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Does curvature enhance forecasting?
(Banco Central do Brasil, 2008)
In this paper, we analyze the importance of curvature term structure movements on forecasts of interest rates. An extension of the exponential three-factor Diebold and Li (2006) model is proposed, where a fourth factor ...
Aggregate Implications of Lumpy Investment: New Evidence and a DSGE Model
(AMER ECONOMIC ASSOC, 2013-10)
The sensitivity of US aggregate investment to shocks is procyclical. The response upon impact increases by approximately 50 percent from the trough to the peak of the business cycle. This feature of the data follows naturally ...
Are the effects of uncertainty shocks big or small?
(2023)
Previous works have reached widely divergent conclusions on the macroeconomic relevance of uncertainty shocks. We show that this disagreement reflects identification problems linked to the use of financial data in low-frequency ...
Net Cash Flow Analysis as Stochastic Processes Theory Application and the Real Options Theory: A New Approach-Edición Única
(Instituto Tecnológico y de Estudios Superiores de Monterrey, 2015)
External economic factors in the growth of the Peruvian economy: An autoregressive vector model (VAR)Factores económicos externos en el crecimiento de la economía peruana: Un modelo vector autorregresivo (VAR)
(Universidad Nacional Mayor de San Marcos, Facultad de Ciencias Contables, 2021)
Reduced form vector directional quantiles
(Elsevier Inc, 2017-06)
In this paper, we develop a reduced form multivariate quantile model, using a directional quantile framework. The proposed model is the solution to a collection of directional quantile models for a fixed orthonormal basis, ...
Estimación de multiplicadores fiscales para NicaraguaEstimation of fiscal multipliers for Nicaragua
(Universidad Iberoamericana Ciudad de México. Departamento de Economía, 2021)
En el presente estudio se estiman los multiplicadores simétricos y asimétricos de gasto e ingreso del gobierno central para Nicaragua. Para el modelo lineal se hace uso del modelo Structural Vector Autoregressive (SVAR, ...