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Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults

Pesaran, M. Hashem - 2011

This paper proposes a theoretical framework to analyze the impacts of credit and technology shocks on business cycle dynamics, where firms rely on banks and households for capital financing. Firms are identical ex ante but differ ex post due to different realizations of firm specific technology...

Persistent link: https://www.econbiz.de/10013119521

Aggregation in Large Dynamic Panels

Pesaran, M. Hashem - 2015

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

Persistent link: https://www.econbiz.de/10013038262

Weak and Strong Cross Section Dependence and Estimation of Large Panels

Chudik, Alexander - 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/10013158328

Exploring the International Linkages of the Euro Area : A Global VAR Analysis

Dees, Stephane - 2006

This paper presents a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model. This global VAR is estimated for 26 countries, the euro area...

Persistent link: https://www.econbiz.de/10012783809

A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels

Chudik, Alexander - 2017

This paper contributes to the GMM literature by introducing the idea of self-instrumenting target variables instead of searching for instruments that are uncorrelated with the errors, in cases where the correlation between the target variables and the errors can be derived. The advantage of the...

Persistent link: https://www.econbiz.de/10012943386

A Multiple Testing Approach to the Regularisation of Large Sample Correlation Markets

Bailey, Natalia - 2014

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of insights from the multiple testing literature. The method tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...

Persistent link: https://www.econbiz.de/10013051612

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. It is shown that compared to...

Persistent link: https://www.econbiz.de/10012756639

Counterfactual Analysis in Macroeconometrics : An Empirical Investigation into the Effects of Quantitative Easing

Pesaran, M. Hashem; Smith, Ron - 2021

This paper is concerned with ex ante and ex post counterfactual analyses in the case of macroeconometric applications where a single unit is observed before and after a given policy intervention. It distinguishes between cases where the policy change affects the model’s parameters and where it...

Persistent link: https://www.econbiz.de/10013315894

An Empirical Growth Model for Major Oil Exporters

Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - 2021

Venezuela), plus Indonesia which is a former member, and Mexico and Norway, which are members of the OECD. Overall, the test … income is established for six of the nine economies considered. The exceptions, Mexico and Norway, do not possess sufficient … reserves of Mexico and Norway are expected to last 9 and 10 years respectively, as compared to reserve-production ratios of …

Persistent link: https://www.econbiz.de/10013315924

Identification of New Keynesian Phillips Curves from a Global Perspective

Dees, Stephane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2021

New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check...

Persistent link: https://www.econbiz.de/10013316577