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Testing for Monotonicity under Endogeneity An Application to the Reservation Wage Function

Gutknecht, Daniel - Department of Economics, Oxford University - 2013

This paper develops a test for monotonicity of nonparametric regression models under endogeneity, which in its generality is novel in the literature. The test statistic, which is built upon a second order U-process, introduces 'correction terms' based on control functions that purge the...

Persistent link: https://www.econbiz.de/10011004222

Towards a Measure of Financial Fragility

Tsomocos, Dimitrios P - Department of Economics, Oxford University - 2006

This paper proposes a measure of financial fragility that is based on economic welfare in a general equilibrium model calibrated against UK data. The model comprises a household sector, three active heterogeneous banks, a central bank/regulator, incomplete markets, and endogenous default. We...

Persistent link: https://www.econbiz.de/10010661361

A Time Series Analysis of Financial Fragility in the UK Banking System

Tsomocos, Dimitrios P - Department of Economics, Oxford University - 2004

This paper extends the model proposed by Goodhart, Sunirand, and Tsomocos (2003, 2004a,b) to an infinite horizon setting. Thus, we are able to assess how the model conforms with the time series data of the U.K. banking system. We conclude that, since the model performs satisfactorily, it can be...

Persistent link: https://www.econbiz.de/10010661459

A Risk Assessment Model for Banks

Tsomocos, Dimitrios P; Goodhart, Charles A.E. - Department of Economics, Oxford University - 2004

The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate … endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its … data and therefore can be implemented as a risk assessment tool for financial regulators and central banks. We address the …

Persistent link: https://www.econbiz.de/10010820299

Carbon policy in a high-growth economy: The case of China

Bretschger, Lucas; Zhang, Lin - Department of Economics, Oxford University - 2014

There is widespread concern that an international agreement on stringent climate policies will not be reached because it would imply too high costs for fast growing economies like China. To quantify these costs we develop a general equilibrium model with fully endogenous growth. The...

Persistent link: https://www.econbiz.de/10011183195

Optimal Monetary Responses to Oil Discoveries

Wills, Samuel - Department of Economics, Oxford University - 2013

Monetary policy can play an important role in managing oil discoveries. Ideally governments will use fiscal policy to smooth consumption of oil income. In practice this often does not happen, as governments delay spending until oil revenues are received. This induces changes in the economy, both...

Persistent link: https://www.econbiz.de/10010720426

Mean Reversion in Long-Horizon Real Exchange Rates: Evidence from Latin America

Astorga, Pablo - Department of Economics, Oxford University - 2010

This paper analyses stability in real multilateral exchange rates in six leading Latin-American economies during the XXth century using a new data set. A univariate approach is complemented by an error-correction model including key fundamentals. Unit-root testing shows a very slow process...

Persistent link: https://www.econbiz.de/10011004385

Monetary Policy in a Currency Union with Heterogeneous Limited Asset Markets Participation

Eser, Fabian - Department of Economics, Oxford University - 2009

asset markets participation (LAMP). As a result risk sharing among member countries is imperfect and the monetary … the failure of risk sharing, determinacy for union-aggregates does not guarantee determinacy in every member country … equilibrium determinacy. For complete openness, determinacy is guaranteed. This underlines the importance of risk sharing and …

Persistent link: https://www.econbiz.de/10011004476

Currency Boards and Currency Crises

Irwin, Gregor - Department of Economics, Oxford University - 2001

This paper demonstrates how a currency board can become vulnerable to a crises in which the policymaker is forced to devalue. The model is built from two blocks: first, incomplete information about the devaluation cost faced by the policymaker; and second, unemployment persistence. Incomplete...

Persistent link: https://www.econbiz.de/10010604821

Riding the Wave: Monetary Responses to Aid Surges in Low-Income Countries

Adam, Christopher - Department of Economics, Oxford University - 2006

We focus on the management of highly persistent shocks to aid flows, including HIPC or MDG-related increases in net flows, in the presence of currency substitution by the domestic private sector. Such shocks have beneficient long-run effects, but when currency substitution is high they can...

Persistent link: https://www.econbiz.de/10010604904