Real sectoral spillovers: A dynamic factor analysis of the great recession
In: Journal of Monetary Economics, Band 107, S. 77-95
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In: Journal of Monetary Economics, Band 107, S. 77-95
In: Economic Record, Band 95, Heft 311, S. 442-461
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In: IMF Working Paper No. 18/100
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Working paper
In: American Journal of Agricultural Economics, Band 98, Heft 1, S. 276-296
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In: Journal of international economics, Band 75, Heft 1, S. 180-196
ISSN: 0022-1996
In: Bulletin of economic research, Band 50, Heft 3, S. 229-255
ISSN: 1467-8586
This paper introduces an approach to nonlinear modelling which is based on the use of the generalized exponential family of distributions. The flexibility of the approach is illustrated using hypothetical data based on an economic model which exhibits multiple equilibria for certain periods of time and a unique equilibrium for other periods. The distributional analogue of multiple equilibria is multimodality. An advantage of this framework is that discrete jumps can be modelled without the need for identifying the timing of jumps ex post. The framework also has the advantage of explaining how smooth changes in market fundamentals can give rise to large and sudden changes in prices. The introduction of economic assumptions into nonlinear models is explained, and it is shown how an explicit form for the distribution of the dependent variable can be derived. It is suggested that the approach has considerable potential in a wide variety of economic contexts.
In: Journal of economic studies, Band 22, Heft 1, S. 3-22
ISSN: 1758-7387
In: IMF Working Paper, S. 1-24
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In: International journal of forecasting, Band 37, Heft 2, S. 862-880
ISSN: 0169-2070
In: CAMA Working Paper No. 5/2018
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In: CAMA Working Paper No. 65/2017
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In: CAMA Working Paper No. 23/2017
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