This paper estimates a Structural Dynamic Factor Model on a panel of 102 US quarterly series. We model economic comovements by means of 5 underlying structural shocks (oil price, productivity, aggregate demand, monetary policy, and housing demand). The results of the benchmark model (impulse responses and variance decompositions) are in line with those predicted by economic theory and usually e...

abstract oil export revenues have a major share in both iranian government incomes and gross domestic product (gdp). with regard to the importance of agricultural sector in economic growth, rural development and rural welfare improvement, this sector indubitably influenced by temporary and unexpected shocks in oil export. therefore we employed feder(1982) and auto-regressive distributed lag (ar...

Article history: This paper explores whether the relevance of a conditional multifacReceived 12 July 2012 tor model and autocorrelation in predicting the Russian aggregate Received in revised form 2 October 2012 stock return fluctuates over time. The source of return predictability is Accepted 16 December 2012 shown to vary considerably with information flow. In general, Available online 22 Dec...

the main purpose of this paper is to examine the convergence of price-levels of tradable goods in comparison to that of services (non-tradable) under the free trade among iranian provinces over 2007- 2012. this comparison has been achieved by applying the pair-wise approach which has been recently developed by pesaran (2005). in this approach, the time series models (adf, df-gls and kpss unit r...

selecting a set of features and price for new product is one of the most important and difficult decisions for any firm. for its implementation firms require information by demand of consumers about product features,the cost of providing these features and reaction of existing competitors to new product entry. in this research, with the help of game theory, the various positions of new product ...

a r t i c l e i n f o JEL classifications: C51 N70 Keywords: Crude oil price volatility GARCH Covariates Modified dummy variables OPEC announcements WTI crude oil Several times a year, OPEC hosts conferences among its members to agree on further oil production policies. Prior to OPEC conferences, there is usually rampant speculation about which decision concerning world oil production levels (n...

We study the dispersion of absolute price levels for US cities since 1918. By absolute price levels, we mean price indices that measure the cost of a given consumption basket at each point in time. We find strong evidence that city price levels converge over time and that the dispersion of price levels is lower for US cities than between OECD countries. We argue that price level convergence for...

The inconclusiveness of findings from various studies on Nigeria the effect crude oil price fluctuation stock market has led to an argument in literature, thus necessitating further exploration subject. This study examines variations selected performance variables using monthly frequency data covering January 1997 December 2016. Variance decomposition, impulse response analysis, and VAR estimat...

In the measurement of inequality, adjustments for differences across households in their demographic composition and in the price regimes they face are usually very simple. Often, nominal expenditure (or income) is adjusted with an expenditure-independent price deflator and a price-independent equivalence scale. I show that using more flexible expendituredependent price deflators and price-depe...