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Common Macro Factors and Currency Premia

Filippou, Ilias; Taylor, Mark P - C.E.P.R. Discussion Papers - 2014

We study the role of domestic and global factors on payoffs of portfolios built to mimic carry, dollar carry and momentum strategies. We construct domestic and global factors from a large dataset of macroeconomic and financial variables and find that global equity market factors render strong...

Persistent link: https://www.econbiz.de/10011084700

Factor Models in Large Cross-Sections of Time Series

Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002

This Paper reviews recent econometric work on factor models in large cross-sections of time series. In this literature, traditional factor analysis is adapted to develop parsimonious estimation methods for high dimension time series models. The review covers problems of consistency and rates –...

Persistent link: https://www.econbiz.de/10005498094

Dynamic Common Factors in Large Cross-Sections

Forni, Mario; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1995

This paper develops a method to analyse large cross-sections with non-trivial time dimensions. The method: (i) identifies the number of common shocks in a factor analytic model; (ii) estimates the unobserved common dynamic component; (iii) shows how to test for fundamentality of the common...

Persistent link: https://www.econbiz.de/10005067411

Let's Get Real: A Dynamic Factor Analytical Approach to Disaggregated Business Cycle

Forni, Mario; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1995

This paper analyses output and productivity for 450 US industries from 1958 to 1986. We make the following contributions. (i) We develop a method based on dynamic principal components to identify the number of common shocks to our data set. (ii) We propose a simple method for the estimation of...

Persistent link: https://www.econbiz.de/10005661648

Factor Analysis in a New-Keynesian Model

Beyer, Andreas; Farmer, Roger E A; Henry, Jérôme; … - C.E.P.R. Discussion Papers - 2005

New-Keynesian models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation methods have several drawbacks, including possible lack of...

Persistent link: https://www.econbiz.de/10005662376

Measuring Top Incomes and lnequality in the Middle East: Data Limitations and Illustration with the Case of Egypt

Alvaredo, Facundo; Piketty, Thomas - C.E.P.R. Discussion Papers - 2014

East, with special emphasis to the case of Egypt. It has been noted that high inequality might have contributed to the Arab … income shares in a country like Egypt(or in other Middle East countries). One would need reliable fiscal sources in order to …

Persistent link: https://www.econbiz.de/10011171781

Did Muhammad Ali Foster Industrialization in Early 19th Century Egypt?

Panza, Laura; Williamson, Jeffrey G - C.E.P.R. Discussion Papers - 2013

Muhammad Ali, who ruled Egypt between 1805 and 1849, intervened in Egyptian markets in an attempt to foster … Egyptian history than from other poor countries at that time since Egypt faced the same terms of trade boom typical of most …

Persistent link: https://www.econbiz.de/10011083712

Macroinsurance for Microenterprises: A Randomized Experiment in Post-Revolution Egypt

McKenzie, David - C.E.P.R. Discussion Papers - 2014

conduct a randomized experiment in post-revolution Egypt to measure the impact of insuring microenterprises against …

Persistent link: https://www.econbiz.de/10011084029

Trade Integration with Europe, Export Diversification and Economic Growth in Egypt

Dessus, Sébastien; Suwa Eisenmann, Akiko - C.E.P.R. Discussion Papers - 1998

Egypt needs to diversify exports further in order to emerge from its isolation and to draw the maximum advantage from …

Persistent link: https://www.econbiz.de/10005791201

An Egypt-United States Free Trade Agreement: Economic Incentives and Effects

Hoekman, Bernard; Konan, Denise; Maskus, Keith - C.E.P.R. Discussion Papers - 1998

This paper explores the economic impact of a free trade agreement (FTA) between Egypt and the United States, assuming … that Egypt implements both the recently agreed Arab League FTA and a Partnership Agreement with the European Union. An … Egypt-United States agreement would improve Egypt’s economic welfare. Gains would be maximized if the agreement were to …

Persistent link: https://www.econbiz.de/10005791561