Showing 1 - 10 of 16
Based on Bergara and Licandro´s Model (2001), this paper studies the relationship between the requirements of prudential regulations for risks management and its effects on the loans portfolio. The financial regulation (Basle´s Accords, I and II) becomes sensible to risks (using Value at...
Persistent link: https://www.econbiz.de/10005699604
A large number of microeconomic decision variables such as investments, prices, inventories or employment are characterized by intermittent large adjustments. The behavior of those variables has been often modeled as following state-dependent rules. The optimality of such state-dependent rules...
Persistent link: https://www.econbiz.de/10005699605
Recorded prices are known to diverge from their "efficient" values due to the presence of market microstructure contaminations. The microstructure noise creates a dichotomy in the model-free estimation of integrated volatility. While it is theoretically necessary to sum squared returns that are...
Persistent link: https://www.econbiz.de/10005129773
This paper uses dynamic factor analysis to investigate the sources of foreign shocks and the propagation mechanism of these disturbances into two small open economies, Australia and Canada. Panels including a variety of foreign and domestic series for each country are used to estimate the...
Persistent link: https://www.econbiz.de/10005328892
The present paper applies the Markov switching model with the aim of checking two industrial production features of six major Brazilian states. Firstly, we try to determine the date of business cycles and, soon afterwards, we verify the existence or not of an unobservable component that is...
Persistent link: https://www.econbiz.de/10005328920
We study empirically how close consumption-smoothing models employing present-value relationships fit data for Latin-American countries, either in an open-economy or closed-economy environment. Bivariate VARS are estimated using either individual-system or a joint-system techniques (OLS or GLS -...
Persistent link: https://www.econbiz.de/10005129765
Abstract: The paper analyzes cyclical comovements in the Mercosur area differentiating idiosyncratic from common shocks. In the Mercosur (or any region for that matter) shocks can be country-specific, affecting only one country or a specific set of countries (for example, a weather-related...
Persistent link: https://www.econbiz.de/10005063563
We analyze the issue of the impact of multiple breaks on monetary neutrality results, using annual data on real output and monetary aggregates for Argentina (1884-1996), Australia (1870-1997), Brazil (1912-1995), Canada (1870-2001), Italy (1870-1997), Mexico (1932-2000), Sweeden (1871-1988), and...
Persistent link: https://www.econbiz.de/10005699639
If country and currency risk premiums are positively correlated, a negative international liquidity shock harms twice the economy, thereby substantially increasing interest rates. This harmful positive correlation between country and currency risk premiums observed in some countries is called...
Persistent link: https://www.econbiz.de/10005328851
We propose a semi-parametric approach to investigate whether co-dependence across markets increase in periods of extreme returns. Given that returns on one market fall in the extreme tail of their own distribution, we compute the conditional probability that returns on another market will also...
Persistent link: https://www.econbiz.de/10005328895