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Panel data models with unobserved multiple time-varying effects to estimate risk premium of corporate bonds

Bada, Oualid; Kneip, Alois - 2010 - This version: October 19, 2010

We use a panel cointegration model with multiple time- varying individual effects to control for the enigmatic missing factors in the credit spread puzzle. Our model specification enables as to capture the unobserved dynamics of the systematic risk premia in the bond market. In order to estimate...

Persistent link: https://www.econbiz.de/10009124813

The law of aggregate demand : empirical evidence from India using nonparametric direct average derivative estimation procedure

Chakrabarty, Manisha - 2001

This paper attempts to provide empirical evidence of the positive definiteness of the mean income effect matrix, a sufficient condition for market demand to satisfy the law of demand derived by Härdle, Hildenbrand and Jerison [HHJ(1991)]. Increasing heterogeneity in spending of populations of...

Persistent link: https://www.econbiz.de/10011540065

Modeling and forecasting DAX index volatility

Lazarov, Zdravetz (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002040246

The delegation perspective on representative democracy

Hain, Roland (contributor); Mitra, Manipushpak (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001825748

Aggregate behavior and microdata

Hildenbrand, Werner (contributor); Kneip, Alois (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001984652

Fiscal news and macroeconomic volatility

Born, Benjamin; Peter, Alexandra; Pfeifer, Johannes - 2011

This paper analyzes the contribution of anticipated capital and labor tax shocks to business cycle volatility in an estimated New Keynesian DSGE model. While fiscal policy accounts for 12 to 20 percent of output variance at business cycle frequencies, the anticipated component hardly matters for...

Persistent link: https://www.econbiz.de/10009748254

Foreign customer accumulation and export dynamics

Tjaden, Volker - 2013

I present a dynamic fixed cost model of export participation extended by a capital theoretic concept of the customer stock. Plants that want to start exporting have to invest into a market specific factor which serves as input into a decreasing returns to scale technology generating sales...

Persistent link: https://www.econbiz.de/10010191654

Engel's Law reconsidered

Chakrabarty, Manisha; Hildenbrand, Werner - 2009

Persistent link: https://www.econbiz.de/10003906398

Modelling aggregate consumption growth with time-varying parameters

Arns, Jürgen (contributor); … - 2005

Using the Family Expenditure Survey (FES) data for the United Kingdom (UK), the paper specifies and estimates a ’complete’ Hilden-brand Kneip (HK) model of consumption, extending earlier efforts that were ’partial’ in nature. As the estimated parameters in the ’partial’ HK model are...

Persistent link: https://www.econbiz.de/10003056106

On two-period committee voting : why straw polls should have consequences

Frommeyer, Tim Julius - 2015

We consider a committee voting setup with two rounds of voting where committee members who possess private information … information in the first voting period. Coughlan (2000) shows that members reveal their information in a straw poll only if their … incentives to reveal information if a decision with high levels of consensus can already be made in the straw poll. In such …

Persistent link: https://www.econbiz.de/10011430746