bank Working papers 0322, Mar 2004) | Full text |
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| | James Morley and Jeremy M. Piger: A Steady-State Approach to Trend/Cycle Decomposition (St Louis Fed Working Papers 2004-006, Mar 2004) | Full text |
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| | Christopher Bowdler and Eilev S. Jansen: A markup model of inflation for the euro area (European Central Bank Working papers 0306, Feb 2004) | Full text |
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| | António Afonso and Rolf Strauch: Fiscal policy events and interest rate swap spreads: evidence from the EU (European Central Bank Working papers 0303, Feb 2004) | Full text |
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| | Claudio Morana: A structural common factor approach to core inflation estimation and forecasting (European Central Bank Working papers 0305, Feb 2004) | Full text |
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| | Regina Kaiser and Agustín Maravall: Combining filter design with model based filtering (with an application to business cycle estimation) (Bank of Spain Working Papers 0417, 2004) | Abstract
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| | Pilar Bengoechea and Gabriel Pérez-Quirós: A useful tool to identify recessions in the euro-area (Bank of Spain Working Papers 0419, 2004) | Abstract
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| | Máximo Camacho, Gabriel Pérez-Quirós and Lorena Saiz: Are european business cycles close enough to be just one (Bank of Spain Working Papers 0408, 2004) | Abstract
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| | Todd E. Clark: Disaggregate Evidence on the Persistence of Consumer Price Inflation (Kansas City Fed Working Papers RWP03-11, Dec 2003) | Abstract
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| | Jesper Lindé: Monetary Policy Shocks and Business Cycle Fluctuations in a Small Open Economy: Sweden 1986-2002 (Sveriges Riksbank Working Papers 153, 01 Nov 2003) | Abstract
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| | Jon Faust; John H. Rogers; Shing-Yi B. Wang; Jonathan H. Wright: The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0784, Oct 2003) | Abstract
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| | Petra Gerlach-Kristen: Interest rate reaction functions and the Taylor rule in the euro area (European Central Bank Working papers 0258, Sep 2003) | Full text |
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| | Alessandro Calza and Joăo Sousa: Why has broad money demand been more stable in the euro area than in other economies? A literature review (European Central Bank Working papers 0261, Sep 2003) | Full text |
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| | Gerhard Rünstler and Franck Sédillot: Short-term estimates of euro area real GDP by means of monthly data (European Central Bank Working papers 0276, Sep 2003) | Full text |
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| | Annick Bruggeman: Is the demand for euro area M3 stable? (European Central Bank Working papers 0255, Sep 2003) | Full text |
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| | Jan Hansen: Financial Cycles and Bankruptcies in the Nordic Countries (Sveriges Riksbank Working Papers 149, 01 Aug 2003) | Abstract
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| | Tim Bollerslev and Hao Zhou: Volatility Puzzles: A Unified Framework for Gauging Return-Volatility Regressions (Board of Governors of the Federal Reserve System FEDS series 2003-40, Aug 2003) | Abstract
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| | Hahn Shik Lee: Comparative Analysis of Alternative Methods for Seasonal Adjustment: X-12-ARIMA and TRAMO-SEATS (Bank of Korea Economic Papers 28, 14 Jul 2003) | Abstract
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| | Diego Romero de Ávila and Rolf Strauch: Public finances and long-term growth in Europe - evidence from a panel data analysis (European Central Bank Working papers 0246, Jul 2003) | Full text |
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| | Miguel León-Ledesma and Peter McAdam: Unemployment (European Central Bank Working papers 0234, May 2003) | Full text |
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| | Francisco Craveiro Dias: Nonlinearities over the Business Cycle: an Application of the Smooth Transition Autoregressive Model to characterize GDP dynamics for the Euro-area and Portugal (Bank of Portugal Working papers 200309, May 2003) | Abstract
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| | Lutz Kilian and Simone Manganelli: The central bank as a risk manager: quantifying and forecasting inflation risks (European Central Bank Working papers 0226, Apr 2003) | Full text |
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| | Fabio Araujo, Marta Baltar Moreira Areosa and José Alvaro Rodrigues Neto: r-filters: a Hodrick-Prescott Filter Generalization (Central Bank of Brazil Working Papers 069, Feb 2003) | Abstract
