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We propose a dynamic factor model with time-varying parameters and stochastic volatility to analyze the relationship … country-specific capital flow volatility and that the impact of these variables has become even more important since the 2008 …
Persistent link: https://www.econbiz.de/10011929696
We examine the effects of increased international integration of both goods and financial markets on business cycle dynamics. To do so, we develop a new econometric framework for modelling cross-country spillovers in which the magnitude of these spillovers is an empirically determined function...
Persistent link: https://www.econbiz.de/10010414228
, one potentially adverse effect of globalization is the possibility that business cycle volatility might increase. Rapid … to unstable international capital flows. At the same time, business cycle volatility in OECD countries seems to have been …
Persistent link: https://www.econbiz.de/10011474806
volatility of emerging and developed economies. We study a multi-sector small open economy in which firms produce and trade …
Persistent link: https://www.econbiz.de/10011911446
This paper analyzes the evolution of volatility and cross-country comovement in output, consumption, and investment … fluctuations using two distinct datasets. The results suggest that there has been a significant decline in the volatility of … in macroeconomic volatility as well as declines in the degree of comovement of output and consumption growth with their …
Persistent link: https://www.econbiz.de/10012782433
This paper examines the effects of trade costs on macroeconomic volatility. We first construct a dynamic, two … variability of the trade balance should increase. Trade costs have ambiguous effects on the volatility of other macro variables …
Persistent link: https://www.econbiz.de/10012783054
, one potentially adverse effect of globalization is the possibility that business cycle volatility might increase. Rapid … to unstable international capital flows. At the same time, business cycle volatility in OECD countries seems to have been …
Persistent link: https://www.econbiz.de/10001680906
markets can address the exchange rate volatility puzzle, the exchange rate persistence puzzle, the consumption real exchange …
Persistent link: https://www.econbiz.de/10014219402
volatility, whereas a low degree of pass-through stems from both nominal rigidities (in the form of local currency pricing) and … price discrimination. We model real exchange rate volatility in response to real shocks by reconsidering and extending two …
Persistent link: https://www.econbiz.de/10014061212
In this paper, I have investigated the out of sample forecast performance for a case study on the determination of the nominal exchange rate for USD vis-à-vis IN¬R under VEC, VAR (in first difference) and Bayesian VAR specification with the help of set of economic theories. The forecast...
Persistent link: https://www.econbiz.de/10012910274