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On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - CESifo - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10010636593
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Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?
Caporale, Guglielmo Maria; Hanck, Christoph - CESifo - 2006
(possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage …
Persistent link: https://www.econbiz.de/10005765840
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Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data
Fidrmuc, Jarko; Horváth, Roman - CESifo - 2007
We examine the daily exchange rate dynamics in selected new EU member states (Czech Republic, Hungary, Poland, Romania, and Slovakia) using GARCH and TARCH models between 1999 and 2006. Despite these countries adopted inflation targeting regime, they occasionally tried to manage their exchange...
Persistent link: https://www.econbiz.de/10005765724
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An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects
Al-Sadoon, Majid M.; Li, Tong; Pesaran, M. Hashem - CESifo - 2012
eliminate the unobserved heterogeneity term and at the same time to identify the parameters of the model. We then propose GMM … likelihood approach, which can only identify the effect of state dependence in our case. Monte Carlo experiments demonstrate the … finite sample performance of our GMM estimators. …
Persistent link: https://www.econbiz.de/10010598909
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Consistent Estimation of Linear Panel Data Models with Measurement Error
Meijer, Erik; Spierdijk, Laura; Wansbeek, Tom J. - CESifo - 2015
offers various opportunities to derive moment conditions that result in consistent GMM estimators. We consider three sources …
Persistent link: https://www.econbiz.de/10011122680
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Panel Data Gravity Models of International Trade
Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael - CESifo - 2014
One of the oldest and largest literatures in empirical economics is concerned with the estimation of demand and supply of goods, services, and factors across national or subnational borders (see Leamer and Levinsohn, 1995). The respective empirical models specified and estimated are often...
Persistent link: https://www.econbiz.de/10010739343
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Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models
Kiviet, Jan Frederik; Pleus, Milan; Poldermans, Rutger - CESifo - 2015
-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross … transformations of the matrix of instrumental variables, of less robust implementations of the GMM weighting matrix, and also of … variants of tests for overidentification restrictions show serious deficiencies. A recently developed modification of GMM is …
Persistent link: https://www.econbiz.de/10011124891
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Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - CESifo - 2012
the finite sample behavior of the transformed maximum likelihood estimator and compare it with various GMM estimators … transformed likelihood estimator outperforms the GMM estimators in almost all cases. …This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …
Persistent link: https://www.econbiz.de/10010554827
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A Generalized Spatial Panel Data Model with Random Effects
Baltagi, Badi H.; Egger, Peter; Pfaffermayr, Michael - CESifo - 2012
This paper proposes a generalized panel data model with random effects and first-order spatially autocorrelated residuals that encompasses two previously suggested specifications. The first one is described in Anselin’s (1988) book and the second one by Kapoor, Kelejian, and Prucha (2007). Our...
Persistent link: https://www.econbiz.de/10010570349
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Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects
Hayakawa, Kazuhiko; Pesaran, M. Hashem; Smith, L. Vanessa - CESifo - 2014
This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive … important extension since it retains the advantages of the transformed likelihood approach, whilst at the same time allows for … estimator performs well in finite samples and outperforms the GMM estimators proposed in the literature in almost all cases …
Persistent link: https://www.econbiz.de/10010779414