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Sources of Macroeconomic Fluctuations in MENA Countries
Balcilar, Mehmet; Bagzibagli, Kemal - Volkswirtschaftliche Fakultät, … - 2010
structural VAR model. By imposing long-run restrictions on a VAR model, we identify four structural shocks: nominal demand … output fluctuations are the real supply and/or real demand shocks. External shocks are secondary for all countries. The …
Persistent link: https://www.econbiz.de/10011108303
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Temporal Causality between House Prices and Output in the U.S : A Bootstrap Rolling-Window Approach
Nyakabawo, Wendy - 2016
This paper examines the causal relationships between the real house price index and real GDP per capita in the U … quarterly time-series data on the real house price index and real GDP per capita, covering the period 1963:Q1 to 2012:Q2. The … the real house price index to real GDP per capita. A wide variety of tests of parameter constancy used to examine the …
Persistent link: https://www.econbiz.de/10013007411
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The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US
Balcilar, Mehmet - 2015
This paper provides out-of-sample forecasts of linear and non-linear models of US and Census regions housing prices. The forecasts include the traditional point forecasts, but also include interval and density forecasts of the housing price distributions. The non-linear smooth-transition...
Persistent link: https://www.econbiz.de/10013036560
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The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand
Aye, Goodness C.; Balcilar, Mehmet; Bosch, Adel; Gupta, … - Department of Economics, Faculty of Economic and … - 2013
Rand against the United States dollar and the British Pound, in real terms. We compare the forecasting performance of point …
Persistent link: https://www.econbiz.de/10010636769
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The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand
Aye, Goodness C.; Balcilar, Mehmet; Bosch, Adél; … - In: European Journal of Comparative Economics 10 (2013) 1, pp. 121-148
rand against the United States dollar and the British pound, in real terms. We compare the forecasting performance of point …
Persistent link: https://www.econbiz.de/10010643614
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An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa
Balcilar, Mehmet; Gupta, Rangan; Shah, Zahra - Department of Economics, Faculty of Economic and … - 2010
This paper first tests if housing prices in the five segments of the South African housing market, namely, large-middle, medium-middle, small-middle, luxury and affordable, exhibits non-linearity based on smooth transition autoregressive (STAR) models estimated using quarterly data covering the...
Persistent link: https://www.econbiz.de/10008486900
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Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets
Balcilar, Mehmet - 2019
This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar index futures and the commodity price index. The focus of the study is to analyze effects of Fed's unconventional monetary policy on the US financial markets. We use realized...
Persistent link: https://www.econbiz.de/10012893224
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Is the Rand Really Decoupled from Economic Fundamentals?
Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl - Department of Economics, Faculty of Economic and … - 2014
We analyse the relationship between the South African real exchange rate and economic fundamentals - demand, supply and … nominal shocks. Using a time-varying parameter VAR we study the coherence, conditional volatility and impulse responses of the …
Persistent link: https://www.econbiz.de/10011011766
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The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - In: Economics: The Open-Access, Open-Assessment E-Journal 10 (2016) 2016-27, pp. 1-20
This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MS-VAR) model, and compare its in-sample and...
Persistent link: https://www.econbiz.de/10011555275
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The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - 2016
This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MSVAR) model, and compare its in-sample and...
Persistent link: https://www.econbiz.de/10011443622