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Nathan Balke

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Balke, Nathan S & Fomby, Thomas B, 1994. "Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(2), pages 181-200, April-Jun.

    Mentioned in:

    1. Large shocks, small shocks, and economic fluctuations: Outliers in macroeconomic time series (Journal of Applied Econometrics 1994) in ReplicationWiki ()

Working papers

  1. Nathan S. Balke & Xin Jin & Mine K. Yücel, 2020. "The Shale Revolution and the Dynamics of the Oil Market," Working Papers 2021, Federal Reserve Bank of Dallas.

    Cited by:

    1. Tsionas, Mike G. & Philippas, Dionisis & Philippas, Nikolaos, 2022. "Multivariate stochastic volatility for herding detection: Evidence from the energy sector," Energy Economics, Elsevier, vol. 109(C).

  2. Nathan S. Balke & Enrique Martínez García & Zheng Zeng, 2017. "Understanding the Aggregate Effects of Credit Frictions and Uncertainty," Globalization Institute Working Papers 317, Federal Reserve Bank of Dallas.

    Cited by:

    1. Anna Belianska & Aurélien Eyquem & Céline Poilly, 2021. "The Transmission Channels of Government Spending Uncertainty," Working Papers halshs-03160370, HAL.
    2. Balke, Nathan S. & Zeng, Zheng & Zhang, Ren, 2021. "Identifying credit demand, financial intermediation, and supply of funds shocks: A structural VAR approach," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).

  3. Nathan S. Balke & Michael D. Plante & Mine K. Yücel, 2014. "Fuel subsidies, the oil market and the world economy," Working Papers 1407, Federal Reserve Bank of Dallas.

    Cited by:

    1. Finn Roar Aune & Kristine Grimsrud & Lars Lindholt & Knut Einar Rosendahl & Halvor Briseid Storrøsten, 2016. "Oil consumption subsidy removal in OPEC and other Non-OECD countries. Oil market impacts and welfare effects," Discussion Papers 846, Statistics Norway, Research Department.
    2. Nida Çakır Melek & Michael D. Plante & Mine K. Yücel, 2017. "The U.S. Shale Oil Boom, the Oil Export Ban, and the Economy: A General Equilibrium Analysis," Working Papers 1708, Federal Reserve Bank of Dallas.
    3. Genc, Talat S., 2017. "OPEC and demand response to crude oil prices," Energy Economics, Elsevier, vol. 66(C), pages 238-246.
    4. Nida Çakır Melek & Michael D. Plante & Mine K. Yücel, 2017. "The U.S. Shale Oil Boom, the Oil Export Ban, and the Economy: A General Equilibrium Analysis Nida," Research Working Paper RWP 17-10, Federal Reserve Bank of Kansas City.
    5. Atalla, Tarek N. & Gasim, Anwar A. & Hunt, Lester C., 2018. "Gasoline demand, pricing policy, and social welfare in Saudi Arabia: A quantitative analysis," Energy Policy, Elsevier, vol. 114(C), pages 123-133.
    6. Nida Cakir Melek & Michael Plante & Mine Yucel, 2020. "Online Appendix to "Resource Booms and the Macroeconomy: The Case of U.S. Shale Oil"," Online Appendices 19-233, Review of Economic Dynamics.
    7. Leong, Soon Heng, 2021. "Global crude oil and the Chinese oil-intensive sectors: A comprehensive causality study," Energy Economics, Elsevier, vol. 103(C).
    8. Frédéric Gonand & F. J. Hasanov & L. C. Hunt, 2019. "Estimating the Impact of Energy Price Reform on Saudi Arabian Intergenerational Welfare using the MEGIR-SA Model," Post-Print hal-04488840, HAL.
    9. Aldubyan, Mohammad & Gasim, Anwar, 2021. "Energy price reform in Saudi Arabia: Modeling the economic and environmental impacts and understanding the demand response," Energy Policy, Elsevier, vol. 148(PB).
    10. Karanfil, Fatih & Pierru, Axel, 2021. "The opportunity cost of domestic oil consumption for an oil exporter: Illustration for Saudi Arabia," Energy Economics, Elsevier, vol. 96(C).
    11. Ghoddusi, Hamed & Morovati, Mohammad & Rafizadeh, Nima, 2022. "Dynamics of fuel demand elasticity: Evidence from Iranian subsidy reforms," Energy Economics, Elsevier, vol. 110(C).

  4. Stefan Avdjiev & Nathan Balke, 2010. "Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations," BIS Working Papers 323, Bank for International Settlements.

    Cited by:

    1. Stefan Avdjiev, 2011. "News driven business cycles and data on asset prices in estimated DSGE models," BIS Working Papers 358, Bank for International Settlements.

  5. Nathan S. Balke & Stephen P. A. Brown & Mine K. Yücel, 2010. "Oil price shocks and U.S. economic activity: an international perspective," Working Papers 1003, Federal Reserve Bank of Dallas.

    Cited by:

    1. Garth Heutel, 2011. "Online Appendix to "How Should Environmental Policy Respond to Business Cycles? Optimal Policy under Persistent Productivity Shocks"," Online Appendices 10-62, Review of Economic Dynamics.
    2. Balcilar, Mehmet & Gupta, Rangan & Wohar, Mark E., 2017. "Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data," Energy Economics, Elsevier, vol. 61(C), pages 72-86.
    3. Turco, Enrico & Bazzana, Davide & Rizzati, Massimiliano & Ciola, Emanuele & Vergalli, Sergio, 2023. "Energy price shocks and stabilization policies in the MATRIX model," Energy Policy, Elsevier, vol. 177(C).
    4. Arnoud Stevens, 2015. "Optimal monetary policy response to endogenous oil price fluctuations," Working Paper Research 277, National Bank of Belgium.
    5. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2014. "Dynamic spillovers of oil price shocks and economic policy uncertainty," Energy Economics, Elsevier, vol. 44(C), pages 433-447.
    6. Heutel, Garth, 2011. "How Should Environmental Policy Respond to Business Cycles? Optimal Policy under Persistent Productivity Shocks," UNCG Economics Working Papers 11-8, University of North Carolina at Greensboro, Department of Economics.
    7. Vipin Arora & Pedro Gomis-Porqueras, 2011. "A Repayment Model of House Prices Oil Price Dynamics in a Real Business Cycle Model," Monash Economics Working Papers 11-11, Monash University, Department of Economics.
    8. Simeon Ebechidi & Eleanya K. Nduka, 2017. "Modeling the Impact of Oil Price Shocks on Energy Sector Stock Returns: Evidence from Nigeria," Economics Bulletin, AccessEcon, vol. 37(4), pages 2574-2584.
    9. Luis A. Gil-Alana & Rangan Gupta & Olusanya E. Olubusoye & OlaOluwa S. Yaya, 2015. "Time Series Analysis of Persistence in Crude Oil Price Volatility across Bull and Bear Regimes," Working Papers 201580, University of Pretoria, Department of Economics.
    10. Tunc, Ahmet & Kocoglu, Mustafa & Aslan, Alper, 2022. "Time-varying characteristics of the simultaneous interactions between economic uncertainty, international oil prices and GDP: A novel approach for Germany," Resources Policy, Elsevier, vol. 77(C).
    11. Turco, Enrico & Bazzana, Davide & Rizzati, Massimiliano & Ciola, Emanuele & Vergalli, Sergio, 2022. "Energy price shocks and stabilization policies in a multi-agent macroeconomic model for the Euro Area," FEEM Working Papers 324171, Fondazione Eni Enrico Mattei (FEEM).
    12. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2014. "Dynamic Spillovers of Oil Price Shocks and Policy Uncertainty," Department of Economics Working Paper Series 166, WU Vienna University of Economics and Business.
    13. Martin Bodenstein & Luca Guerrieri, 2011. "Oil efficiency, demand, and prices: a tale of ups and downs," International Finance Discussion Papers 1031, Board of Governors of the Federal Reserve System (U.S.).
    14. Khalil, Makram, 2022. "Oil prices, manufacturing goods, and nontradeable services," Journal of International Economics, Elsevier, vol. 134(C).
    15. Hossein Tavakolian & Hamed Ghiaie, 2019. "Optimal Inflation Targeting in a Dual-Exchange Rate Oil Economy," THEMA Working Papers 2019-09, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    16. Ghiaie, Hamed & Tabarraei, Hamid Reza & Tavakolian, Hossein, 2022. "Alternative monetary policy regimes in an oil-exporting economy," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 161-177.

  6. Nathan S. Balke & Stephen P. A. Brown & Mine K. Yücel, 2008. "An international perspective on oil price shocks and U.S. economic activity," Globalization Institute Working Papers 20, Federal Reserve Bank of Dallas.

    Cited by:

    1. Brown, Stephen P.A. & Huntington, Hillard G., 2013. "Assessing the U.S. oil security premium," Energy Economics, Elsevier, vol. 38(C), pages 118-127.
    2. Timilsina, Govinda R., 2015. "Oil prices and the global economy: A general equilibrium analysis," Energy Economics, Elsevier, vol. 49(C), pages 669-675.

  7. Nathan S. Balke & Hiranya K. Nath, 2006. "Sectoral Price Changes and Output Growth: Supply and Demand in General Equilibrium," Working Papers 0604, Sam Houston State University, Department of Economics and International Business.

    Cited by:

    1. Balke, Nathan S. & Wynne, Mark A., 2007. "The relative price effects of monetary shocks," Journal of Macroeconomics, Elsevier, vol. 29(1), pages 19-36, March.
    2. George K Davis & Bryce E. Kanago, 2005. "Mismatching Measures of Output and Prices: Implications for Measuring the Comovement of Prices and Output," Macroeconomics 0501005, University Library of Munich, Germany.
    3. George K. Davis & Bryce E. Kanago, 2008. "The Cyclical Behavior Of Prices And Relative Prices," Economic Inquiry, Western Economic Association International, vol. 46(4), pages 576-586, October.
    4. Hiranya Nath, 2004. "Relative importance of sectoral and aggregate sources of price changes," Applied Economics, Taylor & Francis Journals, vol. 36(16), pages 1781-1796.

  8. Nathan S. Balke & Mark A. Wynne, 2003. "The relative price effects of monetary shocks," Working Papers 0306, Federal Reserve Bank of Dallas.

    Cited by:

    1. Antoine Mandel & Vipin Veetil, 2021. "Monetary dynamics in a network economy," PSE-Ecole d'économie de Paris (Postprint) halshs-03165773, HAL.
    2. William Ginn & Marc Pourroy, 2022. "The Contribution of Food Subsidy Policy to Monetary Policy in India," Post-Print hal-02944209, HAL.
    3. Rocha Lima, Elcyon Caiado & Martinez, Thiago Sevilhano & Cerqueira, Vinícius Santos, 2018. "Monetary Policy and Exchange Rate: Effects on Disaggregated Prices in a FAVAR Model for Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(1), May.
    4. Özmen, M. Utku & Tuğan, Mustafa, 2022. "Heterogeneity in sectoral price and quantity responses to shocks to monetary policy," Journal of Macroeconomics, Elsevier, vol. 73(C).
    5. Simon Bilo, 2021. "Hayek’s Theory of Business Cycles: A Theory That Will Remain Obscure?," Journal of Private Enterprise, The Association of Private Enterprise Education, vol. 36(Fall 2021), pages 27-47.
    6. Boivin, Jean & Giannoni, Marc P. & Mihov, Ilian, 2006. "Sticky prices and monetary policy: Evidence from disaggregated US data," CFS Working Paper Series 2007/14, Center for Financial Studies (CFS).
    7. Zeno Enders, 2020. "Heterogeneous Consumers, Segmented Asset Markets and the Real Effects of Monetary Policy," The Economic Journal, Royal Economic Society, vol. 130(628), pages 1031-1056.
    8. Enders, Zeno, 2012. "Heterogeneous consumers, segmented asset markets, and the effects of monetary policy," Working Papers 0537, University of Heidelberg, Department of Economics.
    9. Jalali-Naini , Ahmad. R. & Hemati , Maryam, 2012. "The Effect of Monetary Shocks on Disaggregated Prices in a Data Rich Environment: a Bayesian FAVAR Approach," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 6(4), pages 27-60, July.
    10. Antoine Mandel & Davoud Taghawi-Nejad & Vipin Veetil, 2019. "The price effects of monetary shocks in a network economy," PSE-Ecole d'économie de Paris (Postprint) halshs-02334593, HAL.
    11. Balke, Nathan S. & Wynne, Mark A., 2007. "The relative price effects of monetary shocks," Journal of Macroeconomics, Elsevier, vol. 29(1), pages 19-36, March.
    12. Haroon Mumtaz & Paolo Surico, 2009. "The Transmission of International Shocks: A Factor-Augmented VAR Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(s1), pages 71-100, February.
    13. Baumeister, Christiane & Liu, Philip & Mumtaz, Haroon, 2013. "Changes in the effects of monetary policy on disaggregate price dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 543-560.
    14. Gregory E. Givens & Robert R. Reed, 2018. "Monetary Policy and Investment Dynamics: Evidence from Disaggregate Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(8), pages 1851-1878, December.
    15. Sven Schreiber & Juliane Scharff, 2008. "Evidence on the effects of inflation on price dispersion under indexation," IMK Working Paper 12-2008, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    16. Mario Marcel & Carlos Medel & Jessica Mena, 2017. "Determinantes de la Inflación de Servicios en Chile," Working Papers Central Bank of Chile 803, Central Bank of Chile.
    17. Qingru Sun & Xiangyun Gao & Shaobo Wen & Sida Feng & Ze Wang, 2019. "Modeling the impulse response complex network for studying the fluctuation transmission of price indices," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(4), pages 835-858, December.
    18. Gwin, Carl & VanHoose, David D., 2012. "Durable goods and sticky prices: Industry-level evidence," Economics Letters, Elsevier, vol. 116(3), pages 460-464.
    19. Davis, George K. & Hineline, David & Kanago, Bryce E., 2011. "Inflation and real sectoral output shares: Dynamic panel model evidence from seven OECD countries," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 607-619.
    20. Garcia, Marcio Gomes Pinto & Guillen, Diogo Abry, 2011. "Dispersão na fixação de preços no Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 65(1), March.
    21. Abdul Karim, Zulkefly & Zaidi, Mohd Azlan Shah & W.N.W, Azman-Saini, 2011. "Relative price effects of monetary policy shock in Malaysia: a svar study," MPRA Paper 38768, University Library of Munich, Germany.
    22. Kumar, Ankit & Dash, Pradyumna, 2020. "Changing transmission of monetary policy on disaggregate inflation in India," Economic Modelling, Elsevier, vol. 92(C), pages 109-125.
    23. Sun, Qingru & Gao, Xiangyun & Wen, Shaobo & Chen, Zhihua & Hao, Xiaoqing, 2018. "The transmission of fluctuation among price indices based on Granger causality network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 36-49.
    24. Vipin P. Veetil & Lawrence H. White, 2017. "Towards a New Austrian Macroeconomics," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 30(1), pages 19-38, March.

  9. Nathan S. Balke & Mark E. Wohar, 2000. "Low frequency movements in stock prices: a state space decomposition," Working Papers 0001, Federal Reserve Bank of Dallas.

