The macromodel estimates the short and medium-term economic implications for internal policies and changes in the international context. This version of the Romanian macromodel incorporates the experience accumulated through the utilization of its previous forms - either experimental (tested...

The version 2005 of the Romanian macromodel (Dobrescu 2005, 2006) was built using data for the period 1990 (sometimes 1989) - 2004. This paper insists on three (probably the most complicated) problems: the evaluation of export, import, foreign capital inflows and exchange rate in euros, since...

The paper presents a possible medium-run evolution of the Romanian economy. It is organised in two chapters. The first chapter discusses the conceptual framework of the macromodel used for simulations, insisting on the behavioural (stochastic) relationships and the sectoral decomposition of the...

The macromodel estimates the short and medium-term economic implications of the internal policies and the international environment. This version of the Romanian macromodel incorporates the experience accumulated through the utilisation of its previous forms - either experimental (tested during...

In this paper, the authors develop a new tool to improve the short-term forecasting of real GDP growth in the euro area and Japan. This new tool, which uses unrestricted mixed-data sampling (U-MIDAS) regressions, allows an evaluation of the usefulness of a wide range of indicators in predicting...

In this paper, the authors develop a new tool to improve the short-term forecasting of real GDP growth in the euro area and Japan. This new tool, which uses unrestricted mixed-data sampling (U-MIDAS) regressions, allows an evaluation of the usefulness of a wide range of indicators in predicting...

Using a recursive modeling approach and data from the Euro area, the following paper analyzes the counter-cyclicity, stock price volatility is believed to demonstrate with respect to the state of the economy. It further tests whether such interdependence is exploitable for volatility...

The method of maximum likelihood is used to estimate a Dynamic Stochastic General Equilibrium business cycle model that combines elements of existing sticky-price and limited-participation specifications. Sticky prices are incorporated, following Rotemberg (1982), by assuming that...

Money demand in Venezuela is modeled using structural time series and error correction approaches, for the period 1993.1 to 2001.4. The preferred model features seasonal cointegration and was estimated following a structural time series approach. There are similarities in the long-run behavior...

In their work, Brigo and Capponi (2010) introduce a numerical approach for calculating credit valuation adjustments (CVA) for credit default swaps (CDS). In contrast to previous research, they consider the default of the party doing the calculation, and its correlation to the defaults of the...