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What if the UK had joined the euro in 1999? : An empirical evaluation using a Global VAR

Pesaran, Mohammad Hashem; Smith, L. Vanessa; Smith, Ron P. - 2005

macroeconometric models. As an application we consider UK entry to the euro. Entry involves a long-term commitment to restrict UK … nominal exchange rates and interest rates to be the same as those of the euro area. We derive conditional probability … distributions for the difference between the future realisations of variables of interest (e.g UK and euro area output and prices …

Persistent link: https://www.econbiz.de/10010276168

Firm heterogeneity and credit risk diversification

Hanson, Samuel; Pesaran, Mohammad Hashem; Schuermann, Til - 2005

This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...

Persistent link: https://www.econbiz.de/10010276169

Learning, structural instability and present value calculations

Pesaran, Mohammad Hashem; Pettenuzzo, Davide; … - 2006

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

Persistent link: https://www.econbiz.de/10010276173

Variable selection and inference for multi-period forecasting problems

Pesaran, Mohammad Hashem; Pick, Andreas; Timmermann, Allan - 2009

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …

Persistent link: https://www.econbiz.de/10010276226