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Missing Events in Event Studies : Identifying the Effects of Partially-Measured News Surprises
Gürkaynak, Refet S. - 2018
Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...
Persistent link: https://www.econbiz.de/10012908673
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure
Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - 2021
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...
Persistent link: https://www.econbiz.de/10013316613
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A Probabilistic Solution to High-Dimensional Continuous-Time Macro and Finance Models
Huang, Ji - 2023
This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential equations (SDE) govern the dynamics of backward-looking variables, and backward SDEs capture that of forward-looking variables. Deep learning streamlines the search for the...
Persistent link: https://www.econbiz.de/10014345557
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Bitcoin Fluctuations and the Frequency of Price Overreactions
Caporale, Guglielmo Maria - 2019
This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical...
Persistent link: https://www.econbiz.de/10012892294
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To React or Not? Fiscal Policy, Volatility and Welfare in the EU-3
Malley, Jim - 2008
policy is purely to stabilize output or debt volatility, then our results suggest substantial reductions can be obtained …, especially with respect to output. In stark contrast, however, a formal general equilibrium welfare assessment of the volatility …
Persistent link: https://www.econbiz.de/10012773638
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Debt Shifting and Transfer Pricing in a Volatile World
Comincioli, Nicola; Panteghini, Paolo; Vergalli, Sergio - 2021
In this article we introduce a stochastic model with a multinational company (MNC) that exploits tax avoidance practices. We focus on both transfer pricing (TP) and debt shifting (DS) activities and show how their optimal level is chosen by the shareholders. In addition, we perform an extensive...
Persistent link: https://www.econbiz.de/10013251265
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Estimation and Inference in Spatial Models with Dominant Units
Pesaran, M. Hashem - 2020
In spatial econometrics literature estimation and inference are carried out assuming that the matrix of spatial or network connections has uniformly bounded absolute column sums in the number of units, n, in the network. This paper relaxes this restriction and allows for one or more units to...
Persistent link: https://www.econbiz.de/10012849715
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Differential Games of Public Investment : Markovian Best Responses in the General Case
Jaakkola, Niko; Wagener, Florian - 2023
sufficient condition for constructing the best response. Our methods do not require specific functional forms. Our theory has …
Persistent link: https://www.econbiz.de/10014345885
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Liquidity risk, credit risk and the overnight interest rate spread: A stochastic volatility modelling approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …
Persistent link: https://www.econbiz.de/10010270543
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Stochastic Contracts and Subjective Evaluations
Lang, Matthias - 2021
Subjective evaluations are widely used, but call for different contracts from traditional moral-hazard settings. Previous literature shows that contracts require payments to third parties, which real-world contracts rarely use. I show that the implicit assumption of deterministic contracts makes...
Persistent link: https://www.econbiz.de/10013311715