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Forecasting with a state space time-varying parameter VAR model: Evidence from the Euro area

Bekiros, Stelios - In: Economic Modelling 38 (2014) C, pp. 619-626

Standard VAR and Bayesian VAR models are proven to be reliable tools for modeling and forecasting, yet they are still … specifications of the VAR and BVAR models for the IP and Euribor series provide with better forecasting performance. Interestingly …

Persistent link: https://www.econbiz.de/10011048862

The choice of a foreign price measure in a Bayesian estimated new-Keynesian model for Israel

Argov, Eyal - In: Economic Modelling 29 (2012) 2, pp. 408-420

We estimate a small DSGE model by full information Bayesian techniques on the basis of Israeli data from 1995 to 2006. The model was first developed and estimated by means of classical GMM in Argov and Elkayam (2010), and since then it has been used at the Bank of Israel for monetary policy...

Persistent link: https://www.econbiz.de/10010573272

Trade openness and economic growth: Bayesian model averaging estimate of cross-country growth regressions

Eriṣ, Mehmet N.; Ulaṣan, Bülent - In: Economic Modelling 33 (2013) C, pp. 867-883

In this paper, we investigate the robustness of the relationship between trade openness and long-run economic growth over the sample period 1960–2000, utilising Bayesian model averaging techniques to account for model uncertainty issues in a systematic manner. We find no evidence that trade...

Persistent link: https://www.econbiz.de/10011048896

Does Bayesian shrinkage help to better reflect what happened during the subprime crisis?

Kaabia, Olfa; Abid, Ilyes; Guesmi, Khaled - In: Economic Modelling 31 (2013) C, pp. 423-432

evaluate forecasting accuracy, and perform a structural analysis exercise using VAR models of different sizes: a standard VAR … estimated by OLS and a MEDIUM and LARGE VARs estimated by a Bayesian shrinkage procedure. …

Persistent link: https://www.econbiz.de/10010636255

The changing role of house price dynamics over the business cycle

Dufrénot, Gilles; Malik, Sheheryar - In: Economic Modelling 29 (2012) 5, pp. 1960-1967

In this paper, we attempt to analyse the relationship between house price dynamics and the business cycle. Employing a time-varying transition probability Markov switching framework, we provide empirical evidence that house price growth may prove a useful leading indicator for turning point...

Persistent link: https://www.econbiz.de/10010597508

Financial market frictions in a model of the Euro area

Lombardo, Giovanni; McAdam, Peter - In: Economic Modelling 29 (2012) 6, pp. 2460-2485

We build a model of the euro area incorporating financial market frictions at the level of firms and households. Entrepreneurs borrow from financial intermediaries in order to purchase business capital, in the spirit of the “financial accelerator” literature. We also introduce two types of...

Persistent link: https://www.econbiz.de/10011048720

Forecasting the yield curve and the role of macroeconomic information in Turkey

Kaya, Huseyin - In: Economic Modelling 33 (2013) C, pp. 1-7

In this study we investigate the yield curve forecasting performance of Dynamic Nelson–Siegel Model (DNS), affine term … variables in forecasting the yield curve. We have reached numbers of important results: 1—Macroeconomic variables are very … useful in forecasting the yield curve. 2—The forecasting performances of the models depend on the period under review. 3 …

Persistent link: https://www.econbiz.de/10011048868

Regional divergence and club convergence in India

Ghosh, Madhusudan; Ghoshray, Atanu; Malki, Issam - In: Economic Modelling 30 (2013) C, pp. 733-742

This paper examines regional divergence in income across different states in India, and estimates convergence clubs endogenously. The paper makes two useful contributions. First, the data is analyzed using a novel method due to Phillips and Sul (2007) leading to different conclusions in...

Persistent link: https://www.econbiz.de/10010608278

Heterogeneous technology and the technological catching-up hypothesis: Theory and assessment in the case of MENA countries

Serranito, Francisco - In: Economic Modelling 30 (2013) C, pp. 685-697

Long run convergence implies that the convergence hypothesis will be rejected if the income differential is not stationary. However, this definition is valid only if the catching-up process between the two countries is already over. If we take into account catching-up dynamics, then poorest...

Persistent link: https://www.econbiz.de/10010608298

On the stationarity of per capita carbon dioxide emissions over a century

Christidou, Maria; Panagiotidis, Theodore; Sharma, Abhijit - In: Economic Modelling 33 (2013) C, pp. 918-925

This paper examines the stationarity of carbon dioxide (CO2) emissions per capita for a set of 36 countries covering the period 1870–2006. We employ recently developed unit root and stationarity tests that allow for the mean reverting process to be nonlinear and take into account cross...

Persistent link: https://www.econbiz.de/10010737975

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