Included here are two appendices. Appendix A has information on model priors, selected material on the data, and some details on computation. Appendix B contains an extended treatment of alternative measures of stress, and alternative measures of real activity, including how these measures compare to the base case model in terms of picking up the same state probabilities and, in some cases, qua...

In this paper we propose a new set of multivariate stochastic models that capture time varying seasonality within the vector innovations structural time series (VISTS) framework. These models encapsulate exponential smoothing methods in a multivariate setting. The models considered are the local level, local trend and damped trend VISTS models with an additive multivariate seasonal component. W...

This paper proposes a reduced rank regression framework for constructing coincident and leading indexes. Based on a formal definition that requires that the first differences of the leading index are the best linear predictor of the first differences of the coincident index, it is shown that the notion of polynomial serial correlation common features can be used to build these composite variabl...

This paper uses Granger non–causality tests to analyze if channel competition exists between the companion websites of 93 German newspapers observed between I/1998 and II/2005. It provides econometric evidence for significant negative effects of companion website traffic on the print circulation of national newspapers and for significantly positive effects on local newspapers, at least for the ...

The standard approaches to estimating minimum variance hedge ratios (MVHRs) are mis-specified when futures prices are subject to price limits. This paper proposes a bivariate tobit-FIGARCH model with maturity effects to estimate dynamic MVHRs using single and multiple period approaches. Simulations and an application to a commodity futures hedge support the proposed approach and highlight the i...

Article history: Received 9 May 2012 Received in revised form 8 August 2013 Accepted 8 August 2013 Available online 27 August 2013 The paper examines the Canada–US real exchange rate since the early 1970s to test two popular explanations of the long-run real exchange rate based on the influence of sectoral productivities and commodity prices. The empirical analysis finds that both variables exe...

Nöldeke and Samuelson (1993) investigate a stochastic evolutionary model for extensive form games and show that even for games of perfect information with a unique subgame perfect equilibrium, non-subgame perfect equilibrium-strategies may well survive in the long run even when mutation rates tend to zero. In a different model of evolution in the agent normal form of these games Hart (2002) sho...

This paper provides a comprehensive analysis of the interest rate pass-through euro area monetary policy to retail rates outside area, contributing literature on consequences unofficial financial euroisation and transmission channels spillovers. The results suggest that in long run, more than one third all euroised countries central, eastern south-eastern Europe (CESEE) are linked shadow rate. ...

This paper presents a new empirical strategy for estimating the effects of trade policy on domestic factor prices when policy endogeneity is suspected. Absent income effects on factor supplies or domestic prices, the coefficient on the terms of trade can provide an unbiased estimator of the effect of trade barriers on the factor distribution of income for a small economy. In the more general ca...

This paper provides an empirical comparison of various selection and penalized regression approaches for forecasting with vector autoregressive systems. In particular, we investigate the effect of the system size as well as the effect of various prior specification choices on the relative and overall forecasting performance of the methods. The data set is a typical macroeconomic quarterly data ...