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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

57 Channels (and Nothin on) - Does TV-News on the Eurozone Affect Government Bond Yield Spreads?

Wolfinger, Julia - 2019

This paper empirically investigates the relationship between TV news coverage and the GIIPS countries’ bond yield spreads using daily data between January 1, 2007 and December 1, 2016. We employ 1,542,233 human coded news items from evening news shows of leading TV stations in 12 countries...

Persistent link: https://www.econbiz.de/10012892159

US Municipal Green Bonds and Financial Integration

Caporale, Guglielmo Maria; Spagnolo, Nicola - 2023

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of California, Colorado, Columbia and Ohio, and the role played by the recent Covid-19 pandemic and the COP policy announcements respectively. Specifically, four-variate VAR-GARCH-BEKK...

Persistent link: https://www.econbiz.de/10014358701

Quoted spreads and trade imbalance dynamics in the European treasury bond market

Caporale, Guglielmo Maria; Girardi, Alessandro; … - 2010

documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise … (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory … characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities. …

Persistent link: https://www.econbiz.de/10010275008

Dynamic Spatial Panel Models: Networks, Common Shocks, and Sequential Exogeneity

Kuersteiner, Guido M.; Prucha, Ingmar R. - 2015

This paper considers a class of GMM estimators for general dynamic panel models, allowing for cross sectional dependence due to spatial lags and due to unspecified common shocks. We significantly expand the scope of the existing literature by allowing for endogenous spatial weight matrices,...

Persistent link: https://www.econbiz.de/10011307112

Health Care Expenditure and Income: A Global Perspective

Baltagi, Badi H.; Lagravinese, Raffaele; Moscone, Francesco - 2016

This paper investigates the long-run economic relationship between health care expenditure and income in the world using data on 167 countries over the period 1995-2012, collected from the World Bank data set. The analysis is carried using panel data methods that allow one to account for...

Persistent link: https://www.econbiz.de/10011555533

Harding, Matthew; Lamarche, Carlos; Pesaran, M. Hashem - 2018

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed by Pesaran (2006) and Chudik and Pesaran (2015) and demonstrates that the extension...

Persistent link: https://www.econbiz.de/10011931961

Large panels with common factors and spatial correlations

Pesaran, Mohammad Hashem; Tosetti, Elisa - 2007

This paper considers the statistical analysis of large panel data sets where even after condi-tioning on common observed effects the cross section units might remain dependently distrib-uted. This could arise when the cross section units are subject to unobserved common effects and/or if there...

Persistent link: https://www.econbiz.de/10010276213

Weak and strong cross section dependence and estimation of large panels

Chudik, Alexander; Pesaran, Mohammad Hashem; Tosetti, Elisa - 2009

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

Persistent link: https://www.econbiz.de/10010276230

Chudik, Alexander; Pesaran, M. Hashem - 2013

This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data models with lagged dependent variable and/or weakly exogenous regressors. We show that the CCE mean group estimator continues to be valid but the following two conditions must...

Persistent link: https://www.econbiz.de/10010312860

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