Showing 1 - 10 of 59
We examine the costs and benefits of the global integration of primary equity markets associated with the parallel diffusion of U.S. underwriting methods. We analyze both direct and indirect costs (associated with underpricing) using a unique dataset of 2,143 IPOs by non-U.S. issuers from 65...
Persistent link: https://www.econbiz.de/10010661458
We model the interaction between two economies where banks exhibit both adverse selection and moral hazard and bank regulators try to resolve these problems. We find that liberalising bank capital flows between economies reduces total welfare by reducing the average size and efficiency of the...
Persistent link: https://www.econbiz.de/10011146251
In this paper we analyse market co-movements during the global financial crisis.  Using high frequency data and accounting for market microstructure noise and non-synchronous trading, interdependencies between differing asset classes such as equity, FX, fixed income, commodity and energy...
Persistent link: https://www.econbiz.de/10011004255
Since the seminal contribution of Gregory Mankiw, David Romer and David Weil (1992), the growth empirics literature has used increasingly sophisticated methods to select relevant growth determinants in estimating cross-section regressions.  The vast majority of empirical approaches however...
Persistent link: https://www.econbiz.de/10011004316
This paper uses a VAR model estimated with Bayesian methods to identify the effect of productivity news shocks on labor market variables by imposing that they are orthogonal to current technology but they explain future observed technology.  In the aftermath of a positive news shock,...
Persistent link: https://www.econbiz.de/10011004325
Inflation is a far from homogeneous phenomenon, a fact often neglected in modeling consumer price inflation.  Using a novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage interest rates), are modeled separately and forecast,...
Persistent link: https://www.econbiz.de/10011004341
This paper studies how key labor market stylized facts and the responses of labor market variables to technology shocks vary over the US postwar period.  It uses a benchmark DSGE model enriched with labor market frictions and investment specific technological progress that enables a novel...
Persistent link: https://www.econbiz.de/10011004380
 We propose a new class of multivariate volatility models utilizing realized measures of asset volatility and covolatility extracted from high-frequency data. Dimension reduction for estimation of large covariance matrices is achieved by imposing a factor structure with time-varying conditional...
Persistent link: https://www.econbiz.de/10011004389
An algorithm suggested by Hendry (1999) for estimation in a regression with more regressors than observations, is analyzed with the purpose of finding an estimator that is robust to outliers and structural breaks.  This estimator is an example of a one-step M-estimator based on Huber's skip...
Persistent link: https://www.econbiz.de/10011004425
We consider whether oil prices can account for business cycle asymmetries. We test for asymmetries based on the Markov switching autoregressive model popularized by Hamilton (1989), using the tests devised by Clements and Krolzig (2000). We select the transformation of the oil price of Lee, Ni...
Persistent link: https://www.econbiz.de/10011277842