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Infinite dimensional VARs and factor models

Chudik, Alexander (contributor); … - 2007

This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...

Persistent link: https://www.econbiz.de/10003646695

Identification of New Keynesian Phillips Curves from a global perspective

Dées, Stephane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2008

New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check...

Persistent link: https://www.econbiz.de/10003652695

Family ties and political participation

Alesina, Alberto; Giuliano, Paola - 2009

We establish an inverse relationship between family ties, generalized trust and political participation. The more individuals rely on the family as a provider of services, insurance, transfer of resources, the lower is civic engagement and political participation. The latter, together with...

Persistent link: https://www.econbiz.de/10003832188

Pairwise tests of purchasing power parity

Pesaran, M. Hashem; Smith, Ron; Yamagata, Takashi; … - In: Econometric reviews 28 (2009) 6, pp. 495-521

Persistent link: https://www.econbiz.de/10003881179

Family values and the regulation of labor

Alesina, Alberto; Algan, Yann; Cahuc, Pierre; Giuliano, … - 2010

first century and family values prevailing before World War II, which suggests that labor market regulations have deep …

Persistent link: https://www.econbiz.de/10003939216

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - In: Economic modelling 27 (2010) 6, pp. 1398-1416

Persistent link: https://www.econbiz.de/10008825760

The power of the family

Alesina, Alberto (contributor); Giuliano, Paola (contributor) - 2007

using individual responses from the World Value Survey regarding the role of the family and the love and respect that …

Persistent link: https://www.econbiz.de/10003585276

Predictability of asset returns and the efficient market hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10003985756

China's emergence in the world economy and business cycles in Latin America

Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2011

world have altered the transmission mechanism of international business cycles to Latin America. Evidence based on a Global … world shows that the long-term impact of a China GDP shock on the typical Latin American economy has increased by three … associated with a deceleration in China's economic growth in the future for both Latin America and the rest of the world economy …

Persistent link: https://www.econbiz.de/10009311486

Do natural disasters increase the likelihood that a government is replaced?

Chang, Chun Ping; Berdiev, Aziz N. - In: Applied economics 47 (2015) 16/18, pp. 1788-1808

Persistent link: https://www.econbiz.de/10010511960