In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...

We extend previous literature on fiscal policy sustainability by introducing non-linear fiscal reaction functions with endogenously estimated state-varying thresholds to capture the behaviour of fiscal policy authorities during "good" and "bad" times. These thresholds vary with the level of...

Inflation expectations are a key determinant of actual and future inflation and thus matter for the conduct of monetary policy. We study how firms form their inflation expectations using quarterly firm-level data from the Bank of Canada's Business Outlook Survey, spanning the 2001 to 2015...

We employ real-time data available to the US monetary policy makers to estimate a Taylor rule augmented with a measure of financial uncertainty over the period 1969-2008. We find evidence in favor of a systematic response to financial uncertainty over and above that to expected inflation, output...

Research on the elasticity of substitution between capital and labor - ó - has been proceeding for 75 years. While there is clearly a strong case for the importance of ó in the analysis of growth and other economic issues, much less agreement exists on the value of ó. This paper offers some...

We assess the sustainability of the public finances of Greece, Ireland, Italy, Portugal and Spain (GIIPS), allowing for possible non-linearities in the form of threshold behaviour of the fiscal authorities. We provide some evidence of fiscal sustainability when debt gets too high relative to a...

This paper evaluates the predictive content of a set of alternative monthly indicators of global economic activity for nowcasting and forecasting quarterly world GDP using mixed-frequency models. We find that a recently proposed indicator that covers multiple dimensions of the global economy...

The paper is structured around three main contributions. First, it takes advantage of a unique survey on Afghan asylum seekers in Germany to provide novel descriptive insights into asylum seekers' beliefs about their outcomes and the associated intention to overstay. Second, it estimates asylum...

The paper introduces the appropriate within estimators for the most frequently used three-dimensional fixed effects panel data models. It analyzes the behavior of these estimators in the cases of no self-flow data, unbalanced data, and dynamic autoregressive models. The main results are then...

Several recent papers employ the regression discontinuity design (RDD) to estimate the causal effect of a diploma (or similar credentials) on wages. Using a simple model of asymmetric information, I show that RDD estimates the information value of a diploma. A positive information value arises...