    Cited by:

    1. Volker Seiler, 2024. "The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain," Post-Print hal-04549980, HAL.
    2. Kishor, N. Kundan & Morley, James, 2015. "What factors drive the price–rent ratio for the housing market? A modified present-value analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 235-249.
    3. Bohl, Martin T. & Siklos, Pierre L., 2004. "The present value model of U.S. stock prices redux: a new testing strategy and some evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 208-223, May.
    4. Tobias Hartl & Rolf Tschernig & Enzo Weber, 2020. "Fractional trends and cycles in macroeconomic time series," Papers 2005.05266, arXiv.org, revised May 2020.
    5. Victor Bystrov, 2020. "Identification and Estimation of Initial Conditions in Non-Minimal State-Space Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(4), pages 413-429, December.
    6. Heejoon Han & Na Kyeong Lee, 2018. "Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach," Korean Economic Review, Korean Economic Association, vol. 34, pages 213-235.
    7. David G. McMillan, 2010. "Present Value Model, Bubbles and Returns Predictability: Sector‐Level Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5‐6), pages 668-686, June.
    8. McMillan, David G., 2009. "Are share prices still too high?," Research in International Business and Finance, Elsevier, vol. 23(3), pages 223-232, September.
    9. Esteve García, Vicente & Navarro Ibáñez, Manuel & Prats Albentosa, María Asuncíon, 2017. "The present value model of U.S. stock prices revisited: Long-run evidence with structural breaks, 1871-2012," Economics Discussion Papers 2017-93, Kiel Institute for the World Economy (IfW Kiel).
    10. Balke, Nathan S. & Ma, Jun & Wohar, Mark E., 2013. "The contribution of economic fundamentals to movements in exchange rates," Journal of International Economics, Elsevier, vol. 90(1), pages 1-16.
    11. Chang, Shu-Lien & Lee, Yun-Huan, 2019. "Returns spillovers between tourism ETFs," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    12. Jozef Barunik & Tomas Krehlik, 2015. "Measuring the frequency dynamics of financial connectedness and systemic risk," Papers 1507.01729, arXiv.org, revised Dec 2017.
    13. Trenkler, Carsten & Weber, Enzo, 2015. "On the identification of multivariate correlated unobserved components models," Working Papers 15-12, University of Mannheim, Department of Economics.
    14. Arabinda Basistha, 2007. "Trend‐cycle correlation, drift break and the estimation of trend and cycle in Canadian GDP," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(2), pages 584-606, May.
    15. Liow, Kim Hiang & Song, Jeong Seop, 2022. "Frequency volatility connectedness and market integration in international real estate investment trusts," Finance Research Letters, Elsevier, vol. 45(C).
    16. Nicholas Apergis & James E. Payne, 2014. "Resurrecting the size effect: Evidence from a panel nonlinear cointegration model for the G7 stock markets," Review of Financial Economics, John Wiley & Sons, vol. 23(1), pages 46-53, January.
    17. Acosta-Smith, Jonathan & Barunik, Jozef & Gerba, Eddie & Katsoulis, Petros, 2024. "Moderation or indulgence? Effects of bank distribution restrictions during stress," Bank of England working papers 1053, Bank of England.
    18. Edward Bernard Bastiaan de Rivera y Rivera & Diógenes Manoel Leiva Martin & Emerson Fernandes Marçal & Leonardo Fernando Cruz Basso, 2012. "Present value model between prices and dividends with constant and time-varying expected returns: enterprise-level Brazilian stock market evidence from non-stationary panels," Brazilian Business Review, Fucape Business School, vol. 9(4), pages 51-86, October.
    19. Nathan S. Balke & Mark E. Wohar, 2001. "Explaining stock price movements: is there a case for fundamentals?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q III, pages 22-34.
    20. U, Tony Sio-Chong & Lin, Yongjia & Wang, Yizhi, 2024. "The impact of the Russia–Ukraine war on volatility spillovers," International Review of Financial Analysis, Elsevier, vol. 93(C).
    21. Chen, Shyh-Wei & Hsu, Chi-Sheng & Xie, Zixong, 2016. "Are there periodically collapsing bubbles in the stock markets? New international evidence," Economic Modelling, Elsevier, vol. 52(PB), pages 442-451.
    22. Soloschenko, Max & Weber, Enzo, 2012. "Trend-Cycle Interactions and the Subprime Crisis: Analysis of US and Canadian Output," University of Regensburg Working Papers in Business, Economics and Management Information Systems 470, University of Regensburg, Department of Economics.
    23. Brendan McCabe & Stephen Leybourne & David Harris, 2003. "Testing for Stochastic Cointegration and Evidence for Present Value Models," Econometrics 0311009, University Library of Munich, Germany.
    24. Nagayasu, Jun, 2007. "Putting the dividend-price ratio under the microscope," Finance Research Letters, Elsevier, vol. 4(3), pages 186-195, September.
    25. Esteve, Vicente & Navarro-Ibáñez, Manuel & Prats, María A., 2020. "Stock prices, dividends, and structural changes in the long-term: The case of U.S," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    26. Baruník, Jozef & Ellington, Michael, 2024. "Persistence in financial connectedness and systemic risk," European Journal of Operational Research, Elsevier, vol. 314(1), pages 393-407.
    27. Gerdesmeier, Dieter & Reimers, Hans-Eggert & Roffia, Barbara, 2013. "Testing for the existence of a bubble in the stock market," Wismar Discussion Papers 01/2013, Hochschule Wismar, Wismar Business School.
    28. Arabinda Basistha, 2009. "Hours per capita and productivity: evidence from correlated unobserved components models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 187-206.
    29. Barunik, Jozef & Krehlik, Tomas, 2016. "Measuring the frequency dynamics of financial and macroeconomic connectedness," FinMaP-Working Papers 54, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    30. Ma, Jun & Wohar, Mark E., 2014. "Determining what drives stock returns: Proper inference is crucial: Evidence from the UK," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 371-390.
    31. Liang, Qi & Lu, Yanchen & Li, Zheng, 2020. "Business connectedness or market risk? Evidence from financial institutions in China," China Economic Review, Elsevier, vol. 62(C).
    32. Wang, Xunxiao, 2020. "Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate," Energy Economics, Elsevier, vol. 91(C).
    33. Xie, Zixiong & Chen, Shyh-Wei & Wu, An-Chi, 2019. "Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    34. Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2020. "Time-varying general dynamic factor models and the measurement of financial connectedness," LIDAM Reprints ISBA 2020015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    35. F Alexandre & P Bacao, 2006. "Investment and Non-fundamental Movements in Asset Prices: is there a role for monetary policy?," Economic Issues Journal Articles, Economic Issues, vol. 11(1), pages 65-95, March.
    36. Chen, Shyh-Wei & Xie, Zixiong, 2017. "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 339-354.
    37. Kim, Jan R. & Chung, Keunsuk, 2020. "Regime switching in the present value models: A backward-solving method," Finance Research Letters, Elsevier, vol. 32(C).
    38. de Silva, Ashton, 2008. "Forecasting macroeconomic variables using a structural state space model," MPRA Paper 11060, University Library of Munich, Germany.
    39. Stefan Avdjiev & Nathan Balke, 2010. "Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations," BIS Working Papers 323, Bank for International Settlements.
    40. Cerqueti, Roy & Costantini, Mauro, 2011. "Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2598-2605, October.
    41. Fousekis, Panos & Tzaferi, Dimitra, 2021. "Returns and volume: Frequency connectedness in cryptocurrency markets," Economic Modelling, Elsevier, vol. 95(C), pages 13-20.
    42. Jozef Barunik & Lukas Vacha, 2023. "The Dynamic Persistence of Economic Shocks," Papers 2306.01511, arXiv.org.
    43. McMillan, David G., 2009. "Revisiting dividend yield dynamics and returns predictability: Evidence from a time-varying ESTR model," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 870-883, August.
    44. McMillan, David G., 2007. "Bubbles in the dividend-price ratio? Evidence from an asymmetric exponential smooth-transition model," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 787-804, March.
    45. David G. McMillan, 2009. "Are Uk Share Prices Too High? Fundamental Value Or New Era," Bulletin of Economic Research, Wiley Blackwell, vol. 61(1), pages 1-20, January.
    46. Xie, Zixiong & Chen, Shyh-Wei, 2015. "Are there periodically collapsing bubbles in the REIT markets? New evidence from the US," Research in International Business and Finance, Elsevier, vol. 33(C), pages 17-31.
    47. Wang, Xunxiao & Wang, Yudong, 2019. "Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective," Energy Economics, Elsevier, vol. 80(C), pages 995-1009.
    48. Nathan S. Balke & Mark E. Wohar, 2009. "Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 35-75.
    49. Christophe, Faugere, 2003. "A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination," MPRA Paper 15579, University Library of Munich, Germany, revised 04 Jun 2009.
    50. McMillan, David G., 2006. "The price-dividend ratio and limits to arbitrage: Evidence from a time-varying ESTR model," Economics Letters, Elsevier, vol. 91(3), pages 408-412, June.
    51. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 13-04, Asociación Española de Economía y Finanzas Internacionales.
    52. Huang, MeiChi & Chiang, Hsiu-Hsuan, 2017. "An early alarm system for housing bubbles," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 34-49.
    53. David G. McMillan, 2010. "Level‐shifts and non‐linearity in US financial ratios," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 9(2), pages 189-207, May.
    54. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Wanas Al-Jarrah, Idries Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? A portfolio risk analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 96-113.
    55. John B. Carlson & Eduard A. Pelz & Mark E. Wohar, 2001. "Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests," Working Papers (Old Series) 0113, Federal Reserve Bank of Cleveland.
    56. Wei, Yu & Zhang, Jiahao & Bai, Lan & Wang, Yizhi, 2023. "Connectedness among El Niño-Southern Oscillation, carbon emission allowance, crude oil and renewable energy stock markets: Time- and frequency-domain evidence based on TVP-VAR model," Renewable Energy, Elsevier, vol. 202(C), pages 289-309.
    57. MeiChi Huang & Tzu-Chien Wang, 2015. "Housing-bubble vulnerability and diversification opportunities during housing boom–bust cycles: evidence from decomposition of asset price returns," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 54(2), pages 605-637, March.
    58. John Goddard & David Mcmillan & John Wilson, 2008. "Dividends, prices and the present value model: firm-level evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 14(3), pages 195-210.
    59. Dong Fu, 2007. "National, regional and metro-specific factors of the U.S. housing market," Working Papers 0707, Federal Reserve Bank of Dallas.
    60. N. Kundan Kishor & James Morley, 2014. "What Factors Drive the Price-Rent Ratio for the Housing Market? A Modified Present-Value Approach," Discussion Papers 2014-20, School of Economics, The University of New South Wales.
    61. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

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    134. Yeliz Yalcin & Cengiz Arikan & Furkan Emirmahmutoglu, 2015. "Determining the asymmetric effects of oil price changes on macroeconomic variables: a case study of Turkey," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(4), pages 737-746, November.
    135. Naser, Hanan, 2018. "Financial Development and Economic Growth in Oil-Dependent Economy: The case of Bahrain," MPRA Paper 89743, University Library of Munich, Germany, revised 04 Sep 2018.
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    137. Gbatu, Abimelech Paye & Wang, Zhen & Wesseh, Presley K. & Tutdel, Isaac Yak Repha, 2017. "The impacts of oil price shocks on small oil-importing economies: Time series evidence for Liberia," Energy, Elsevier, vol. 139(C), pages 975-990.
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    140. Miescu, Mirela & Mumtaz, Haroon & Theodoridis, Konstantinos, 2024. "Non-linear Dynamics of Oil Supply News Shocks," Cardiff Economics Working Papers E2024/18, Cardiff University, Cardiff Business School, Economics Section.
    141. Chelghoum, Amirouche & Boumimez, Fayçal & Alsamara, Mouyad, 2023. "Asymmetric effects of oil price shocks on the demand for money in Algeria," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 1-11.
    142. Paul R. Portney & Ian W.H. Parry & Howard K. Gruenspecht & Winston Harrington, 2003. "Policy Watch: The Economics of Fuel Economy Standards," Journal of Economic Perspectives, American Economic Association, vol. 17(4), pages 203-217, Fall.
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    144. Virjinia Jeliazkova, 2010. "Effects of the Dynamics of the Oil Price – Theoretical and Empirical Bases," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 127-165.
    145. Stephen P. A. Brown & Mine K. Yücel, 2001. "Energy prices and aggregate economic activity: an interpretive survey," Working Papers 0102, Federal Reserve Bank of Dallas.
    146. Emami, Karim & Adibpour, Mehdi, 2012. "Oil income shocks and economic growth in Iran," Economic Modelling, Elsevier, vol. 29(5), pages 1774-1779.
    147. Cheng-Yih Hong & Chen-Jung Hsu, 2018. "Economic Growth, Oil Consumption and Import Intensity: Factor Decomposition of Imported Crude Oil Model Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 8(4), pages 152-156.
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    150. Prodromou, Tina & Demirer, Riza, 2022. "Oil price shocks and cost of capital: Does market liquidity play a role?," Energy Economics, Elsevier, vol. 115(C).
    151. Berk, Istemi & Yetkiner, Hakan, 2014. "Energy prices and economic growth in the long run: Theory and evidence," Renewable and Sustainable Energy Reviews, Elsevier, vol. 36(C), pages 228-235.
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    153. Chen, Yixiang & Ma, Feng & Zhang, Yaojie, 2019. "Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets," Energy Economics, Elsevier, vol. 81(C), pages 52-62.
    154. He, Yongda & Lin, Boqiang, 2019. "Regime differences and industry heterogeneity of the volatility transmission from the energy price to the PPI," Energy, Elsevier, vol. 176(C), pages 900-916.
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  11. Nathan S. Balke & D'Ann M. Petersen, 1998. "How well does the Beige Book reflect economic activity? Evaluating qualitative information quantitatively," Working Papers 9802, Federal Reserve Bank of Dallas.

    Cited by:

    1. Evan F. Koenig, 2002. "Using the Purchasing Managers' Index to assess the economy's strength and the likely direction of monetary policy," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, vol. 1(6).
    2. Stekler, Herman & Symington, Hilary, 2016. "Evaluating qualitative forecasts: The FOMC minutes, 2006–2010," International Journal of Forecasting, Elsevier, vol. 32(2), pages 559-570.
    3. Nathan S. Balke & Mine K. Yücel, 2000. "Evaluating the Eleventh District's Beige Book," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q IV, pages 2-10.
    4. Huang, Yu-Lieh & Kuan, Chung-Ming, 2021. "Economic prediction with the FOMC minutes: An application of text mining," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 751-761.
    5. Jeff Messina & Tara M. Sinclair & Herman O. Stekler, 2014. "What Can We Learn From Revisions To The Greenbook Forecasts?," Working Papers 2014-003, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    6. Michelle T. Armesto & Ruben Hernandez-Murillo & Michael T. Owyang & Jeremy M. Piger, 2007. "Identifying asymmetry in the language of the Beige Book: a mixed data sampling approach," Working Papers 2007-010, Federal Reserve Bank of St. Louis.
    7. Boriss Siliverstovs, 2013. "Do business tendency surveys help in forecasting employment?: A real-time evidence for Switzerland," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(2), pages 129-151.
    8. Mansoor Maitah & Daniel Toth & Elena Kuzmenko & Karel r dl & Helena Rezbov & Petra nov, 2016. "Forecast of Employment in Switzerland: The Macroeconomic View," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 132-138.
    9. Bespalova, Olga, 2018. "Forecast Evaluation in Macroeconomics and International Finance. Ph.D. thesis, George Washington University, Washington, DC, USA," MPRA Paper 117706, University Library of Munich, Germany.
    10. Herman O. Stekler & Hilary Symington, 2014. "How Did The Fomc View The Great Recession As It Was Happening?: Evaluating The Minutes From Fomc Meetings, 2006-2010," Working Papers 2014-005, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    11. Martin Feldkircher & Paul Hofmarcher & Pierre L. Siklos, 2021. "What do central banks talk about? A European perspective on central bank communication," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q2/21, pages 61-81.
    12. Ilias Filippou & Christian Garciga & James Mitchell & My T. Nguyen, 2024. "Regional Economic Sentiment: Constructing Quantitative Estimates from the Beige Book and Testing Their Ability to Forecast Recessions," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2024(08), pages 1-8, April.
    13. Sadique, Shibley & In, Francis & Veeraraghavan, Madhu & Wachtel, Paul, 2013. "Soft information and economic activity: Evidence from the Beige Book," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 81-92.
    14. Monica Martin & Cristiano Papile, 2004. "The Bank of Canada's Business Outlook Survey: An Assessment," Staff Working Papers 04-15, Bank of Canada.
    15. Scott Hendry & Alison Madeley, 2010. "Text Mining and the Information Content of Bank of Canada Communications," Staff Working Papers 10-31, Bank of Canada.
    16. Christoph S. Weber, 2017. "The Effect of Central Bank Transparency on Exchange Rate Volatility," Working Papers 174, Bavarian Graduate Program in Economics (BGPE).
    17. Hutson, Mark & Joutz, Fred & Stekler, Herman, 2014. "Interpreting and evaluating CESIfo's World Economic Survey directional forecasts," Economic Modelling, Elsevier, vol. 38(C), pages 6-11.
    18. Donna K. Ginther & Madeline Zavodny, 2001. "The Beige Book: Timely information on the regional economy," Economic Review, Federal Reserve Bank of Atlanta, vol. 86(Q3), pages 19-29.
    19. Michelle T. Armesto & Rubén Hernández‐Murillo & Michael T. Owyang & Jeremy Piger, 2009. "Measuring the Information Content of the Beige Book: A Mixed Data Sampling Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(1), pages 35-55, February.
    20. Gabriel Mathy & Herman Stekler, 2018. "Was the deflation of the depression anticipated? An inference using real-time data," Journal of Economic Methodology, Taylor & Francis Journals, vol. 25(2), pages 117-125, April.
    21. Madeline Zavodny & Donna K. Ginther, 2005. "Does the Beige Book Move Financial Markets?," Southern Economic Journal, John Wiley & Sons, vol. 72(1), pages 138-151, July.
    22. Kathryn Lundquist & H.O. Stekler, 2011. "The Forecasting Performance of Business Economists During the Great Recession," Working Papers 2011-004, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    23. Bespalova, Olga, 2020. "GDP forecasts: Informational asymmetry of the SPF and FOMC minutes," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1531-1540.
    24. Amrendra Pandey & Jagadish Shettigar & Amarnath Bose, 2021. "Evaluation of the Inflation Forecasting Process of the Reserve Bank of India: A Text Analysis Approach," SAGE Open, , vol. 11(3), pages 21582440211, July.
    25. Boriss Siliverstovs, 2010. "Assessing Predictive Content of the KOF Barometer in Real Time," KOF Working papers 10-249, KOF Swiss Economic Institute, ETH Zurich.
    26. Scott Hendry, 2012. "Central Bank Communication or the Media’s Interpretation: What Moves Markets?," Staff Working Papers 12-9, Bank of Canada.
    27. Gabriel Mathy & Herman O. Stekler, 2016. "Expectations and Forecasting during the Great Depression: Real-Time Evidence from the Business Press," Working Papers 2016-011, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    28. Sheng, Xuguang (Simon), 2015. "Evaluating the economic forecasts of FOMC members," International Journal of Forecasting, Elsevier, vol. 31(1), pages 165-175.
    29. Robert L. Lacy, 1999. "Gauging manufacturing activity: the Federal Reserve Bank of Richmond's survey of manufacturers," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 79-98.
    30. Bethany Greene & Nicholas Sly, 2024. "A Regional Indicator of Commercial Real Estate Activity: The KC Fed CRE Index," Economic Review, Federal Reserve Bank of Kansas City, vol. 0(no. 1), pages 1-19, February.

