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A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

Baumeister, Christiane - 2016

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....

Persistent link: https://www.econbiz.de/10012996209

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

The Growth Effect of Democracy : Is It Heterogenous and How Can it Be Estimated?

Persson, Torsten; Tabellini, Guido - 2021

We estimate the effect of political regime transitions on growth with semi-parametric methods, combining difference in differences with matching, that have not been used in macroeconomic settings. Our semi-parametric estimates suggest that previous parametric estimates may have seriously...

Persistent link: https://www.econbiz.de/10013317020

Dissecting the PPP Puzzle : The Unconventional Roles of Nominal Exchange Rate and Price Adjustments

Cheung, Yin-Wong; Lai, Kon S.; Bergman, U. Michael - 2021

The conventional view, as expounded by sticky-price models, is that price adjustment determines the PPP reversion rate. This study examines the mechanism by which PPP deviations are corrected. Nominal exchange rate adjustment, not price adjustment, is shown to be the key engine governing the...

Persistent link: https://www.econbiz.de/10013319983

Understanding the Decline in the Price of Oil Since June 2014

Baumeister, Christiane - 2016

Some observers have conjectured that the steep decline in the price of oil between June and December 2014 resulted from positive oil supply shocks in the second half of 2014. Others have suggested that a major shock to oil price expectations occurred when in late November 2014 OPEC announced...

Persistent link: https://www.econbiz.de/10012996804

A Cross-Country Empirical Analysis of International Reserves

Cheung, Yin-Wong - 2013

Using data from more than 100 economies for the period of 1975 to 2005, we conduct an extensive empirical analysis of the determinants of international reserve holdings. Four groups of determinants, namely, traditional macro variables, financial variables, institutional variables, and dummy...

Persistent link: https://www.econbiz.de/10013095899

An Empirical Growth Model for Major Oil Exporters

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

-run output equation with a coefficient equal to the share of capital (α). The long-run theory is tested using quarterly data on … results support the long-run theory. The existence of long-run relations between real output, foreign output and real oil … steadily over the past three decades, the theory suggests that the effect of oil income on the economy’s steady state growth …

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