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Improving inference and forecasting in VAR models using cross-sectional information
Prüser, Jan; Blagov, Boris - 2022
We propose a prior for VAR models that exploits the panel structure of macroeconomic time series while also providing shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual variables across endogenously determined groups of...
Persistent link: https://www.econbiz.de/10013359163
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Conditional Distribution of the Colombian Exchange Rate Returns : An Empirical Exercise Using Multivariate GARCH Models
Gómez, Karoll; Gallón, Santiago - 2008
A set of multivariate GARCH models is estimated and its empirical validity is compared from the calculation of the Value at Risk. Data used are the daily returns of the nominal exchange rate of the Colombian peso vis-a-vis the American dollar, euro, sterling and Japanese yen for the period...
Persistent link: https://www.econbiz.de/10014220508
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Multipliers of taxes and public spending in Colombia : SVAR and local projections approaches
Restrepo-Ángel, Sergio; Rincón Castro, Hernán; … - In: Latin American journal of central banking : LAJCB 3 (2022) 3, pp. 1-22
This paper estimates and analyzes multipliers for tax revenue and public spending for Colombia using structural …
Persistent link: https://www.econbiz.de/10013393435
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A dynamical systems approach to modeling human development
Ranganathan, Shyam; Swain, Ranjula Bali; Sumpter, David … - 2014
A key aim of economics is to set goals and investigate the relationship between various socio-economic indicators. By fitting time series data using a Bayesian dynamical systems approach we identify non-linear interactions between GDP, child mortality, fertility rate and female education. We...
Persistent link: https://www.econbiz.de/10010425735
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Labour Market Imbalances and Adjustments : Applied Forecast Model with RAS Component
Cohen, S. I. - 2015
types against educational levels. The model is applied and validated to Colombia, Korea, and Pakistan making use of plans …
Persistent link: https://www.econbiz.de/10013015327
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Transport investment appraisal and the environment
Nijkamp, Peter; Ubbels, Barry; Verhoef, Erik T. - 2002
This review considers the role of environmental effects in transport investment appraisal, mainly from the perspective …
Persistent link: https://www.econbiz.de/10011327843
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Planning for the future : a land-use and transport interaction model for Switzerland : conference paper at 54th ERSA Congress, 26-29 August 2014
Bodenmann, Balz R.; Sanchez, Breogan; Bode, J.; Zeiler, … - 2014
Spatial and transport planners, authorities, real estate developers, investors, re-locating residents and businesses … have different questions related to space and transport. These questions may concern specific land parcels, or cover a much … integrated transport and land use simulation tool FaLC (Facility Location Choice Simulation Tool). FaLC incorporates interactions …
Persistent link: https://www.econbiz.de/10011490599
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The economics of water scarcity
Leflaive, Xavier - 2024
This paper examines the current status of water availability, water demand, and influences from climate change in the European Union. It provides an overview of economic policy instruments to address water scarcity and manage water demand. Additionally, the paper explores policy options and...
Persistent link: https://www.econbiz.de/10015081421
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The effects of exchange-rate exposures on equity asset markets
Jumah, Adusei; Kunst, Robert M. - 2001
This paper analyzes the relationship between stock returns and exchange rate changes in international markets and examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are evaluated on several cost functions. Results from such analysis...
Persistent link: https://www.econbiz.de/10010292735
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Forecast combination based on multiple encompassing tests in a macroeconomic DSGE system
Costantini, Mauro; Gunter, Ulrich; Kunst, Robert M. - 2010
We use data generated by a macroeconomic DSGE model to study the relative benefits of forecast combinations based on forecast-encompassing tests relative to simple uniformly weighted forecast averages across rival models. Assumed rival models are four linear autoregressive specifications, one of...
Persistent link: https://www.econbiz.de/10010294019