  12. Nathan S. Balke & Mark E. Wohar, 1997. "Nonlinear dynamics and covered interest rate parity," Working Papers 9701, Federal Reserve Bank of Dallas.

    Cited by:

    1. Ramirez-Rondan, N.R. & Terrones, Marco E., 2019. "Uncertainty and the Uncovered Interest Parity Condition: How Are They Related?," MPRA Paper 97524, University Library of Munich, Germany.
    2. Canto, Bea & Kräussl, Roman, 2007. "Electronic trading systems and intraday non-linear dynamics: An examination of the FTSE 100 cash and futures returns," CFS Working Paper Series 2007/20, Center for Financial Studies (CFS).
    3. Kant, Chander, 2005. "Capital mobility among advanced countries," Journal of Policy Modeling, Elsevier, vol. 27(9), pages 1067-1081, December.
    4. Levy Yeyati, Eduardo & Schmukler, Sergio L. & Van Horen, Neeltje, 2006. "International financial integration through the law of one price," Policy Research Working Paper Series 3897, The World Bank.
    5. Li, Ming-Yuan Leon, 2008. "Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 511-520.
    6. Ming-Yuan Leon Li, 2009. "Nonlinear interrelations between ADRs and their underlying stocks revisited: application of threshold VECM," Applied Economics Letters, Taylor & Francis Journals, vol. 16(18), pages 1867-1873.
    7. Byoung Hark Yoo, 2008. "Interest Arbitrage and Interest Rates in Korea," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 14(3), pages 133-155, September.
    8. Pasricha, Gurnain, 2008. "Financial Integration in Emerging Market Economies," Santa Cruz Department of Economics, Working Paper Series qt7z35t1cn, Department of Economics, UC Santa Cruz.
    9. Giofré, Maela/M., 2008. "EMU Effects on Stock Markets: From Home Bias to Euro Bias," MPRA Paper 13926, University Library of Munich, Germany.
    10. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Testing for sign and amplitude asymmetries using threshold autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 623-654, April.
    11. Ahmad Zubaidi Baharumshah & Venus Khim‐Sen Liew & Chan Tze Haw, 2009. "The Real Interest Rate Differential: International Evidence Based On Non‐Linear Unit Root Tests," Bulletin of Economic Research, Wiley Blackwell, vol. 61(1), pages 83-94, January.
    12. Nazım Ekren & Elçin Aykaç Alp & Mete Han Yağmur, 2017. "Macroeconomic performance index: a new approach to calculation of economic wellbeing," Applied Economics, Taylor & Francis Journals, vol. 49(53), pages 5462-5476, November.
    13. Melike Bildirici & Elçin Aykaç Alp, 2012. "Minimum wage is efficient wage in Turkish labor market: TAR–cointegration analysis," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(4), pages 1261-1270, June.
    14. Sekioua, Sofiane H., 2006. "Nonlinear adjustment in the forward premium: evidence from a threshold unit root test," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 164-183.
    15. Takashi Matsuki, 2016. "Linear and nonlinear comovement in Southeast Asian local currency bond markets: a stepwise multiple testing approach," Empirical Economics, Springer, vol. 51(2), pages 591-619, September.
    16. Holmes, Mark J. & Maghrebi, Nabil, 2006. "Are international real interest rate linkages characterized by asymmetric adjustments?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 384-396, October.
    17. Trapani, Lorenzo, 2021. "Inferential theory for heterogeneity and cointegration in large panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 474-503.
    18. Remzi Uctum, 2007. "Econométrie des modèles à changements de régimes: un essai de synthèse," Post-Print halshs-00174034, HAL.
    19. Nidhi Aggarwal & Sanchit Arora & Rajeswari Sengupta, 2022. "Capital account openness in India and a comparison with China: Then versus now," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2022-005, Indira Gandhi Institute of Development Research, Mumbai, India.
    20. Jakob de Haan & Tigran Poghosyan & Jakob de Haan, 2007. "Interest Rate Linkages in EMU Countries: A Rolling Threshold Vector Error-Correction Approach," CESifo Working Paper Series 2060, CESifo.
    21. Bhar, Ramprasad & Kim, Suk-Joong & Pham, Toan M., 2004. "Exchange rate volatility and its impact on the transaction costs of covered interest rate parity," Japan and the World Economy, Elsevier, vol. 16(4), pages 503-525, December.
    22. Dominique Torre, 2012. "The monetary views of Paul Einzig," Post-Print halshs-00726126, HAL.
    23. Kim, Bong-Han & Chun, Sun-Eae & Min, Hong-Ghi, 2010. "Nonlinear dynamics in arbitrage of the S&P 500 index and futures: A threshold error-correction model," Economic Modelling, Elsevier, vol. 27(2), pages 566-573, March.
    24. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    25. Juan José Echavarría & Diego Vásquez & Mauricio Villamizar, 2008. "Expectativas, tasa de interés y tasa de cambio: paridad cubierta y no cubierta en Colombia, 2000-2007," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 26(56), pages 150-203, June.
    26. Pippenger, John, 2009. "The Forward-Bias Puzzle: A Solution Based on Covered Interest Parity," University of California at Santa Barbara, Economics Working Paper Series qt4dd1075r, Department of Economics, UC Santa Barbara.
    27. Öge Güney, Pelin & Hasanov, Mübariz, 2014. "Real interest rate parity hypothesis in post-Soviet countries: Evidence from unit root tests," Economic Modelling, Elsevier, vol. 36(C), pages 120-129.
    28. Nektarios Aslanidis & George Kouretas, 2003. "Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece," Working Papers 0311, University of Crete, Department of Economics.
    29. Levy Yeyati, Eduardo & Schmukler, Sergio L. & Van Horen, Neeltje, 2009. "International financial integration through the law of one price: The role of liquidity and capital controls," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 432-463, July.
    30. Bai, Shuming & Mollick, Andre Varella, 2010. "Currency crisis and the forward discount bias: Evidence from emerging economies under breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 556-574, December.
    31. Ted Juhl & William Miles & Marc D. Weidenmier, 2004. "Covered Interest Arbitrage: Then vs. Now," NBER Working Papers 10961, National Bureau of Economic Research, Inc.
    32. Pippenger, John, 2013. "The Failure Of Uncovered Interest Parity, Forward Bias And Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt50n5p8bv, Department of Economics, UC Santa Barbara.
    33. Al-Awad, Mouawiya & Grennes, Thomas J., 2002. "Real interest parity and transaction costs for the group of 10 countries," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 363-372.
    34. Bilson, Chris & Brailsford, Tim & Rajaguru, Gulasekaran, 2022. "Covered interest rate parity deviations in the Asia-Pacific," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    35. Ayşegül Çorakcı & Furkan Emirmahmutoglu & Tolga Omay, 2017. "Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(1), pages 91-120, February.
    36. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
    37. Alan, King, 2011. "A comment on: "The solution to the forward-bias puzzleâ," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 623-628, October.
    38. Pippenger, John E, 2010. "The Solution to the Forward-Bias and Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt6br3599r, Department of Economics, UC Santa Barbara.
    39. El in Ayka Alp & Zeynep Biyik, 2018. "Inflation Expectation Dynamics: A Structural Long-run Analysis for Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 8(2), pages 350-356.
    40. Holmes, Mark J. & Maghrebi, Nabil, 2004. "Asian real interest rates, nonlinear dynamics, and international parity," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 387-405.
    41. Maurice Obstfeld & Alan M. Taylor, 2002. "Globalization and Capital Markets," NBER Working Papers 8846, National Bureau of Economic Research, Inc.
    42. Nath, Golaka, 2013. "The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis," MPRA Paper 51591, University Library of Munich, Germany.
    43. Jie-Cao He & Hsing-Hua Chang & Ting-Fu Chen & Shih-Kuei Lin, 2023. "Upside and downside correlated jump risk premia of currency options and expected returns," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.
    44. Pippenger, John, 2018. "Forward Bias, Uncovered Interest Parity and Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt2cm6p186, Department of Economics, UC Santa Barbara.
    45. Jack Strauss & Mark E. Wohar, 2007. "Domestic‐Foreign Interest Rate Differentials: Near Unit Roots and Symmetric Threshold Models," Southern Economic Journal, John Wiley & Sons, vol. 73(3), pages 814-829, January.
    46. Lin, Xiaoqiang & Tang, Zhenpeng & Fei, Fangyu, 2013. "Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4064-4074.
    47. Pippenger, John, 2011. "A Complete Solution To The Forward-Bias Puzzle," University of California at Santa Barbara, Economics Working Paper Series qt5gq9z4j0, Department of Economics, UC Santa Barbara.
    48. Pippenger, John E, 2009. "The Forward-Bias Puzzle: A Solution Based on Covered Interest Parity," University of California at Santa Barbara, Economics Working Paper Series qt05d0t24b, Department of Economics, UC Santa Barbara.
    49. Nidhi Aggarwal & Sanchit Arora & Rajeswari Sengupta, 2021. "Capital account liberalisation in a large emerging economy: An Analysis of onshore-offshore arbitrage," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2021-013, Indira Gandhi Institute of Development Research, Mumbai, India.
    50. Batten, Jonathan A. & Szilagyi, Peter G., 2007. "Covered interest parity arbitrage and temporal long-term dependence between the US dollar and the Yen," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 409-421.
    51. King, Alan, 2011. "Pippenger's CIP-based solution to the forward-bias puzzle: A rejoinder," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 867-873.
    52. Pippenger, John, 2011. "The solution to the forward-bias puzzle," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 296-304, April.
    53. Holmes, Mark J., 2001. "Some new evidence on exchange rates, capital controls and European Union financial integration," International Review of Economics & Finance, Elsevier, vol. 10(2), pages 135-146.
    54. Fong, Wai-Ming & Valente, Giorgio & Fung, Joseph K.W., 2010. "Covered interest arbitrage profits: The role of liquidity and credit risk," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1098-1107, May.
    55. Nelson C. Mark & Young-Kyu Moh, 2005. "The real exchange rate and real interest differentials: the role of nonlinearities," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 323-335.
    56. Tigran Poghosyan, 2009. "Are “new” and “old” EU members becoming more financially integrated? A threshold cointegration analysis," International Economics and Economic Policy, Springer, vol. 6(3), pages 259-281, October.
    57. Jing Li & Junsoo Lee, 2010. "ADL tests for threshold cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 241-254, July.

  13. Nathan S. Balke & Mark A. Wynne, 1996. "An equilibrium analysis of relative price changes and aggregate inflation," Working Papers 9609, Federal Reserve Bank of Dallas.

    Cited by:

    1. Robert E. Krainer, 2014. "Financial Aspects of Business Cycles: An Analysis of Balance Sheet Adjustments of U.S. Nonfinancial Enterprises over the Twentieth Century," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 371-407, March.
    2. Sartaj Rasool Rather & S. Raja Sethu Durai & M. Ramachandran, 2014. "A New Approach to Construct Core Inflation," Working Papers 2014-091, Madras School of Economics,Chennai,India.
    3. Jane M. Binner & C. Thomas Elger & Barry E. Jones & Birger Nilsson, 2006. "Forecasting Inflation: the Relevance of Higher Moments," Computing in Economics and Finance 2006 407, Society for Computational Economics.
    4. Kausik Chaudhuri & Matthew Greenwood-Nimmo & Minjoo Kim & Yongcheol Shin, 2013. "On the Asymmetric U-Shaped Relationship between Inflation, Inflation Uncertainty, and Relative Price Skewness in the UK," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(7), pages 1431-1449, October.
    5. Döpke, Jörg & Pierdzioch, Christian, 2001. "Inflation and the Skewness of the Distribution of Relative Price Changes: Empirical Evidence for Germany," Kiel Working Papers 1059, Kiel Institute for the World Economy (IfW Kiel).
    6. Sartaj Rasool Rather & S. Raja Sethu Durai & M. Ramachandran, 2015. "Price Rigidity, Inflation and the Distribution of Relative Price Changes," South Asian Journal of Macroeconomics and Public Finance, , vol. 4(2), pages 258-287, December.
    7. Michael F. Bryan & Stephen G. Cecchetti, 2001. "A Note on the Efficient Estimation of Inflation in Brazil," Working Papers Series 11, Central Bank of Brazil, Research Department.
    8. Alan S. Blinder & Jeremy B. Rudd, 2013. "The Supply-Shock Explanation of the Great Stagflation Revisited," NBER Chapters, in: The Great Inflation: The Rebirth of Modern Central Banking, pages 119-175, National Bureau of Economic Research, Inc.
    9. Gary Saxonhouse, 2005. "Good deflation/bad deflation and Japanese economic recovery," International Economics and Economic Policy, Springer, vol. 2(2), pages 201-218, November.
    10. José Manuel Madeira Belbute, 2015. "Assessing core inflation indicators: evidence for Angola," CEFAGE-UE Working Papers 2015_01, University of Evora, CEFAGE-UE (Portugal).
    11. Michael F. Bryan & Stephen G. Cecchetti, 1999. "The Monthly Measurement of Core Inflation in Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 17(1), pages 77-101, May.
    12. Sartaj Rasool Rather & Sunil Paul & S. Raja Sethu Durai, 2015. "Inflation forecasting and the distribution of price changes," Economics Bulletin, AccessEcon, vol. 35(1), pages 226-232.
    13. Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Papers 505, University of Milano-Bicocca, Department of Economics, revised Oct 2023.
    14. Mark A. Wynne & Diego Rodriguez‐Palenzuela, 2004. "Measurement Bias in the HICP: What do we know and What do we need to know?," Journal of Economic Surveys, Wiley Blackwell, vol. 18(1), pages 79-112, February.
    15. Landau, Bettina, 2000. "Core inflation rates: a comparison of methods based on west German data," Discussion Paper Series 1: Economic Studies 2000,04, Deutsche Bundesbank.
    16. Alan Mankikar & Jo Paisley, 2004. "Core inflation: a critical guide," Bank of England working papers 242, Bank of England.
    17. Hasan Bakhshi & Tony Yates, 1999. "To trim or not to trim? An application of a trimmmed mean inflation estimator to the United Kingdom," Bank of England working papers 97, Bank of England.
    18. Balke, Nathan S. & Wynne, Mark A., 2007. "The relative price effects of monetary shocks," Journal of Macroeconomics, Elsevier, vol. 29(1), pages 19-36, March.
    19. A. Nazif Çatik & Christopher Martin & A. Özlem Onder, 2011. "Relative price variability and the Phillips Curve: evidence from Turkey," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 38(5), pages 546-561, September.
    20. Juan‐Luis Vega & Mark A. Wynne, 2003. "A First Assessment of Some Measures of Core Inflation for the Euro Area," German Economic Review, Verein für Socialpolitik, vol. 4(3), pages 269-306, August.
    21. Raphael A Auer & Philip Sauré, 2013. "The globalisation of inflation: a view from the cross section," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 113-118, Bank for International Settlements.
    22. Michael F. Bryan & Stephen G. Cecchetti, 1999. "Inflation And The Distribution Of Price Changes," The Review of Economics and Statistics, MIT Press, vol. 81(2), pages 188-196, May.
    23. Constantina Kottaridi & Diego Mendez-Carbajo & Dimitrios Thomakos, 2007. "Inflation Dynamics and the Cross-Sectional Distribution of Prices in the E.U. Periphery," Working Papers 0004, University of Peloponnese, Department of Economics.
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    25. Mio, Hitoshi, 2002. "Identifying Aggregate Demand and Aggregate Supply Components of Inflation Rate: A Structural Vector Autoregression Analysis for Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 20(1), pages 33-56, January.
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  14. Nathan S. Balke & Chih-Ping Chang, 1995. "Credit and economic activity: shocks or propagation mechanism?," Working Papers 9519, Federal Reserve Bank of Dallas.

    Cited by:

    1. Hoogstrate, A.J. & Osang, T., 1998. "Saving, openness, and growth," Other publications TiSEM 37acb861-bcba-4849-823b-3, Tilburg University, School of Economics and Management.
    2. Hoogstrate, A.J. & Osang, T., 1998. "Saving, openness, and growth," Discussion Paper 1998-47, Tilburg University, Center for Economic Research.

  15. Nathan S. Balke & Mark A. Wynne, 1995. "Are deep recessions followed by strong recoveries? Results for the G-7 countries," Working Papers 9509, Federal Reserve Bank of Dallas.

    Cited by:

    1. Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Discussion Papers in Economics at the University of Washington 0021, Department of Economics at the University of Washington.
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    4. Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2005. "The dynamic relationship between permanent and transitory components of U.S. business cycles," Working Papers 2001-017, Federal Reserve Bank of St. Louis.
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    8. Kevin L. Kliesen, 2003. "The 2001 recession: how was it different and what developments may have caused it?," Review, Federal Reserve Bank of St. Louis, vol. 85(Sep), pages 23-38.

  16. Nathan S. Balke & Mark A. Wynne, 1994. "The dynamics of recoveries," Working Papers 9406, Federal Reserve Bank of Dallas.

    Cited by:

    1. Simon M. Potter, 1999. "Fluctuations in confidence and asymmetric business cycles," Staff Reports 66, Federal Reserve Bank of New York.

