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Industry returns, market returns and economic fundamentals : evidence for the United States
Laopodis, Nikiforos - In: Economic modelling 53 (2016), pp. 89-106
Persistent link: https://www.econbiz.de/10011640972
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Dynamic responses of major equity markets to the US fear index
Adrangi, Bahram; Chatrath, Arjun; Macri, Joseph; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/156, pp. 1-23
US, UK, France, and Germany responded to structural shocks to the VIX. Nonlinear Granger causality tests confirm these …
Persistent link: https://www.econbiz.de/10012173007
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Uncertainty shocks and business cycles in the US : new insights from the last three decades
Houari, Oussama - In: Economic modelling 109 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013348241
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The effect of federal government size on long-term economic growth in the United States : 1791 - 2009
Guerrero, Federico; Parker, Elliott - In: Modern economy 3 (2012) 8, pp. 949-957
Persistent link: https://www.econbiz.de/10010201976
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Time-varying investment dynamics in the USA
Mendieta-Muñoz, Ivan - 2024
We study the time-varying effects of Tobin's q and cash flow on investment dynamics in the USA using a vector autoregression model with drifting parameters and stochastic volatilities estimated via Bayesian methods. We find significant variation over time of the response of investment to shocks...
Persistent link: https://www.econbiz.de/10014483612
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Business cycle and Markov switching models with distributed lags : a comparison between US and euro area
Billio, Monica; Cavicchioli, Maddalena - In: Rivista italiana degli economisti : the journal of the … 19 (2014) 2, pp. 253-276
Persistent link: https://www.econbiz.de/10010407958
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Forecasting exchange rate for the Australian dollar vis-a-vis US dollar : time series vs structural models
Hoque, Asraul; Latif, Abdul - 1992
Persistent link: https://www.econbiz.de/10000836573
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Allowing the data to speak freely : the macroeconometrics of the cointegrated vector autoregression
Hoover, Kevin D.; Johansen, Søren; Jusélius, Katarina - In: The American economic review 98 (2008) 2, pp. 251-255
Persistent link: https://www.econbiz.de/10003730164
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Testing for granger (non-) causality in a time varying coefficient VAR model
Christopulos, Dēmētrēs K. (contributor);  … - 2008
In this paper we propose Granger (non-)causality tests based on a VAR model allowing for time-varying coefficients. The … transition variable. The model allows for testing Granger non-causality when the VAR is subject to a smooth break in the … coefficients of the Granger causal variables. The proposed test then is applied to the money-output relationship using quarterly US …
Persistent link: https://www.econbiz.de/10003644229
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Forecasting exchange rates with a large Bayesian VAR
Carriero, Andrea (contributor);  … - 2008
Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the same problem. In this paper, we propose to forecast exchange rates with a...
Persistent link: https://www.econbiz.de/10003765975