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Exploiting common features in macroeconomic and financial data
Çakmaklı, Cem - 2012
Persistent link: https://www.econbiz.de/10009713424
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Do bubbles have an explosive signature in markov switching models?
Balcombe, Kelvin G.; Fraser, Iain M. - In: Economic modelling 66 (2017), pp. 81-100
Persistent link: https://www.econbiz.de/10011813660
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Essays on asset pricing and the macroeconomy
Kliem, Martin - 2009
Persistent link: https://www.econbiz.de/10003924973
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News driven business cycles and data on asset prices in estimated DSGE models
Avdjiev, Stefan - 2011
Persistent link: https://www.econbiz.de/10009388079
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The equity price channel in a New-Keynesian DSGE model with financial frictions and banking
Hollander, Hylton; Liu, Guangling - In: Economic modelling 52 (2016), pp. 375-389
Persistent link: https://www.econbiz.de/10011642791
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Stock market conditions and monetary policy in an DSGE model for the US
Castelnuovo, Efrem; Nisticò, Salvatore - 2010
Persistent link: https://www.econbiz.de/10003951920
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Stock prices and monetary policy in Japan : an analysis of a Bayesian DSGE model
Hoshino, Satoshi; Ida, Daisuke - 2021
Persistent link: https://www.econbiz.de/10012667807
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Stock market conditions and monetary policy in a DSGE model for the US
Castelnuovo, Efrem; Nisticò, Salvatore - In: Journal of economic dynamics & control 34 (2010) 9, pp. 1700-1731
Persistent link: https://www.econbiz.de/10009125839
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News Driven Business Cycles and data on asset prices in estimated DSGE models
Avdjiev, Stefan - In: Review of economic dynamics 20 (2016), pp. 181-197
Persistent link: https://www.econbiz.de/10011635800
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Volatility Spillover between Oil and Stock Prices : Structural Connectedness Based on a Multi-Sector DSGE Model Approach with Bayesian Estimation
Chan, Ying Tung; Qiao, Hui - 2022
This paper examines the connectedness between oil and stock markets using the WTI oil price and 10 S&P 500 price subindices data from 1989 to 2021. We present a novel approach for constructing a connectedness index based on a dynamic stochastic general equilibrium (DSGE) model with Bayesian...
Persistent link: https://www.econbiz.de/10014238179