Details about Petre Caraiani

Access statistics for papers by Petre Caraiani.

Last updated 2024-12-23. Update your information in the RePEc Author Service.

Short-id: pca372

Working Papers

2024

1. Does Climate Affect Investments? Evidence from Firms in the United States
   Working Papers, University of Pretoria, Department of Economics
2. Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks
   Working Papers, University of Pretoria, Department of Economics

2023

3. Commodity Price Shocks and Production Networks in Small Open Economies
   Working Papers Central Bank of Chile, Central Bank of Chile View citations (1)
4. Fiscal Policy and Stock Markets at the Effective Lower Bound
   Working Papers, University of Pretoria, Department of Economics
   See also Journal Article Fiscal policy and stock markets at the effective lower bound, Finance Research Letters, Elsevier (2023) (2023)
5. Oil Shocks and State-Level Stock Market Volatility of the United States: A GARCH-MIDAS Approach
   Working Papers, University of Pretoria, Department of Economics
   See also Journal Article Oil shocks and state-level stock market volatility of the United States: a GARCH-MIDAS approach, Review of Quantitative Finance and Accounting, Springer (2024) View citations (1) (2024)
6. The Predictive Impact of Climate Risk on Total Factor Productivity Growth: 1880-2020
   Working Papers, University of Pretoria, Department of Economics

2022

7. Monetary Policy and Bubbles in G7 Economies: Evidence from a Panel VAR Approach
   Working Papers, University of Pretoria, Department of Economics View citations (1)

2021

8. Asset Pricing with Systematic Skewness: Then and Now
   Working Papers, HAL
9. Asset Pricing with Systematic Skewness: Two Decades Later
   HEC Research Papers Series, HEC Paris
   See also Journal Article Asset Pricing with Systematic Skewness: Two Decades Later, Critical Finance Review, now publishers (2023) (2023)

2019

10. Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment
    Working Papers, University of Pretoria, Department of Economics View citations (5)
    See also Journal Article Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment, Journal of Behavioral Finance, Taylor & Francis Journals (2022) (2022)

2018

11. Can Monetary Policy Lean against Housing Bubbles?
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article Can monetary policy lean against housing bubbles?, Economic Modelling, Elsevier (2022) View citations (7) (2022)
12. Is the Response of the Bank of England to Exchange Rate Movements Frequency-Dependent?
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article Is the response of the bank of England to exchange rate movements frequency-dependent?, Journal of Macroeconomics, Elsevier (2020) (2020)
13. Monetary Policy and Bubbles in US REITs
    Working Papers, University of Pretoria, Department of Economics View citations (3)
    See also Journal Article Monetary policy and bubbles in US REITs, International Review of Finance, International Review of Finance Ltd. (2021) View citations (4) (2021)

2016

14. A quantitative explanation of the low productivity in South-Eastern European economies: the role of misallocations
    wiiw Balkan Observatory Working Papers, The Vienna Institute for International Economic Studies, wiiw
    See also Journal Article A quantitative explanation of the low productivity in South–Eastern European economies: the role of misallocations, Empirica, Springer (2018) View citations (1) (2018)

Journal Articles

2024

1. Commodity prices and production networks in small open economies
   Journal of Economic Dynamics and Control, 2024, 168, (C)
2. Oil shocks and state-level stock market volatility of the United States: a GARCH-MIDAS approach
   Review of Quantitative Finance and Accounting, 2024, 63, (4), 1473-1510 View citations (1)
   See also Working Paper Oil Shocks and State-Level Stock Market Volatility of the United States: A GARCH-MIDAS Approach, Working Papers (2023) (2023)
3. The comovement of bubbles’ responses to monetary policy shocks
   The North American Journal of Economics and Finance, 2024, 74, (C)
4. The volatility connectedness of US industries: The role of investor sentiment
   Economics Letters, 2024, 235, (C)

2023

5. Asset Pricing with Systematic Skewness: Two Decades Later
   Critical Finance Review, 2023, 12, (1-4), 309-354
   See also Working Paper Asset Pricing with Systematic Skewness: Two Decades Later, HEC Research Papers Series (2021) (2021)
6. Fiscal policy and stock markets at the effective lower bound
   Finance Research Letters, 2023, 58, (PC)
   See also Working Paper Fiscal Policy and Stock Markets at the Effective Lower Bound, Working Papers (2023) (2023)
7. Monetary Policy Shocks and Input–Output Characteristics of Production Networks
   JRFM, 2023, 16, (3), 1-13
8. Monetary policy and bubbles in G7 economies using a panel VAR approach: Implications for sustainable development
   Economic Analysis and Policy, 2023, 78, (C), 133-155 View citations (9)
9. Oil news shocks, inflation expectations and social connectedness
   Energy Economics, 2023, 127, (PB)
10. The Structural Convergence of New Members of the European Union: An Input-Output Perspective
    Economies, 2023, 11, (10), 1-14

