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Browsing Economics by Type "Preprint Article"
Now showing items 1-20 of 133
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(Elsevier, 2023-10)In this paper we examine the effect of permanent inflation shocks on real interest rates, based on a structural Time-Varying Parameter Vector Autoregression (TVP-VAR) model that accounts for parameter instability, using ...
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An assessment of UK macroeconomic volatility: historical evidence using over seven centuries of data (Elsevier, 2018-04)Breaking ground from all previous studies, we estimate a time-varying Vector Autoregression model that examines the time-period 1270-2016 - the entire economic history of the U.K. Focusing on permanent and transitory shocks ...
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(Wiley-Blackwell, 2009-03)This paper develops a Bayesian Vector Error Correction Model (BVECM) for forecasting inventory investment. The model is estimated using South African quarterly data on actual sales, production, unfilled orders, price level ...
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(Wiley, 2022)We examine the temporal dynamics of the historical series of real interest rates for France, Germany, Italy, Japan, the Netherlands, Spain pre-1730 and post-1800, the United Kingdom, and the United States stretching back ...
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(Elsevier, 2018-08)We apply different techniques and uncover the quantile conditional dependence between the global financial stress index and Bitcoin returns from July 18, 2010, to December 29, 2017. The results from the copula-based ...
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(Elsevier, 2021-12)Utilizing a measure of the Bitcoin network’s daily electricity load, we document a significant volatility effect of Bitcoin mining activity in three prominent electricity markets in the U.S. The volatility effect is found ...
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(Elsevier, 2022-05)Gali and Gambetti (2015) found protracted episodes in which stock prices rise in response to monetary policy tightening. This counter-intuitive result suggests that raising the policy rate in response to a perceived asset ...
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(Elsevier, 2022-08)We use variants of the Heterogeneous Autoregressive Realized Volatility (HAR-RV) model to examine the out-of-sample predictive value of climate-risk factors for the realized volatility of gold price returns as well as the ...
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(Elsevier, 2023-05)We investigate whether text-based physical or transition climate risks forecast the daily volume of gold trade contracts. Given the count-valued nature of gold volume data, we employ a log-linear Poisson integer-valued ...
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(Elsevier, 2023-01)We find that climate-related risks forecast the intraday data-based realized volatility of exchange rate returns of eight major fossil fuel exporters (Australia, Brazil, Canada, Malaysia, Mexico, Norway, Russia, and South ...
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(Elsevier, 2023-11)We analyze the predictive value of climate risks for state-level realized stock market volatility, computed, along with other realized moments, based on high-frequency intra-day U.S. data (September, 2011 to October, 2021). ...
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(Routledge, 2022)We forecast real stock returns of South Africa over the monthly period of 1915:01 to 2021:03 using real oil, gold and silver prices, based on an autoregressive type distributed lag model that controls for persistence and ...
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(Elsevier, 2021-01)We study contagion between Real Estate Investment Trusts (REITs) and the equity market in the U.S. over four sub-samples covering January, 2003 to December, 2017, by using Bayesian nonparametric quantile-on-quantile (QQ) ...
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(Research Square, 2023)BACKGROUND : We are not on track to reach many of the Sustainable Development Goal (SDG) targets for 2030. The under-5 mortality and maternal mortality rates are well below the target, and if progress continues in the same ...
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(Elsevier, 2020-12)This paper examines the effect of cross-border capital flows on financial markets by focusing on the composition of flows, viz. equity and debt flows, and its relative effect on emerging stock market returns and volatility. ...
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(Elsevier, 2021-12)We examine, using aggregate and sectoral U.S. data for the period 2008–2020, the predictive power of disentangled oil-price shocks for Real Estate Investment Trusts (REITs) realized market variance via the heterogeneous ...
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(Elsevier, 2021-07)This paper investigates whether the post-tax and transfer growth rate in the Gini index can help in forecasting the equity premium in the G7 countries (Canada, France, Germany, Italy, Japan, United Kingdom (UK), and United ...
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(Elsevier, 2019-10)In this paper, we analyze the potential role of growth in inequality for forecasting real housing returns of the United Kingdom. In our forecasting exercise, we use linear and nonlinear models, as well as measures of ...
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(Elsevier, 2021-05)In this paper, we assess the dynamic impact of the U.S. monetary policy announcements on oil market futures returns and volatility. We use intra-day data for West Texas Intermediate (WTI) oil futures together with a ...
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(Wiley-Blackwell, 2010-03)This paper derives the econometric restrictions imposed by the Barro and Gordon model of dynamic time inconsistency on a bivariate time-series model of consumer price index (CPI) inflation and real gross domestic product ...
Now showing items 1-20 of 133