  17. Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Working Papers 9209, Federal Reserve Bank of Dallas.
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    47. Rossen, Anja, 2011. "On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations," HWWI Research Papers 113, Hamburg Institute of International Economics (HWWI).
    48. Amélie Charles & Olivier Darné, 0. "Econometric history of the growth–volatility relationship in the USA: 1919–2017," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 0, pages 1-24.
    49. Fu, Qi & So, Jacky Yuk-Chow & Li, Xiaotong, 2024. "Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    50. Lima Luiz Renato & Xiao Zhijie, 2010. "Testing Unit Root Based on Partially Adaptive Estimation," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-34, June.
    51. Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.
    52. Halkos, George & Zisiadou, Argyro, 2016. "Exploring the effect of terrorist attacks on markets," MPRA Paper 71877, University Library of Munich, Germany.
    53. David Peel & Alan Speight, 1995. "Asymmetry in the variance of economic activity: evidence for long-run UK GDP," Applied Economics Letters, Taylor & Francis Journals, vol. 2(11), pages 415-418.
    54. Thai-Ha Le & Donghyun Park & Cong-Phu-Khanh Tran & Binh Tran-Nam, 2018. "The Impact of the Hai Yang Shi You 981 Event on Vietnam’s Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(3_suppl), pages 344-375, December.
    55. Fiammetta Menchetti & Fabrizio Cipollini & Fabrizia Mealli, 2021. "Estimating the causal effect of an intervention in a time series setting: the C-ARIMA approach," Papers 2103.06740, arXiv.org, revised Sep 2021.
    56. Tseng Shoiw-Mei, 2015. "Poland’s Trade with East Asia: An Outlier Approach," Folia Oeconomica Stetinensia, Sciendo, vol. 15(2), pages 81-100, December.
    57. Mills, Terence C., 1995. "Business cycle asymmetries and non-linearities in U.K. macroeconomic time series," Ricerche Economiche, Elsevier, vol. 49(2), pages 97-124, June.
    58. Lorenzo, Fernando, 1997. "Estimación de la volatilidad de la inflación en presencia de observaciones atípicas y heteroscedasticidad condicional," DES - Documentos de Trabajo. Estadística y Econometría. DS 3648, Universidad Carlos III de Madrid. Departamento de Estadística.
    59. Olivier Darné & Jean‐François Hoarau, 2007. "Further Evidence On Mean Reversion In The Australian Exchange Rate," Bulletin of Economic Research, Wiley Blackwell, vol. 59(4), pages 383-395, October.
    60. van Dijk, D.J.C. & Franses, Ph.H.B.F. & Lucas, A., 1996. "Testing for Smooth Transition Nonlinearity in the Presence of Outliers," Econometric Institute Research Papers EI 9622-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    61. Joseph D. Petruccelli & Alina Onofrei & Jayson D. Wilbur, 2009. "A robust Cusum test for SETAR-type nonlinearity in time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(3), pages 266-276.
    62. Khurshid M. Kiani, 2009. "Asymmetries in Macroeconomic Time Series in Eleven Asian Economies," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 8(1), pages 37-54, April.
    63. Blazsek, Szabolcs & Licht, Adrian, 2019. "Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production," UC3M Working papers. Economics 29030, Universidad Carlos III de Madrid. Departamento de Economía.
    64. Franses, Ph.H.B.F. & Paap, R., 1998. "Censored latent effects autoregression, with an application to US unemployment," Econometric Institute Research Papers EI 9841, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    65. Behmiri, Niaz Bashiri & Manera, Matteo, 2015. "The role of outliers and oil price shocks on volatility of metal prices," Resources Policy, Elsevier, vol. 46(P2), pages 139-150.
    66. Guanghui Cai & Zhimin Wu & Lei Peng, 2021. "Forecasting volatility with outliers in Realized GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 667-685, July.
    67. Panayotis G. Michaelides & Efthymios G. Tsionas & Angelos T. Vouldis & Konstantinos N. Konstantakis & Panagiotis Patrinos, 2018. "A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 637-675, March.
    68. Lee, Jim, 1996. "Testing for a unit root in time series with trend breaks," Journal of Macroeconomics, Elsevier, vol. 18(3), pages 503-519.
    69. Byungsoo Kim & Junmo Song & Changryong Baek, 2021. "Robust test for structural instability in dynamic factor models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 821-853, August.
    70. João Paulo Martin Faleiros & Denisard Cnéio de Oliveira Alves, 2006. "Não Linearidade Nos Ciclos De Negócios: Modelo Auto-Regressivo “Smooth Transition” Para O Índice Geral De Produção Industrial Brasileiro E Bens De Capital," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 10, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    71. Christos Avdoulas & Stelios Bekiros & Sabri Boubaker, 2018. "Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets," Annals of Operations Research, Springer, vol. 262(2), pages 307-333, March.
    72. Bouaddi, Mohammed & Larocque, Denis & Normandin, Michel, 2015. "Equity premia and state-dependent risks," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 393-409.
    73. Khurshid Kiani, 2005. "Detecting Business Cycle Asymmetries Using Artificial Neural Networks and Time Series Models," Computational Economics, Springer;Society for Computational Economics, vol. 26(1), pages 65-89, August.
    74. Tokat, Yesim & Rachev, Svetlozar T. & Schwartz, Eduardo S., 2003. "The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 937-969, April.
    75. Zacharias Psaradakis & Marián Vávra, 2015. "A Quantile-based Test for Symmetry of Weakly Dependent Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 587-598, July.
    76. Hafsa Hina & Abdul Qayyum, 2015. "Re-estimation of Keynesian Model by Considering Critical Events and Multiple Cointegrating Vectors," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 54(2), pages 123-145.
    77. Luiz Lima & Jaime de Jesus Filho, 2008. "Further investigation of the uncertain trend in US GDP," Applied Economics, Taylor & Francis Journals, vol. 40(9), pages 1207-1216.
    78. Yoshihiro Ohtsuka, 2018. "Large Shocks and the Business Cycle: The Effect of Outlier Adjustments," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 143-178, April.
    79. Hina, Hafsa & Qayyum, Abdul, 2013. "Estimation of Keynesian Exchange Rate Model of Pakistan by Considering Critical Events and Multiple Cointegrating Vectors," MPRA Paper 52611, University Library of Munich, Germany.
    80. PREMINGER, Arie & SAKATA, Shinichi, 2005. "A model selection method for S-estimation," LIDAM Discussion Papers CORE 2005073, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    81. Charles, Amelie & Darne, Olivier, 2005. "Outliers and GARCH models in financial data," Economics Letters, Elsevier, vol. 86(3), pages 347-352, March.
    82. Hina, Hafsa & Qayyum, Abdul, 2015. "Exchange Rate Determination and Out of Sample Forecasting: Cointegration Analysis," MPRA Paper 61997, University Library of Munich, Germany.
    83. Darné, Olivier, 2009. "The uncertain unit root in real GNP: A re-examination," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 153-166, March.
    84. Yaqoob, Tanzeela & Maqsood, Arfa, 2024. "The potency of time series outliers in volatile models: An empirical analysis of fintech, and mineral resources," Resources Policy, Elsevier, vol. 89(C).
    85. Ester Ruiz & Fernando Lorenzo, 1998. "The relation between the level and uncertainty of inflation," Documentos de Trabajo (working papers) 0698, Department of Economics - dECON.

  20. Nathan S. Balke & Kenneth M. Emery, 1991. "The algebra of price stability," Working Papers 9117, Federal Reserve Bank of Dallas.

    Cited by:

    1. Gavin, William T. & Keen, Benjamin D. & Pakko, Michael R., 2009. "Inflation Risk And Optimal Monetary Policy," Macroeconomic Dynamics, Cambridge University Press, vol. 13(S1), pages 58-75, May.
    2. Bali, Turan G. & Thurston, Thom B., 2002. "On the efficiency of monetary policy rules with flexible prices and rational expectations," Journal of Economics and Business, Elsevier, vol. 54(6), pages 615-631.
    3. Cover, James P. & VanHoose, David D., 2000. "Political pressures and the choice of the optimal monetary policy instrument," Journal of Economics and Business, Elsevier, vol. 52(4), pages 325-341.
    4. James Peery Cover & Paul Pecorino, 2005. "Price and Output Stability under Price‐Level Targeting," Southern Economic Journal, John Wiley & Sons, vol. 72(1), pages 152-166, July.
    5. Robert Dittmar & William T. Gavin & Finn E. Kydland, 1999. "Price-level uncertainty and inflation targeting," Review, Federal Reserve Bank of St. Louis, vol. 81(Jul), pages 23-34.
    6. Biederman, Daniel K., 2002. "Stabilizing properties of monetary feedback rules: A representative-agent approach," Journal of Economic Dynamics and Control, Elsevier, vol. 26(11), pages 1955-1974, September.
    7. Arnold, Ivo J. M., 1996. "Stochastic trends in the long-run behavior of velocity: A new test of the institutional hypothesis," Journal of Policy Modeling, Elsevier, vol. 18(6), pages 623-641, December.
    8. Dowd, Kevin, 2007. "Too good to be true? The (In)credibility of the UK inflation fan charts," Journal of Macroeconomics, Elsevier, vol. 29(1), pages 91-102, March.
    9. William T. Gavin, 2003. "Inflation targeting: why it works and how to make it work better," Working Papers 2003-027, Federal Reserve Bank of St. Louis.

  21. Nathan S. Balke & Robert J. Gordon, 1988. "The Estimation of Prewar GNP: Methodology and New Evidence," NBER Working Papers 2674, National Bureau of Economic Research, Inc.

    Cited by:

    1. Victor Zarnowitz & Phillip Braun, 1989. "Major Macroeconomic Variables and Leading Indexes: Some Estimates of Their Interrelations, 1886-1982," NBER Working Papers 2812, National Bureau of Economic Research, Inc.
    2. Federico, Giovanni, 2005. "Not Guilty? Agriculture in the 1920s and the Great Depression," The Journal of Economic History, Cambridge University Press, vol. 65(4), pages 949-976, December.
    3. J. Bradford De Long & Lawrence H. Summers, "undated". "On the Existence and Interpretation of a `Unit Root' in U.S. Real GDP," J. Bradford De Long's Working Papers _137, University of California at Berkeley, Economics Department.
    4. Gordon, Robert J., 2000. "Interpreting the 'One Big Wave' in US Long-Term Productivity Growth," CEPR Discussion Papers 2608, C.E.P.R. Discussion Papers.
    5. Robert J. Gordon, 2000. "Interpreting the "One Big Wave" in U.S. Long-Term Productivity Growth," NBER Working Papers 7752, National Bureau of Economic Research, Inc.
    6. J. Bradford De Long & Lawrence H. Summers, 1988. "On the Existence and Interpretation of the "Unit Root" in U.S. GNP," NBER Working Papers 2716, National Bureau of Economic Research, Inc.

  22. Nathan S. Balke & Robert J. Gordon, 1986. "The Estimation of Prewar GNP Volatility, 1869-1938," NBER Working Papers 1999, National Bureau of Economic Research, Inc.

    Cited by:

    1. B. Douglas Bernheim & Lorenzo Forni & Jagadeesh Gokhale & Laurence J. Kotlikoff, 2000. "How much should Americans be saving for retirement?," Working Papers (Old Series) 0002, Federal Reserve Bank of Cleveland.
    2. Opening Speech, 2011. "Bubbles, Demographic Change and Natural Disasters," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 29, pages 19-32, November.
    3. B. Douglas Bernheim & Katherine Grace Carman & Jagadeesh Gokhale & Laurence J. Kotlikoff, 2002. "The mismatch between life insurance holdings and financial vulnerabilities: evidence from the Survey of Consumer Finances," Working Papers (Old Series) 0201, Federal Reserve Bank of Cleveland.
    4. Luis Ayala & José M. Labeaga & Carolina Navarro, "undated". "housing deprivation and health status: evidence from Spain?," Working Papers 2005-02, FEDEA.
    5. B. Douglas Bernheim & Lorenzo Forni & Jagadeesh Gokhale & Laurence J. Kotlikoff, 2001. "The mismatch between life insurance holdings and financial vulnerabilities: evidence from the Health and Retirement Survey," Working Papers (Old Series) 0109, Federal Reserve Bank of Cleveland.
    6. B. Douglas Bernheim & Lorenzo Forni & Jagadeesh Gokhale & Laurence J. Kotlikoff, 1999. "The Adequacy of Life Insurance: Evidence from the Health and Retirement Survey," NBER Working Papers 7372, National Bureau of Economic Research, Inc.
    7. Jordi Perdiguero, 2011. "Vertical relations and local competition: an empirical approach," IREA Working Papers 201124, University of Barcelona, Research Institute of Applied Economics, revised Dec 2011.
    8. Sadequl ISLAM, 2011. "The Economic Effects On Nafta Of Trans-Atlantic Free Trade Agreements," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 11(1).
    9. Claudia Goldin, 1999. "A Brief History of Education in the United States," NBER Historical Working Papers 0119, National Bureau of Economic Research, Inc.
    10. Runchana Pongsaparn & Panda Ketruangroch & Dhanaporn Hirunwong, 2012. "Monetary Policy conduct in Review: The Appropriate Choice of Instruments," Working Papers 2012-05, Monetary Policy Group, Bank of Thailand.

Articles

  1. Nathan S Balke & Xin Jin & Mine Yücel, 2024. "The Shale Revolution and the Dynamics of the Oil Market," The Economic Journal, Royal Economic Society, vol. 134(662), pages 2252-2289.
    See citations under working paper version above.
  2. Balke, Nathan S. & Zeng, Zheng & Zhang, Ren, 2021. "Identifying credit demand, financial intermediation, and supply of funds shocks: A structural VAR approach," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).

    Cited by:

    1. Büyükbaşaran, Tayyar & Karasoy-Can, Gökçe & Küçük, Hande, 2022. "Macroeconomic effects of bank lending in an emerging economy: Evidence from Turkey," Economic Modelling, Elsevier, vol. 115(C).
    2. Li, Qian & Zhou, Ruodan & Xiong, Jie & Wang, Yanxi, 2023. "Rushing through the clouds, or waiting to die? The effect of the green credit policy on heavily polluting firms," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    3. Yi, Xingjian & Liu, Sheng & Wu, Zhouheng, 2022. "What drives credit expansion worldwide?——An empirical investigation with long-term cross-country panel data," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 225-242.

  3. Balke, Nathan S. & Martínez-García, Enrique & Zeng, Zheng, 2021. "In no uncertain terms: The effect of uncertainty on credit frictions and monetary policy," Economic Modelling, Elsevier, vol. 100(C).

    Cited by:

    1. Wu, Sheng & Zhou, Xiaoyong, 2024. "A theoretical framework for modeling dual-track granting orientation in green credit policy," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 249-268.
    2. Chiarini, Bruno & Ferrara, Maria & Marzano, Elisabetta, 2022. "Tax evasion and financial accelerator: A corporate sector analysis for the US business cycle," Economic Modelling, Elsevier, vol. 108(C).
    3. Shobande, Olatunji A. & Ogbeifun, Lawrence & Apergis, Nicholas, 2024. "Crafting monetary policy beyond low carbon legacy," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 764-781.

  4. Balke, Nathan S. & Brown, Stephen P.A., 2018. "Oil supply shocks and the U.S. economy: An estimated DSGE model," Energy Policy, Elsevier, vol. 116(C), pages 357-372.

