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Commodity Windfalls, Polarization, and Net Foreign Assets : Panel Data Evidence on the Voracity Effect
Arezki, Rabah - 2013
panel of 145 countries during the period 1970-2007. The main finding is that windfalls from international commodity price …
Persistent link: https://www.econbiz.de/10013092044
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A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Baumeister, Christiane - 2016
has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …
Persistent link: https://www.econbiz.de/10012996209
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Forecasting Tail Risks
De Nicolo, Gianni - 2015
Reliable early warning signals are essential for timely implementation of macroeconomic and macro-prudential policies. This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial (systemic) risks. Forecasts are obtained from: (a)...
Persistent link: https://www.econbiz.de/10013024363
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Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the 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...
Persistent link: https://www.econbiz.de/10013316571
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Employment Growth, Inflation and Output Growth : Was Phillips Right? Evidence from a Dynamic Panel
Caporale, Guglielmo Maria - 2013
dynamic panel including annual data for 119 countries over the period 1970-2010, and also carry out multivariate Granger … growth, giving support to Phillips' Golden Triangle theory …
Persistent link: https://www.econbiz.de/10013092691
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Stock Markets, Banks and Long Run Economic Growth : A Panel Cointegration-Based Analysis
Cavenaile, Laurent - 2013
and economic growth. We make use of a Johansen-based panel cointegration methodology allowing for cross-country dependence …
Persistent link: https://www.econbiz.de/10013071385
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A Panel Data Investigation of Real Exchange Rate Misalignment and Growth
MacDonald, Ronald - 2010
using time series data from 1980 to 2004. We first estimate a panel data model (using fixed and random effects) for the real … of real exchange rate misalignment using panel cointegration methods. The variables used in our real exchange rate models …-step System GMM panel growth models indicate that the coefficients for real exchange rate misalignment are positive for different …
Persistent link: https://www.econbiz.de/10013142797
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Why do Foreign Banks Withdraw from Other Countries? A Panel Data Analysis
Hryckiewicz, Aneta - 2013
This paper describes the trends in foreign bank ownership across the world and presents, for the first time, empirical … evidence of the causes of multinational banks' exits from other countries. Using panel data for 149 closed or divested foreign …
Persistent link: https://www.econbiz.de/10013094859
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Aggregation in Large Dynamic Panels
Pesaran, M. Hashem - 2015
Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …
Persistent link: https://www.econbiz.de/10013038262
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Panel Data Gravity Models of International Trade
Baltagi, Badi H. - 2014
their panel econometric generic structure. The issues covered range from the estimation of double-indexed versus higher …One of the oldest and largest literatures in empirical economics is concerned with the estimation of demand and supply … equations across pairs or regional units or even across cross-sectional units and time inevitably leads to a panel data …
Persistent link: https://www.econbiz.de/10013058498