Showing 1 - 10 of 246
We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that established time-series and panel methods substantially exaggerate the persistence of real exchange rates because of heterogeneity in the dynamics of disaggregated relative prices. When...
Persistent link: https://www.econbiz.de/10005248142
shocks that avoid endogeneity and predictability concerns. Estimation results indicate that oil-price shocks have had …
Persistent link: https://www.econbiz.de/10009650637
This paper extends the long-run growth model of Esfahani et al. (2009) to a labor exporting country that receives large inflows of external income?the sum of remittances, FDI and general government transfers?from major oil-exporting economies. The theoretical model predicts real oil prices to be...
Persistent link: https://www.econbiz.de/10009401201
The 2008 crisis underscored the interconnectedness of the international business cycle, with U.S. shocks leading to the largest global slowdown since the 1930s. We estimate spillover effects across major advanced country regions in a structural VAR (SVAR) using pre-crisis data. Our new method...
Persistent link: https://www.econbiz.de/10008727802
This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange...
Persistent link: https://www.econbiz.de/10005825647
This paper reexamines the empirical relationship between financial development and economic growth. It presents evidence based on cross-section and panel data using an updated dataset, a variety of econometric methods, and two standard measures of financial development: the level of liquid...
Persistent link: https://www.econbiz.de/10005826253
-sample results, these largely reflect finite-sample estimation biases. Adjusting for these biases, there is little evidence of …
Persistent link: https://www.econbiz.de/10005826261
This paper provides empirical evidence on the response of labor productivity to the arrival of new inventions. The benchmark measure of technological progress is given by data on patent applications in the U.S. over the period 1889-2002. The analysis shows that labor productivity may temporarily...
Persistent link: https://www.econbiz.de/10005768749
This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with … the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is … commonly defined as the risk of loss resulting from inadequate or failed internal processes and information systems, from …
Persistent link: https://www.econbiz.de/10005768778
Many estimates of early-warning-system (EWS) models of currency crisis have reported incorrect standard errors because of serial correlation in the context of panel probit regressions. This paper documents the magnitude of the problem, proposes and tests a solution, and applies it to previously...
Persistent link: https://www.econbiz.de/10005768958