A joint model of macroeconomic and term structure dynamics is specified and estimated for the euro area. The model comprises a backward-looking Phillips curve, a dynamic aggregate demand equation, a monetary policy rule and a specification of the dynamics of trend growth and the natural real rate of interest. Given the linear dynamics of the macroeconomic state variables, bonds are priced under...

This paper employs concepts from information theory to choosing the dimension of a data set. We calculate relative measures of information in the data in terms of eigenvalues and derive criteria to determine the ‘optimal’ size of the data set, in particular whether an extra variable adds information. The methods can be used as a first step in the construction of a dynamic factor model or a lead...

This study tries to answer the question, “has macroeconomic instability detrimental impact on gross domestic product of Pakistan over the period of 1980 to 2012?” For reviewing macroeconomic instability a comprehensive macroeconomic instability index is constructed by incorporating inflation rate, unemployment rate, trade deficit and budget deficit. Autoregressive Distributed Lag (ARDL) model h...

Dynamic Efficiency and Pareto Optimality in a Stochastic OLG Model with Production and Social Security We analyze the interaction between risk sharing and capital accumulation in a stochastic OLG model with production. We give a complete characterization of interim Pareto optimality. Our characterization also subsumes equilibria with a PAYG social security system. In a competitive equilibrium i...

This data article provides macroeconomic data that can be used to generate macroeconomic volatility. The data cover a sample of seven selected countries in the Asia Pacific region for the period 2004-2014, including both developing and developed countries. This dataset was generated to enhance our understanding of the sources of macroeconomic volatility affecting the countries in this region. A...

The objective of this paper is to contribute towards understanding the effects palm oil production upon key macroeconomic variables in Malaysian economy. A dynamic general equilibrium model was ...

A panel of ex-ante forecasts of a single time series is modeled as a dynamic factor model, where the conditional expectation is the single unobserved factor. When applied to out-of-sample forecasting, this leads to combination forecasts that are based on methods other than OLS. These methods perform well in a Monte Carlo experiment. These methods are evaluated empirically in a panel of simulate...

This article investigates the relationship between exports and FDI in the Mediterranean area using gravity analysis. Due to the controversial literature, the theory strongly supports the substitutional hypothesis, meanwhile, the complementary case supported empirically, others doubt that the later relationship is spurious statistical complementarity relationship. Discovering the relationship na...