This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to...

This paper uses the semiparametric error correction model (Li and Wooldridge, 2002) and investigates the dynamics of wage, employment and labor efficiency after introducing five-day work week to the Korean labor market. Efficient working hour function is obtained by nonparametric method...

We assess the predictive ability of 15 economic uncertainty measures in a real-time out-of-sample forecasting exercise for the quantiles of The Conference Board's coincident economic index and its components (industrial production, employment, personal income, and manufacturing and trade sales)....

This paper examines the behaviour of the demand for money in Greece during 1976:1-2000:4, a period that included many of the influences that cause money-demand instability. Two empirical methodologies, vector error correction (VEC) modelling and second-generation random coefficient (RC)...

This paper derives series for capital utilisation, labour effort and total factor productivity (TFP) from a general equilibrium model with variable factor utilisation and labour adjustment costs. Impulse responses from the model show that firms initially respond to unanticipated shocks by...

The Basel III/CRD IV reforms to the banking system following the financial crisis of 2008–09 required banks to raise significantly both the quality and quantity of capital on their balance sheets. This econometric study provides evidence of both the long and short-term implications for ongoing...

In this paper we extract the factors that shape the yield curve and we relate them with macroeconomy. We examine whether the term structure can predict future economic activity by applying a range of econometric approaches both in pre- and post- crisis periods. Furthermore, we assess the...