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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash

Pesaran, Bahram - 2013

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

Persistent link: https://www.econbiz.de/10013094817

Uncertainty and Economic Activity

Cesa-Bianchi, Ambrogio - 2014

The 2007-2008 global financial crisis and the subsequent anemic recovery have rekindled academic interest in quantifying the impact of uncertainty on macroeconomic dynamics based on the premise that uncertainty causes economic activity to slow down and contract. In this paper, we study the...

Persistent link: https://www.econbiz.de/10013054500

Exponent of Cross-Sectional Dependence : Estimation and Inference

Bailey, Natalia - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10013111367

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

Is There a Debt-Threshold Effect on Output Growth?

Chudik, Alexander - 2015

This paper studies the long-run impact of public debt expansion on economic growth and investigates whether the debt-growth relation varies with the level of indebtedness. Our contribution is both theoretical and empirical. On the theoretical side, we develop tests for threshold effects in the...

Persistent link: https://www.econbiz.de/10013019040

Country-Specific Oil Supply Shocks and the Global Economy : A Counterfactual Analysis

Mohaddes, Kamiar - 2015

This paper investigates the global macroeconomic consequences of country-specific oil-supply shocks. Our contribution is both theoretical and empirical. On the theoretical side, we develop a model for the global oil market and integrate this within a compact quarterly model of the global economy...

Persistent link: https://www.econbiz.de/10013021694

Oil Prices and the Global Economy : Is it Different this Time Around?

Mohaddes, Kamiar - 2016

The recent plunge in oil prices has brought into question the generally accepted view that lower oil prices are good for the US and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a fall in oil prices tends relatively quickly to lower...

Persistent link: https://www.econbiz.de/10012985449

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021

use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …

Persistent link: https://www.econbiz.de/10013316571

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

Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model

Dees, Stephane - 2013

This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...

Persistent link: https://www.econbiz.de/10013094653