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Identifying news shocks with forecast data
Hirose, Yasuo; Kurozumi, Takushi - In: Macroeconomic dynamics 25 (2021) 6, pp. 1442-1471
Persistent link: https://www.econbiz.de/10012618220
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The expectational effects of news in business cycles : evidence from forecast data
Miyamoto, Wataru; Nguyen, Thuy Lan - In: Journal of monetary economics 116 (2020), pp. 184-200
Persistent link: https://www.econbiz.de/10012495170
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The motifs of risk transmission in multivariate time series: Application to commodity prices
Pagnottoni, Paolo; Spelta, Alessandro - In: Socio-economic planning sciences : the international … 87 (2023) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10014317442
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Bayesian mixed frequency VARs
Eraker, Bjørn; Chiu, Ching Wai Jeremy; Foerster, Andrew; … - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 698-721
Persistent link: https://www.econbiz.de/10011339252
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A MIDAS approach to modeling first and second moment dynamics
Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334
Persistent link: https://www.econbiz.de/10011704952
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Cross-country uncertainty spillovers : evidence from international survey data
Beckmann, Joscha; Davidson, Sharada Nia; Koop, Gary; … - In: Journal of international money and finance 130 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014248782
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The volatility connectedness between oil and stocks : evidence from the G7 markets
BenMabrouk, Houda - In: Financial Market Dynamics after COVID 19 : The …, (pp. 67-99). 2022
Persistent link: https://www.econbiz.de/10013198542
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Perceived uncertainty shocks, excess optimism-pessimism, and learning in the business cycle
Chatterjee, Pratiti; Milani, Fabio - In: Journal of economic behavior & organization : JEBO 179 (2020), pp. 342-360
Persistent link: https://www.econbiz.de/10012486782
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Perceived uncertainty shocks, excess optimism-pessimism, and learning in the business cycle
Chatterjee, Pratiti; Milani, Fabio - 2020
What are the effects of beliefs, sentiment, and uncertainty, over the business cycle? To answer this question, we develop a behavioral New Keynesian macroeconomic model, in which we relax the assumption of rational expectations. Agents are, instead, boundedly rational: they have a...
Persistent link: https://www.econbiz.de/10012294890
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Skewed SVARS : tracking the structural sources of macroeconomic tail risks
Montes-Galdón, Carlos; Ortega, Eva - In: Essays in honour of Fabio Canova, (pp. 177-210). 2022
Persistent link: https://www.econbiz.de/10013445157