Dramatic changes in macroeconomic time series volatility pose a challenge to contemporary vector autoregressive (VAR) forecasting models. Traditionally, the conditional volatility of such models had been assumed constant over time or allowed for breaks across long time periods. More recent work,...

Starting from the dynamic factor model for non-stationary data we derive the factor-augmented error correction model (FECM) and, by generalizing the Granger representation theorem, its moving-average representation. The latter is used for the identification of structural shocks and their...

The present study extends an earlier elasticities-absorption approach to the balance of payments to the analysis of the consequences of tariff reforms on the Egyptian macro-economy, particularly as it relates to fiscal revenue implications. From an analytical perspective, we use the...

This paper examines Australia's terms of trade boom since 2003 with a particular interest in quantifying the links between the terms of trade and sectoral performance and identifying an associated 'secondary services boom'. Comparative static general equilibrium modelling and empirical analysis...

This paper challenges previous empirical evidence on output-inflation trade-off described in the hybrid New Keynesian Phillips curve. I estimate key coefficients of the hybrid gap-based New Keynesian Phillips curve, with both the forward- and backward-looking inflation components, in the Czech...

Enormous development of firm valuation from many aspects can be seen in the recent period. One of the main fields is scoring, which provides a probability verdict about the future development of a firm: its probability of default. This article focuses on introducing macroeconomic modelling using...

For most academics and policy makers, the depth of the 2008–09 financial crisis, its longevity and its impacts on the real economy resulted from an erosion of confidence. This paper proposes to assess empirically the link between consumer sentiment and consumption expenditures for the United...

This article proposes a modified method for the construction of diffusion indexes in macroeconomic forecasting using principal component regres- sion. The method aims to maximize the amount of variance of the origi- nal predictor variables retained by the diffusion indexes, by matching the data...

We propose a new method of leading index construction that combines the need for data compression with the objective of forecasting. This so-called principal covariate index is constructed to forecast growth rates of the Composite Coincident Index. The forecast performance is compared with an...

As both speculative and hedging financial flows into commodity futures are expected to link commodity price formation more strongly to equity indices, we investigate whether these processes also create increased correlation amongst the commodities themselves. Considering U.S. oil and gas...