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| | Robert Rich and Joseph Tracy: Modeling Uncertainty: Predictive Accuracy as a Proxy for Predictive Confidence (Federal Reserve Bank of New York Staff reports 161, Feb 2003) | Abstract
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| | Glen Donaldson, Mark Kamstra, and Lisa Kramer: Stare Down the Barrel and Center the Crosshairs: Targeting the Ex Ante Equity Premium (Atlanta Fed Working papers 2003-4, Jan 2003) | Abstract
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| | Ernst Glatzer and Martin Scheicher: Modelling the implied probability of stock market movements (European Central Bank Working papers 0212, Jan 2003) | Full text |
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| | Ben Craig, Ernst Glatzer, Joachim Keller and Martin Scheicher: The Forecasting Performance of German Stock Option Densities (Cleveland Fed Working papers 0312, 2003) | Full text |
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| | U. Michael Bergman and Jan Hansen: Financial Instability and Monetary Policy: The Swedish Evidence (Sveriges Riksbank Working Papers 137, 01 Jun 2002) | Abstract
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| | Alberto Cabrero: Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank (European Central Bank Working papers 0142, May 2002) | Full text |
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| | Susana Botas, Carlos Robalo Marques: Should we Distinguish Between Static and Dynamic Long Run Equilibrium in Error Correction Models? (Bank of Portugal Working papers 200202, May 2002) | Abstract
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| | Gabriel Pérez Quirós and Jorge Sicilia: Is the European Central Bank (and the United States Federal Reserve) predictable? (Bank of Spain Working Papers 0229, 2002) | Full text |
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| | Paul Castillo, Alberto Humala, Vicente Tuesta: Monetary Policy, Regime Shift and Inflation Uncertainty in Peru (1949-2006) (Central Reserve Bank of Peru Working Papers 2007-005, 00 Jul 5) | Abstract
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| C23 Models with Panel Data |
| | Eric Girardin and Konstantin A. Kholodilin: How helpful are spatial effects in forecasting the growth of Chinese provinces? (Bank of Finland BOFIT Discussion Papers 2010/15, 18 Aug 2010) | Abstract
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| | Sabine Herrmann and Dubravko Mihaljek: The determinants of cross-border bank flows to emerging markets: new empirical evidence on the spread of financial crises (Bank for International Settlements Working papers 315, Jul 2010) | Abstract
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| | Christina Kolerus, Hans Peter Grüner, António Afonso: Fiscal policy and growth: do financial crises make a difference?, (European Central Bank Working papers 1217, 25 Jun 2010) | Full text |
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| | Franco Fiordelisi, David Marqués-Ibáńez, Phil Molyneux: Efficiency and risk in european banking, (European Central Bank Working papers 1211, 10 Jun 2010) | Full text |
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| | Renaud Bourlčs, Gilbert Cette, Jimmy Lopez, Jacques Mairesse and Giuseppe Nicoletti: Do product market regulations in upstream sectors curb productivity growth? Panel data evidence for OECD countries. (Bank of France Working Papers Nr 283, Jun 2010) | Abstract
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| | Christian Wildmann: What drives portfolio investments of German banks in emerging capital markets? (Deutsche Bundesbank Banking Supervision Discussion Papers 2010/04, Jun 2010) | Full text |
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| | Paloma López-García and José Manuel Montero: The role of spillovers and firms' absorptive capacity (Bank of Spain Working Papers 1015, Jun 2010) | Abstract
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| | Fédéric Holm-Hadulla, Sebastian Hauptmeier, Philipp Rother,: The impact of numerical expenditure rules on budgetary discipline over the cycle, (European Central Bank Working papers 1169, 01 Apr 2010) | Full text |
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| | Laura Spierdijk, Jacob Bikker and Pieter van den Hoek: Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century (Netherlands Bank DNB Working Papers 247, Apr 2010) | Full text |
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| | Claire Loupias and Patrick Sevestre: Costs, demand, and producer price changes (Bank of France Working Papers Nr 273, Jan 2010) | Abstract
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| | Jens Mehrhoff: A solution to the problem of too many instruments in dynamic panel data GMM (Deutsche Bundesbank Discussion Papers 200931, 06 Nov 2009) | Full text |
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| | J. Coffinet, S. Linand and C. Martin: Stress testing French banks' income subcomponents (Bank of France Working Papers Nr 242, Aug 2009) | Abstract
