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A dynamic yield curve model with stochastic volatility and non-Gaussian interactions : an empirical study of non-standard monetary policy in the euro area
Mesters, Geert; Schwaab, Bernd; Koopman, Siem Jan - 2014
We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...
Persistent link: https://www.econbiz.de/10010362975
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the … efficient estimates of the parameters using a monthly dataset of core inflation for which we consider different subsamples of …
Persistent link: https://www.econbiz.de/10011373822
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Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan; Bos, Charles S. - 2002
concerned with themodelling and forecasting of two U.S. macroeconomic time series:inflation and industrial production. …
Persistent link: https://www.econbiz.de/10011327834
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Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng; Koopman, Siem Jan - 2018
applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …
Persistent link: https://www.econbiz.de/10011809984
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The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10011376640
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Measuring asymmetric stochastic cycle components in US macroeconomic time series
Koopman, Siem Jan; Lee, Kai Ming - 2005
To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle and irregular components. This can be done by nonparametric band-pass filtering methods in the frequency domain or by model-based decompositions based on autoregressive moving...
Persistent link: https://www.econbiz.de/10011346480
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A dynamic analysis of moving average rules
Chiarella, Carl; He, Xue-zhong; Hommes, Cars H. - 2005
The use of various moving average (MA) rules remains popular with financial market practitioners. These rules have recently become the focus of a number empirical studies, but there have been very few studies of financial market models where some agents employ technical trading rules of the type...
Persistent link: https://www.econbiz.de/10011343956
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On the extent of economic integration : a comparison of EU countries and US states
Bowen, Harry P.; Munandar, Haris; Viaene, Jean-Marie - 2010
European economic integration is commonly believed to be incomplete, and that further reforms are needed. In this context, the union of U.S. states is considered the benchmark of complete economic integration and is often the basis for comparison regarding the extent of E.U economic integration....
Persistent link: https://www.econbiz.de/10011379627
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Asset pricing in incomplete markets : valuing gas storage capacity
Zhao, Lin; Wijnbergen, Sweder van - 2015
We investigate the relationship between the gas spot market and the price of gas storage capacity. Contrary to the common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than by the winter-summer price differences. This paper...
Persistent link: https://www.econbiz.de/10011333083
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Global stochastic properties of dynamic models and their linear approximations
Babus, Ana; Vries, Casper G. de - 2010
The dynamic properties of micro based stochastic macro models are often analyzed through a linearization around the associated deterministic steady state. Recent literature has investigated the error made by such a deterministic approximation. Complementary to this literature we investigate how...
Persistent link: https://www.econbiz.de/10011381332