Financial institutions are ultimately exposed to macroeconomic fluctuations in the global
economy. This article proposes and builds a compact global model capable of generating …

We use a copula approach to investigate the effect of uncertainty on crude-oil returns. Using
copulas to construct multivariate distributions of time-series data permit the calculation of the …

This book provides a comprehensive description of the state-of-the-art in modelling global
and national economies. It introduces the long-run structural approach to modelling that can …

A new modelling strategy that provides a practical approach to incorporating long‐run
structural relationships, suggested by economic theory, in an otherwise unrestricted VAR …

In order to assess the importance of monetary and financial developments for key
macroeconomic variables in the euro area a money demand system for M3 is estimated …

Amid the recent commodity price gyrations, policy makers have become increasingly
concerned in assessing to what extent oil and food price shocks transmit to the inflationary …

Weargue that probability forecasts convey information on the uncertainties that surround
macroeconomic forecasts in a straightforward manner that is preferable to other alternatives …

Dynamic financial analysis (DFA) is a technique which uses Monte Carlo simulation to
investigate the evolution over time of financial models of funds, complex liabilities and entire …

内容提要: 货币与产出之间的非对称影响关系研究, 近年来在宏观经济学领域受到了广泛的关注.
本文运用平滑迁移向量误差修正(STVECM) 模型, 对1989—2007 年我国货币与产出之间是否 …

This paper investigates the potential for nonlinear Granger causality from money to output.
Using a standard four-variable linear (subset) vector error-correction model (VECM), we first …