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| | Tuomas A. Peltonen, Adina Popescu, Michael Sager: Can non-linear real shocks explain the persistence of PPP exchange rate disequilibria? (European Central Bank Working papers 1073, 20 Jul 2009) | Full text |
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| | Tuuli Juurikkala, Alexei Karas, Laura Solanko: The role of banks in monetary policy transmission: Empirical evidence from Russia (Bank of Finland BOFIT Discussion Papers 2009/08, 30 Jun 2009) | Abstract
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| | Alexander Popov, Peter Roosenboom: Does Private Equity Investment Spur Innovation? Evidence from Europe (European Central Bank Working papers 1063, 17 Jun 2009) | Full text |
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| | António Afonso, Sebastian Hauptmeier: Fiscal behaviour in the European Union: rules, fiscal decentralization and government indebtedness (European Central Bank Working papers 1054, 13 May 2009) | Full text |
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| | Laura Hospido: Job changes and individual-job specific wage dynamics (794 KB) (Bank of Spain Working Papers 0907, May 2009) | Abstract
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| | Michal Hlavácek, Luboš Komárek: Housing Price Bubbles and their Determinants in the Czech Republic and its Regions (Czech National Bank Working papers 2009/12, Apr 2009) | Abstract
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| | Christoph Fischer: Price convergence in the EMU? Evidence from micro data (Deutsche Bundesbank Discussion Papers 200906, 17 Mar 2009) | Full text |
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| | Riccardo De Bonis and Massimiliano Stacchini: What determines the size of bank loans in industrialized countries? The role of government debt (Bank of Italy Working Papers 707, Mar 2009) | Abstract
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| | Cheti Nicoletti and Concetta Rondinelli: The (mis)specification of discrete duration models with unobserved heterogeneity: a Monte Carlo study (Bank of Italy Working Papers 705, Mar 2009) | Abstract
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| | Frederick van der Ploeg and Steven Poelhekke: The Volatility Curse: Revisiting the Paradox of Plenty (Netherlands Bank DNB Working Papers 206, Mar 2009) | Full text |
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| | Miguel Boucinha, Nuno Ribeiro: An Assessment of Competition in the Portuguese Banking System in the 1991-2004 Period (Bank of Portugal Working papers 200901, Jan 2009) | Abstract
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| | Martin Bijsterbosch and Marcin Kolasa: FDI and productivity convergence in central and eastern Europe: an industry-level investigation (European Central Bank Working papers 0992, Jan 2009) | Full text |
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| | Chiara Coluzzi: Financing obstacles and growth: an analysis for euro area non-financial corporations (European Central Bank Working papers 0997, Jan 2009) | Full text |
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| | António Afonso and Christophe Rault: Budgetary and external imbalances relationship: a panel data diagnostic (European Central Bank Working papers 0961, Nov 2008) | Full text |
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| | Katrin Assenmacher-Wesche, Stefan Gerlach: Monetary policy, asset prices and macroeconomic conditions: a panel-VAR study (National Bank of Belgium Working Papers 149, 16 Oct 2008) | Abstract
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| | Ramón María-Dolores: Exchange rate pass-through in new Member States and candidate countries of the EU (721 KB) (Bank of Spain Working Papers 0822, Oct 2008) | Abstract
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| | Carmen Broto, Javier Díaz-Cassou and Aitor Erce-Domínguez: Measuring and explaining the volatility of capital flows towards emerging countries (621 KB) (Bank of Spain Working Papers 0817, Sep 2008) | Abstract
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| | by Alexander Bick and Dieter Nautz: Inflation Threshold and Relative Price Variability: Evidence from U.S. Cities (IJCB International Journal of Central Banking 08q3a3, Sep 2008) | Abstract
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| | Gábor Kátay-Zoltán Wolf: Driving Factors of Growth in Hungary - a Decomposition Exercise (Magyar Nemzeti Bank (the central bank of Hungary) Working papers 2008/06, Sep 2008) | Abstract
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| | Jacopo Cimadomo: Fiscal policy in real time (European Central Bank Working papers 0919, Jul 2008) | Full text |
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| | Tuomas A. Peltonen, Martin Skala: Imports and profitability in the euro area manufacturing sector: the role of emerging market economies (European Central Bank Working papers 0918, Jul 2008) | Full text |
