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One reason countries pay their debts : renegotiation and international trade

Rose, Andrew (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001629624

Schuermann, Til (contributor); Hanson, Samuel G. (contributor) - 2004 - [Elektronische Ressource]

"We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods--cohort and duration...

Persistent link: https://www.econbiz.de/10002521762

Dealer financial conditions and lender-of-last resort facilities

Acharya, Viral V.; Fleming, Michael J.; Hrung, Warren; … - Federal Reserve Bank of New York - 2014

We examine the financial conditions of dealers that participated in two of the Federal Reserve’s lender-of-last-resort (LOLR) facilities--the Term Securities Lending Facility (TSLF) and the Primary Dealer Credit Facility (PDCF)--that provided liquidity against a range of assets during 2008-09....

Persistent link: https://www.econbiz.de/10010774312

Insolvency after the 2005 bankruptcy reform

Albanesi, Stefania; Nosal, Jaromir B. - Federal Reserve Bank of New York - 2015

, especially, the financial cost of filing for bankruptcy. We study the effects of the reform on bankruptcy, insolvency, and …. We find that the decline in bankruptcy filings resulted in a rise in the rate and persistence of insolvency as well as an … that insolvency is associated with worse financial outcomes than bankruptcy, as insolvent individuals have less access to …

Persistent link: https://www.econbiz.de/10011254936

Real-time inflation forecasting in a changing world

Groen, Jan J. J.; Paap, Richard; Ravazzolo, Francesco - Federal Reserve Bank of New York - 2009

This paper revisits inflation forecasting using reduced-form Phillips curve forecasts, that is, inflation forecasts that use activity and expectations variables. We propose a Phillips-curve-type model that results from averaging across different regression specifications selected from a set of...

Persistent link: https://www.econbiz.de/10005078430

Commodity prices, commodity currencies, and global economic developments

Groen, Jan J. J.; Pesenti, Paolo A. - Federal Reserve Bank of New York - 2009

In this paper, we seek to produce forecasts of commodity price movements that can systematically improve on naive statistical benchmarks. We revisit how well changes in commodity currencies perform as potential efficient predictors of commodity prices, a view emphasized in the recent literature....

Persistent link: https://www.econbiz.de/10005078431

Parsimonious estimation with many instruments

Groen, Jan J. J.; Kapetanios, George - Federal Reserve Bank of New York - 2009

We suggest a way to perform parsimonious instrumental variables estimation in the presence of many, and potentially weak, instruments. In contrast to standard methods, our approach yields consistent estimates when the set of instrumental variables complies with a factor structure. In this sense,...

Persistent link: https://www.econbiz.de/10005078436

Model selection criteria for factor-augmented regressions

Groen, Jan J. J.; Kapetanios, George - Federal Reserve Bank of New York - 2009

In a factor-augmented regression, the forecast of a variable depends on a few factors estimated from a large number of predictors. But how does one determine the appropriate number of factors relevant for such a regression? Existing work has focused on criteria that can consistently estimate the...

Persistent link: https://www.econbiz.de/10005420506

Consistent covariance matrix estimation in probit models with autocorrelated errors

Estrella, Arturo; Rodrigues, Anthony P. - Federal Reserve Bank of New York - 1998

Some recent time-series applications use probit models to measure the forecasting power of a set of variables. Correct inferences about the significance of the variables requires a consistent estimator of the covariance matrix of the estimated model coefficients. A potential source of...

Persistent link: https://www.econbiz.de/10005526284

An expanded, cointegrated model of U.S. trade

Hickok, Susan A.; Hung, Juann H.; Wulfekuhler, Kurt C. - Federal Reserve Bank of New York - 1991

Persistent link: https://www.econbiz.de/10005387358