    Cited by:

    1. Zhang, Yanfang & Shi, Xunpeng & Qian, Xiangyan & Chen, Sai & Nie, Rui, 2021. "Macroeconomic effect of energy transition to carbon neutrality: Evidence from China's coal capacity cut policy," Energy Policy, Elsevier, vol. 155(C).
    2. Nakhli, Seyyed Reza & Rafat, Monireh & Dastjerdi, Rasul Bakhshi & Rafei, Meysam, 2021. "Oil sanctions and their transmission channels in the Iranian economy: A DSGE model," Resources Policy, Elsevier, vol. 70(C).
    3. Díaz-Kovalenko, Igor E. & Torres, José L., 2022. "Oil price shocks, government revenues and public investment: The case of Ecuador," MPRA Paper 112268, University Library of Munich, Germany, revised 07 Mar 2022.
    4. Coenen, Günter & Lozej, Matija & Priftis, Romanos, 2023. "Macroeconomic Effects of Carbon Transition Policies: An Assessment Based on the ECB’s New Area-Wide Model with a Disaggregated Energy Sector," Research Technical Papers 8/RT/23, Central Bank of Ireland.
    5. Turco, Enrico & Bazzana, Davide & Rizzati, Massimiliano & Ciola, Emanuele & Vergalli, Sergio, 2023. "Energy price shocks and stabilization policies in the MATRIX model," Energy Policy, Elsevier, vol. 177(C).
    6. Peter Andre & Carlo Pizzinelli & Christopher Roth & Johannes Wohlfart, 2021. "Subjective Models of the Macroeconomy: Evidence From Experts and Representative Samples," ECONtribute Discussion Papers Series 119, University of Bonn and University of Cologne, Germany.
    7. Oguzhan Ozcelebi & Kaya Tokmakcioglu, 2022. "Assessment of the asymmetric impacts of the geopolitical risk on oil market dynamics," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 275-289, January.
    8. Imlak Shaikh, 2022. "Impact of COVID-19 pandemic on the energy markets," Economic Change and Restructuring, Springer, vol. 55(1), pages 433-484, February.
    9. Lin, Jie & Xiao, Hao & Chai, Jian, 2023. "Dynamic effects and driving intermediations of oil price shocks on major economies," Energy Economics, Elsevier, vol. 124(C).
    10. Niu, Tong & Yao, Xilong & Shao, Shuai & Li, Ding & Wang, Wenxi, 2018. "Environmental tax shocks and carbon emissions: An estimated DSGE model," Structural Change and Economic Dynamics, Elsevier, vol. 47(C), pages 9-17.
    11. Hong, Yanran & Cao, Shijiao & Xu, Pengfei & Pan, Zhigang, 2024. "Interpreting the effect of global economic risks on crude oil market: A supply-demand perspective," International Review of Financial Analysis, Elsevier, vol. 91(C).
    12. Yang, Chuxiao & Hao, Yu & Irfan, Muhammad, 2021. "Energy consumption structural adjustment and carbon neutrality in the post-COVID-19 era," Structural Change and Economic Dynamics, Elsevier, vol. 59(C), pages 442-453.
    13. Prest, Brian C. & Fell, Harrison & Gordon, Deborah & Conway, TJ, 2023. "Estimating the Emissions Reductions from Supply-side Fossil Fuel Interventions," RFF Working Paper Series 23-11, Resources for the Future.
    14. Clemens, Marius & Röger, Werner, 2024. "What is the difference between fossil fuel embargo and price shocks?," Energy Economics, Elsevier, vol. 132(C).
    15. Lassi Ahlvik & Jørgen Juel Andersen & Jonas Hveding Hamang & Torfinn Harding, 2022. "Quantifying supply-side climate policies," Working Papers No 01/2022, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    16. D'Adamo, Idiano & Falcone, Pasquale Marcello & Gastaldi, Massimo & Morone, Piergiuseppe, 2020. "RES-T trajectories and an integrated SWOT-AHP analysis for biomethane. Policy implications to support a green revolution in European transport," Energy Policy, Elsevier, vol. 138(C).
    17. Anelí Bongers, 2022. "Energy mix, technological change, and the environment," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 24(3), pages 341-364, July.
    18. Ciola, Emanuele & Turco, Enrico & Gurgone, Andrea & Bazzana, Davide & Vergalli, Sergio & Menoncin, Francesco, 2023. "Enter the MATRIX model:a Multi-Agent model for Transition Risks with application to energy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    19. Halkos, George, 2020. "Examining the level of competition in the energy sector," MPRA Paper 98343, University Library of Munich, Germany.
    20. Punzi, Maria Teresa, 2019. "The impact of energy price uncertainty on macroeconomic variables," Energy Policy, Elsevier, vol. 129(C), pages 1306-1319.
    21. Huthaifa Alqaralleh & Awon Almajali & Alessandra Canepa, 2024. "Navigating Energy Market Cycles: Insights from a Comprehensive Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 14(5), pages 35-48, September.
    22. Prest, Brian C. & Stock, James H., 2023. "Climate royalty surcharges," Journal of Environmental Economics and Management, Elsevier, vol. 120(C).
    23. De, Kuhelika & Compton, Ryan A. & Giedeman, Daniel C., 2022. "Oil shocks and the U.S. economy in a data-rich model," Economic Modelling, Elsevier, vol. 108(C).
    24. Juste Somé, 2023. "Oil Demand and Supply Shocks in Canada’s Economy," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(2), pages 363-394, June.
    25. Chan, Ying Tung & Qiao, Hui, 2023. "Volatility spillover between oil and stock prices: Structural connectedness based on a multi-sector DSGE model approach with Bayesian estimation," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 265-286.
    26. Adolfsen, Jakob Feveile & Ferrari Minesso, Massimo & Mork, Jente Esther & Van Robays, Ine, 2024. "Gas price shocks and euro area inflation," Working Paper Series 2905, European Central Bank.
    27. Amin, Sakib & Jamasb, Tooraj & Llorca, Manuel & Marsiliani, Laura & Renström, Thomas I. & Sarkar, Agnirup, 2021. "Captive power, market access and macroeconomic performance: Reforming the Bangladesh electricity sector," Energy Economics, Elsevier, vol. 102(C).
    28. Zhang, Xiaoyu & Zhou, Jinlan & Du, Xiaodong, 2022. "Impact of oil price uncertainty shocks on China’s macro-economy," Resources Policy, Elsevier, vol. 79(C).
    29. Ying Tung Chan, 2019. "Optimal Environmental Tax Rate in an Open Economy with Labor Migration—An E-DSGE Model Approach," Sustainability, MDPI, vol. 11(19), pages 1-38, September.
    30. Yu, Chenyang & Fu, Changluan & Xu, Piaoyang, 2024. "Energy shock, industrial transformation and macroeconomic fluctuations," International Review of Financial Analysis, Elsevier, vol. 92(C).
    31. Delalibera, Bruno R. & Serrano-Quintero, Rafael & Zimmermann, Guilherme G., 2023. "Reforms in the natural gas sector and economic development," Economic Modelling, Elsevier, vol. 125(C).
    32. Daniil Lomonosov, 2023. "Shocks of Business Activity and Specific Shocks to Oil Market in DSGE Model of Russian Economy and Their Influence Under Different Monetary Policy Regimes," Russian Journal of Money and Finance, Bank of Russia, vol. 82(4), pages 44-79, December.
    33. Dongqing Sun & Fanzhi Wang & Nanxu Chen & Jing Chen, 2021. "The Impacts of Technology Shocks on Sustainable Development from the Perspective of Energy Structure—A DSGE Model Approach," Sustainability, MDPI, vol. 13(15), pages 1-20, August.
    34. He, Yongda & Lin, Boqiang, 2019. "Regime differences and industry heterogeneity of the volatility transmission from the energy price to the PPI," Energy, Elsevier, vol. 176(C), pages 900-916.
    35. Fan, Wenrui & Wang, Zanxin, 2022. "Whether to abandon or continue the petroleum product price regulation in China？," Energy Policy, Elsevier, vol. 165(C).

  5. Nathan S. Balke & Michael Fulmer & Ren Zhang, 2017. "Incorporating the Beige Book into a Quantitative Index of Economic Activity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(5), pages 497-514, August.

    Cited by:

    1. Vegard H. Larsen & Leif Anders Thorsrud, 2018. "Business cycle narratives," Working Paper 2018/3, Norges Bank.
    2. Leif Anders Thorsrud, 2016. "Words are the new numbers: A newsy coincident index of business cycles," Working Papers No 4/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    3. Kihwan Kim & Hyun Hak Kim & Norman R. Swanson, 2023. "Mixing mixed frequency and diffusion indices in good times and in bad: an assessment based on historical data around the great recession of 2008," Empirical Economics, Springer, vol. 64(3), pages 1421-1469, March.
    4. Amrendra Pandey & Jagadish Shettigar & Amarnath Bose, 2021. "Evaluation of the Inflation Forecasting Process of the Reserve Bank of India: A Text Analysis Approach," SAGE Open, , vol. 11(3), pages 21582440211, July.
    5. Aromi, J. Daniel, 2020. "Linking words in economic discourse: Implications for macroeconomic forecasts," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1517-1530.
    6. Ilias Filippou & James Mitchell & My T. Nguyen, 2023. "The FOMC versus the Staff: Do Policymakers Add Value in Their Tales?," Working Papers 23-20, Federal Reserve Bank of Cleveland.

  6. Nathan S. Balke, Michael Plante, and Mine Yücel, 2015. "Fuel Subsidies, the Oil Market and the World Economy," The Energy Journal, International Association for Energy Economics, vol. 0(Adelman S).
    See citations under working paper version above.
  7. Balke, Nathan S. & Ma, Jun & Wohar, Mark E., 2015. "A Bayesian Analysis Of Weak Identification In Stock Price Decompositions," Macroeconomic Dynamics, Cambridge University Press, vol. 19(4), pages 728-752, June.

    Cited by:

    1. Lawrenz, Jochen & Zorn, Josef, 2018. "Decomposing the predictive power of local and global financial valuation ratios," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 137-149.

  8. Balke Nathan S. & Zeng Zheng, 2013. "Credit demand, credit supply, and economic activity," The B.E. Journal of Macroeconomics, De Gruyter, vol. 13(1), pages 643-680, October.

    Cited by:

    1. Ekaterina Pirozhkova, 2017. "Banks' balance sheet, uncertainty and macroeconomy," EcoMod2017 10430, EcoMod.
    2. Stefan Avdjiev & Zheng Zeng, 2014. "Credit growth, monetary policy and economic activity in a three-regime TVAR model," Applied Economics, Taylor & Francis Journals, vol. 46(24), pages 2936-2951, August.
    3. Zuzanna Wosko, 2016. "Determinants of credit in the Polish banking sector before and after the GFC according to information from the NBP Senior Loan Officer Survey. Does supply or demand matter?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Combining micro and macro data for financial stability analysis, volume 41, Bank for International Settlements.
    4. Ekaterina Pirozhkova, 2017. "Bank loan components, uncertainty and monetary transmission mechanism," BCAM Working Papers 1702, Birkbeck Centre for Applied Macroeconomics.
    5. Carter, Justin & Moore, Winston & Jackman, Mahalia, 2012. "Is the Magnitude of Household Debt in Barbados a Concern?," MPRA Paper 47791, University Library of Munich, Germany.
    6. Balke, Nathan S. & Zeng, Zheng & Zhang, Ren, 2021. "Identifying credit demand, financial intermediation, and supply of funds shocks: A structural VAR approach," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    7. Miroslav Plasil & Stepan Radkovsky & Pavel Rezabek, 2013. "Modelling bank loans to non-financial corporations," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2012/2013, chapter 0, pages 128-136, Czech National Bank.

  9. Balke, Nathan S. & Ma, Jun & Wohar, Mark E., 2013. "The contribution of economic fundamentals to movements in exchange rates," Journal of International Economics, Elsevier, vol. 90(1), pages 1-16.

    Cited by:

    1. Kano, Takashi & Morita, Hiroshi, 2015. "An equilibrium foundation of the Soros chart," Journal of the Japanese and International Economies, Elsevier, vol. 37(C), pages 21-42.
    2. Kelly Burns, 2016. "A Reconsideration of the Meese-Rogoff Puzzle: An Alternative Approach to Model Estimation and Forecast Evaluation," Multinational Finance Journal, Multinational Finance Journal, vol. 20(1), pages 41-83, March.
    3. Wang, Xinyu & Qi, Zikang & Huang, Jianglu, 2023. "How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies," Economic Modelling, Elsevier, vol. 120(C).
    4. Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Paper series 06_14, Rimini Centre for Economic Analysis.
    5. Wenting Liao & Jun Ma & Chengsi Zhang, 2023. "Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time‐varying instrument relevance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(7), pages 989-1006, November.
    6. Wellmann, Dennis & Trück, Stefan, 2018. "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 56-75.
    7. Suxiao Li & Jakob de Haan & Bert Scholtens, 2018. "Are International Fund Flows Related to Exchange Rate Dynamics?," Open Economies Review, Springer, vol. 29(1), pages 31-48, February.
    8. Bertram, Philip & Ma, Jun & Sibbertsen, Philipp, 2015. "Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model," Hannover Economic Papers (HEP) dp-565, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    9. Nestor Azcona, 2017. "Non-Traded Goods and Real Exchange Rate Fluctuations: A Structural VAR Analysis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 23(2), pages 137-148, May.
    10. Kano, Takashi & 加納, 隆, 2014. "Exchange Rates and Fundamentals: Closing a Two-country Model," Discussion Papers 2013-07, Graduate School of Economics, Hitotsubashi University.
    11. Kevin J. Lansing & Jun Ma, 2014. "Explaining Exchange Rate Anomalies in a Model with Taylor-Rule Fundamentals and Consistent Expectations," Working Paper Series 2014-22, Federal Reserve Bank of San Francisco.
    12. Jennifer Castle & Takamitsu Kurita, 2019. "Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks," Economics Series Working Papers 866, University of Oxford, Department of Economics.
    13. Liu, Clark & Wang, Ben Zhe & Wang, Huanhuan & Zhang, Ji, 2019. "What drives fluctuations in exchange rate growth in emerging markets – A multi-level dynamic factor approach," Economic Systems, Elsevier, vol. 43(2), pages 1-1.
    14. Chou, Yu-Hsi, 2018. "Understanding the sources of the exchange rate disconnect puzzle: A variance decomposition approach," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 267-287.
    15. Petre Caraiani & Rangan Gupta, 2018. "Is the Response of the Bank of England to Exchange Rate Movements Frequency-Dependent?," Working Papers 201883, University of Pretoria, Department of Economics.
    16. Yi‐Chiuan Wang & Jyh‐Lin Wu, 2015. "Fundamentals and Exchange Rate Prediction Revisited," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(8), pages 1651-1671, December.
    17. Xie, Zixiong & Chen, Shyh-Wei, 2019. "Exchange rates and fundamentals: A bootstrap panel data analysis," Economic Modelling, Elsevier, vol. 78(C), pages 209-224.
    18. Papahristodoulou, Christos, 2019. "Is there any theory that explains the SEK?," MPRA Paper 95072, University Library of Munich, Germany, revised 08 Jul 2019.
    19. Marcellino, Massimiliano & Abbate, Angela, 2016. "Point, interval and density forecasts of exchange rates with time-varying parameter models," CEPR Discussion Papers 11559, C.E.P.R. Discussion Papers.
    20. Takamitsu Kurita & Patrick James, 2022. "The Canadian–US dollar exchange rate over the four decades of the post‐Bretton Woods float: An econometric study allowing for structural breaks," Metroeconomica, Wiley Blackwell, vol. 73(3), pages 856-883, July.
    21. Castle, Jennifer L. & Kurita, Takamitsu, 2021. "A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    22. Logan T. Lewis, 2017. "How Important Are Trade Prices for Trade Flows?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 65(3), pages 471-497, August.
    23. Eslamloueyan , Karim & Yazdanpanah , Hamideh, 2013. "The Contribution of Observed and Unobserved Fundamentals to Exchange Rate Movements in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 8(3), pages 89-115, July.
    24. Cumperayot, Phornchanok & Kouwenberg, Roy, 2021. "The discount factor for expected fundamentals: Evidence from a panel of 25 exchange rates," International Economics, Elsevier, vol. 166(C), pages 167-176.
    25. Philip Bertram & Teresa Flock & Jun Ma & Philipp Sibbertsen, 2022. "Real Exchange Rates and Fundamentals in a new Markov‐STAR Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(2), pages 356-379, April.
    26. Chen, Shiu-Sheng & Chou, Yu-Hsi, 2015. "Revisiting the relationship between exchange rates and fundamentals," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 1-22.
    27. Young Min Kim & Seojin Lee, 2017. "The Role of Unobservable Fundamentals in Korea Exchange Rate Fluctuations: Bayesian Approach," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 23(3), pages 1-22, September.
    28. Eric Hillebrand & Jakob Mikkelsen & Lars Spreng & Giovanni Urga, 2020. "Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings," CREATES Research Papers 2020-19, Department of Economics and Business Economics, Aarhus University.
    29. Takashi Kano, 2021. "Exchange Rates and Fundamentals: A General Equilibrium Exploration," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(1), pages 95-117, February.
    30. Utku Altunoz, 2020. "Determining the Interaction of the International Portfolio Flows with Exchange Rate Volatility in Developing Countries," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 6(1), pages 41-54, June.
    31. Han, Liyan & Xu, Yang & Yin, Libo, 2018. "Forecasting the CNY-CNH pricing differential: The role of investor attention," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 232-247.
    32. You, Yu & Liu, Xiaochun, 2020. "Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach," Journal of Banking & Finance, Elsevier, vol. 116(C).
    33. Kharrat, Sabrine & Hammami, Yacine & Fatnassi, Ibrahim, 2020. "On the cross-sectional relation between exchange rates and future fundamentals," Economic Modelling, Elsevier, vol. 89(C), pages 484-501.
    34. Go, You-How & Lau, Wee-Yeap, 2024. "Terms of trade or market power? Further evidence from dynamic spillovers in return and volatility between Malaysian crude palm oil and foreign exchange markets," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    35. Han, Liyan & Xu, Yang & Yin, Libo, 2018. "Does investor attention matter? The attention-return relationships in FX markets," Economic Modelling, Elsevier, vol. 68(C), pages 644-660.
    36. Phornchanok Cumperayot & Casper G. de Vries, 2006. "Large Swings in Currencies driven by Fundamentals," Tinbergen Institute Discussion Papers 06-086/2, Tinbergen Institute.

