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Spillover effects in international business cycles

Camacho, Máximo; Pacce, Matías José; Pérez Quirós, … - 2020

Con el objetivo de analizar la transmisión de las fluctuaciones internacionales de los ciclos económicos, se propone un modelo de factores dinámicos multinivel con estructura de bloques en el que: i) no se restringe a los factores a ser ortogonales, y ii) se permite mezclar series de...

Persistent link: https://www.econbiz.de/10012525277

Is there a signalling role for public wages? : evidence for the euro area based on macro data

Pérez García, Javier José; Sánchez-Fuentes, A. Jesús - 2009

Do public sector wages exert presures on private sector wages, or has private sector a leadership role in wage setting?. This paper tries to isolate the pure signalling effect that one sector might exert on the other by controlling for other determinants of wages (prices, productivity,...

Persistent link: https://www.econbiz.de/10012530273

Short-term monitoring of the Spanish government balance with mixed-frequencies models

Leal Linares, Teresa; Pedregal, Diego J.; Pérez … - 2010

We construct multivariate, state-space mixed-frequencies models for the main componentsof the Spanish General Government sector made up of blocks for each one of its subsectors: Central Government, Social Security and aggregate of Regional and Local government sectors. Each block is modelled...

Persistent link: https://www.econbiz.de/10012530299

The Relationships Among Monetry Policy, Stock Prices and the Exchange Rate

Ivrendi, Mehmet - 2005

the Vector Error Correction Model (VECM) , Multivariate VAR (p), Multivariate-VARX (p) and Multivariate VAR (p)-GARCH (q …

Persistent link: https://www.econbiz.de/10009431226

Robust Inference with Quantile Regression in Stochastic Volatility Models withapplication to Value at Risk calculation

Saha, Paramita - 2008

at Risk (VaR) calculation entails a numerically indirectprocedure. The Quantile Regression (QR) estimation is an …-KF) based on the QR approach thatcan be used to obtain robust SV model parameter estimates as well as VaR estimates. TheRQMM is … existing Nonlinear Filtering (NF) scheme.This approach is used in likelihood and VaR computations. This algorithm provides …

Persistent link: https://www.econbiz.de/10009431241

Trade Linkages and Output-Multiplier Effects: A Structural VAR

Abeysinghe, Tilak; Forbes, Kristin J. - 2002

This paper develops a structural VAR model to measure how a shock to one country can affect the GDP of other countries …

Persistent link: https://www.econbiz.de/10009433020

The Unconditional and Conditional Exchange Rate Exposure of U.S. Firms

Ericsson, Jan; Huang, Xiao; Mazzotta, Stefano - 2007

This paper studies the characteristics of firm level equity volatility. There is a lack of consensus in the finance literature as to the relative statistical and economic significance of the leverage and feedback effects on equity volatility. We provide a dynamic framework to investigate...

Persistent link: https://www.econbiz.de/10009459041