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Pukthuanthong, Kuntara; Roll, Richard - 2012

Persistent link: https://www.econbiz.de/10009765209

Real wages over the business cycle : OECD evidence from the time and frequency domains

Messina, Julián; Strozzi, Chiara; Turunen, Jarkko - 2009

positive correlation between the cyclicality of real wages and employment, suggesting that policy complementarities may … correlation ; labour market institutions …

Persistent link: https://www.econbiz.de/10003831747

Weak and strong cross section dependence and estimation of large panels

Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa - 2009

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

Persistent link: https://www.econbiz.de/10003963781

A note on identification patterns in DSGE models

Andrle, Michal - 2010

set of the most identifiable set of parameters. We also demonstrate that the use of bivariate and multiple correlation …

Persistent link: https://www.econbiz.de/10008657133

Oil prices, exchange rates and asset prices

Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2014

Persistent link: https://www.econbiz.de/10010381992

Interest rates and output in the long-run

Aksoy, Yunus (contributor); … - 2005

In this paper we argue that both statistics and economic theory-based evidence largely indicate the absence of long run relationships between the real output and the most relevant monetary indicator for the U.K. and the U.S, short term interest rates. These findings are not only a full sample...

Persistent link: https://www.econbiz.de/10002813224

Foreign exchange option and returns based correlation forecasts : evaluation and two applications

Castrén, Olli (contributor); Mazzotta, Stefano (contributor) - 2005

We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over …-the-counter (OTC) currency option prices to a set of return-based correlation measures and assess the relative quality of the … correlation forecasts. We find that while the predictive power of implied correlation is not always superior to that of returns …

Persistent link: https://www.econbiz.de/10002817395

More than a feeling : confidence, uncertainty and macroeconomic fluctuations

Nowzohour, Laura; Stracca, Livio - 2017

Economists, observers and policy-makers often emphasize the role of sentiment as a potential driver of the business cycle. In this paper we provide three contributions to this debate. First, we critically survey the existing literature on sentiment (considering both confidence and uncertainty)...

Persistent link: https://www.econbiz.de/10011719915

Financial indicators signalling correlation changes in sovereign bond markets

De Santis, Roberto A.; Stein, Michael - 2014

Persistent link: https://www.econbiz.de/10010441073

Country and sector-specific spillover effects in the euro area, the United States and Japan

Kaltenhaeuser, Bernd - 2003

Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects originating from one of the three currency areas and...

Persistent link: https://www.econbiz.de/10009635881

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