  10. Nathan S. Balke & Mark E. Wohar, 2009. "Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 35-75.

    Cited by:

    1. Renhe Liu & Eddie Chi-man Hui & Jiaqi Lv & Yi Chen, 2017. "What Drives Housing Markets: Fundamentals or Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 55(4), pages 395-415, November.
    2. Marlon Fritz & Thomas Gries & Lukas Wiechers, 2024. "An early indicator for anomalous stock market performance," Quantitative Finance, Taylor & Francis Journals, vol. 24(1), pages 105-118, January.
    3. Ozan Hatipoglu & Onur Uyar, 2012. "Do Bubbles Spill Over? Estimating Financial Bubbles in Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S5), pages 64-75, November.
    4. Adelina Gschwandtner & Michael Hauser, 2016. "Profit persistence and stock returns," Applied Economics, Taylor & Francis Journals, vol. 48(37), pages 3538-3549, August.
    5. Chan, Joshua C.C. & Santi, Caterina, 2021. "Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    6. Jan R. Kim & Gieyoung Lim, 2018. "A look into German housing markets: A bubble call?," International Area Studies Review, Center for International Area Studies, Hankuk University of Foreign Studies, vol. 21(4), pages 289-301, December.
    7. Poitras, Geoffrey & Heaney, John, 2008. "‘How is the Stock Market Doing?’ Using Absence of Arbitrage to Measure Stock Market Performance," MPRA Paper 114056, University Library of Munich, Germany.
    8. Kim, Jan R. & Lim, Gieyoung, 2016. "Fundamentals and rational bubbles in the Korean housing market: A modified present-value approach," Economic Modelling, Elsevier, vol. 59(C), pages 174-181.
    9. Busse, Stefan & Brümmer, Bernard & Ihle, Rico, 2010. "Interdependencies between fossil fuel and renewable energy markets: the German biodiesel market," DARE Discussion Papers 1010, Georg-August University of Göttingen, Department of Agricultural Economics and Rural Development (DARE).
    10. Nicole Branger & Mark Trede & Bernd Wilfling, 2024. "Extracting stock-market bubbles from dividend futures," CQE Working Papers 10724, Center for Quantitative Economics (CQE), University of Muenster.
    11. Huang, MeiChi & Chiang, Hsiu-Hsuan, 2017. "An early alarm system for housing bubbles," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 34-49.
    12. Velinov, Anton & Chen, Wenjuan, 2015. "Do stock prices reflect their fundamentals? New evidence in the aftermath of the financial crisis," Journal of Economics and Business, Elsevier, vol. 80(C), pages 1-20.
    13. MeiChi Huang & Tzu-Chien Wang, 2015. "Housing-bubble vulnerability and diversification opportunities during housing boom–bust cycles: evidence from decomposition of asset price returns," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 54(2), pages 605-637, March.

  11. Balke, Nathan S. & Wynne, Mark A., 2007. "The relative price effects of monetary shocks," Journal of Macroeconomics, Elsevier, vol. 29(1), pages 19-36, March.
    See citations under working paper version above.
  12. Balke, Nathan S & Petersen, D'Ann, 2002. "How Well Does the Beige Book Reflect Economic Activity? Evaluating Qualitative Information Quantitatively," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(1), pages 114-136, February.
    See citations under working paper version above.
  13. Nathan S. Balke & Mark E. Wohar, 2002. "Low-Frequency Movements in Stock Prices: A State-Space Decomposition," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 649-667, November.
    See citations under working paper version above.
  14. Nathan S. Balke & Stephen P.A. Brown & Mine K. Yucel, 2002. "Oil Price Shocks and the U.S. Economy: Where Does the Asymmetry Originate?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 27-52.
    See citations under working paper version above.
  15. Nathan S. Balke & Mark E. Wohar, 2001. "Explaining stock price movements: is there a case for fundamentals?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q III, pages 22-34.

    Cited by:

    1. Harvey, David I. & Leybourne, Stephen J. & Sollis, Robert & Taylor, A.M. Robert, 2016. "Tests for explosive financial bubbles in the presence of non-stationary volatility," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 548-574.
    2. Tsvetanov, Daniel & Coakley, Jerry & Kellard, Neil, 2016. "Bubbling over! The behaviour of oil futures along the yield curve," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 516-533.
    3. Bohl, Martin T. & Siklos, Pierre L., 2004. "The present value model of U.S. stock prices redux: a new testing strategy and some evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 208-223, May.
    4. McMillan, David G., 2009. "Are share prices still too high?," Research in International Business and Finance, Elsevier, vol. 23(3), pages 223-232, September.
    5. Olkhov, Victor, 2018. "Expectations, Price Fluctuations and Lorenz Attractor," MPRA Paper 89105, University Library of Munich, Germany.
    6. Patrick Bisciari & Alain Durré & Alain Nyssens, 2003. "Stock market valuation in the United States," Working Paper Document 41, National Bank of Belgium.
    7. Filis, George, 2010. "Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations?," Energy Economics, Elsevier, vol. 32(4), pages 877-886, July.
    8. Brendan McCabe & Stephen Leybourne & David Harris, 2003. "Testing for Stochastic Cointegration and Evidence for Present Value Models," Econometrics 0311009, University Library of Munich, Germany.
    9. Gerdesmeier, Dieter & Reimers, Hans-Eggert & Roffia, Barbara, 2013. "Testing for the existence of a bubble in the stock market," Wismar Discussion Papers 01/2013, Hochschule Wismar, Wismar Business School.
    10. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047, July.
    11. Binswanger, Mathias, 2004. "Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 237-252, May.
    12. Woglom, Geoffrey, 2003. "Endowment spending rates, intergenerational equity and the sources of capital gains," Economics of Education Review, Elsevier, vol. 22(6), pages 591-601, December.
    13. McMillan, David G., 2007. "Bubbles in the dividend-price ratio? Evidence from an asymmetric exponential smooth-transition model," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 787-804, March.
    14. Gerdesmeier Dieter & Reimers Hans-Eggert & Roffia Barbara, 2010. "Applying a New Bubble Test for a Composite Indicator," Folia Oeconomica Stetinensia, Sciendo, vol. 9(1), pages 1-23, January.
    15. McMillan, David G., 2006. "The price-dividend ratio and limits to arbitrage: Evidence from a time-varying ESTR model," Economics Letters, Elsevier, vol. 91(3), pages 408-412, June.
    16. David G. McMillan, 2010. "Level‐shifts and non‐linearity in US financial ratios," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 9(2), pages 189-207, May.
    17. Taipalus, Katja, 2006. "Bubbles in the Finnish and US equities markets," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2006_035, July.
    18. Binswanger, Mathias, 2004. "How important are fundamentals?--Evidence from a structural VAR model for the stock markets in the US, Japan and Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 185-201, April.
    19. Shamsuddin, Abul F. M. & Hillier, John R., 2004. "Fundamental determinants of the Australian price-earnings multiple," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 565-576, November.

  16. Nathan S. Balke, 2000. "Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks," The Review of Economics and Statistics, MIT Press, vol. 82(2), pages 344-349, May.

    Cited by:

    1. Andrey Sinyakov, 2013. "Declared and actual policy of the Russian Central Bank in 2000–2008: how large is the difference? (in Russian)," Quantile, Quantile, issue 11, pages 91-106, December.
    2. Cachaga Herrera, Pablo & Romero Cuevas, José Martin, 2020. "Efecto asimétrico de la actividad económica en la liquidez del sistema financiero boliviano," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB) "San Pablo", issue 33, pages 181-211, May.
    3. Tomas Konecny & Oxana Babecka Kucharcukova, 2013. "Evaluating the Links Between the Financial and Real Sectors in a Small Open Economy: The Case of the Czech Republic," Working Papers 2013/10, Czech National Bank.
    4. Mr. Thomas Helbling & Mr. Ayhan Kose & Mr. Christopher Otrok & Raju Huidrom, 2010. "Do Credit Shocks Matter? A Global Perspective," IMF Working Papers 2010/261, International Monetary Fund.
    5. I-Chun Tsai, 2021. "Price Rigidity and Vacancy Rates: The Framing Effect on Rental Housing Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 63(4), pages 547-564, November.
    6. van Dijk, Dick & Hans Franses, Philip & Peter Boswijk, H., 2007. "Absorption of shocks in nonlinear autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4206-4226, May.
    7. Tomas Konecny & Oxana Babecka-Kucharcukova, 2016. "Credit Spreads and the Links between the Financial and Real Sectors in a Small Open Economy: The Case of the Czech Republic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 302-321, August.
    8. Marina Tkalec, 2013. "The Dynamics of Deposit Euroization in European Post-Transition Countries: Evidence from Threshold VAR," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 66-83.
    9. Andrea Silvestrini & Andrea Zaghini, 2015. "Financial Shocks And The Real Economy In A Nonlinear World: From Theory To Estimation," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 15/910, Ghent University, Faculty of Economics and Business Administration.
    10. Jarkko Jääskelä, 2007. "More Potent Monetary Policy? Insights from a Threshold Model," RBA Research Discussion Papers rdp2007-07, Reserve Bank of Australia.
    11. Mahjus Ekananda & Tulus Suryanto, 2021. "The Influence of Global Financial Liquidity on the Indonesian Economy: Dynamic Analysis with Threshold VAR," Economies, MDPI, vol. 9(4), pages 1-20, October.
    12. Piergiorgio Alessandri & Antonio M. Conti & Fabrizio Venditti, 2016. "The Financial Stability Dark Side of Monetary Policy," BCAM Working Papers 1601, Birkbeck Centre for Applied Macroeconomics.
    13. Yao, Xiaoyang & Le, Wei & Sun, Xiaolei & Li, Jianping, 2020. "Financial stress dynamics in China: An interconnectedness perspective," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 217-238.
    14. De Santis, Roberto A. & Tornese, Tommaso, 2023. "Energy supply shocks’ nonlinearities on output and prices," Working Paper Series 2834, European Central Bank.
    15. Matteo Deleidi & Enrico Sergio Levrero, 2021. "Monetary policy and long‐term interest rates: Evidence from the U.S. economy," Metroeconomica, Wiley Blackwell, vol. 72(1), pages 121-147, February.
    16. Dobromil Serwa, 2008. "Larger crises cost more: impact of banking sector instability on output growth," Working Papers 25, Department of Applied Econometrics, Warsaw School of Economics.
    17. Dominika Kolcunova & Tomas Havranek, 2018. "Estimating the Effective Lower Bound for the Czech National Bank’s Policy Rate," Working Papers IES 2018/22, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2018.
    18. Seewon Kim, 2018. "Effects of Monetary Policy during Financial Market Crises and Regime Changes: An Empirical Evaluation Using a Nonlinear Vector Autoregression Model," Asian Economic Journal, East Asian Economic Association, vol. 32(2), pages 105-123, June.
    19. Vinícius Dos Santos Cerqueira & Márcio Bruno Ribeiro & Thiago Sevilhano Martinez, 2014. "Propagaçãoassimétrica De Choques Monetários Na Economia Brasileira: Evidênciascom Base Em Um Modelo Vetorial Não-Linear De Transição Suave," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 032, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    20. Oliver Hülsewig & Eric Mayer & Timo Wollmershäuser, 2005. "Bank Loan Supply and Monetary Policy Transmission in Germany: An Assessment Based on Matching Impulse Responses," ifo Working Paper Series No.14, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    21. Andrea Silvestrini & Andrea Zaghini, 2015. "Financial shocks and the real economy in a nonlinear world: a survey of the theoretical and empirical literature," Questioni di Economia e Finanza (Occasional Papers) 255, Bank of Italy, Economic Research and International Relations Area.
    22. Mansur, Alfan, 2023. "Capital flow volatility regimes and monetary policy dilemma: Evidence from New Zealand," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    23. Guglielmo Maria Caporale & Abdurrahman Nazif Catik & Mohamad Husam Helmi & Faek Nemla Ali & Coskun Akdeniz, 2016. "Monetary Policy Rules in Emerging Countries: Is there an Augmented Nonlinear Taylor Rule?," CESifo Working Paper Series 5965, CESifo.
    24. Sadeghi, Abdorasoul & Roudari, Soheil, 2022. "Heterogeneous effects of oil structure and oil shocks on stock prices in different regimes: Evidence from oil-exporting and oil-importing countries," Resources Policy, Elsevier, vol. 76(C).
    25. Çatık, A. Nazif & Martin, Christopher, 2012. "Macroeconomic transitions and the transmission mechanism: Evidence from Turkey," Economic Modelling, Elsevier, vol. 29(4), pages 1440-1449.
    26. Boudt, Kris & Paulus, Ellen C.S. & Rosenthal, Dale W.R., 2017. "Funding liquidity, market liquidity and TED spread: A two-regime model," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 143-158.
    27. Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2015. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Working Papers 2015-02, CEPII research center.
    28. Ekaterina Pirozhkova, 2017. "Banks' balance sheet, uncertainty and macroeconomy," EcoMod2017 10430, EcoMod.
    29. Guender, Alfred V, 2018. "Credit prices vs. credit quantities as predictors of economic activity in Europe: Which tell a better story?," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 380-399.
    30. Giovanni Caggiano & Efrem Castelnuovo & Olivier Damette & Antoine Parent & Giovanni Pellegrino, 2017. "Liquidity traps and large-scale financial crises," Post-Print halshs-01675562, HAL.
    31. Amina Baba & Anna Cretti & Olivier Massol, 2020. "What can be learned from the free destination option in the LNG imbroglio?," Working Papers 2004, Chaire Economie du climat.
    32. Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera, 2020. "The theory of storage in the crude oil futures market, the role of financial conditions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1160-1175, July.
    33. Cheng, Chak Hung Jack & Chiu, Ching-Wai (Jeremy), 2016. "Nonlinearities of mortgage spreads over the business cycles," Bank of England working papers 634, Bank of England.
    34. Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial regimes and uncertainty shocks," BCAM Working Papers 1404, Birkbeck Centre for Applied Macroeconomics.
    35. Gian Paulo Soave, 2015. "Choques fiscais e instabilidade financeira no Brasil: uma abordagem TVAR," Working Papers, Department of Economics 2015_02, University of São Paulo (FEA-USP).
    36. Awijen, Haithem & Hammami, Sami, 2017. "Financial frictions and regime switching: The role of collateral asset in emerging stock market," Economics Discussion Papers 2017-6, Kiel Institute for the World Economy (IfW Kiel).
    37. Régis Barnichon & Christian Matthes & Alexander Ziegenbein, 2016. "Theory Ahead of Measurement? Assessing the Nonlinear Effects of Financial Market Disruptions," Working Paper 16-15, Federal Reserve Bank of Richmond.
    38. Meeks, Roland, 2012. "Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 568-584.
    39. Vašíček, Bořek & Calice, Giovanni & Miao, RongHui & Štěrba, Filip, 2014. "Short-term determinants of the idiosyncratic sovereign risk premium: a regime-dependent analysis for european credit default swaps," Working Paper Series 1717, European Central Bank.
    40. Costas Milas, 2014. "Financial Stress and the Impact of Public Debt on UK Growth in High versus Low-Growth Regimes: 1850-2013," Working Paper series 13_14, Rimini Centre for Economic Analysis.
    41. Bams, Dennis & Bos, Jaap & Pisa, Magdalena, 2016. "Trade credit: Elusive insurance of firm growth," Research Memorandum 029, Maastricht University, Graduate School of Business and Economics (GSBE).
    42. Schleer, Frauke & Semmler, Willi & Illner, Julian, 2014. "Overleveraging in the banking sector: Evidence from Europe," ZEW Discussion Papers 14-066, ZEW - Leibniz Centre for European Economic Research.
    43. Jaramillo Rodríguez Jorge & Pech Moreno Luis Alberto & Ramírez Claudia & Sanchez-Amador David, 2019. "Nonlinear Exchange Rate Pass-Through in Mexico," Working Papers 2019-16, Banco de México.
    44. Pitarakis, Jean-Yves, 2012. "Estimation and inference in threshold type regime switching models," UC3M Working papers. Economics we1204, Universidad Carlos III de Madrid. Departamento de Economía.
    45. Donayre Luiggi & Eo Yunjong & Morley James, 2018. "Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(1), pages 1-11, February.
    46. Jordan Roulleau-Pasdeloup, 2016. "The Government Spending Multiplier in a Deep Recession," Cahiers de Recherches Economiques du Département d'économie 16.22, Université de Lausanne, Faculté des HEC, Département d’économie.
    47. Meller, Barbara & Metiu, Norbert, 2015. "The synchronization of European credit cycles," Discussion Papers 20/2015, Deutsche Bundesbank.
    48. Ana B. Galvão & Michael T. Owyang, 2014. "Financial stress regimes and the macroeconomy," Working Papers 2014-20, Federal Reserve Bank of St. Louis.
    49. Kaufmann, Sylvia & Valderrama, Maria Teresa, 2007. "The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US," Working Paper Series 816, European Central Bank.
    50. António Afonso & Jaromír Baxa & Michal Slavík, 2011. "Fiscal developments and financial stress: a threshold VAR analysis," Working Papers IES 2011/16, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2011.
    51. Fratantoni, Michael & Schuh, Scott, 2003. "Monetary Policy, Housing, and Heterogeneous Regional Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(4), pages 557-589, August.
    52. Stefan Avdjiev & Zheng Zeng, 2014. "Credit growth, monetary policy and economic activity in a three-regime TVAR model," Applied Economics, Taylor & Francis Journals, vol. 46(24), pages 2936-2951, August.
    53. Julius Loermann, 2021. "The impact of CHF/EUR exchange rate uncertainty on Swiss exports to the Eurozone: evidence from a threshold VAR," Empirical Economics, Springer, vol. 60(3), pages 1363-1385, March.
    54. Mertens, Karel, 2008. "Deposit rate ceilings and monetary transmission in the US," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1290-1302, October.
    55. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
    56. Rozina Shaheen, 2020. "Credit market conditions and impact of monetary policy in a developing economy context," International Economics and Economic Policy, Springer, vol. 17(2), pages 409-425, May.
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    107. Paunić, Alida, 2016. "A Model of Sustainable Growth with Renewables( Wind, CS, Algae) in Africa Europe Relation," MPRA Paper 74515, University Library of Munich, Germany.
    108. Jeremy A. Verlinda, 2007. "Price-Response Asymmetry and Spatial Differentiation in Local Retail Gasoline Markets," EAG Discussions Papers 200704, Department of Justice, Antitrust Division.
    109. Asane-Otoo, Emmanuel & Schneider, Jan, 2015. "Retail fuel price adjustment in Germany: A threshold cointegration approach," Energy Policy, Elsevier, vol. 78(C), pages 1-10.
    110. Virjinia Jeliazkova, 2010. "Effects of the Dynamics of the Oil Price – Theoretical and Empirical Bases," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 127-165.
    111. Hassan Ghassan & Prashanta Banerjee, 2015. "A threshold cointegration analysis of asymmetric adjustment of OPEC and non-OPEC monthly crude oil prices," Empirical Economics, Springer, vol. 49(1), pages 305-323, August.
    112. Dariusz Kusz & Bożena Kusz & Paweł Hydzik, 2022. "Changes in the Price of Food and Agricultural Raw Materials in Poland in the Context of the European Union Accession," Sustainability, MDPI, vol. 14(8), pages 1-21, April.
    113. Stephen P. A. Brown & Mine K. Yücel, 2001. "Energy prices and aggregate economic activity: an interpretive survey," Working Papers 0102, Federal Reserve Bank of Dallas.
    114. Szymon Wlazlowski & Monica Giulietti & Jane Binner & Costas Milas, 2008. "Smooth Transition Models in Price Transmission," Working Paper series 04_08, Rimini Centre for Economic Analysis.

