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Browsing Research Articles (Economics) by Type "Preprint Article"
Now showing items 1-20 of 50
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An assessment of UK macroeconomic volatility: historical evidence using over seven centuries of data (Elsevier, 2018-04)Breaking ground from all previous studies, we estimate a time-varying Vector Autoregression model that examines the time-period 1270-2016 - the entire economic history of the U.K. Focusing on permanent and transitory shocks ...
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(Wiley-Blackwell, 2009-03)This paper develops a Bayesian Vector Error Correction Model (BVECM) for forecasting inventory investment. The model is estimated using South African quarterly data on actual sales, production, unfilled orders, price level ...
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(Elsevier, 2018-08)We apply different techniques and uncover the quantile conditional dependence between the global financial stress index and Bitcoin returns from July 18, 2010, to December 29, 2017. The results from the copula-based ...
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(Elsevier, 2021-12)Utilizing a measure of the Bitcoin network’s daily electricity load, we document a significant volatility effect of Bitcoin mining activity in three prominent electricity markets in the U.S. The volatility effect is found ...
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(Routledge, 2022)We forecast real stock returns of South Africa over the monthly period of 1915:01 to 2021:03 using real oil, gold and silver prices, based on an autoregressive type distributed lag model that controls for persistence and ...
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(Elsevier, 2020-12)This paper examines the effect of cross-border capital flows on financial markets by focusing on the composition of flows, viz. equity and debt flows, and its relative effect on emerging stock market returns and volatility. ...
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(Elsevier, 2021-12)We examine, using aggregate and sectoral U.S. data for the period 2008–2020, the predictive power of disentangled oil-price shocks for Real Estate Investment Trusts (REITs) realized market variance via the heterogeneous ...
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(Elsevier, 2019-10)In this paper, we analyze the potential role of growth in inequality for forecasting real housing returns of the United Kingdom. In our forecasting exercise, we use linear and nonlinear models, as well as measures of ...
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(Elsevier, 2021-05)In this paper, we assess the dynamic impact of the U.S. monetary policy announcements on oil market futures returns and volatility. We use intra-day data for West Texas Intermediate (WTI) oil futures together with a ...
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(Wiley-Blackwell, 2010-03)This paper derives the econometric restrictions imposed by the Barro and Gordon model of dynamic time inconsistency on a bivariate time-series model of consumer price index (CPI) inflation and real gross domestic product ...
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(Elsevier, 2021-12)This paper investigates the impact of uncertainty shocks on REITs returns over a monthly period from 1972:01 to 2015:12, and sub-samples from 1972:01 to 2009:06, and 2009:07 to 2015:12, to accommodate for the possible ...
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Effect of defense spending on US output : a factor augmented vector autoregression (FAVAR) approach (Routledge, 2010-04)Empirical evidence on the effect of defense spending on US output is at best mixed. Against this backdrop, this paper assesses the impact of a positive defense spending shock on the growth rate of real GNP using a Factor ...
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(De Gruyter, 2018-04)The importance of exchange rate in an economy can be seen in the various policies implemented to manage its level and evolution on a daily basis. A large body of literature has analyzed the impact of exchange rate, or ...
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(ICFAI Press, 2010)This paper presents a comprehensive literature review of the theoretical and empirical developments that have taken place over the last two decades in an attempt to address the exchange rate puzzles. Specifically, we ...
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(Taylor & Francis, 2013)In this paper, we consider the forecasting power, both in- and out-of-sample, of 11 financial variables with respect to the growth rate of Indian industrial production over the monthly out-ofsample period of 2005:4–2011:4, ...
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(Elsevier, 2020-01)This paper utilizes the recently developed methods of compressing the parameters and the data for a high-dimensional vector autoregression (VAR) to forecast economic policy uncertainty (EPU) of Brazil, China, India and ...
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(Taylor and Francis, 2020)This study examines the very short, short, medium and long-term forecasting ability of different univariate GARCH models of United Kingdom (UK)'s interest rate volatility, using a long span monthly data from May 1836 to ...
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(Elsevier, 2015-01)This paper considers the forecasting performance of a nonlinear dynamic stochastic general equilibrium (DSGE) model. The results are compared with those of a wide selection of competing models, which include a linear DSGE ...
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(2010-01)This paper compares the forecasting ability of five alternative types of models in predicting four key macroeconomic variables, namely, per capita growth rate, the CPI inflation, the money market rate, and the growth ...
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(Elsevier, 2022-03)In this study, we examine the predictive value of tail risks for oil returns using the longest possible data available for the modern oil industry, i.e., 1859–2020. The Conditional Autoregressive Value at Risk (CAViaR) of ...
Now showing items 1-20 of 50