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Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set
Favero, Carlo A.; Niu, Linlin; Sala, Luca - C.E.P.R. Discussion Papers - 2007
This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework … forecasting performance of two crucial modelling choices, i.e. the imposition of no-arbitrage restrictions and the size of the … information set used to extract factors. Using US yield curve data, we find that: a. macro factors are very useful in forecasting …
Persistent link: https://www.econbiz.de/10005497801
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Growth in a Time of Debt
Reinhart, Carmen M.; Rogoff, Kenneth - C.E.P.R. Discussion Papers - 2010
We study economic growth and inflation at different levels of government and external debt. Our analysis is based on new data on forty-four countries spanning about two hundred years. The dataset incorporates over 3,700 annual observations covering a wide range of political systems,...
Persistent link: https://www.econbiz.de/10008468655
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The Aftermath of Financial Crises
Reinhart, Carmen M.; Rogoff, Kenneth - C.E.P.R. Discussion Papers - 2009
This paper examines the depth and duration of the slump that invariably follows severe financial crises, which tend to be protracted affairs. We find that asset market collapses are deep and prolonged. On a peak-to-trough basis, real housing price declines average 35 percent stretched out over...
Persistent link: https://www.econbiz.de/10005124095
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A Corporate Balance Sheet Approach to Currency Crises
Aghion, Philippe; Bacchetta, Philippe; Banerjee, Abhijit - C.E.P.R. Discussion Papers - 2001
This Paper presents a general equilibrium currency crisis model of the 'third generation', in which the possibility of currency crises is driven by the interplay between private firms' credit-constraints and nominal price rigidities. Despite our emphasis on microfoundations, the model remains...
Persistent link: https://www.econbiz.de/10005124430
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High Yields: The Spread on German Interest Rates
Favero, Carlo A.; Giavazzi, Francesco; Spaventa, Luigi - C.E.P.R. Discussion Papers - 1996
This paper is a first attempt at evaluating the determinants of the total interest rate differentials on government bonds between high yielders, namely Spain, Italy, Sweden, and Germany. In particular, we address the question of the relative importance of local and global factors in the...
Persistent link: https://www.econbiz.de/10005504311
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Adjustment to Target Capital, Finance and Growth
Ciccone, Antonio; Papaioannou, Elias - C.E.P.R. Discussion Papers - 2006
Does financial development result in capital being reallocated more rapidly to industries where it is most productive? We argue that if this was the case, financially developed countries should see faster growth in industries with investment opportunities due to global demand and productivity...
Persistent link: https://www.econbiz.de/10005504771
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Estimating Cross-Industry Cross-Country Models Using Benchmark Industry Characteristics
Ciccone, Antonio; Papaioannou, Elias - C.E.P.R. Discussion Papers - 2010
International industry data permits testing whether the industry-specific impact of cross-country differences in institutions or policies is consistent with economic theory. Empirical implementation requires specifying the industry characteristics that determine impact strength. Most of the...
Persistent link: https://www.econbiz.de/10008684683
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Carry
Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013
Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...
Persistent link: https://www.econbiz.de/10011083673
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The Pricing of Sovereign Risk and Contagion during the European Sovereign Debt Crisis
Beirne, John; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2012
The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion – a sharp rise in the sensitivity of financial markets to fundamentals –...
Persistent link: https://www.econbiz.de/10011084109
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An EMU with Different Transmission Mechanisms
Giovannetti, Giorgia; Marimon, Ramon - C.E.P.R. Discussion Papers - 1998
We develop and compute a dynamic equilibrium model where economies differ on the relative efficiency of financial intermediaries and, therefore on households portfolios and currency holdings. Our model economies have some of the features of the different financial structures in countries of the...
Persistent link: https://www.econbiz.de/10005662222