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| | Ulf von Kalckreuth: Panel estimation of state dependent adjustment when the target is unobserved (Deutsche Bundesbank Discussion Papers 200809, 09 Jun 2008) | Full text |
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| | Erik Hjalmarsson: Predicting Global Stock Returns (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0933, Jun 2008) | Abstract
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| | Aleksandra Riedl and Silvia Rocha-Akis: Testing the tax competition theory: How elastic are national tax bases in Western Europe? (Austrian National Bank Working Papers WP142, 29 Apr 2008) | Abstract
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| | Domenico Giannone and Michele Lenza: The Feldstein-Horioka fact (European Central Bank Working papers 0873, Feb 2008) | Full text |
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| | Nuno Cassola: The reserve fulfilment path of euro area commercial banks: empirical testing using panel data (European Central Bank Working papers 0869, Feb 2008) | Full text |
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| | Danny Leung and Yi Zheng: What Affects MFP in the Long-Run? Evidence from Canadian Industries (Bank of Canada Working papers 2008-04, Feb 2008) | Abstract
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| | António Afonso and Juan González Alegre: Economic growth and budgetary components: a panel assessment for the EU (European Central Bank Working papers 0848, Jan 2008) | Full text |
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| | Miguel Boucinha: The Determinants of Portuguese Banks' Capital Buffers (Bank of Portugal Working papers 200801, Jan 2008) | Abstract
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| | Enrique Benito: Size, growth and bank dynamics (543 KB (Bank of Spain Working Papers 0801, Jan 2008) | Abstract
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| | Laura Hospido: Modelling heterogeneity and dynamics in the volatility of individual wages (Bank of Spain Working Papers 0738, Dec 2007) | Abstract
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| | Erik Hjalmarsson: The Stambaugh Bias in Panel Predictive Regressions (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0914, Nov 2007) | Abstract
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| | Youngjun Choi: A Causal Analysis of Changes in Korean Household Consumption Behavior after the 1997 Currency Crisis (Bank of Korea Economic Papers 86, 04 Oct 2007) | Abstract
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| | António Afonso and Christophe Rault: What do we really know about fiscal sustainability in the EU? A panel data diagnostic (European Central Bank Working papers 0820, Oct 2007) | Full text |
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| | Michael Binder, Christian J. Offermanns: International investment positions and exchange rate dynamics: a dynamic panel analysis (Deutsche Bundesbank Discussion Papers 200723, 31 Aug 2007) | Full text |
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| | Raymundo Chirinos: Determinants of economic growth: A survey of recent developments and empirical evidence for the period 1960-2000 (Central Reserve Bank of Peru Working Papers 2007-013, Aug 2007) | Abstract
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| | Olivier de Bandt, Anindya Banerjee and Tomasz Kozluk: Measuring Long-Run Exchange Rate Pass-Through. (Bank of France Working Papers Nr 173, Jul 2007) | Abstract
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| | Tom Fong, Alfred Wong and Ivy Yong: Share Price Disparity in Chinese Stock Markets (Hong Kong Monetary Authority Working Papers WP07_11, Jul 2007) | Abstract
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| | Sabien Dobbelaere and Jacques Mairesse: Panel data estimates of the production function and product and labor market imperfections (European Central Bank Working papers 0782, Jul 2007) | Full text |
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| | Brahima Coulibaly and Jonathan Millar: Estimating the Long-Run User Cost Elasticity for a Small Open Economy: Evidence Using Data from South Africa (Board of Governors of the Federal Reserve System FEDS series 2007-25, Jun 2007) | Abstract
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| | Etienne Gagnon: Price Setting during Low and High Inflation: Evidence from Mexico (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0896, May 2007) | Abstract
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| | Luc Aucremanne, Marianne Collin, Thomas Stragier: Assessing the Gap between Observed and Perceived Inflation in the Euro Area: Is the Credibility of the HICP at Stake? (National Bank of Belgium Working Papers 112, 23 Apr 2007) | Abstract
