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Small Sample Properties of Maximum Likelihood Versus Generalized Method of Moments Based Tests for Spatially Autocorrelated Errors

Egger, Peter; Larch, Mario; Pfaffermayr, Michael; … - CESifo - 2005

This paper undertakes a Monte Carlo study to compare MLE-based and GMM-based tests regarding the spatial autocorrelation coefficient of the error term in a Cliff and Ord type model. The main finding is that a Wald-test based on GMM estimation as derived by Kelejian and Prucha (2005a) performs...

Persistent link: https://www.econbiz.de/10005765991

Consumer Search and Oligopolistic Pricing: An Empirical Investigation

Janssen, Maarten C. W.; Moraga-González, José Luis; … - CESifo - 2004

This paper presents an empirical examination of oligopoly pricing and consumer search. The theoretical model allows for sequential and non-sequential search and, using the theoretical restrictions firm and consumer behavior impose on the data, we study the empirical validity of the models. Two...

Persistent link: https://www.econbiz.de/10005094320

Cointegration Analysis with Mixed-Frequency Data

Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter - CESifo - 2007

We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...

Persistent link: https://www.econbiz.de/10005405735

The Consumption-Based Determinants of the Term Structure of Discount Rates

Gollier, Christian - CESifo - 2005

The efficient rate of return of a zero-coupon bond with maturity t is determined by our expectations about the mean (+), variance (-) and skewness (+) of the growth of aggregate consumption between 0 and t. The shape of the yield curve is thus determined by how these moments vary with t. We...

Persistent link: https://www.econbiz.de/10005094448

An Extended Macro-Finance Model with Financial Factors

Dewachter, Hans; Iania, Leonardo - CESifo - 2010

This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...

Persistent link: https://www.econbiz.de/10008572472

Resolving the Spanning Puzzle in Macro-Finance Term Structure Models

Bauer, Michael D.; Rudebusch, Glenn D. - CESifo - 2015

Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is...

Persistent link: https://www.econbiz.de/10011155372

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

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

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

Natural Resources, Volatility, and Inclusive Growth: Perspectives from the Middle East and North Africa

Arezki, Rabah; Nabli, Mustapha K. - CESifo - 2012

experienced relatively low and non inclusive economic growth as well as high levels of macroeconomic volatility. Important …

Persistent link: https://www.econbiz.de/10010550241