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Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion

Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - C.E.P.R. Discussion Papers - 2002

This Paper develops a test of contagion in financial markets based on bivariate correlation analysis, which generalizes existing tests, and applies it to the international effects of the Hong Kong stock market crisis of October 1997. Contagion is defined as a structural break in the...

Persistent link: https://www.econbiz.de/10005791976

Country and Industry Dynamics in Stock Returns

Catão, Luis A. V.; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004

An important question in international finance is to what extent stock return volatility is influenced by country location, industry affiliation, and global factors. This Paper develops a new methodology to measure these effects, in which portfolios mimicking ‘pure’ country and industry...

Persistent link: https://www.econbiz.de/10005067673

Preferred Risk Habitat of Individual Investors

Dorn, Daniel; Huberman, Gur - C.E.P.R. Discussion Papers - 2007

The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks with volatilities … commensurate with their risk aversion; more risk-averse individuals pick lower-volatility stocks. The investors' portfolio … stocks are sold they are replaced by stocks of similar volatilities, and the more risk averse customers indeed hold less …

Persistent link: https://www.econbiz.de/10005067451

Is There Regional Tax Competition? Firm Level Evidence for Belgium

Crabbé, Karen; Janssen, Boudewijn; Vandenbussche, Hylke - C.E.P.R. Discussion Papers - 2004

This is the first Paper that looks at regional tax competition within one single country. In many countries in Europe, regions within a country differ substantially in their economic development and attractiveness to firms. Belgium is a typical example of a country where the economic situation...

Persistent link: https://www.econbiz.de/10005661436

The Term Structure of Inflation Expectations

Chernov, Mikhail; Mueller, Philippe - C.E.P.R. Discussion Papers - 2008

accommodates forecasts over multiple horizons from multiple surveys and Treasury yields by allowing for differences between risk …

Persistent link: https://www.econbiz.de/10005662095

Learning by Doing and Multiproduction Effects Over the Life Cycle: Evidence from the Semiconductor Industry

Siebert, Ralph - C.E.P.R. Discussion Papers - 2003

In this study we derive a structural econometric model of learning by doing with multiproduct competition from a dynamic oligopoly game. We show the importance to account for multiproduction effects through product differentiation when measuring learning by doing. Using quarterly firm-level data...

Persistent link: https://www.econbiz.de/10005497705

Choosing the variables to estimate singular DSGE models

Canova, Fabio; Ferroni, Filippo; Matthes, Christian - C.E.P.R. Discussion Papers - 2013

We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables that optimizes parameter identification; the second the vector that minimizes the informational discrepancy between the...

Persistent link: https://www.econbiz.de/10011083464

Inference Based on SVAR Identified with Sign and Zero Restrictions: Theory and Applications

Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; … - C.E.P.R. Discussion Papers - 2014

Are optimism shocks an important source of business cycle fluctuations? Are deficit-financed tax cuts better than deficit-financed spending to increase output? These questions have been previously studied using SVARs identified with sign and zero restrictions and the answers have been positive...

Persistent link: https://www.econbiz.de/10011084047

Back to square one: identification issues in DSGE models

Canova, Fabio; Sala, Luca - C.E.P.R. Discussion Papers - 2009

We investigate identification issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model-based impulse responses. Observational equivalence, partial and weak identification problems are...

Persistent link: https://www.econbiz.de/10004990850

Persistence and Mobility in International Trade

Proudman, James; Redding, Stephen J. - C.E.P.R. Discussion Papers - 1998

The theoretical literature on endogenous growth and international trade suggests that comparative advantage is endogenous. Sector-specific learning by doing and technology transfer respectively provide reasons why initial patterns of international specialization may persist or exhibit mobility...

Persistent link: https://www.econbiz.de/10005067579