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Whither China? Reform and Economic Integration among Chinese Regions
Fidrmuc, Jan; Fidrmuc, Jarko; Huang, Shuo - CESifo - 2013
This paper investigates the changing nature of economic integration in China. Specifically, we consider business …
Persistent link: https://www.econbiz.de/10010643334
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Commodity Price Volatility, Democracy and Economic Growth
Arezki, Rabah; Gylfason, Thorvaldur - CESifo - 2011
We use a new dataset on non-resource GDP to examine the impact of commodity price volatility on economic growth in a … panel of up to 158 countries during the period 1970-2007. Our main finding is that commodity price volatility leads to a … result, we show that increased commodity price volatility leads to a statistically significant and quantitatively large …
Persistent link: https://www.econbiz.de/10009352227
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Infinite Dimensional VARs and Factor Models
Chudik, Alexander; Pesaran, M. Hashem - CESifo - 2007
This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...
Persistent link: https://www.econbiz.de/10005766069
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Long Run Macroeconomic Relations in the Global Economy
Dees, Stephane; Holly, Sean; Pesaran, M. Hashem; Smith, … - CESifo - 2007
Smith (2007) to test for long run restrictions in each country/region conditioning on the rest of the world. Bootstrapping …
Persistent link: https://www.econbiz.de/10005181243
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Theory and Practice of GVAR Modeling
Chudik, Alexander; Pesaran, M. Hashem - CESifo - 2014
The Global Vector Autoregressive (GVAR) approach has proven to be a very useful approach to analyze interactions in the global macroeconomy and other data networks where both the cross-section and the time dimensions are large. This paper surveys the latest developments in the GVAR modeling,...
Persistent link: https://www.econbiz.de/10010775094
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Estimating the Effects of Coordinated Fiscal Actions in the Euro Area
Hebous, Shafik; Zimmermann, Tom - CESifo - 2012
We estimate spillover effects of a fiscal shock in one member country in the euro area on outputs of the rest of the … members, using a Global Vector Autoregression (GVAR) model. We compare the effects of a domestic fiscal shock with those of a … similar size area-wide shock expressed as a weighted average of the fiscal shocks across all member countries. According to …
Persistent link: https://www.econbiz.de/10010568610
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Business Cycles, International Trade and Capital Flows: Evidence from Latin America
Caporale, Guglielmo Maria; Girardi, Alessandro - CESifo - 2012
American (LA) countries and the four largest economies in the world (namely the US, the Euro area, Japan and China) over the …
Persistent link: https://www.econbiz.de/10010595388
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Fiscal Adjustments and Business Cycle Synchronization
Agnello, Luca; Caporale, Guglielmo Maria; Sousa, Ricardo M. - CESifo - 2013
Using a panel of annual data for 20 countries we show that synchronized fiscal consolidation (stimulus) programmes in different countries make their business cycles more closely linked, especially in the case of fiscal adjustments lasting 2 or 3 years. We also find: (i) little evidence of...
Persistent link: https://www.econbiz.de/10010721606
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The Micro Dynamics of Macro Announcements
Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - CESifo - 2013
response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …
Persistent link: https://www.econbiz.de/10010877723
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The Relative Volatility of Commodity Prices: A Reappraisal
Arezki, Rabah; Lederman, Daniel; Zhao, Hongyan - CESifo - 2011
This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in … evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. The literature tends … to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and …
Persistent link: https://www.econbiz.de/10009391720