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Non-Linearities and Persistence in US Long-Run Interest Rates
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; … - 2021
-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …
Persistent link: https://www.econbiz.de/10013314848
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Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models
Harding, Matthew - 2018
This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …
Persistent link: https://www.econbiz.de/10012908711
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On the Capital Structure of Foreign Subsidiaries : Evidence from a Panel Data Quantile Regression Model
Miniaci, Raffaele; Panteghini, Paolo - 2021
estimation of unconditional quantile partial effects in a model with correlated random effects. The results show that the impact …
Persistent link: https://www.econbiz.de/10013226660
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The Short-Run and Long-Run Effects of Trade Openness on Financial Development : Some Panel Evidence for Europe
Caporale, Guglielmo Maria; Sova, Anamaria; Sova, Robert - 2021
This paper analyses the short- and long-run effects of trade openness on financial development in a panel including …
Persistent link: https://www.econbiz.de/10013227601
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Does Household Borrowing Reduce the Trade Balance? Evidence from Developing and Developed Countries
Xu, Can; Jacobs, Jan; de Haan, Jakob - 2021
We examine the dynamic impact of household borrowing on the trade balance using data from 33 developing countries and 36 developed countries over the 1980-2017 period. Our findings suggest that the impact of household borrowing on the trade balance is by and large negative, both in the short and...
Persistent link: https://www.econbiz.de/10013224078
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The Determinants of Crude Oil Prices : Evidence from ARDL and Nonlinear ARDL Approaches
Salem, Leila Ben; Nouira, Ridha; Jeguirim, Khaled; … - 2022
) approach is used to explore this asymmetry. The use of an asymmetric error correction model with asymmetric cointegration …
Persistent link: https://www.econbiz.de/10014242790
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Persistence, Non-Linearities and Structural Breaks in European Stock Market Indices
Caporale, Guglielmo Maria - 2019
This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...
Persistent link: https://www.econbiz.de/10012866377
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Nonlinearities and Asymmetric Adjustment to PPP in an Exchange Rate Model with Inflation Expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper estimates a model of the real exchange rate including standard fundamentals as well as two alternative measures of inflation expectations for five inflation targeting countries (UK, Canada, Australia, New Zealand, Sweden) over the period January 1993-July 2019. Both a benchmark linear...
Persistent link: https://www.econbiz.de/10013243236
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Reflections on “Testing for Unit Roots in Heterogeneous Panels”
Im, Kyung So; Pesaran, M. Hashem; Shin, Yongcheol - 2023
This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration …
Persistent link: https://www.econbiz.de/10014262740
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Understanding the Estimation of Oil Demand and Oil Supply Elasticities
Kilian, Lutz - 2020
This paper examines the advantages and drawbacks of alternative methods of estimating oil supply and oil demand elasticities and of incorporating this information into structural VAR models. I not only summarize the state of the literature, but also draw attention to a number of econometric...
Persistent link: https://www.econbiz.de/10012822493