Did the terrorist attacks of September 11, 2001 change the volatility dynamics of stock markets? Using daily returns data from Pakistan, a front line state in the war against terror, we investigate whether important time series characteristics, for example first-order time dependence in the mean...

This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...

This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse...

This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...

Central banks and other forecasters have become increasingly interested in various aspects of density forecasts. However, recent sharp changes in macroeconomic volatility such as the Great Moderation and the more recent sharp rise in volatility associated with greater variation in energy prices...

This paper tests the well-known real business cycle model of Kydland and Prescott (1988), using spectral methods for linear filters. Model spectra, coherencies, phase shifts, and correlations are tested against US postwar data using both asymptotic and small-sample distributions. Compared with...

Macro models of monetary policy typically involve forward looking behavior. Except in rare circumstances, we have to apply some numerical method to find the optimal policy and the rational expectations equilibrium. This paper summarizes a few useful methods, and shows how they can be combined...

In many multivariate volatility models, the number of parameters increases faster than the cross-section dimension, hence creating a curse of dimensionality problem. This paper discusses specification and identification of structured parameterizations based on weight matrices induced by economic...

This paper introduces an easy to follow method for continuous time model estimation. It serves as an introduction on how to convert a state space model from continuous time to discrete time, how to decompose a hybrid stochastic model into a trend model plus a noise model, how to estimate the...