Showing 1 - 10 of 28
We propose a stable non-parametric algorithm for the calibration of pricing models for portfolio credit derivatives: given a set of observations of market spreads for CDO tranches, we construct a risk-neutral default intensity process for the portfolio underlying the CDO which matches these...
Persistent link: https://www.econbiz.de/10010631315
We provide a signal modality analysis to characterize and detect nonlinearity schemes in the US Industrial Production Index time series. The analysis is achieved by using the recently proposed 'delay vector variance ' (DVV) method, which examines local predictability of a signal in the phase...
Persistent link: https://www.econbiz.de/10010635209
This study explores the relationship between exports and productivity using a panel dataset of Egyptian manufacturing …-exporters because the more productive firms self-select into export markets, while exporting does not necessarily improve productivity …. We investigate if exporting firms are more productive than non-exporting firms and, if so, whether the productivity …
Persistent link: https://www.econbiz.de/10010821380
them and other workers. After showing how land constraints and the productivity dynamics outside agriculture might prevent …
Persistent link: https://www.econbiz.de/10010738957
openness, higher productivity and lower inflation. Following a decline in transport cost openness increases and firm selection … eliminates the least productive domestic firms. The consequent increase in average productivity leads to falling relative prices …-induced productivity growth leads to a significant decline in inflation world wide. …
Persistent link: https://www.econbiz.de/10010739128
This paper investigates into the consequences of sector-speci c technological progress in a two-sector, optimal growth model. In accordance with existing theory, we find that consumption-specifi c Hicks-neutral technical shocks increase consumption but leave other parameters unchanged....
Persistent link: https://www.econbiz.de/10010739138
A semi-parametric approach is used to estimate firm propensity to exit. The unobserved individual productivity of a …
Persistent link: https://www.econbiz.de/10010898507
This documents aims at bridging productivity measurement and weak sustainability in a specific data envelopment …. Adjustment net saving is seen as a sustainability indicator and then the productivity indicator computed can be understood as a … sustainability productivity index. …
Persistent link: https://www.econbiz.de/10010898515
This paper proposes a Bayesian approach to estimate a factor augmented productivity equation. We exploit the panel …
Persistent link: https://www.econbiz.de/10010899343
"capital accumulation channel" and the "total factor productivity (TFP) growth channel". This paper carries out the first … undervaluation of the currency boost the overall productivity level in the economy? If so, does this "undervaluation …-induced" productivity improvement significantly enhance growth? And finally, what is the magnitude of the TFP growth channel compared to the …
Persistent link: https://www.econbiz.de/10010899605