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Modeling the link between US inflation and output : the importance of the uncertainty channel
Conrad, Christian; Karanasos, Menelaos - 2010
This paper employs an augmented version of the UECCC GARCH specification proposed in Conrad and Karanasos (2010) which allows for lagged in-mean effects, level effects as well as asymmetries in the conditional variances. In this unified framework we examine the twelve potential intertemporal...
Persistent link: https://www.econbiz.de/10008758143
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Modeling the Link between US Inflation and Output : The Importance of the Uncertainty Channel
Conrad, Christian - 2014
This paper employs an augmented version of the UECCC GARCH specification proposed in Conrad and Karanasos (2010) which allows for lagged in-mean effects, level effects as well as asymmetries in the conditional variances. In this unified framework we examine the twelve potential intertemporal...
Persistent link: https://www.econbiz.de/10013068979
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Golden rules of economic growth
Phelps, Edmund S. - 1966
Persistent link: https://www.econbiz.de/10000044815
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Optimal growth of an open economy
Gehrels, Franz - 1975
Persistent link: https://www.econbiz.de/10000056747
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The empirical relation between credit quality, recovery and correlation
Rösch, Daniel; Scheule, Harald - 2009
Credit risk is an important issue in many finance areas, such as the determination of cost of capital, the valuation of … corporate bonds and pricing of credit derivatives. Credit risk has also been a cause and consequence of the current financial … crisis. Thus, methods for measuring credit risk, default probabilities, and recoveries have caught more and more attention in …
Persistent link: https://www.econbiz.de/10003846062
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Assessing aggregate tests of efficiency for dynamic economies
Barbie, Martin (contributor); Hagedorn, Marcus (contributor) - In: Topics in macroeconomics 4 (2004) 1
Persistent link: https://www.econbiz.de/10002497086
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Bond return predictability : economic value and links to the macroeconomy
Pettenuzzo, Davide; Gargano, Antonio; Timmermann, Allan - 2014
Persistent link: https://www.econbiz.de/10010505306
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - 2014
Persistent link: https://www.econbiz.de/10010409119
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Empirical models of trade, direct investment and growth in developed economies
Kernohan, David Reginald William - 2002
Persistent link: https://www.econbiz.de/10001801172
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Modeling volatility spillovers between the variabilities of US inflation and output : the UECCC GARCH model
Conrad, Christian; Karanasos, Menelaos - 2008
This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad and Karanasos (2008) to examine the intertemporal relationship between the uncertainties of inflation and output growth in the US. We find that inflation uncertainty effects...
Persistent link: https://www.econbiz.de/10003770689