This paper presents an estimation of the fiscal multipliers for Saudi Arabia, conducted by applying the local projection (LP) method. It also presents an exploration of the non-linear features of fiscal multipliers. The findings showed that (i) consistent with earlier studies, fiscal multipliers...

We propose a statistical identification procedure for structural vector autoregressive (VAR) models that present a nonlinear dependence (at least) at the contemporaneous level. By applying and adapting results from the literature on causal discovery with continuous additive noise models to...

The purpose of this study is to examine whether we can identify a Phillips curve fit for the Kingdom of Eswatini as a low middle income Sub-Saharan Africa monarchy using data collected between 1991 and 2016. In our approach we rely on the recently introduced nonlinear autoregressive distributive...

This paper investigates nonlinearities in the exchange rate pass-through (ERPT) to consumer and import prices by estimating a smooth transition regression model with different inflation expectations regimes for five inflation targeting countries (the UK, Canada, Australia, New Zealand and...

This paper considers a class of fixed-T nonlinear panel models with timevarying link function, fixed effects, and endogenous regressors. We establish sufficient conditions for the identification of the regression coefficients, the time-varying link function, the distribution of counterfactual...

This paper presents evidence for sources and channels of nonlinearities and instabilities of the new Keynesian Phillips curve (NKPC) for the euro area and all but four member states over the last two decades prior to the COVID-19 crisis. The approach rests upon misspecification testing using...

Financial shocks generate a protracted and quantitatively important effect on real economic activity and financial markets only if the shocks are both negative and large. Otherwise, their role is quite modest. Financial shocks have become more important for economic fluctuations after the 2000...

Machine Learning models are often considered to be "black boxes" that provide only little room for the incorporation of theory (cf. e.g. Mukherjee, 2017; Veltri, 2017). This article proposes so-called Dynamic Factor Trees (DFT) and Dynamic Factor Forests (DFF) for macroeconomic forecasting, which...

This paper introduces a exible local projection that generalises the model by Jordà (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first application...

This paper is an innovative attempt to empirically investigate the determinants of crude oil prices. The main objective is to distinguish between short- and long-term effects of some covariates on oil prices. The autoregressive distributed lag (ARDL) approach is applied to daily series spanning...

The present paper shows that product-specific regional price dispersion usually causes the Country-Product-Dummy (CPD) method to be biased. In cases where it is not, this index number method is still inefficient and inference is invalid. In view of this, a nonlinear generalization of the CPD...

In this paper we prove the symmetry result for solutions of nonlinear elliptic Neumann boundary value problems by using the Alexandrov's method of reflection and maximum principle, on the unit ball in the n-dimensional Euclidean space with n ≥3

Using the threshold regression model, we examine the effects of Foreign Direct Investment (FDI), and the mediating role of FDI absorptive capacity, on economic growth in Sub-Saharan Africa. We find that the threshold level of FDI inflows per person is approximately US$ 44.67 per annum. For FDI...

Economists typically make simplifying assumptions to make the solution and estimation of their highly complex models feasible. These simplifications include approximating the true nonlinear dynamics of the model, disregarding aggregate uncertainty or assuming that all agents are identical. While...

Over recent decades, various USA government regulations and incentives, at both federal and state levels, encourage the development of green energy sources and the reduction of CO 2 emissions. In this paper, we investigate the degree of persistency of shocks to CO 2 per capita series in 50...

Lanthanum-doped cobalt ferrite Nanoparticles with composition CoLa x Fe 2−x O 4 , (x=0.00–0.20) were synthesized by a co-precipitation method. X-ray diffraction (XRD) confirm the formation of single-phase spinel structure for all synthesized samples. The result of Lanthanum doping on...

This paper considers a class of fixed-T nonlinear panel models with time-varying link function, fixed effects, and endogenous regressors. We establish sufficient conditions for the identification of the regression coefficients, the time-varying link function, the distribution of counterfactual...

Uncertainty about an economy’s regime can change drastically around a crisis. An imported crisis such as the global financial crisis in the euro area highlights the effect of foreign shocks. Estimating an open-economy nonlinear dynamic stochastic general equilibrium model for the euro area and...

The primary contribution of the current paper is to explicitly take into consideration the role of asymmetries in oil prices when studying the nexus between oil price shocks and the real exchange rates across 13 countries in three regions of Asia. To achieve this contribution, the nonlinear...

We propose a new time series model where the threshold is specified as an empirical quantile of recent observations of a threshold variable. The resulting conditional threshold traces the fluctuation of the threshold variable, which can enhance the fit and interpretation of the model. In the...

Economists typically make simplifying assumptions to make the solution and estimation of their highly complex models feasible. These simplifications include approximating the true nonlinear dynamics of the model, disregarding aggregate uncertainty or assuming that all agents are identical. While...

This paper estimates a single pricing factor from index options and shows that it can explain a large set of prominent stock return anomalies jointly. A key feature of the new pricing factor is that it is a U-shaped function of index returns, implying that investors demand an upside risk...

In this paper we prove the symmetry result for solutions of nonlinear elliptic Neumann boundary value problems by using the Alexandrov's method of reflection and maximum principle, on the unit ball in the n-dimensional Euclidean space with n ≥3

The study analyses the impacts of climate change on macro prices (food prices, interest rate, and exchange rate). Secondary data from 1960-2019 are used, and the nonlinear autoregressive distributed lag method is employed accordingly. The results reveal that there is a long-run relationship...

This study rigorously investigates the non-monotonic phenomenon of the government spending-growth nexus in the EECA. Using panel data from 19 countries over the period 1995-2019, a nonlinear quadratic estimator and cubic nonlinear estimator were applied to quantile regressions. The preliminary...

Solving non-linear parabolic partial differential equations (PDEs) in high dimension becomes an interest for its curse of dimensionality problem. Recently, a deep learning method associated with a backward stochastic differential equation (deep-BSDE) to solve the PDEs draws intensive discussions...

Highlights* A nonlinear transmission line with a Schottky varactor and two resistive elements, connected to a voltage terminal, is studied.* Solitary-wave ignals are shown to propagate with amplitudes that are either exponentially increased of decreased with time, depending on a specific...