Central Bank Research Hub - JEL classification C32: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

Title Author(s)

Identifying Dornbusch's Exchange Rate Overshooting with Structural VECs: Evidence from Mexico

Bank of Mexico Working Papers [View] (Paper: 2017-11, 22.06.2017)

JEL: C32, C51, E10, E17

Financial crises and the dynamic linkages between stock and bond returns

Deutsche Bundesbank Discussion Papers [View] (Paper: 17/2017, 20.06.2017)

JEL: C32, C58, G15

Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals

Bank of Canada Working papers [View] (Paper: 2017-22, 19.06.2017)

JEL: C32, F31, G15

Estimating the impact of shocks to bank capital in the euro area

European Central Bank Working papers [View] (Paper: 2077, 19.06.2017)

JEL: C11, C32, G21

The macroeconomic impact of the ECB's expanded asset purchase programme (APP)

European Central Bank Working papers [View] (Paper: 2075, 15.06.2017)

JEL: C32, E44, E52, E58

Inferring Inflation Expectations from Fixed-Event Forecasts

IJCB International Journal of Central Banking [View] (Paper: 17q2a01, 01.06.2017)

JEL: C32, E37, E52

Asymmetric arbitrage trading on offshore and onshore renminbi markets

Deutsche Bundesbank Discussion Papers [View] (Paper: 13/2017, 19.05.2017)

JEL: C32, F31, G15

Safety, Liquidity, and the Natural Rate of Interest

New York Fed Staff reports [View] (Paper: 812, 11.05.2017)

JEL: C11, C32, C54, E43, E44

Uncertainty and monetary policy in good and bad times

Bank of Finland Discussion Papers [View] (Paper: 8/2017, 04.05.2017)

JEL: C32, E32

Immigration and the macroeconomy: some new empirical evidence

Bank of Spain Working Papers [View] (Paper: 1716, 27.04.2017)

JEL: C11, C32, E32

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