Against the background of the rapid inter- and intraregional integration of East Asia, we examine the extent and nature of synchronisation of business cycles in the region. We estimate various specifications of a dynamic common factor model for output growth of ten East Asian countries. A...

This paper analyses the importance of common factors in shaping non-fuel commodity price movements for the period 1957-2008. For this purpose, a dynamic factor model is estimated using Kalman Filtering techniques. Based on this set-up we are able to separate common and idiosyncratic developments...

The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian) (Panel) VAR toolbox for forecasting and policy analysis. BEAR is a MATLAB based toolbox which is easy for non-technical users to understand, augment and adapt. In particular, BEAR includes a...

Building upon a Behavioural Equilibrium Exchange Rate (BEER) model, estimated at a quarterly frequency since 1999 on a broad sample of 57 countries, this paper assesses whether both the size and the persistence of real effective exchange rate misalignments from the levels implied by economic...

This paper analyses the importance of common factors in shaping non-fuel commodity price movements for the period 1957-2008. For this purpose, a dynamic factor model is estimated using Kalman Filtering techniques. Based on this set-up we are able to separate common and idiosyncratic developments...

Building upon a Behavioural Equilibrium Exchange Rate (BEER) model, estimated at a quarterly frequency since 1999 on a broad sample of 57 countries, this paper assesses whether both the size and the persistence of real effective exchange rate misalignments from the levels implied by economic...

The Bayesian Estimation, Analysis and Regression toolbox (BEAR) is a comprehensive (Bayesian) (Panel) VAR toolbox for forecasting and policy analysis. BEAR is a MATLAB based toolbox which is easy for non-technical users to understand, augment and adapt. In particular, BEAR includes a...

Against the background of the rapid inter- and intra-regional integration of East Asia, we examine the extent and nature of synchronisation of business cycles in the region. We estimate various specifications of a dynamic common factor model for output growth of ten East Asian countries. A...

This paper proposes a forward-looking indicator of risk in the foreign exchange markets calculated from the implied volatilities of currency options according to the Garman-Kohlhagen model. We discuss the properties of such indicator and stress that it is related to a notion of risk that does...

This paper examines the predictive properties of risk indicators for the foreign exchange markets. In particular it considers the predictive properties of historical volatilities and implied volatilities for movements in various bilateral exchange rates and compares them with the analogous...