  21. Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-645, August.
    See citations under working paper version above.
  22. Nathan S. Balke & Mark A. Wynne, 1996. "Supply shocks and the distribution of price changes," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q I, pages 10-18.

    Cited by:

    1. Meyler, Aidan, 1999. "A statistical measure of core inflation," MPRA Paper 11362, University Library of Munich, Germany.
    2. Jacqueline Dwyer & Kenneth Leong, 2000. "Nominal Wage Rigidity in Australia," RBA Research Discussion Papers rdp2000-08, Reserve Bank of Australia.
    3. Randal J. Verbrugge, 1998. "A cross-country investigation of macroeconomic asymmetries," Macroeconomics 9809017, University Library of Munich, Germany, revised 30 Sep 1998.
    4. Randal J. Verbrugge, 1998. "Cross-Sectional and Longitudinal Inflation Asymmetries," Macroeconomics 9809018, University Library of Munich, Germany.
    5. David Demery & Nigel W. Duck, 2005. "Relative Prices as Aggregate Supply Shocks with Trend Inflation," Bristol Economics Discussion Papers 05/570, School of Economics, University of Bristol, UK.
    6. Attila Rátfai, 2001. "Relative Price Skewness and Inflation: A Structural VAR Framework," CERS-IE WORKING PAPERS 0103, Institute of Economics, Centre for Economic and Regional Studies.
    7. Jamie Armour, 2006. "An Evaluation of Core Inflation Measures," Staff Working Papers 06-10, Bank of Canada.
    8. Scott Roger, 1997. "A robust measure of core inflation in New Zealand, 1949-96," Reserve Bank of New Zealand Discussion Paper Series G97/7, Reserve Bank of New Zealand.
    9. Mick Silver, 2006. "Core Inflation Measures and Statistical Issues in Choosing Among Them," IMF Working Papers 2006/097, International Monetary Fund.

  23. Balke, Nathan S & Wynne, Mark A, 1995. "Recessions and Recoveries in Real Business Cycle Models," Economic Inquiry, Western Economic Association International, vol. 33(4), pages 640-663, October.

    Cited by:

    1. Claessens, Stijn & Kose, M. Ayhan & Terrones, Marco E., 2012. "How do business and financial cycles interact?," Journal of International Economics, Elsevier, vol. 87(1), pages 178-190.
    2. Kose, M. Ayhan & Sugawara, Naotaka & E. Terrones, Marco, 2020. "Global Recessions," CEPR Discussion Papers 14397, C.E.P.R. Discussion Papers.
    3. Kiani, Khurshid M., 2016. "On business cycle fluctuations in USA macroeconomic time series," Economic Modelling, Elsevier, vol. 53(C), pages 179-186.
    4. Pedersen, Torben Mark & Elmer, Anne Marie, 2003. "International evidence on the connection between business cycles and economic growth," Journal of Macroeconomics, Elsevier, vol. 25(2), pages 255-275, June.
    5. Beatriz C. Galvao, Ana, 2002. "Can non-linear time series models generate US business cycle asymmetric shape?," Economics Letters, Elsevier, vol. 77(2), pages 187-194, October.
    6. Patrick Francois & Huw Lloyd-Ellis, 2001. "Animal Spirits meets Creative Destruction," Cahiers de recherche CREFE / CREFE Working Papers 130, CREFE, Université du Québec à Montréal.
    7. Lilia Maliar & Serguei Maliar, 2003. "Endogenous Growth And Endogenous Business Cycles," Working Papers. Serie AD 2003-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    8. Guha, Debashis & Hiris, Lorene, 2002. "The aggregate credit spread and the business cycle," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 219-227.
    9. Scott Freeman & Dong-Pyo Hong & Dan Peled, 1999. "Endogenous Cycles and Growth with Indivisible Technological Developments," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 2(2), pages 402-432, April.
    10. Viv B. Hall & C. John McDermott, 2016. "Recessions and recoveries in New Zealand's post-Second World War business cycles," New Zealand Economic Papers, Taylor & Francis Journals, vol. 50(3), pages 261-280, September.
    11. M. Ayhan Kose & Prakash Loungani & Marco E. Terrones, 2013. "From the Global to the National Cycle: An Intricate Liaison," Pacific Economic Review, Wiley Blackwell, vol. 18(3), pages 370-402, August.
    12. Pablo Mejía-Reyes & Reyna Vergara-González, 2017. "Are More Severe Recessions Followed by Stronger Early Expansions of Employment in the Mexican States?," The Review of Regional Studies, Southern Regional Science Association, vol. 47(3), pages 243-269, Fall.
    13. Patrick Francois & Huw Lloyd-Ellis, 2003. "Animal Spirits Through Creative Destruction," American Economic Review, American Economic Association, vol. 93(3), pages 530-550, June.
    14. Pablo Mejía-Reyes & Reyna Vergara-González, 2015. "Are more severe recessions followed by stronger recoveries? Evidence from the Mexican states employment," ERSA conference papers ersa15p1223, European Regional Science Association.

  24. Nathan S. Balke & Kenneth M. Emery, 1994. "The federal funds rate as an indicator of monetary policy: evidence from the 1980s," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q I, pages 1-15.

    Cited by:

    1. Rossiter, R. D., 1995. "Monetary policy indicators after deregulation," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(2), pages 207-223.
    2. Fernando Barran & Virginie Coudert & Benoît Mojon, 1995. "Interest Rates, Banking Spreads and Credit Supply: The Real Effects," Working Papers 1995-01, CEPII research center.
    3. Bataa, Erdenebat & Wohar, Mark & Vivian, Andrew, 2015. "Changes in the relationship between short-term interest rate, inflation and growth: Evidence from the UK, 1820-2014," MPRA Paper 72422, University Library of Munich, Germany.
    4. J. Peter Ferderer & Stephen C. Vogt & Ravi Chahil, 1994. "Liquidity, Uncertainty, and the Declining Predictive Power of the Paper-bill Spread," Economics Working Paper Archive wp_119, Levy Economics Institute.
    5. Fernando Barran & Virginie Coudert & Benoît Mojon, 1995. "Transmission de la politique monétaire et crédit bancaire. Une application à trois pays de l'OCDE," Revue Économique, Programme National Persée, vol. 46(2), pages 393-413.
    6. Choi, Jae-Young & Ratti, Ronald A., 2000. "The Predictive Power of Alternative Indicators of Monetary Policy," Journal of Macroeconomics, Elsevier, vol. 22(4), pages 581-610, October.

  25. Balke, Nathan S & Fomby, Thomas B, 1994. "Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(2), pages 181-200, April-Jun.
    See citations under working paper version above.
  26. Balke, Nathan S. & Emery, Kenneth M., 1994. "The algebra of price stability," Journal of Macroeconomics, Elsevier, vol. 16(1), pages 77-97.
    See citations under working paper version above.
  27. Nathan S. Balke & Kenneth M. Emery, 1994. "Understanding the price puzzle," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q IV, pages 15-26.

    Cited by:

    1. Eugenio Gaiotti & Alessandro Secchi, 2004. "Is there a cost channel of monetary policy transmission? An investigation into the pricing behavior of 2,000 firms," Macroeconomics 0412010, University Library of Munich, Germany.
    2. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," NBER Working Papers 10220, National Bureau of Economic Research, Inc.
    3. Jamie Armour & Walter Engert & Ben Fung, 1996. "Overnight Rate Innovations as a measure of monetary Policy Shocks in Vector Autoregressions," Staff Working Papers 96-4, Bank of Canada.
    4. Chih-Ping Chang & Kenneth M. Emery, 1997. "Is there a stable relationship between capacity utilization and inflation?," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q I, pages 14-20.
    5. Tsionas, Mike G. & Izzeldin, Marwan & Trapani, Lorenzo, 2022. "Estimation of large dimensional time varying VARs using copulas," European Economic Review, Elsevier, vol. 141(C).
    6. Hanson, Michael S., 2004. "The "price puzzle" reconsidered," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1385-1413, October.
    7. Mohsin S. Khan & Axel Schimmelpfennig, 2006. "Inflation in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 45(2), pages 185-202.
    8. Chen, Zhengyang & Valcarcel, Victor J., 2021. "Monetary transmission in money markets: The not-so-elusive missing piece of the puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
    9. Cucciniello, Maria Chiara & Deleidi, Matteo & Levrero, Enrico Sergio, 2022. "The cost channel of monetary policy: The case of the United States in the period 1959–2018," Structural Change and Economic Dynamics, Elsevier, vol. 61(C), pages 409-433.
    10. Goyal, Ashima & Parab, Prashant, 2021. "What influences aggregate inflation expectations of households in India?," Journal of Asian Economics, Elsevier, vol. 72(C).
    11. Buch Claudia M. & Pierdzioch Christian & Doepke Joerg, 2004. "Business Cycle Volatility in Germany," German Economic Review, De Gruyter, vol. 5(4), pages 451-479, December.
    12. Navoda Edirisinghe & Selliah Sivarajasingham & John Nigel, 2015. "An Empirical Study of the Fisher Effect and the Dynamic Relationship between Inflation and Interest Rate in Sri Lanka," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 5(1), pages 47-62, January.
    13. Lee, King Fuei, 2007. "An Empirical Study of the Fisher Effect and the Dynamic Relation Between Nominal Interest Rate and Inflation in Singapore," MPRA Paper 12383, University Library of Munich, Germany.
    14. Navoda Edirisinghe & Selliah Sivarajasingham & John Nigel, 2015. "An Empirical Study of the Fisher Effect and the Dynamic Relationship between Inflation and Interest Rate in Sri Lanka," International Journal of Business and Social Research, LAR Center Press, vol. 5(1), pages 47-62, January.
    15. Chauvet, Marcelle & Tierney, Heather L. R., 2007. "Real Time Changes in Monetary Policy," MPRA Paper 16199, University Library of Munich, Germany, revised Apr 2009.
    16. Glenn D. Rudebusch, 1995. "What are the lags in monetary policy?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue feb3.
    17. Choi, Jae-Young & Ratti, Ronald A., 2000. "The Predictive Power of Alternative Indicators of Monetary Policy," Journal of Macroeconomics, Elsevier, vol. 22(4), pages 581-610, October.

  28. Balke, Nathan S, 1993. "Detecting Level Shifts in Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 81-92, January.

    Cited by:

    1. F. Javier Trivez & Beatriz Catalan, 2009. "Detecting level shifts in ARMA-GARCH (1,1) Models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(6), pages 679-697.
    2. Mira, José & Sánchez, María Jesús, 2004. "Prediction of deterministic functions: an application of a Gaussian kriging model to a time series outlier problem," Computational Statistics & Data Analysis, Elsevier, vol. 44(3), pages 477-491, January.
    3. Salvatore Fasola & Vito M. R. Muggeo & Helmut Küchenhoff, 2018. "A heuristic, iterative algorithm for change-point detection in abrupt change models," Computational Statistics, Springer, vol. 33(2), pages 997-1015, June.
    4. Carlomagno, Guillermo, 2014. "The pairwise approach to model a large set of disaggregates with common trends," DES - Working Papers. Statistics and Econometrics. WS ws141309, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Franses, Philip Hans & Lucas, André, 1997. "Outlier robust cointegration analysis," Serie Research Memoranda 0045, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    6. Carnero, María Ángeles, 2003. "Detecting level shifts in the presence of conditional heteroscedasticity," DES - Working Papers. Statistics and Econometrics. WS ws036313, Universidad Carlos III de Madrid. Departamento de Estadística.
    7. Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Other publications TiSEM 8fe36759-6517-4c66-86fa-e, Tilburg University, School of Economics and Management.
    8. Olsen, Lena Ringstad & Chaudhuri, Probal & Godtliebsen, Fred, 2008. "Multiscale spectral analysis for detecting short and long range change points in time series," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3310-3330, March.
    9. Amélie Charles & Olivier Darné, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Post-Print hal-00956937, HAL.
    10. Venkata Jandhyala & Stergios Fotopoulos & Ian MacNeill & Pengyu Liu, 2013. "Inference for single and multiple change-points in time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 423-446, July.
    11. Olivier Darné & Amélie Charles, 2011. "Large shocks in U.S. macroeconomic time series: 1860-1988," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 5(1), pages 79-100, January.
    12. Beatriz Catalan & F. Javier Trivez, 2007. "Forecasting volatility in GARCH models with additive outliers," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 591-596.
    13. Roger A. Fujihara & Mbodja Mougoue, 2007. "Testing for infrequent permanent shocks: is the US inflation rate stationary?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(12), pages 951-960.
    14. Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    15. A. C. Harvey & Siem Jan Koopman, 2000. "Computing Observation Weights for Signal Extraction and Filtering," Econometric Society World Congress 2000 Contributed Papers 0888, Econometric Society.
    16. George Kapetanios, 2004. "The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks," Working Papers 524, Queen Mary University of London, School of Economics and Finance.
    17. Galeano, Pedro & Tsay, Ruey S., 2004. "Outlier detection in multivariate time series via projection pursuit," DES - Working Papers. Statistics and Econometrics. WS ws044211, Universidad Carlos III de Madrid. Departamento de Estadística.
    18. Berlin Wu & Liyang Chen, 2006. "Use of Partial Cumulative Sum to Detect Trends and Change Periods for Nonlinear Time Series," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 2(2), pages 123-145, July.
    19. Kapetanios, G. & Tzavalis, E., 2010. "Modeling structural breaks in economic relationships using large shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 417-436, March.
    20. Marco BIANCHI, "undated". "A simple and fast method of regime shifts detection based on kernel density estimation," Statistic und Oekonometrie 9316, Humboldt Universitaet Berlin.
    21. Atkinson, A. C. & Koopman, S. J. & Shephard, N., 1997. "Detecting shocks: Outliers and breaks in time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 387-422, October.
    22. Jussi Tolvi, 2001. "Outliers in eleven Finnish macroeconomic time series," Finnish Economic Papers, Finnish Economic Association, vol. 14(1), pages 14-32, Spring.
    23. Jaehee Kim & Chulwoo Jeong, 2016. "A Bayesian multiple structural change regression model with autocorrelated errors," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(9), pages 1690-1705, July.
    24. Zeileis, Achim & Kleiber, Christian & Krämer, Walter & Hornik, Kurt, 2002. "Testing and dating of structural changes in practice," Technical Reports 2002,39, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    25. José Antonio Camuñez Ruiz & Germán Ramos Campos, 2024. "Analysis of temporal evolution of tourist visits to the region of Morón de la Frontera (Spain). Two possible explanatory variables of this evolution," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 34(2), pages 17-31.
    26. Victor Guerrero, 2005. "Restricted estimation of an adjusted time series: application to Mexico's industrial production index," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(2), pages 157-177.
    27. Junttila, Juha, 2001. "Structural breaks, ARIMA model and Finnish inflation forecasts," International Journal of Forecasting, Elsevier, vol. 17(2), pages 203-230.
    28. Yoonsuk Lee & B. Wade Brorsen, 2017. "Permanent shocks and forecasting with moving averages," Applied Economics, Taylor & Francis Journals, vol. 49(12), pages 1213-1225, March.
    29. James W. Taylor, 2004. "Smooth transition exponential smoothing," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 385-404.
    30. Manuel Salvador & Pilar Gargallo, 2003. "Automatic selective intervention in dynamic linear models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(10), pages 1161-1184.
    31. Darné, Olivier, 2009. "The uncertain unit root in real GNP: A re-examination," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 153-166, March.

  29. Nathan S. Balke & Mark A. Wynne, 1993. "Recessions and recoveries," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Jan, pages 1-17.

