This paper proposes a theoretical framework to analyze the impacts of credit and technologyshocks on business cycle dynamics, where firms rely on banks and households for capitalfinancing. Firms are identical ex ante but differ ex post due to different realizations of firmspecific technology...

We investigate the effect of forecast uncertainty in a cointegrating vector error correctionmodel for Switzerland. Forecast uncertainty is evaluated in three different dimensions. First,we investigate the effect on forecasting performance of averaging over forecasts fromdifferent models...

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation(DCC) model proposed by Engle (2002), and suggests the use of devolatized returnscomputed as returns standardized by realized volatilities rather than by GARCH type volatilityestimates. The t-DCC...

This paper considers the implications of the permanent/transitory decomposition of shocksfor identification of structural models in the general case where the model might contain morethan one permanent structural shock. It provides a simple and intuitive generalization of theinfluential work of...

The purpose of this paper is to apply recent advances in the econometrics of panel data to a problem that has a clear spatial dimension. We model the dynamic adjustment of real house prices using data at the level of US States. In the last decade, in most OECD countries there has been a...

The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Existing tests assume, however, that draws are independent, and there are no tests that account for serial dependencies - a problem that is particularly important in economics and...

In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are based on average pair-wise residual correlation coefficients. In nonlinear models, the definition of the residual is ambiguous and we consider two approaches: deviations of the...

This paper proposes a theoretical framework to analyze the impacts of credit and technology shocks on business cycle dynamics, where firms rely on banks and households for capital financing. Firms are identical ex ante but differ ex post due to different realizations of firm specific technology...

The international business cycle is very important for Latin America's economic performance as the recent global crisis vividly illustrated. This paper investigates how changes in trade linkages between China, Latin America, and the rest of the world have altered the transmission mechanism of...

Academic macroeconomics and the research department of central banks have come to be dominated by Dynamic, Stochastic, General Equilibrium (DSGE) models based on micro-foundations of optimising representative agents with rational expectations. We argue that the dominance of this particular sort...