This paper proposes a novel and flexible framework to estimate autoregressive models with time-varying parameters. Our setup nests various adaptive algorithms that are commonly used in the macroeconometric literature, such as learning-expectations and forgetting-factor algorithms. These are...

We propose an easy technique to test for time-variation in coefficients and volatilities. Specifically, by using a noncentered parameterization for state space models, we develop a method to directly calculate the relevant Bayes factor using the Savage-Dickey density ratio — thus avoiding the...

This paper contributes to the large debate regarding the impact of oil price changes on U.S. GDP growth. Firstly, it replicates empirical findings of prominent studies and finds that the proposed oil price measures have a dissipating effect with recent data up to 2016Q4. Secondly, it re-examines...

Monetary policymakers in advanced transition economies such as Poland are increasingly interested in how inflation responds to changes in policy instruments and other economic forces. In this paper, measures of underlying CPI inflation based upon optimal trimming concepts are developed. The...

This study examined the causal relationship between inflation and economic growth as well as estimating threshold and forecasting of inflation in Nigeria for the period of 1961 { 2016. The study employed Granger causality test, Au- toregressive Distributed Lag (ARDL), Autoregressive Integrated...

Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...

The interest in empirical studies of monetary policy has increased in the last decade. The deregulation of financial markets and the increased use of explicit policy rules and targets have made monetary policy more transparent and interesting for economic analysis. This paper demonstrates how a...

It is customary to suggest that the asymmetry in the transmission of oil price shocks to real output is well established. Much of the empirical work cited as being in support of asymmetries, however, has not directly tested the hypothesis of an asymmetric transmission of oil price innovations....

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the...

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between the risk-neutral and objective expectations of the...