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Bifurcation Analysis of an Endogenous Growth Model

Barnett, William; Ghosh, Taniya - Volkswirtschaftliche Fakultät, … - 2013

This paper analyzes the dynamics of a variant of Jones (2002) semi-endogenous growth model within the feasible …. Bifurcation boundaries can separate one kind of unstable dynamics domain from another kind of unstable dynamics domain, or one … kind of stable dynamics domain from another kind (called soft bifurcation), such as bifurcation from monotonic stability to …

Persistent link: https://www.econbiz.de/10011257703

Modeling and forecasting foreign exchange daily closing prices with normal inverse Gaussian

Teneng, Dean - Volkswirtschaftliche Fakultät, … - 2012

We fit the normal inverse Gaussian(NIG) distribution to foreign exchange closing prices using the open software package R and select best models by Kaarik and Umbleja (2011) proposed strategy. We observe that daily closing prices(12/04/2008 - 07/08/2012) of CHF/JPY, AUD/JPY, GBP/JPY, NZD/USD,...

Persistent link: https://www.econbiz.de/10011108989

Does the Box-Cox transformation help in forecasting macroeconomic time series?

Tommaso, Proietti; Helmut, Luetkepohl - Volkswirtschaftliche Fakultät, … - 2011

The paper investigates whether transforming a time series leads to an improvement in forecasting accuracy. The class of transformations that is considered is the Box-Cox power transformation, which applies to series measured on a ratio scale. We propose a nonparametric approach for estimating...

Persistent link: https://www.econbiz.de/10009207092

Bandwidth selection for continuous-time Markov processes

Bandi, Federico; Corradi, Valentina; Moloche, Guillermo - Volkswirtschaftliche Fakultät, … - 2009

We propose a theoretical approach to bandwidth choice for continuous-time Markov processes. We do so in the context of stationary and nonstationary processes of the recurrent kind. The procedure consists of two steps. In the first step, by invoking local Gaussianity, we suggest an automated...

Persistent link: https://www.econbiz.de/10011113065

Sectoral gross value-added forecasts at the regional level: Is there any information gain?

Lehmann, Robert; Wohlrabe, Klaus - Volkswirtschaftliche Fakultät, … - 2013

In this paper, we ask whether it is possible to forecast gross-value added (GVA) and its sectoral sub-components at the regional level. We are probably the first who evaluate sectoral forecasts at the regional level using a huge data set at quarterly frequency to investigate this issue. With an...

Persistent link: https://www.econbiz.de/10011107330

Macroeconomic Policies for Poverty Reduction in Cambodia

Lord, Montague J. - Volkswirtschaftliche Fakultät, … - 2001

Provides analysis for a practical action planto implement pro-poor policies through macroeconomic initiatives. The study covers sequencing and implementation issues and provides estimates of both macro and significant microeconomic impacts. The major components of the study are (a) a general...

Persistent link: https://www.econbiz.de/10011107517

A New Index of Financial Conditions

Koop, Gary; Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2013

We use factor augmented vector autoregressive models with time-varying coefficients to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for...

Persistent link: https://www.econbiz.de/10011108998

Data-based priors for vector autoregressions with drifting coefficients

Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2014

This paper proposes full-Bayes priors for time-varying parameter vector autoregressions (TVP-VARs) which are more robust and objective than existing choices proposed in the literature. We formulate the priors in a way that they allow for straightforward posterior computation, they require...

Persistent link: https://www.econbiz.de/10011109841

A Macroeconomic Model for Romania's Flexible Exchange Rate System

Lord, Montague J. - Volkswirtschaftliche Fakultät, … - 1994

The transition process of the Romanian economy motivated the design of a model that provides for a parsimonious representation of the structure of the economy, exploits the increased availability of data for the system of national accounts, and recognizes time-variant parameters that can result...

Persistent link: https://www.econbiz.de/10011111567

A P* Model of Inflation in Puerto Rico

Rodríguez, Carlos A. - Volkswirtschaftliche Fakultät, … - 2004

One can analyze and forecast the inflationary potential in the Puerto Rican economy using the “P* model.” Given the nature of the monetary sector in Puerto Rico (PR), the model is put into the context of variables from the mainland United States (US). The results indicate a long-run...

Persistent link: https://www.econbiz.de/10011259136