Showing 1 - 10 of 187
This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an...
Persistent link: https://www.econbiz.de/10013089178
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques … Eurozone and UK ones, Canadian rates with the UK and US ones, and Japanese rates with the UK ones. The increasing degree of …
Persistent link: https://www.econbiz.de/10012958879
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
This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...
Persistent link: https://www.econbiz.de/10012943161
This paper characterizes the dynamic empirical properties of country export capabilities in order to inform modelling … has noted a tendency for countries to concentrate exports in a few sectors. We show that this concentration arises from a … heavy-tailed distribution of industry export capabilities that is approximately log normal and whose shape is stable across …
Persistent link: https://www.econbiz.de/10013009768
hysteresis in potential output in a New-Keynesian model that is extended with endogenous potential output. To do so, a number of … simulations of relevant scenarios is undertaken. It is demonstrated that extending the New-Keynesian model with hysteresis has a …
Persistent link: https://www.econbiz.de/10012994794
In this paper we propose a novel way to model the labor market in the context of a New-Keynesian general equilibrium model, incorporating labor market frictions in the form of hiring and firing costs. We show that such a model is able to replicate many important stylized facts of the business...
Persistent link: https://www.econbiz.de/10013316264
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10013094836
estimates connecting country-industry productivity and exports, and the study exploits heterogeneous technology diffusion from …. The instrumented elasticity of export growth on the intensive margin with respect to the exporter's productivity growth is … advantages, and it establishes a connection of migration to home country exports beyond bilateral networks …
Persistent link: https://www.econbiz.de/10012902445
This paper assesses the role of a larger degree of common language use between the populations of two countries on the so-called extensive product margin of trade. We focus on the overlap of products exported or imported between any pair of countries. The results suggest that the effect of...
Persistent link: https://www.econbiz.de/10013052069