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Bootstrapping Multivariate Spectra

Citations

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Cited by:

  1. Luca Benati, 2008. "The "Great Moderation" in the United Kingdom," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(1), pages 121-147, February.
  2. Yuliya Lovcha & Alejandro Perez-Laborda & Luis Gil-Alana, 2018. "On the invertibility of seasonally adjusted series," Computational Statistics, Springer, vol. 33(1), pages 443-465, March.
  3. Schüler, Yves Stephan & Hiebert, Paul P. & Peltonen, Tuomas A., 2015. "Characterising the financial cycle: A multivariate and time-varying approach," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112985, Verein für Socialpolitik / German Economic Association.
  4. C. Glocker & G. Sestieri & P. Towbin, 2017. "Time-varying fiscal spending multipliers in the UK," Working papers 643, Banque de France.
  5. Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1998. "Dynamic Equilibrium Economies: A Framework for Comparing Models and Data," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 433-451.
  6. Luca Benati, 2003. "Evolving Post-World War II U.K. Economic Performance," Computing in Economics and Finance 2003 171, Society for Computational Economics.
  7. Schüler, Yves S. & Peltonen, Tuomas A. & Hiebert, Paul, 2017. "Coherent financial cycles for G-7 countries: Why extending credit can be an asset," ESRB Working Paper Series 43, European Systemic Risk Board.
  8. Jeremy Berkowitz & Lutz Kilian, 2000. "Recent developments in bootstrapping time series," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 1-48.
  9. Gonzalo Camba-Mendez & George Kapetanios, 2005. "Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling," Working Papers 541, Queen Mary University of London, School of Economics and Finance.
  10. Luboš Hanus & Lukáš Vácha, 2020. "Growth cycle synchronization of the Visegrad Four and the European Union," Empirical Economics, Springer, vol. 58(4), pages 1779-1795, April.
  11. 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.
  12. Yuliya Lovcha & Alejandro Perez-Laborda, 2017. "Structural shocks and dynamic elasticities in a long memory model of the US gasoline retail market," Empirical Economics, Springer, vol. 53(2), pages 405-422, September.
  13. Adam Cagliarini & Fiona Price, 2017. "Exploring the Link between the Macroeconomic and Financial Cycles," RBA Annual Conference Volume (Discontinued), in: Jonathan Hambur & John Simon (ed.),Monetary Policy and Financial Stability in a World of Low Interest Rates, Reserve Bank of Australia.
  14. Lovcha, Yuliya & Pérez Laborda, Alejandro, 2016. "Frequency-Domain Estimation as an Alternative to Pre-Filtering External Cycles in Structural VAR Analysis," Working Papers 2072/290743, Universitat Rovira i Virgili, Department of Economics.
  15. Luca Benati & Peter N. Ireland, 2017. "Money-Multiplier Shocks," Boston College Working Papers in Economics 933, Boston College Department of Economics.
  16. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Money growth, output gaps and inflation at low and high frequency: Spectral estimates for Switzerland," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 411-435, February.
  17. Benati, Luca, 2011. "Would the Bundesbank have prevented the Great Inflation in the United States?," Journal of Economic Dynamics and Control, Elsevier, vol. 35(7), pages 1106-1125, July.
  18. Benati, Luca & Mumtaz, Haroon, 2007. "U.S. evolving macroeconomic dynamics: a structural investigation," Working Paper Series 746, European Central Bank.
  19. 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.
  20. Schüler, Yves S. & Hiebert, Paul P. & Peltonen, Tuomas A., 2020. "Financial cycles: Characterisation and real-time measurement," Journal of International Money and Finance, Elsevier, vol. 100(C).
  21. Liu, Yixuan & Kirch, Claudia & Lee, Jeong Eun & Meyer, Renate, 2024. "A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series," Computational Statistics & Data Analysis, Elsevier, vol. 199(C).
  22. Benati, Luca, 2009. "Long run evidence on money growth and inflation," Working Paper Series 1027, European Central Bank.
  23. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2015. "The Hours Worked–Productivity Puzzle: Identification In A Fractional Integration Setting," Macroeconomic Dynamics, Cambridge University Press, vol. 19(7), pages 1593-1621, October.
  24. Hangyong Lee and Jin Lee, 2019. "Inflation Co-Movement in the ASEAN Countries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 44(4), pages 135-152, December.
  25. Qihui Chen & Zheng Fang, 2018. "Improved Inference on the Rank of a Matrix," Papers 1812.02337, arXiv.org, revised Mar 2019.
  26. Benati, Luca & Goodhart, Charles, 2008. "Investigating time-variation in the marginal predictive power of the yield spread," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1236-1272, April.
  27. Luca Benati, 2018. "Money and Credit: A Long-Term View," Diskussionsschriften dp1811, Universitaet Bern, Departement Volkswirtschaft.
  28. Bollerslev, Tim & Wright, Jonathan H., 2000. "Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data," Journal of Econometrics, Elsevier, vol. 98(1), pages 81-106, September.
  29. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2018. "Monetary policy shocks, inflation persistence, and long memory," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 117-127.
  30. Shirin Nezampour & Alireza Nematollahi & Robert T. Krafty & Mehdi Maadooliat, 2024. "A new approach to nonparametric estimation of multivariate spectral density function using basis expansion," Computational Statistics, Springer, vol. 39(7), pages 3625-3641, December.
  31. Wright, Jonathan H., 1999. "Frequency domain inference for univariate impulse responses," Economics Letters, Elsevier, vol. 63(3), pages 269-277, June.
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