2022

11. Can monetary policy lean against housing bubbles?
    Economic Modelling, 2022, 110, (C) View citations (7)
    See also Working Paper Can Monetary Policy Lean against Housing Bubbles?, Working Papers (2018) View citations (3) (2018)
12. Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment
    Journal of Behavioral Finance, 2022, 23, (3), 241-261
    See also Working Paper Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment, Working Papers (2019) View citations (5) (2019)
13. The impact of oil supply news shocks on corporate investments and the structure of production network
    Energy Economics, 2022, 110, (C) View citations (6)
14. Using LASSO-family models to estimate the impact of monetary policy on corporate investments
    Economics Letters, 2022, 210, (C) View citations (1)

2021

15. Monetary policy and bubbles in US REITs
    International Review of Finance, 2021, 21, (2), 675-687 View citations (4)
    See also Working Paper Monetary Policy and Bubbles in US REITs, Working Papers (2018) View citations (3) (2018)
16. Stock Prices Still Move Too Much For Dividends But Less So: A Reappraisal of Shiller 1981
    Critical Finance Review, 2021, 10, (3), 409-418
17. The performance of publicly funded startups in Romania
    Economic Systems, 2021, 45, (3) View citations (3)

2020

18. Credit policy and asset price bubbles
    Journal of Macroeconomics, 2020, 65, (C)
19. Forecasting Financial Networks
    Computational Economics, 2020, 55, (3), 983-997
20. Housing markets, monetary policy, and the international co‐movement of housing bubbles
    Review of International Economics, 2020, 28, (2), 365-375 View citations (2)
21. Is the response of the bank of England to exchange rate movements frequency-dependent?
    Journal of Macroeconomics, 2020, 63, (C)
    See also Working Paper Is the Response of the Bank of England to Exchange Rate Movements Frequency-Dependent?, Working Papers (2018) (2018)
22. Production network structure and the impact of the monetary policy shocks: Evidence from the OECD
    Economics Letters, 2020, 193, (C) View citations (3)
23. The impact of monetary policy shocks on stock market bubbles: International evidence
    Finance Research Letters, 2020, 34, (C) View citations (5)

2019

24. Monetary Policy Effects on Energy Sector Bubbles
    Energies, 2019, 12, (3), 1-13 View citations (2)
25. Oil shocks and production network structure: Evidence from the OECD
    Energy Economics, 2019, 84, (C) View citations (8)

2018

26. A quantitative explanation of the low productivity in South–Eastern European economies: the role of misallocations
    Empirica, 2018, 45, (4), 707-745 View citations (1)
    See also Working Paper A quantitative explanation of the low productivity in South-Eastern European economies: the role of misallocations, wiiw Balkan Observatory Working Papers (2016) (2016)
27. The effects of monetary policy on stock market bubbles at zero lower bound: Revisiting the evidence
    Economics Letters, 2018, 169, (C), 55-58 View citations (19)

2017

28. Evaluating exchange rate forecasts along time and frequency
    International Review of Economics & Finance, 2017, 51, (C), 60-81 View citations (14)

2016

29. Business Cycle Accounting for Peripheral European Economies
    Scottish Journal of Political Economy, 2016, 63, (5), 468-496
30. Money and output causality: A structural approach
    International Review of Economics & Finance, 2016, 42, (C), 220-236 View citations (7)
31. The role of money in DSGE models: a forecasting perspective
    Journal of Macroeconomics, 2016, 47, (PB), 315-330 View citations (9)

2015

32. Estimating DSGE models across time and frequency
    Journal of Macroeconomics, 2015, 44, (C), 33-49 View citations (12)

2014

33. Do money and financial variables help forecasting output in emerging European Economies?
    Empirical Economics, 2014, 46, (2), 743-763 View citations (2)
34. The predictive power of singular value decomposition entropy for stock market dynamics
    Physica A: Statistical Mechanics and its Applications, 2014, 393, (C), 571-578 View citations (12)
35. What drives the nonlinearity of time series: A frequency perspective
    Economics Letters, 2014, 125, (1), 40-42 View citations (2)

2013

36. Comparing monetary policy rules in CEE economies: A Bayesian approach
    Economic Modelling, 2013, 32, (C), 233-246 View citations (11)
37. Testing for nonlinearity and chaos in economic time series with noise titration
    Economics Letters, 2013, 120, (2), 192-194 View citations (4)
38. The uncertain unit root in GDP and CPI: a wavelet-based perspective
    Applied Economics Letters, 2013, 20, (3), 297-299 View citations (1)
39. Using Complex Networks to Characterize International Business Cycles
    PLOS ONE, 2013, 8, (3), 1-13 View citations (15)

