Results 221 to 230 of about 283,485 (287)
What Explains International Interest Rate Co‐Movement?
Journal of Applied Econometrics, EarlyView.ABSTRACT The international co‐movement of interest rates reflects correlated business‐cycle fluctuations, largely driven by demand shocks. Monetary policy in advanced economies follows domestic mandates—inflation and the output gap—and does not respond to foreign policy shocks.
Annika Camehl, Gregor von Schweinitz
wiley +1 more source
Count Data Models With Heterogeneous Peer Effects Under Rational Expectations
Journal of Applied Econometrics, EarlyView.ABSTRACT This paper develops a peer effect model for count responses under rational expectations. The model accounts for heterogeneity in peer effects across groups based on observed characteristics. Identification is based on the linear model condition that requires the presence of friends of friends who are not direct friends.
Aristide Houndetoungan
wiley +1 more source
Forecasting Related Time Series
Journal of Applied Econometrics, EarlyView.ABSTRACT A collection of time series are “related” if they follow similar stochastic processes and/or they are statistically dependent. This paper proposes a related time series (RTS) forecasting model that exploits these relationships. The model's foundation is a set of univariate Gaussian autoregressions, one for each series, which are then augmented
Ulrich K. Müller, Mark W. Watson
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Monetary Policy Shocks and Exchange Rate Dynamics in Small Open Economies
Journal of Applied Econometrics, EarlyView.ABSTRACT This paper investigates whether the effects of monetary policy shocks on real exchange rates have changed over time and, if so, whether these changes stem from shifts in transmission mechanisms or from variation in the volatility of the shocks themselves.
Madison Terrell +3 more
wiley +1 more source
Revisiting EWMA in High‐Frequency‐Based Portfolio Optimization: A Comparative Assessment
Journal of Applied Econometrics, EarlyView.ABSTRACT This paper compares the statistical and economic performance of state‐of‐the‐art high‐frequency (HF) based multivariate volatility models with a simpler, widely used alternative, the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S.
Laura Capera Romero, Anne Opschoor
wiley +1 more source
JCPP Advances, EarlyView.This paper unravels relationships between adolescent mental health and family environment factors. We find that emotional problems in adolescence predict both hyperactivity/inattention and sibling problems over time. Abstract Background Adolescents experiencing mental health problems have an elevated risk of persisting difficulties as they transition ...
Ludvig Daae Bjørndal +2 more
wiley +1 more source
JCPP Advances, EarlyView.This study, using data from Avon Longitudinal Study of Parents and Children across ages 4, 7 and 8, found bidirectional associations between parental negativity and child externalising behaviour across ages 7 to 8 but not ages 4 to 7. Contrary to expectations, social support and neighbourhood cohesion did not moderate any of the cross‐lagged paths ...
Jasmine A. L. Raw +4 more
wiley +1 more source
JCPP Advances, EarlyView.This study found that parent internalising symptoms predicted internalising symptoms in younger children, with no evidence of child‐driven effects. Among adolescents, mental health symptoms showed bidirectional associations with parent internalising symptoms, particularly for externalising symptoms.
Martha Oakes +4 more
wiley +1 more source