Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate likelihood obtained via Rao-Blackw...

Quality of life can be defined both from an objective approach (using macroeconomic indicators) and from a subjective one (referring to the individual’s level of satisfaction), therefore the methods of research needed in both cases are very divers ified. The paper starts with the presentation of the marketing research methods from the theoretical point of view, emphasizing their special feature...

Most real estate studies have been concerned with exploring the macroeconomic determinants of housing prices. Little attention has been paid to the context in which property markets function. This study, however, goes beyond macroeconomic factors and explores how country specifi c factors such as cultural values infl uence residential property markets. We have tested and verifi ed the assumptio...

This paper studies the impact of macroeconomic volatility/uncertainty on the accumulation of net foreign assets of a country. We first show that, in OECD economies over the period 1970-2012, increases in country specific macroeconomic volatility are, after controlling for wide array of factors, significantly associated with accumulation of net foreign assets. An increase in volatility (measured...

Numerous academic studies examine equity risk premium predictability based on various macroeconomic variables and price and volume based variables from stock market. In this article, we extend the frontier of the set of predictors from macroeconomic variables and stock market variables to foreign exchange market variables due to various reasons. Firstly, foreign exchange market reflects various...

This study is an attempt to examine the effects of external shocks on macroeconomic variables in selective small open emerging economies in Southeast Asia. A quarterly Global Vector Autoregressive (GVAR) model, including 33 countries, was used throughout 1979–2013. The empirical results showed that the target countries were affected by external shocks, especially the shocks in the U.S, Euro are...

This paper investigates the relationship between macroeconomic instability and private investment of the Iranian economy. The study uses a trivariate VAR(2)-GARCH(1,1)-in-Mean with diagonal BEKK approach to proxied inflation and exchange rate uncertainties as the main indicators of macroeconomic instability. Moreover, Bounds testing approach to level relationship applied to investigate the long...

In this paper, we develop an effective approach to model linear non-Gaussian causal relationships among a composite set of major US macroeconomic factors. The proposed approach first models the linear relationships of the factors using the Vector Autoregression (VAR) model, then the casual relationships are discovered using the linear non-Gaussian Structural Equation Modeling (SEM) method. One ...