Economic Modelling

1984 - 2025

Current editor(s): S. Hall and P. Pauly

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Volume 67, issue C, 2017

A small-scale DSGE-VAR model for the Romanian economy pp. 1-9

Raluca-Elena Pop

The bank lending channel of monetary policy in EU countries during the global financial crisis pp. 10-22

Tomáš Heryán and Panayiotis Tzeremes

Investigating bank efficiency in transition economies: A window-based weight assurance region approach pp. 23-33

Marta Degl'Innocenti, Stavros Kourtzidis, Zeljko Sevic and Nickolaos G. Tzeremes

Ratings based Inference and Credit Risk: Detecting likely-to-fail Banks with the PC-Mahalanobis Method pp. 34-44

Maurizio Pompella and Antonio Dicanio

Growth effects of EU and EZ memberships: Empirical findings from the first 15 years of the Euro pp. 45-54

Johannes Kabderian Dreyer and Peter Alfons Schmid

Measuring systemic risk with regime switching in tails pp. 55-72

Xiaochun Liu

A dynamic Nelson-Siegel yield curve model with Markov switching pp. 73-87

Jared Levant and Jun Ma

Gold and inflation(s) – A time-varying relationship pp. 88-101

Brian Lucey, Susan Sunila Sharma and Samuel A. Vigne

Building a better trade model to determine local effects: A regional and intertemporal GTAP model pp. 102-113

Pham Van Ha, Tom Kompas, Hoa Nguyen and Long Chu

Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market pp. 114-124

Piyali Banerjee, Vladimir Arčabić and Hyejin Lee

Wealth inequality and employment fluctuations pp. 125-135

Enchuan Shao and Pedro Silos

Generalized Method of Moment estimation of multivariate multifractal models pp. 136-148

Ruipeng Liu and Thomas Lux

Reserve modelling and the aggregation of risks using time varying copula models pp. 149-158

Sawssen Araichi, Christian de Peretti and Lotfi Belkacem

Moving beyond the iceberg model: The role of trade relations in endogenizing transportation costs in computable general equilibrium models pp. 159-174

Tamás Sebestyén

Economic growth cycles driven by investment delay pp. 175-183

Adam Krawiec and Marek Szydłowski

An empirical investigation of herding in the U.S. stock market pp. 184-192

Adam Clements, Stan Hurn and Shuping Shi

The impact of the liquidity coverage ratio on money creation: A stock-flow based dynamic approach pp. 193-202

Boyao Li, Wanting Xiong, Liujun Chen and Yougui Wang

Testing the Gaussian and Student's t copulas in a risk management framework pp. 203-214

Alexandre Lourme and Frantz Maurer

Time-inconsistency and expansionary business cycle theories: What does matter for the central bank independence–inflation relationship? pp. 215-227

Zied Ftiti, Abdelkader Aguir and Mounir Smida

Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds pp. 228-247

Farid Mkaouar, Jean-Luc Prigent and Ilyes Abid

Understanding Chinese provincial real estate investment: A Global VAR perspective pp. 248-260

Yang Chen, M. He and Simon Rudkin

The relationship between exchange rates and interest rates in a small open emerging economy: The case of Romania pp. 261-274

Alin Marius Andrieș, Bogdan Capraru, Iulian Ihnatov and Aviral Tiwari

Sovereign debt and systemic risk in the eurozone pp. 275-284

Alexandra Popescu and Camelia Romocea Turcu

Lending conditions in EU: The role of credit demand and supply pp. 285-293

Svatopluk Kapounek, Zuzana Kucerova and Jarko Fidrmuc

Dissecting models' forecasting performance pp. 294-299

Boriss Siliverstovs

Modelling the effect of the geographical environment on Islamic banking performance: A panel quantile regression analysis pp. 300-306

Fredj Jawadi, Nabila Jawadi, Abdoulkarim Idi Cheffou, Hachmi Ben Ameur and Wael Louhichi

The impact of the French financial transaction tax on HFT activities and market quality pp. 307-315

Iryna Veryzhenko, Etienne Harb, Waël Louhichi and Nathalie Oriol

A model for international capital markets closure in an economy with incomplete markets and short sales pp. 316-324

