Currently, evidence on the ‘resource curse’ yields a conundrum. While there is much crosssection evidence to support the curse hypothesis, time series analyses using vector autoregressive (VAR) models have found that commodity booms raise the growth of commodity exporters. This paper adopts panel cointegration methodology to explore longer term effects than permitted using VARs. We find strong ...

Traditionally, most literatures supposed that the interactions between heterogeneous individuals had relatively limited influence on explaining macroeconomic phenomena, hence simplified the whole economy into only representative agent, or even its multiple. For recent decades, notwithstanding the representative agent model has remarkably progressed in its theorem completeness and mathematics al...

In structural VARs, unexpected monetary tightening often leads to the price puzzle, a counterintuitive increase in inflation in the impulse response function. The identification of impulse responses requires at least a minimal set of structural assumptions, and models exhibiting the price puzzle typically use standard assumptions focusing mainly on relationships among contemporaneous disturbanc...

A researcher is interested in a set of variables that he wants to model with a vector autoregression and he has a dataset with more variables. Which variables from the dataset to include in the VAR, in addition to the variables of interest? This question arises in many applications of VARs, in prediction and impulse response analysis. We develop a Bayesian methodology to answer this question. W...

We examine the predictive value of tail risks oil returns for realized variance using monthly data modern industry (1859:10–2020:10). The Conditional Autoregressive Value at Risk (CAViaR) framework is employed to generate both 1% and 5% VaRs across four variants CAViaR framework. find evidence in-sample out-of-sample predictability emanating from risks. Given importance real-time oil-price vola...

Labor supply shocks can have substantial effects on the Beveridge Curve. Structural VARs with sign restrictions show that associated free movement of workers from Eastern Europe temporarily increased unemployment in Austria, a major destination country, by 25% and job vacancies 40%. The 2% increase total employment was accompanied temporary decline domestic workers. greatest impact is seen regi...

We propose a new algorithm for unit commitment that employs a Lagrange relaxation technique with a new augmentation of the Lagrangian. The new augmentation involves a duplication of variables that allows relaxation of the coupling between generator timespanning constraints and system-wide instantaneous constraints. This framework allows the possibility of committing units that are required for ...