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| | Simone Manganelli and Guido Wolswijk: Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market? (European Central Bank Working papers 0745, Apr 2007) | Full text |
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| | Christoffer Kok Sřrensen and Jung-Duk Lichtenberger: Mortgage interest rate dispersion in the euro area (European Central Bank Working papers 0733, Mar 2007) | Full text |
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| | Valerie Cerra and Sweta Chaman Saxena: Growth dynamics myth of economic recovery (Bank for International Settlements Working papers 226, Mar 2007) | Abstract
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| | Matthieu Bussičre: Balance of payment crises in emerging markets: how early were the "early" warning signals? (European Central Bank Working papers 0713, Jan 2007) | Full text |
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| | António Afonso: What "hides" behind sovereign debt ratings? (European Central Bank Working papers 0711, Jan 2007) | Full text |
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| | Jiao Wang and Andy G. Ji: Exchange rate sensitivity of China's bilateral trade flows (Bank of Finland BOFIT Discussion Papers 2006/19, 31 Dec 2006) | Abstract
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| | Ivo J.M. Arnold, Clemens J.M. Kool, Katharina Raabe: Industries and the bank lending effects of bank credit demand and monetary policy in Germany (Deutsche Bundesbank Discussion Papers 200648, 30 Dec 2006) | Full text |
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| | Peter Gibbard and Ibrahim Stevens: Corporate debt and financial balance sheet adjustment: a comparison of the United States, the United Kingdom, France and Germany (Bank of England Working papers 317, Dec 2006) | Abstract
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| | Jan De Wit: Exploring the CDS-Bond Basis (National Bank of Belgium Working Papers 104, 16 Nov 2006) | Abstract
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| | Christoph Moser, Thorsten Nestmann, Michael Wedow: Political risk and export promotion: evidence from Germany (Deutsche Bundesbank Discussion Papers 200636, 13 Nov 2006) | Full text |
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| | Matthieu Bussičre and Bernd Schnatz: Evaluating China's integration in world trade with a gravity model based benchmark (European Central Bank Working papers 0693, Nov 2006) | Full text |
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| | Federico S. Mandelman: Business Cycles: A Role for Imperfect Competition in the Banking System (Atlanta Fed Working papers 2006-21, Nov 2006) | Abstract
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| | Asokan Anandarajan – Iftekhar Hasan – Cornelia McCarthy: The use of loan loss provisions for capital management, earnings management and signalling by Australian banks (Bank of Finland Discussion Papers 2006/23, 03 Oct 2006) | Abstract
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| | Georgios Chortareas and George Kapetanios: The yen real exchange rate may be stationary after all: evidence from non-linear unit root tests (Bank of England Working papers 311, Oct 2006) | Abstract
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| | António Afonso: Expansionary fiscal consolidations in Europe: new evidence (European Central Bank Working papers 0675, Sep 2006) | Full text |
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| | Csilla Horváth - Judit Krekó - Anna Naszódi: Is there a bank lending channel in Hungary? Evidence from bank panel data (Magyar Nemzeti Bank (the central bank of Hungary) Working papers 2006/07, Sep 2006) | Abstract
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| | Christian Merkl, Stéphanie Stolz: Banks' regulatory buffers, liquidity networks and monetary policy transmission (Deutsche Bundesbank Banking Supervision Discussion Papers 2006/06, Aug 2006) | Full text |
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| | Christian Dreger: Long-run money demand in the new EU Member States with exchange rate effects (European Central Bank Working papers 0628, May 2006) | Full text |
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| | Dieter Nautz, Juliane Scharff: Inflation and relative price variability in the euro area: evidence from a panel threshold model (Deutsche Bundesbank Discussion Papers 200614, 28 Mar 2006) | Full text |
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| | Mikael Bask - Jarko Fidrmuc: Fundamentals and technical trading: behaviour of exchange rates in the CEECs (Bank of Finland Discussion Papers 2006/10, 31 Jan 2006) | Abstract
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| | Edwin Lambregts and Daniël Ottens: The Roots of Banking Crises in Emerging Market Economics: A Panel Data Approach (Netherlands Bank DNB Working Papers 084, Jan 2006) | Full text |
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| | Pedro Elosegui, Paula Espańol, Demian Panigo, Juan M. Sotes Paladino: Methodological alternatives for the analysis of financial constraints in Argentina. (Central Bank of Argentina Working Papers 2006/02, Jan 2006) | Full text |
