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Banking stability measures
Segoviano, Miguel A.; Goodhart, Charles - London School of Economics (LSE) - 2009
effects associated with a specific bank. Our approach defines the banking system as a portfolio of banks and infers its …
Persistent link: https://www.econbiz.de/10010744840
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House prices and credit constraints: making sense of the U.S. experience
Duca, John V.; Muellbauer, John; Murphy, Anthony - London School of Economics (LSE) - 2011
Most US house price models break down in the mid-2000's, due to the omission of exogenous changes in mortgage credit supply (associated with the sub-prime mortgage boom) from house price-to-rent ratio and inverted housing demand models. Previous models lack data on credit constraints facing...
Persistent link: https://www.econbiz.de/10011125991
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Shifting credit standards and the boom and bust in U.S. house prices
Duca, John V.; Muellbauer, John; Murphy, Anthony - London School of Economics (LSE) - 2011
The U.S. house price boom has been linked to an unsustainable easing of mortgage credit standards. However, standard time series models of US house prices omit credit constraints and perform poorly in the 2000’s. We incorporate data on credit constraints for first time buyers into a model of...
Persistent link: https://www.econbiz.de/10011126625
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Investigating rationality in wage-setting
Bhalotra, Sonia - London School of Economics (LSE) - 1998
This paper investigates the efficiency wage hypothesis and derives a tractable expression for the profit loss incurred … parameters. The resulting profit loss shown to depend upon the curvature of th effort function and the employment and wage … elasticities of output. If the profit loss is small then near rationality may be claimed even if the hypothesis of rationality is …
Persistent link: https://www.econbiz.de/10010928709
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Minority representation and policy choices: the significance of legislator identity
Pande, Rohini - London School of Economics (LSE) - 1999
law in India to test this prediction empirically. The principal finding is that minority representation has increased …
Persistent link: https://www.econbiz.de/10010928746
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Access to finance: a functional approach to supply and demand
Fischer, Gregory - London School of Economics (LSE) - 2011
This paper provides a comprehensive description of the financial environment for households and small businesses in a defined geographical region. It develops a new, functional approach to financial access surveys, which involves asking detailed questions about how respondents meet their...
Persistent link: https://www.econbiz.de/10011071530
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Estimation and testing of dynamic models with generalised hyperbolic innovations
Mencia, Javier F.; Sentana, Enrique - London School of Economics (LSE) - 2004
We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We provide a standardised version of this distribution, obtain analytical expressions for the log-likelihood score, and explain how...
Persistent link: https://www.econbiz.de/10010884659
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A method of moments estimator for semiparametric index models
Donkers, Bas; Schafgans, Marcia M. A. - London School of Economics (LSE) - 2005
We propose an easy to use derivative based two-step estimation procedure for semi-parametric index models. In the first step various functionals involving the derivatives of the unknown function are estimated using nonparametric kernel estimators. The functionals used provide moment conditions...
Persistent link: https://www.econbiz.de/10010884702
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Semi-parametric indirect inference
Dridi, Ramdan; Renault, Eric - London School of Economics (LSE) - 2000
We develop in this paper a generalization of the Indirect Inference (II) to semi-parametric settings and termed Semi-parametric Indirect Inference (SII). We introduce a new notion of Partial Encompassing which lays the emphasis on Pseudo True Values of Interest. The main difference with the...
Persistent link: https://www.econbiz.de/10010928755
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Maximum Likelihood in the Frequency Domain: a Time to Build Example.
Christiano, L.J.; Vigfusson, R.J. - London School of Economics (LSE) - 1999
A well known result is that the Gaussian log-likelihood can be expressed as the sum over different frequency components. This implies that the likelihood ratio statistic has a similar linear decomposition. We exploit these observations to devise diagnostic methods that are useful for...
Persistent link: https://www.econbiz.de/10005207535