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Refining the workhorse oil market model (replication data)
The Kilian and Murphy (Journal of Applied Econometrics, 2014, 29, 454-478) structural vector autoregressive model has become the workhorse model for the analysis of oil markets.... -
Modeling the conditional distribution of financial returns with asymmetric ta...
This paper proposes a conditional density model that allows for differing left/right tail indices and time-varying volatility based on the dynamic conditional score (DCS)... -
The next hundred years of growth and convergence (replication data)
World gross domestic product per capita is forecast to grow at 2.6% annually over the next 100 years. Convergence of less-developed countries toward output levels of the world... -
Estimating and accounting for the output gap with large Bayesian vector autor...
We consider how to estimate the trend and cycle of a time series, such as real gross domestic product, given a large information set. Our approach makes use of the... -
Interpreting shocks to the relative price of investment with a two‐sector mod...
Consumption and investment comove over the business cycle in response to shocks that permanently move the price of investment. The interpretation of these shocks has relied on... -
Analyzing credit risk transmission to the nonfinancial sector in Europe: A ne...
We use a factor model and elastic net shrinkage to model a high-dimensional network of European credit default swap (CDS) spreads. Our empirical approach allows us to assess the... -
Two are better than one: Volatility forecasting using multiplicative componen...
We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of generalized autoregressive conditional... -
Introducing the Bank of Canada staff economic projections database (replicati...
We present a new, publicly available database of real-time data and forecasts from the Bank of Canada's staff economic projections, which will be updated on an annual basis. We... -
Shadow Banks and the Risk-Taking Channel of Monetary Policy Transmission in t...
We provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through an increase in shadow banks' total asset growth and their risk... -
Lifetime Cost of Living and Effective Prices: Theory and Evidence for Germany...
The files include two datasets and a readme-file -
Determining the Number of Factors in Static Approximate Factor Models Using D...
This paper is concerned with the applications of discrete Fourier transforms in identification of the number of common factors of static approximate factor models. We report and... -
(Since When) Are East and West German Business Cycles Synchronised? - replica...
We analyze whether, and since when, East and West German business cycles are synchronised. We investigate real GDP, unemployment rates and survey data as business cycle... -
Ein neuer langer Verbraucherpreisindex für Österreich, 1800–2018 (replication...
Indices of the development of consumer prices in Vienna or Austria date back to the year 1800. The corresponding article presents the first systematically documented and chained... -
Unemployment Compensation and Wages: A Difference-in-Differences Approach to ...
This paper examines the influence of the level of unemployment assistance (Arbeitslosengeld II) on the wage level by exploiting a quasi-natural experiment formed by the German... -
Does the Deregulation of Ocupational Licensing affect vocational Training in ...
The European Commission actively evaluates occupational entry restrictions in all member states. This has attracted a growing interest among scholars of the German crafts sector... -
Job Mobility and Sorting: Theory and Evidence (replication data)
Motivated by the canonical (random) on-the-job search model, I measure a person’s ability to sort into higher ranked jobs by the risk ratio of job-to-job transitions to... -
Staff Rotation as an Anti-Corruption Policy in China and in Germany: An Exper...
We conducted bribery experiments in China and in Germany to analyze the effect of staff rotation on corruption. After being bribed, Chinese and German subjects in the role of...