2012

40. Characterizing emerging European stock markets through complex networks: From local properties to self-similar characteristics
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (13), 3629-3637 View citations (10)
41. Money and output: New evidence based on wavelet coherence
    Economics Letters, 2012, 116, (3), 547-550 View citations (26)
42. Nonlinear dynamics in CEE stock markets indices
    Economics Letters, 2012, 114, (3), 329-331 View citations (8)
43. Stylized facts of business cycles in a transition economy in time and frequency
    Economic Modelling, 2012, 29, (6), 2163-2173 View citations (19)

2011

44. Comparing Monetary Policy Rules in the Romanian Economy: A New Keynesian Approach
    Journal for Economic Forecasting, 2011, (4), 30-46 View citations (4)
45. Modeling and Forecasting the Dynamics in Romanian Stock Market Indices Using Threshold Models
    Journal for Economic Forecasting, 2011, (2), 42-54 View citations (1)

2010

46. Bayesian Linear Estimation of Okun Coefficient for Romania: Sensitivity to Priors Distributions
    Romanian Economic Journal, 2010, 13, (38), 53-65 View citations (4)
47. Forecasting Romanian GDP Using a BVAR Model
    Journal for Economic Forecasting, 2010, (4), 76-87 View citations (9)
48. Modeling Business Cycles In The Romanian Economy Using The Markov Switching Approach
    Journal for Economic Forecasting, 2010, (1), 130-136 View citations (5)

2009

49. An Estimation of Output Gap in Romanian Economy Using the DSGE Approach
    Prague Economic Papers, 2009, 2009, (4), 366-379 View citations (1)
50. SECOND ORDER DYNAMICS OF ECONOMIC CYCLES
    Journal for Economic Forecasting, 2009, 6, (1), 36-47 View citations (9)

2008

51. AN ANALYSIS OF DOMESTIC AND EXTERNAL SHOCKS ON ROMANIAN ECONOMY USING A DSGE MODEL
    Journal for Economic Forecasting, 2008, 5, (3), 100-114 View citations (7)
52. Forecasting Romanian GDP Using a Small DSGE Model
    Journal for Economic Forecasting, 2008, 5, (1), 182-192

2007

53. An Analysis of the Fluctuations in the Romanian Economy using the Real Business Cycles Approach
    Journal for Economic Forecasting, 2007, 4, (2), 76-86 View citations (3)
54. An Estimated New Keynesian Model for Romania
    Journal for Economic Forecasting, 2007, 4, (4), 114-123 View citations (3)

2006

55. Alternative Methods of Estimating the Okun Coefficient. Applications for Romania
    Journal for Economic Forecasting, 2006, 3, (4), 82-89 View citations (4)
56. Does the Inflation Targeting Have a Positive Role upon the Convergence of the Inflation Rate?
    Journal for Economic Forecasting, 2006, 3, (3), 39-50 View citations (4)
57. Estimating the Real Effective Exchange Rate (REER) by Using the Unit Labor Cost (ULC) in Romania
    Journal for Economic Forecasting, 2006, 3, (4), 5-22 View citations (1)

2004

58. NOMINAL AND REAL STYLIZED FACTS OF THE BUSINESS CYCLES IN ROMANIAN ECONOMY
    Journal for Economic Forecasting, 2004, 1, (4), 121-132 View citations (3)

Software Items

2018

1. Solving the deterministc Optimal Growth model by Policy Function Interation in Julia adapted from Fabrice Collard's Matlab code
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
2. Solving the deterministic Optimal Growth model by Value Function Interation in Julia adapted from Fabrice Collard's Matlab code
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
3. Solving the stochastic Optimal Growth model by Policy Function Interation in Julia adapted from Fabrice Collard's Matlab code
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
4. Solving the stochastic Optimal Growth model by Value Function Interation in Julia adapted from Fabrice Collard's Matlab code
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles

2017

5. Aiyagari model in Julia
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
6. Huggett model in Julia
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
7. Linear quadratic models in Julia: basic optimal control problem
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
8. Linear quadratic models in Julia: optimal growth model
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
9. Optimal growth model: Collocation method (AR(1) case) in Julia
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
10. Solving and simulating a RBC model in Julia adapted from Fabrice Collard's Matlab code
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
11. Solving and simulating a baseline New Keynesian model in Julia adapted from Martin Ellison's Matlab code
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
12. Stochastic growth model: Collocation method (Markov chain) in Julia
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
13. Stochastic growth model: Parametrized expectations algorithm in Julia
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
14. Stochastic growth model: Perturbation method in Julia
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
15. Stochastic growth model: Projection method in Julia
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles