Regime changes in uncertainty channel between inflation and output growth

키워드

참고문헌 (72)

1. Abel, A., "Optimal investment under uncertainty", American Economic Review, 73, pp.228~233 (1983)
2. Akaike, H., "Information theory and an extension of the maximum likelihood principle", 2nd International Symposium on Information Theory, pp.267~281 (1973)
3. Alexander, C., "Normal Mixture GARCH(1, 1) : Applications to Exchange Rate Modelling", Journal of Applied Econometrics, 21, pp.307~336 (2006)
4. Baillie, R. T., "Analyzing Inflation by the Fractionally Integrated ARFIMA-GARCH Model", Journal of Applied Econometrics, 11, pp.23~40 (1996)
5. Baillie, R. T., "Fractionally integrated generalized autoregressive conditional heteroscedasticity", Journal of Econometrics, 74, pp.3~30 (1996)
6. Ball, C. A., "A simplified jump process for common stock returns", Journal of Financial and Quantitative Analysis, 18, pp.53~65 (1983)
7. Bartlett, M. S., "On the theoretical specification of sampling properties of autocorrelated time series", Journal of the Royal Statistical Society B, 8, pp.27~41 (1946)
8. Bauwens, L., "Multivariate mixed normal conditional heteroscedasticity", Computational Statistics and Data Analysis, 51, pp.3551~3566 (2007)
9. Beine, M., "Central bank interventions and jumps in double long memory models of daily exchange rates", Journal of Empirical Finance, 10, pp.641~660 (2003)
10. Bernanke, B., "Irreversibility, uncertainty, and cyclical investment", Quarterly Journal of Economics, 98, pp.85~106 (1983)
11. Bernanke, B., "The Federal funds rate and the channels of monetary transmission", American Economic Review, 82, pp.901~921 (1992)
12. Bierens, H. J., "Testing stationarity and trend stationarity against the unit root hypothesis", Econometric Reviews, 12, pp.1~32 (1993)
13. Black, F., "Business Cycles and Equilibrium" (1987), Basil Blackwell
14. Black, F., "Studies of stock price volatility changes", Proceedings of the 1976 Meetings of the American Statistical Association, pp.177~181 (1976), Business and Economical Statistics Section
15. Blackburn, K., "On the relationship between growth and volatility", Economics Letters, 83, pp.123~127 (2004)
16. Bollerslev, T., "Modelling the coherence in short-run nominal exchange rates : a multivariate generalized ARCH model", Review of Economics and Statistics, 72, pp.498~505 (1990)
17. Bredin, D., "Macroeconomic uncertainty and macroeconomic performance: are they related?", Manchester School, 73, pp.58~76 (2005)
18. Breitung, J., "Nonparametric tests for unit roots and cointegration", Journal of Econometrics, 108, pp.343~363 (2002)
19. Brockwell, P. J., "Time series: Theory and Methods" (1987), Springer-Verlag
20. Chang, K.-L., "Does the magnitude of the effect of inflation uncertainty on output growth depend on the level of inflation?", Manchester School, 78, pp.126~148 (2010)
21. Chen, S. -W., "Evidence of a nonlinear relationship between inflation and inflation uncertainty: the case of the four little dragons", Journal of Policy Modelling, 30, pp.363~376 (2008)
22. Chen, S., "Dynamic interrelationships in returns and volatilities between Capesize and Panamax markets", Maritime Economics and Logistics, 12, pp.65~90 (2010)
23. Cheung, Y.-W., "A long memory model with normal mixture GARCH", Computational Economics, 38, pp.517~539 (2011)
24. Chung, C. -F., "Small sample bias in conditional sum of squares estimators of fractionally integrated ARMA models", Empirical Economics, 18, pp.791~806 (1993)
25. Chung S. -K., "Cointegrating vectors in a multivariate I(d)regression and Monte Carlo simulations for size and power", pp.1997
26. Conrad, C., "The link between macroeconomic performance and variability in the UK", Economics Letters, 106, pp.154~157 (2010)
27. Conrad, C., "Modelling the link between US inflation and output : The importance of the uncertainty channel", Scottish Journal of Political Economy, 62, pp.431~453 (2015)
28. Conrad, C., "On the transmission of memory in GARCH-in-mean Models", Journal of Time Series Analysis, 36, pp.706~720 (2015)
29. Cukierman, A., "A theory of ambiguity, credibility, and inflation under discretion and asymmetric information", Econometrica, 54, pp.1099~1128 (1986)
30. Cukierman, A., "Central bank strategy, credibility and independence" (1992), MIT Press
31. Deveraux, M., "A positive theory of inflation and inflation variance", Economic Inquiry, 27, pp.105~116 (1989)
32. Ding, Z., "A Long Memory Property of Stock Market Returns and a New Model", Journal of Empirical Finance, 1, pp.83~106 (1993)
33. Dotsey, M., "Inflation uncertainty and growth in a cash-in-advance economy", Journal of Monetary Economics, 45, pp.631~655 (2000)
34. Edwards, S., "Volatility dependence and contagion in emerging equity markets", Journal of Development Economics, 66, pp.505~532 (2001)
35. Engle, R. F., "Dynamic conditional correlation-A simple class of multivariate GARCH models", Journal of Business and Economic Statistics, 20, pp.339~359 (2002)
