The paper analyzes the existence and impact of financing constraints as a possibly serious obstacle to innovation by .rms. The econometric framework we employ in our study is the simultaneous bivariate probit with mutual endogeneity of direct indicators of financial constraints and innovation...

We use a multivariate hazard model to analyse the ratification behaviour of ILO conventions by developing countries. The model accounts for two random effects: one at the country level, the other at the convention level. After investigating identification, we use a semi-parametric Bayesian...

In this paper we provide a unified methodology for conducting likelihood-based inference on the unknown parameters of a general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns. Given the nonlinear/non-Gaussian state-space...

This paper shows that the Fed reacts to change in spreads between corporate bond yields and government bond yields over and beyond their information content on future inflation and future activity. This result, obtained in a GMM framework, is confirmed by simulation methods. Moreover, when...

The 2008 financial crisis has rekindled interest in the issue of early warning signals (EWS) of financial distress. It has also triggered renewed interest in the literature on currency crises, with many countries, especially among emerging market economies, experiencing severe exchange market...

In this study we compare the quality and information content of risk neutral densities obtained by various methods. We consider a non-parametric method based on a mixture of log-normal densities, the semi-parametric ones based on an Hermite approximation of Madan and Milne, or based on an...

Nous comparons dans ce papier la qualite et le contenu en information des densites neutres au risque, obtenus a partir de differentes representations de ces densites: l'approche non-parametrique fondee sur un melange de densites log-normales; les formulations semi-parametriques fondees sur...

Using a common database, we provide a controlled empirical comparison of recently-proposed principal component (PC) methods for selecting a combination of common and local factors that characterize the joint dynamics of multi-country term structures. We build a database of daily Treasury yield...

We show how to compute patterns of variation over time, both among and within countries, that determine the international term structure of interest rates, using maximum likelihood within a linear Gaussian state-space framework. The simultaneous estimation of common factors (shared by all...

Aggregate consumption growth risk explains why low interest rate currencies do not appreciate as much as the interest rate differential and why high interest rate currencies do not depreciate as much as the interest rate differential. Domestic investors earn negative excess returns on low...