Mondher Bellalah and Detao Zhang

Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest? pp. 325-337

Sébastien Galanti and Anne Gaël Vaubourg

Optimal adjustment paths in a monetary union pp. 338-345

Ansgar Belke and Daniel Gros

Modeling volatility linkages between Shanghai and Hong Kong stock markets before and after the connect program pp. 346-354

Wensheng Lin

Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model pp. 355-367

Heng-Guo Zhang, Chi-Wei Su, Yan Song, Shuqi Qiu, Ran Xiao and Fei Su

Financial contagion and volatility spillover: An exploration into Indian commodity derivative market pp. 368-380

Rudra Prosad Roy and Saikat Sinha Roy

Entrepreneurship, institutions and skills in low-income countries pp. 381-391

Zuzana Brixiová Schwidrowski and Balázs Égert

Cyclical behavior of the financial stability of eurozone commercial banks pp. 392-408

Faten Ben Bouheni and Amir Hasnaoui

Analyzing the effects of the Regional Comprehensive Economic Partnership on FDI in a CGE framework with firm heterogeneity pp. 409-420

Qiaomin Li, Robert Scollay and John Gilbert

Volume 66, issue C, 2017

Linking CGE and specialist models: Deriving the implications of highway policy using USAGE-Hwy pp. 1-18

Peter Dixon, Maureen Rimmer and Robert Waschik

Labor market effects of export processing zones in the presence of unemployment pp. 19-29

Bharati Basu

Limits to government debt sustainability in OECD countries pp. 30-41

Jean-Marc Fournier and Falilou Fall

Religion, administration & public goods: Experimental evidence from Russia pp. 42-60

Theocharis Grigoriadis

Co-authorship and research productivity in economics: Assessing the assortative matching hypothesis pp. 61-80

Damien Besancenot, Kim Huynh and Francisco Serranito

Do bubbles have an explosive signature in markov switching models? pp. 81-100

Kelvin Balcombe and Iain Fraser

Speculative bubbles or market fundamentals? An investigation of US regional housing markets pp. 101-111

Shuping Shi

Financial crises, exchange rate linkages and uncovered interest parity: Evidence from G7 markets pp. 112-120

Dimitrios Dimitriou, Dimitris Kenourgios and Theodore Simos

Market maker competition and price efficiency: Evidence from China pp. 121-131

Wei Zhang, Ke Huang, Xu Feng and Yongjie Zhang

Forecasting China's GDP growth using dynamic factors and mixed-frequency data pp. 132-138

Yu Jiang, Yongji Guo and Yihao Zhang

The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets pp. 139-145

Libing Fang, Honghai Yu and Lei Li

Do domestic bond markets participation help reduce financial dollarization in developing countries? pp. 146-155

Hippolyte Balima

Missing money found causing Australia's inflation pp. 156-162

Anthony Makin, Alex Robson and Shyama Ratnasiri

Estimating general equilibrium models with stochastic volatility and changing parameters pp. 163-170

C. Richard Higgins

The cross section of international government bond returns pp. 171-183

Adam Zaremba and Anna Czapkiewicz

Can investors of Chinese energy stocks benefit from diversification into commodity futures? pp. 184-200

Xiaoqian Wen and Duc Khuong Nguyen

An adaptive approach to forecasting three key macroeconomic variables for transitional China pp. 201-213

Linlin Niu, Xiu Xu and Ying Chen

The Armington assumption and the size of optimal tariffs pp. 214-222

Chuantian He, Chunding Li, Jing Wang and John Whalley

Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model pp. 223-232

Dong-Mei Zhu, Jiejun Lu, Wai-Ki Ching and Tak Kuen Siu

Comparative risk adjusted performance of Islamic, socially responsible and conventional funds: Evidence from United Kingdom pp. 233-243

Krishna Reddy, Nawazish Mirza, Bushra Naqvi and Mingli Fu

Generalized financial ratios to predict the equity premium pp. 244-257

Andres Algaba and Kris Boudt

Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach pp. 258-271

Afees Salisu and Kazeem Isah

Kuznets curve in happiness: A cross-country exploration pp. 272-278

Rati Ram