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| | Laura Rinaldi and Alicia Sanchis-Arellano: Household debt sustainability: what explains household non-performing loans? An empirical analysis (European Central Bank Working papers 0570, Jan 2006) | Full text |
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| | Tuomas A. Peltonen: Are emerging market currency crises predictable? A test (European Central Bank Working papers 0571, Jan 2006) | Full text |
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| | Menashe Yigal: Is the Firm-Level Relationship between Uncertainty and Irreversible Investment Non-Linear? 15.12.2005 (Bank of Israel Research - Discussion Papers dp0512, 15 Dec 2005) | Abstract
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| | Marc-André Gosselin and Nicolas Parent: An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia (Bank of Canada Working papers 2005-38, Dec 2005) | Abstract
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| | Erik Hjalmarsson: Estimation of Average Local-to-Unity Roots in Heterogenous Panels (Board of Governors of the Federal Reserve System International Financial Discussion Papers 0852, Dec 2005) | Abstract
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| | Jörg Breitung, M. Hashem Pesaram: Unit roots and cointegration in panels (Deutsche Bundesbank Discussion Papers 200542, 30 Nov 2005) | Full text |
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| | Marianne Baxter, Michael Kouparitsas: What Determines Bilateral Trade Flows? (Chicago Fed Working papers WP-2005-11, Nov 2005) | Abstract
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| | António Afonso: Ricardian fiscal regimes in the European Union (European Central Bank Working papers 0558, Nov 2005) | Full text |
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| | Matthieu Bussičre, Jarko Fidrmuc, Bernd Schnatz: Trade Integration of Central and Eastern European Countries:Lessons from a Gravity Model (Austrian National Bank Working Papers WP105, 25 Oct 2005) | Abstract
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| | Thomas A. Garrett, Gary A. Wagner, and David C. Wheelock: Regional Disparities in the Spatial Correlation of State Income Growth (St Louis Fed Working Papers 2005-061, Aug 2005) | Full text |
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| | (DNB): The Impact of Government Debt on Private Consumption in OECD Countries (Netherlands Bank DNB Working Papers 045, Jun 2005) | Full text |
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| | Marcin Kolasa: What drives productivity growth in the new EU member states? The case of Poland (European Central Bank Working papers 0486, May 2005) | Full text |
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| | Patrick Lünnemann and Thomas Y. Mathä: Regulated and services' prices and inflation persistence (European Central Bank Working papers 0466, Apr 2005) | Full text |
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| | Luc Aucremanne and Emmanuel Dhyne: Time-dependent versus state-dependent pricing: a panel data approach to the determinants of Belgian consumer price changes (European Central Bank Working papers 0462, Mar 2005) | Full text |
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| | Marcin Przybyla and Moreno Roma: Does product market competition reduce inflation? Evidence from EU countries and sectors tries and sectors (European Central Bank Working papers 0453, Mar 2005) | Full text |
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| | Daniel Porath: Estimating probabilities of default for German saving banks and credit cooperatives (Deutsche Bundesbank Banking Supervision Discussion Papers 2004/06, Dec 2004) | Full text |
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| | (DNB): Does Market Timing Drive Capital Structures? A Panel Data Study for Dutch Firms (Netherlands Bank DNB Working Papers 016, Nov 2004) | Full text |
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| | Felipa de Mello Sampayo, José Brandăo de Brito: The Locational Determinants of the U.S. Multinationals Activities (Bank of Portugal Working papers 200411, Sep 2004) | Abstract
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| | Ferre De Graeve, Olivier De Jonghe and Rudi Vander Vennet: The Determinants of Pass-Through of Market Conditions to Bank Retail Interest Rates in Belgium (National Bank of Belgium Working Papers 047, May 2004) | Full text |
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| | Catherine Fuss and Philip Vermeulen: Firms' investment decisions in response to demand and price uncertainty (European Central Bank Working papers 0347, Apr 2004) | Full text |
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| | Francisco Maeso-Fernandez, Chiara Osbat and Bernd Schnatz: Towards the estimation of equilibrium exchange rates for CEE acceding countries: methodological issues and a panel cointegration perspective (European Central Bank Working papers 0353, Apr 2004) | Full text |
