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Persistence in the market risk premium : evidence across countries
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020
This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and Japan, and for robustness purposes considers...
Persistent link: https://www.econbiz.de/10012199998
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Untangling real gravity
Klaassen, Franc; Teulings, Rutger - 2017
all variables proposed by theory, despite a broad set of fixed effects (FE). We find that both REERs are important and … multilateral resistances. Untangling normalization helps to get a better view of what is still unexplained by theory. …
Persistent link: https://www.econbiz.de/10011791519
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Identification of New Keynesian Phillips Curves from a global perspective
Dées, Stephane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2008
number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first …
Persistent link: https://www.econbiz.de/10003652695
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Identification of new Keynesian Phillips Curves from a global perspective
Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2008
number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first …
Persistent link: https://www.econbiz.de/10003778781
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Long memory and fractional integration in high frequency financial time series
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...
Persistent link: https://www.econbiz.de/10003974563
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Supply, demand and monetary policy shocks in a multi-country New Keynesian model
Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2010
-specific foreign output variable to capture direct inter-country linkages. In accord with the theory all variables are measured as … restrictions implied by the NK theory. The multi-country DSGE NK model is then solved to provide estimates of identified supply …
Persistent link: https://www.econbiz.de/10003974674
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Long memory and fractional integration in high frequency financial time series
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
Persistent link: https://www.econbiz.de/10003979849
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Identification of new Keynesian Phillips Curves from a global perspective
Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2008
Persistent link: https://www.econbiz.de/10003604405
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Supply, demand and monetary policy shocks in a multi-country New Keynesian Model
Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa - 2010
countryspecific foreign output variable to capture direct inter-country linkages. In accord with the theory all variables are measured … restrictions implied by the NK theory. The multi-country DSGE NK model is then solved to provide estimates of identified supply …
Persistent link: https://www.econbiz.de/10008657123
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Systemic risk diagnostics : coincident indicators and early warning signals
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2011
components for a large data set comprising the U.S., the EU-27 area, and the respective rest of the world. Credit risk conditions …
Persistent link: https://www.econbiz.de/10009006653