36. Fountas, S., "Inflation uncertainty, output growth uncertainty, and macroeconomic performance", Oxford Bulletin of Economics and Statistics, 68, pp.319~343 (2006)
37. Friedman, M., "Nobel Lecture: Inflation and Unemployment", Journal of Political Economy, 85, pp.451~472 (1977)
38. Friedman, B., "Money, income, prices, and interest rates", American Economic Review, 82, pp.472~492 (1992)
39. Fuhrer, J. C., "Inflation", output variance trade-offs and optimal monetary policy, 1997, pp.29, 214~234
40. Geweke J., "The estimation and application of long memory time series models", Journal of Time Series Analysis, 4, pp.221~238 (1983)
41. Ghysels, E., "There is a risk-return trade-off after all", Journal of Financial Economics, 76, pp.509~548 (2005)
42. Giordani, P., "Inflation forecast uncertainty", European Economic Review, 47, pp.1037~1059 (2003)
43. Granger, C. W. J., "Developments in the study of cointegrated economic variables", Oxford Bulletin of Economics and Statistics, 48, pp.213~228 (1986)
44. Granger, C. W. J., "An Introduction to Long Memory Series", Journal of Time Series Analysis, 1, pp.15~30 (1980)
45. Grier, R., "The effects of real and nominal uncertainty on inflation and output growth : Some GARCH-M evidence", Journal of Applied Econometrics, 15, pp.45~58 (2000)
46. Haas, M., "Mixed Normal Conditional Heteroskedasticity", Journal of Financial Econometrics, 2, pp.211~250 (2004)
47. Haas, M., "Asymmetric Multivariate Normal Mixture GARCH", Computational Statistics and Data Analysis, 53, pp.2129~2154 (2009)
48. Hansen, B. E., "Autoregressive conditional density estimation", International Economic Review, 35, pp.705~730 (1994)
49. Harvey, C. R., "Autoregressive conditional skewness", Journal of Financial and Quantitative Studies, 34, pp.465~487 (1999)
50. Henry, O., "The effect of recessions on the relationship between output variability and growth", Southern Economic Journal, 68, pp.683~692 (2002)
51. Holland, A. S., "Inflation and uncertainty : tests for temporal ordering", Journal of Money, Credit, and Banking, 27, pp.827~837 (1995)
52. Hosking, J. R. M., "Fractional Differencing", Biometrika, 68, pp.165~176 (1981)
53. Johansen, S., "Statistical Analysis of Cointegration Vectors", Journal of Economic Dynamics and Control, 12, pp.231~254 (1988)
54. Karanasos, M., "On the existence or absence of a variance relationship : a study of macroeconomic uncertainty", WSEAS Transactions on Computers, 4, pp.1475~1482 (2005)
55. Kunsch, H. R., "Statistical aspects of self-similar processes", Proceedings of the First World Congress of the Bernoulli Society (1987)
56. Kwiatkowski, D, "Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?", Journal of Econometrics, 54, pp.159~178 (1992)
57. Lamoureux, C. G., "Heteroskedasticity in stock return data : Volume versus GARCH effects", Journal of Finance, 45, pp.221~229 (1990)
58. Ljung, G. M., "On a measure of lack of fit in time series models", Biometrika, 65, pp.297~303 (1978)
59. Lo, A. W., "Long memory in stock market prices", Econometrica, 59, pp.1279~1313 (1991)
60. Logue, D. E., "Inflation and real growth : some empirical results : A Note", Journal of Money, Credit, and Banking, 13, pp.497~501 (1981)
61. MacKinnon, J. G., "Numerical distribution functions of likelihood ratio tests for cointegration", Journal of Applied Econometrics, 14, pp.563~577 (1999)
62. Nelson, D. B., "Conditional heteroskedasticity in asset returns : a new approach", Econometrica, 59, pp.347~370 (1991)
63. Neanidis, K. C., "Macroeconomic uncertainty, inflation and growth : Regime-dependent effects in the G7", Journal of Macroeconomics, 35, pp.81~92 (2013)
64. Newey, W. K., "Generalized method of moments specification testing", Journal of Econometrics, 29, pp.229~256 (1985)
65. Pindyck, R., "Irreversibility, uncertainty, and investment", Journal of Economic Literature, 29, pp.1110~1148 (1991)
66. Reisen, V. A., "Some Simulations and Applications of Forecasting Long-memory Time Series Models", Journal of Statistical Planning and Inference, 80, pp.269~287 (1999)
67. Robinson, P. M., "Gaussian semiparametric estimation of long range dependence", The Annals of statistics, 23, pp.1630~1661 (1995)
68. Schwarz, G., "Estimating the dimension of a model", Annals of Statistics, 6, pp.461~464 (1978)
69. Shea, G.S., "Long-Memory Models of Interest Rates: Estimation, Forecasting, and Inference for Variance Bounds on the Interest Rate Term Structure", pp.1987
70. New indexes of coincident and leading indicators, "Stock, J.", NBER, 351~393 (1989)
71. Sowell, F., "Maximum likelihood estimation of stationary univariate fractionally integrated time series models", Journal of econometrics, 53, pp.165~188 (1992)
72. Vlaar, P. J. G., "The message in weekly exchange rates in the European Monetary System : Mean reversion, conditional heteroscedasticity, and jumps", Journal of Business and Economic Statistics, 11, pp.351~360 (1993)

관련 논문AI추천