    Cited by:

    1. Michael D. Bordo & Joseph G. Haubrich, 2012. "Deep recessions, fast recoveries, and financial crises: evidence from the American record," Working Papers (Old Series) 1214, Federal Reserve Bank of Cleveland.
    2. Patrick Francois & Huw Lloyd-Ellis, 2001. "Animal Spirits meets Creative Destruction," Cahiers de recherche CREFE / CREFE Working Papers 130, CREFE, Université du Québec à Montréal.
    3. Evan F. Koenig, 1996. "Capacity utilization as a real-time predictor of manufacturing output," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q III, pages 16-23.
    4. Patrick Francois & Huw Lloyd-Ellis, 2003. "Animal Spirits Through Creative Destruction," American Economic Review, American Economic Association, vol. 93(3), pages 530-550, June.
    5. Hong, Kiseok & Tang, Hsiao Chink, 2012. "Crises in Asia: Recovery and policy responses," Journal of Asian Economics, Elsevier, vol. 23(6), pages 654-668.
    6. Gregory W. Huffman, 1994. "A primer on the nature of business cycles," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q I, pages 27-41.

  30. Balke, Nathan S & Slottje, Daniel J, 1993. "Poverty and Change in the Macroeconomy: A Dynamic Macroeconometric Model," The Review of Economics and Statistics, MIT Press, vol. 75(1), pages 117-122, February.

    Cited by:

    1. Sharpe, Andrew & Zyblock, Myles, 1997. "Macroeconomic performance and income distribution in Canada," The North American Journal of Economics and Finance, Elsevier, vol. 8(2), pages 167-199.
    2. Dierk HERZER & Rainer KLUMP, 2009. "Poverty, Government Transfers, And The Business Cycle: Evidence For The United States," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(2).
    3. Ha,Jongrim & Ivanova,Anna & Ohnsorge,Franziska Lieselotte & Unsal Portillo Ocando,Derya Filiz, 2019. "Inflation : Concepts, Evolution, and Correlates," Policy Research Working Paper Series 8738, The World Bank.
    4. Dierk Herzer & Rainer Klump, 2010. "Poverty and government transfers in the United States," Applied Economics Letters, Taylor & Francis Journals, vol. 17(16), pages 1565-1569.
    5. Vijverberg, Chu-Ping C., 1996. "Macroeconomic conditions, class mobility, and inequality," Journal of Macroeconomics, Elsevier, vol. 18(2), pages 315-340.
    6. Ryu, Hang K. & Slottje, Daniel J., 2017. "Maximum entropy estimation of income distributions from Basmann’s weighted geometric mean measure," Journal of Econometrics, Elsevier, vol. 199(2), pages 221-231.
    7. David Brady, 2003. "The Poverty of Liberal Economics," LIS Working papers 343, LIS Cross-National Data Center in Luxembourg.
    8. Hang Keun Ryu & Daniel J. Slottje, 2020. "Does Political Dominance Impact Economic Inequality?," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(1), pages 121-149, March.
    9. Sara Mota Cardoso & Aurora A. C. Teixeira, 2020. "The Focus on Poverty in the Most Influential Journals in Economics: A Bibliometric Analysis of the “Blue Ribbon” Journals," Poverty & Public Policy, John Wiley & Sons, vol. 12(1), pages 10-42, March.

  31. Balke, Nathan S & Haslag, Joseph H, 1992. "A Theory of Fed Watching in a Macroeconomic Policy Game," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(3), pages 619-628, August.

    Cited by:

    1. Joseph H. Haslag, 2000. "On Fed watching and central bank transparency in an overlapping generations model," Working Papers 0002, Federal Reserve Bank of Dallas.
    2. Celso Brunetti, Bahattin Buyuksahin, Michel A. Robe, and Kirsten R. Soneson, 2013. "OPEC "Fair Price" Pronouncements and the Market Price of Crude Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
    3. Taylor, Mark & Sarno, Lucio, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?," CEPR Discussion Papers 2690, C.E.P.R. Discussion Papers.
    4. Hughes Hallett, Andrew & Demertzis, Maria, 2003. "Three Models of Imperfect Transparency in Monetary Policy," CEPR Discussion Papers 4117, C.E.P.R. Discussion Papers.
    5. Andrew Hughes Hallett & Nicola Viegi, 2003. "Imperfect transparency and the strategic use of information: an ever present temptation for central bankers?," Manchester School, University of Manchester, vol. 71(5), pages 498-520, September.
    6. Gai, Prasanna & Lou, Edmund & Wu, Sherry X., 2020. "Targeted disclosure and monetary policy flexibility: A simple model," Economics Letters, Elsevier, vol. 194(C).

  32. Wynne, Mark A. & Balke, Nathan S., 1992. "Are deep recessions followed by strong recoveries?," Economics Letters, Elsevier, vol. 39(2), pages 183-189, June.
    See citations under working paper version above.
  33. Balke, Nathan S. & Fomby, Thomas B., 1991. "Shifting trends, segmented trends, and infrequent permanent shocks," Journal of Monetary Economics, Elsevier, vol. 28(1), pages 61-85, August.

    Cited by:

    1. Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
    2. Ashworth, John & Evans, Lynne & Teriba, Ayo, 1999. "Structural breaks in parallel markets?: the case of Nigeria, 1980-1993," Journal of Development Economics, Elsevier, vol. 58(1), pages 255-264, February.
    3. Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2008. "Are output growth-rate distributions fat-tailed? some evidence from OECD countries," Post-Print hal-03417062, HAL.
    4. Olivier Darne & Laetitia Ripoll-Bresson, 2004. "Exchange rate regime classification and real performances: new empirical evidence," Money Macro and Finance (MMF) Research Group Conference 2003 21, Money Macro and Finance Research Group.
    5. Mills, Terence C, 1994. "Infrequent Permanent Shocks and the Unit Root in Quarterly UK Output," Bulletin of Economic Research, Wiley Blackwell, vol. 46(1), pages 91-94, January.
    6. Hosseinkouchack, Mehdi & Wolters, Maik H., 2012. "Do large recessions reduce output permanently?," Economics Working Papers 2012-16, Christian-Albrechts-University of Kiel, Department of Economics.
    7. Olivier Darné & Amélie Charles, 2012. "A note of the uncertain trend in US real GNP: Evidence from robust unit root tests," Post-Print hal-00956936, HAL.
    8. Haslag, Joseph H. & Hein, Scott E., 1995. "Does it matter how monetary policy is implemented?," Journal of Monetary Economics, Elsevier, vol. 35(2), pages 359-386, April.
    9. Olivier Darné & Amélie Charles, 2008. "The impact of outliers on transitory and permanent components in macroeconomic time series," Economics Bulletin, AccessEcon, vol. 3(60), pages 1-9.
    10. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
    11. Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 0074, Department of Economics at the University of Washington.
    12. Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," Working Papers hal-04141344, HAL.
    13. Tolga Omay & Rangan Gupta & Giovanni Bonaccolto, 2015. "The US Real GNP is Trend-Stationary After All," Working Papers 201581, University of Pretoria, Department of Economics.
    14. Mohitosh Kejriwal & Claude Lopez, 2013. "Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 892-927, November.
    15. Pedersen, Torben Mark & Elmer, Anne Marie, 2003. "International evidence on the connection between business cycles and economic growth," Journal of Macroeconomics, Elsevier, vol. 25(2), pages 255-275, June.
    16. Cribari-Neto, Francisco, 1993. "Unit roots, random walks and the sources of business cycles: a survey," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 47(3), July.
    17. Fatih Ozatay, 1992. "The Role of Public Sector Prices in Price Dynamics in Turkey and the Lucas Critique," Discussion Papers 9208, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    18. Amélie Charles & Olivier Darné, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Post-Print hal-00956937, HAL.
    19. Abdul Rahman & Samir Saadi, 2008. "Random walk and breaking trend in financial series: An econometric critique of unit root tests," Review of Financial Economics, John Wiley & Sons, vol. 17(3), pages 204-212, August.
    20. Olivier Darné & Amélie Charles, 2011. "Large shocks in U.S. macroeconomic time series: 1860-1988," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 5(1), pages 79-100, January.
    21. Roger A. Fujihara & Mbodja Mougoue, 2007. "Testing for infrequent permanent shocks: is the US inflation rate stationary?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(12), pages 951-960.
    22. Yanlin Shi & Yang Yang, 2018. "Modeling High Frequency Data with Long Memory and Structural Change: A-HYEGARCH Model," Risks, MDPI, vol. 6(2), pages 1-28, March.
    23. Darne, Olivier & Diebolt, Claude, 2004. "Unit roots and infrequent large shocks: new international evidence on output," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1449-1465, October.
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    1. James M. Nason & Ellis W. Tallman, 2012. "Business cycles and financial crises: the roles of credit supply and demand shocks," Working Papers 12-24, Federal Reserve Bank of Philadelphia.
    2. J. Peter Ferderer, 1999. "Credibility of the Interwar Gold Standard, Uncertainty, and the Great Depression," Macroeconomics 9907002, University Library of Munich, Germany.
    3. Ritschl, Albrecht & Sarferaz, Samad & Uebele, Martin, 2008. "The U.S. business cycle, 1867-1995: Dynamic factor analysis vs. reconstructed national accounts," SFB 649 Discussion Papers 2008-066, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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    5. Michael D. Bordo & Joseph G. Haubrich, 2012. "Deep recessions, fast recoveries, and financial crises: evidence from the American record," Working Papers (Old Series) 1214, Federal Reserve Bank of Cleveland.
    6. Jordan Roulleau-Pasdeloup & Anastasia Zhutova, 2015. "Labor Market Policies and the "Missing Deflation" Puzzle: Lessons from Hoover Policies during the U.S Great Depression," Cahiers de Recherches Economiques du Département d'économie 15.05, Université de Lausanne, Faculté des HEC, Département d’économie.
    7. Wynne, Mark A. & Balke, Nathan S., 1992. "Are deep recessions followed by strong recoveries?," Economics Letters, Elsevier, vol. 39(2), pages 183-189, June.
    8. Richard G. Anderson & Michael Bordo & John V. Duca, 2016. "Money and Velocity During Financial Crises: From the Great Depression to the Great Recession," Economics Working Papers 16111, Hoover Institution, Stanford University.
    9. Rousseau, Peter L., 1998. "The permanent effects of innovation on financial depth:: Theory and US historical evidence from unobservable components models," Journal of Monetary Economics, Elsevier, vol. 42(2), pages 387-425, July.
    10. Lown, Cara S. & Wood, John H., 2003. "The determination of commercial bank reserve requirements," Review of Financial Economics, Elsevier, vol. 12(1), pages 83-98.
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    12. Michael R. Pakko, 1997. "The cyclical relationship between output and prices: an analysis in the frequency domain," Working Papers 1997-007, Federal Reserve Bank of St. Louis.
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    17. Michael D. Bordo & Anna J. Schwartz, 1997. "Monetary Policy Regimes and Economic Performance: The Historical Record," NBER Working Papers 6201, National Bureau of Economic Research, Inc.
    18. Baumeister, Christiane & Benati, Luca, 2010. "Unconventional monetary policy and the great recession - Estimating the impact of a compression in the yield spread at the zero lower bound," Working Paper Series 1258, European Central Bank.
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    22. Sophie Altermatt, 2018. "The Long-Run Demand for M2 Reconsidered," Diskussionsschriften dp1824, Universitaet Bern, Departement Volkswirtschaft.
    23. Ray Fair, 2007. "Presidential and Congressional Vote-Share Equations," Yale School of Management Working Papers amz2389, Yale School of Management, revised 18 Mar 2007.
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    25. James Peery Cover & C. James Hueng, 2006. "Why Did the Sign of the Price-Output Correlation Change? Evidence from a Structural VAR with GARCH Errors," Working Papers 200602, Ball State University, Department of Economics, revised Mar 2006.
    26. Joseph H. Haslag & Scott E. Hein, 1993. "Constructing an alternative measure of changes in reserve requirement ratios," Working Papers 9306, Federal Reserve Bank of Dallas.
    27. Michael D. Bordo & Joseph G. Haubrich, 2009. "Credit crises, money, and contractions: A historical view," Working Papers (Old Series) 0908, Federal Reserve Bank of Cleveland.
    28. Farmer, Roger E. A. & Jang-Ting, Guo, 1995. "The econometrics of indeterminacy: an applied study," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 43(1), pages 225-271, December.
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    31. Crowley, Patrick M., 2010. "Long cycles in growth: explorations using new frequency domain techniques with US data," Bank of Finland Research Discussion Papers 6/2010, Bank of Finland.
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    33. Stephen D. Williamson, 1989. "Restrictions on financial intermediaries and implications for aggregate fluctuations: Canada and the United States, 1870-1913," Staff Report 119, Federal Reserve Bank of Minneapolis.
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    35. Boyan Jovanovic & Peter L. Rousseau, 2002. "Moore's Law and Learning-By-Doing," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 5(2), pages 346-375, April.
    36. Margaret M. Jacobson & Eric M. Leeper & Bruce Preston, 2023. "Recovery of 1933," Finance and Economics Discussion Series 2023-032, Board of Governors of the Federal Reserve System (U.S.).
    37. Ritschl, Albrecht & Uebele, Martin & Sarferaz, Samad, 2008. "The U.S. Business Cycle, 1867-1995: A Dynamic Factor Approach," CEPR Discussion Papers 7069, C.E.P.R. Discussion Papers.
    38. James C. MacGee & Pedro S. Amaral, 2010. "A Multi-sectoral Approach to the U.S. Great Depression," 2010 Meeting Papers 1242, Society for Economic Dynamics.
    39. Benati, Luca, 2009. "Long run evidence on money growth and inflation," Working Paper Series 1027, European Central Bank.
    40. Eugene N. White, 2009. "Lessons from the Great American Real Estate Boom and Bust of the 1920s," NBER Working Papers 15573, National Bureau of Economic Research, Inc.
    41. Benati, Luca, 2008. "Investigating inflation persistence across monetary regimes," Working Paper Series 851, European Central Bank.
    42. McCallum, Bennett T., 1990. "Could a monetary base rule have prevented the great depression?," Journal of Monetary Economics, Elsevier, vol. 26(1), pages 3-26, August.
    43. Michael D. Bordo & David C. Wheelock, 2004. "Monetary Policy and Asset Prices: A Look Back at Past U.S. Stock Market Booms," NBER Working Papers 10704, National Bureau of Economic Research, Inc.
    44. Martin Kliem & Alexander Kriwoluzky & Samad Sarferaz, 2016. "On the Low‐Frequency Relationship Between Public Deficits and Inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(3), pages 566-583, April.
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    46. Joshua R. Hendrickson, 2017. "An Evaluation of Friedman's Monetary Instability Hypothesis," Southern Economic Journal, John Wiley & Sons, vol. 83(3), pages 744-755, January.
    47. Michael D. Bordo & Arunima Sinha, 2016. "A Lesson from the Great Depression that the Fed Might Have Learned: A Comparison of the 1932 Open Market Purchases with Quantitative Easing," Economics Working Papers 16113, Hoover Institution, Stanford University.
    48. Benati, Luca & Goodhart, Charles, 2007. "Investigating time-variation in the marginal predictive power of the yield spread," Working Paper Series 802, European Central Bank.
    49. Edward S. Knotek, 2005. "Convenient prices, currency, and nominal rigidity : theory with evidence from newspaper prices," Research Working Paper RWP 05-11, Federal Reserve Bank of Kansas City.
    50. Albers, Thilo Nils Hendrik, 2018. "The prelude and global impact of the Great Depression: Evidence from a new macroeconomic dataset," Explorations in Economic History, Elsevier, vol. 70(C), pages 150-163.
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    53. Alfred A. Haug & Julie Tam, 2001. "A Closer Look at Long Run Money Demand," Working Papers 2002_09, York University, Department of Economics, revised Sep 2002.
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    55. Boyan Jovanovic & Peter L. Rousseau, 2001. "Mergers and Technological Change: 1885-1998," Vanderbilt University Department of Economics Working Papers 0116, Vanderbilt University Department of Economics.
    56. Kliem, Martin & Kriwoluzky, Alexander & Sarferaz, Samad, 2015. "Monetary-fiscal policy interaction and fiscal inflation: A tale of three countries," Discussion Papers 42/2015, Deutsche Bundesbank.
    57. Nelson, E., 1998. "Sluggish inflation and optimizing models of the business cycle," Journal of Monetary Economics, Elsevier, vol. 42(2), pages 303-322, July.
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    59. Ravn, Morten O. & Sola, Martin, 1995. "Stylized facts and regime changes: Are prices procyclical?," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 497-526, December.
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    63. Ray C. Fair, 1994. "The Effect of Economic Events on Votes for President: 1992 Update," Cowles Foundation Discussion Papers 1084, Cowles Foundation for Research in Economics, Yale University.
    64. Stockman, David R., 2007. "Sunspots in a cash-in-advance model: A quantitative assessment," Journal of Macroeconomics, Elsevier, vol. 29(1), pages 123-144, March.
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    69. Kim Abildgren, 2016. "A century of macro-financial linkages," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 8(4), pages 458-471, November.
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    72. Benati, Luca, 2010. "Evolving Phillips trade-off," Working Paper Series 1176, European Central Bank.
    73. Luca Benati, 2017. "Cointegration Tests and the Classical Dichotomy," Diskussionsschriften dp1704, Universitaet Bern, Departement Volkswirtschaft.
    74. Cara S. Lown & John H. Wood, 2003. "The determination of commercial bank reserve requirements," Review of Financial Economics, John Wiley & Sons, vol. 12(1), pages 83-98.
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    77. Christiane Baumeister & Luca Benati, 2013. "Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, vol. 9(2), pages 165-212, June.
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