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Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area
Fratzscher, Marcel; Rieth, Malte - C.E.P.R. Discussion Papers - 2015
The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall...
Persistent link: https://www.econbiz.de/10011145437
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Cost Efficiency and Subsidization in German Local Public Bus Transit
Nieswand, Maria; Walter, Matthias - C.E.P.R. Discussion Papers - 2013
This paper examines the impact of endogenous deficit-balancing subsidies on the cost efficiency of local public bus …
Persistent link: https://www.econbiz.de/10011084257
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Gun Prevalence, Homicide Rates and Causality: A GMM Approach to Endogeneity Bias
Kleck, Gary; Kovandzic, Tomislav; Schaffer, Mark E - C.E.P.R. Discussion Papers - 2005
unlike nearly all previous such studies, we properly account for the endogeneity of gun ownership levels. We discuss the … three main sources of endogeneity bias - reverse causality (higher crime rates lead people to acquire guns for self …-protection), mismeasurement of gun levels, and omitted/confounding variables - and show how the Generalized Method of Moments (GMM) can provide an …
Persistent link: https://www.econbiz.de/10005123831
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Foreign Direct Investment, Competitive Pressure and Spillovers. An Empirical Analysis of Spanish Firm Level Data
Sembenelli, Alessandro; Siotis, Georges - C.E.P.R. Discussion Papers - 2005
) enjoy higher levels of efficiency and have the potential to generate positive spillovers. At the same time, the entry of …
Persistent link: https://www.econbiz.de/10005497928
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The Democratic Transition
Murtin, Fabrice; Wacziarg, Romain - C.E.P.R. Discussion Papers - 2011
Over the last two centuries, many countries experienced regime transitions toward democracy. We document this democratic transition over a long time horizon. We use historical time series of income, education and democracy levels from 1870 to 2000 to explore the economic factors associated with...
Persistent link: https://www.econbiz.de/10009320398
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Regression Based Estimation of Dynamic Asset Pricing Models
Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015
We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...
Persistent link: https://www.econbiz.de/10011186634
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Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach
Peñaranda, Francisco; Sentana, Enrique - C.E.P.R. Discussion Papers - 2004
and sequences of local alternatives, and analyse their asymptotic relative efficiency. We also extend the theory of … optimal GMM inference to deal with the singularities that arise in some spanning tests. Finally, we include an empirical …
Persistent link: https://www.econbiz.de/10005791800
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Factor-GMM Estimation with Large Sets of Possibly Weak Instruments
Kapetanios, George; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2010
weak. Theoretical results, simulation experiments and empirical applications highlight the relevance of Factor-GMM …
Persistent link: https://www.econbiz.de/10008468588
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Estimating the Probability of Leaving Unemployment Using Uncompleted Spells from Repeated Cross-Section Data
Güell, Maia; Hu, Luojia - C.E.P.R. Discussion Papers - 2003
We propose a new econometric estimation method for analysing the probability of leaving un-employment using uncompleted spells from repeated cross-section data, which can be especially useful when panel data are not available. The proposed method-of-moments-based estimator has two important...
Persistent link: https://www.econbiz.de/10005504490
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An Investment-Growth Asset Pricing Model
Li, Qing; Vassalou, Maria; Xing, Yuhang - C.E.P.R. Discussion Papers - 2001
model is tested for its ability to price the 25 Fama-French portfolios using the Generalized Methods of Moments (GMM …. Specification tests in the context of GMM and the Fama-MacBeth regressions show that in the presence of the investment growth …
Persistent link: https://www.econbiz.de/10005504559