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| | Catherine Fuss and Philip Vermeulen: Firms' investment decisions in response to demand and price uncertainty (National Bank of Belgium Working Papers 045, Apr 2004) | Full text |
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| | Alfred Hamerle, Thilo Liebig, Harald Scheule: Forecasting Credit Portfolio Risk (Deutsche Bundesbank Banking Supervision Discussion Papers 2004/01, Feb 2004) | Full text |
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| | Sunwoo Shin: Financial Constraint, Firms´ Inventory Investments and the Credit Channels of Monetary Policy (Bank of Korea Economic Papers 31, 27 Jan 2004) | Abstract
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| | Gábor Kátay - Zoltán Wolf: Investment Behavior, User Cost and Monetary Policy Transmission - the Case of Hungary (Magyar Nemzeti Bank (the central bank of Hungary) Working papers 2004/12, 2004) | Abstract
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| | Thomas A. Garrett, Gary A. Wagner and David C. Wheelock: A Spatial Analysis of State Banking Regulation (St Louis Fed Working Papers 2003-044, Dec 2003) | Full text |
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| | Diego Romero de Ávila and Rolf Strauch: Public finances and long-term growth in Europe - evidence from a panel data analysis (European Central Bank Working papers 0246, Jul 2003) | Full text |
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| | Miguel León-Ledesma and Peter McAdam: Unemployment (European Central Bank Working papers 0234, May 2003) | Full text |
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| | José Brandăo de Brito, Felipa de Mello Sampayo: The Timing and Probability of FDI: An Application to the United States Multinational Enterprises (Bank of Portugal Working papers 200302, May 2003) | Abstract
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| | Enrique Alberola: Misalignment, liabilities dollarization and exchange rate adjustment in Latin America (Bank of Spain Working Papers 0309, 2003) | Abstract
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| | Andrew Benito: The incidence and persistence of dividend omissions by Spanish firms (Bank of Spain Working Papers 0303, 2003) | Abstract
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| | Heiko Schmiedel: Total factor productivity growth in European stock exchanges: A non-parametric frontier approach (Bank of Finland Discussion Papers 2002/11, 18 Jun 2002) | Abstract
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| | Marcel Gérard and Frédéric Verschueren: Finance, uncertainty and investment (National Bank of Belgium Working Papers 026, May 2002) | Full text |
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| | M. Cincera: Financing constraints, fixed capital and R&D investment decisions of belgian firms (National Bank of Belgium Working Papers 032, May 2002) | Full text |
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| | Paul Butzen, Catherine Fuss and Philip Vermeulen: The impact of uncertainty on investment plans (National Bank of Belgium Working Papers 024, May 2002) | Full text |
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| | D. Cassimon, P.-J. Engelen, H. Meersman and M. Van Wouwe: Investment, uncertainty and irreversibility: evidence from belgian accounting data (National Bank of Belgium Working Papers 023, May 2002) | Full text |
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| | Andrew Benito and Garry Young: Financial Pressure and Balance Sheet Adjustment by UK Firms (Bank of Spain Working Papers 0209, 2002) | Full text |
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| | Michael Ehrmann, Leonardo Gambacorta, Jorge Martínez-Pagés, Patrick Sevestre and Andreas Worms: Financial systems and the role of banks in monetary policy transmission in the euro area (Bank of Spain Working Papers 0118, 2001) | Full text |
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| | Ignacio Hernando and Jorge Martínez Pagés: Is there a bank lending channel of monetary policy in spain (Bank of Spain Working Papers 0117, 2001) | Full text |
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| C24 Truncated and Censored Models |
| | Matias D. Cattaneo, Richard K. Crump, and Michael Jansson: Bootstrapping Density-Weighted Average Derivatives (Federal Reserve Bank of New York Staff reports 452, May 2010) | Abstract
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| | Renaud Lacroix: Assessing the shape of the distribution of interest rates: lessons from French individual data (Bank of France Working Papers Nr 206, Apr 2008) | Abstract
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| | Julie L. Hotchkiss, M. Melinda Pitts, and Mary Beth Walker: Working with Children? The Probability of Mothers Exiting the Workforce at Time of Birth (Atlanta |