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Long memory and fractional integration in high frequency financial time series

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

Persistent link: https://www.econbiz.de/10003979849

The role of the United States in the global economy and its evolution over time

Dées, Stéphane; Saint-Guilhem, Arthur - 2009

to the rest of the world tends to fluctuate over time but remains large overall. Second, although the size of the … more persistent. Actually, the increasing economic integration at the world level is likely to have fostered second …

Persistent link: https://www.econbiz.de/10003832378

Supply, demand and monetary policy shocks in a multi-country New Keynesian Model

Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa - 2010

countryspecific foreign output variable to capture direct inter-country linkages. In accord with the theory all variables are measured … restrictions implied by the NK theory. The multi-country DSGE NK model is then solved to provide estimates of identified supply …

Persistent link: https://www.econbiz.de/10008657123

The transmission of US cyclical developments to the rest of the world

Dées, Stéphane (contributor); … - 2007

of the world. Overall we find that while US economic developments would indeed affect the rest of the world, developments …

Persistent link: https://www.econbiz.de/10003599254

Exploring the international linkages of the euro area : a global VAR analysis

Dées, Stéphane; Di Mauro, Filippo; Pesaran, M. Hashem; … - 2005

This paper presents a quarterly global model linking individual country vector errorcorrecting models in which the domestic variables are related to the country-specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single economy,...