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Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
Caporale, Guglielmo Maria - 2013
documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise … (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory … characteristics, stock market volatility, macroeconomic releases and liquidity management operations of the monetary authorities …
Persistent link: https://www.econbiz.de/10013094028
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Sovereign Bond Market Reactions to Fiscal Rules and No-Bailout Clauses - The Swiss Experience
Feld, Lars P. - 2013
We investigate the political determinants of risk premiums which sub-national governments in Switzerland have to pay for their sovereign bond emissions. For this purpose we analyse financial market data from 288 tradable cantonal bonds in the period from 1981 to 2007. Our main focus is on two...
Persistent link: https://www.econbiz.de/10013082962
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Interest Income Tax Evasion, the EU Savings Directive, and Capital Market Effects
Klautke, Tina - 2013
The Savings Directive has been celebrated as a major political break-through in coordinating taxation in Europe. Against this background, the present paper evaluates the real-world effects of this directive. The directive has left a loophole by providing grandfathering (exemption from...
Persistent link: https://www.econbiz.de/10012753596
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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
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Health Care Expenditure and Income : A Global Perspective
Baltagi, Badi H. - 2016
This paper investigates the long-run economic relationship between health care expenditure and income in the world using data on 167 countries over the period 1995-2012, collected from the World Bank data set. The analysis is carried using panel data methods that allow one to account for...
Persistent link: https://www.econbiz.de/10012979662
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Dynamic Spatial Panel Models : Networks, Common Shocks, and Sequential Exogeneity
Kuersteiner, Guido M. - 2015
This paper considers a class of GMM estimators for general dynamic panel models, allowing for cross sectional dependence due to spatial lags and due to unspecified common shocks. We significantly expand the scope of the existing literature by allowing for endogenous spatial weight matrices,...
Persistent link: https://www.econbiz.de/10013018457
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Large Panel Data Models with Cross-Sectional Dependence : A Survey
Chudik, Alexander - 2013
This paper provides an overview of the recent literature on estimation and inference in large panel data models with cross-sectional dependence. It reviews panel data models with strictly exogenous regressors as well as dynamic models with weakly exogenous regressors. The paper begins with a...
Persistent link: https://www.econbiz.de/10013076741
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Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors
Chudik, Alexander; Pesaran, M. Hashem - 2021
This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data models with lagged dependent variable and/or weakly ex-ogenous regressors. We show that the CCE mean group estimator continues to be valid but the following two conditions must...
Persistent link: https://www.econbiz.de/10013315784
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Large Panel Data Models with Cross-Sectional Dependence: A Survey
Chudik, Alexander; Pesaran, M. Hashem - CESifo - 2013
This paper provides an overview of the recent literature on estimation and inference in large panel data models with cross-sectional dependence. It reviews panel data models with strictly exogenous regressors as well as dynamic models with weakly exogenous regressors. The paper begins with a...
Persistent link: https://www.econbiz.de/10010877867
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Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors
Chudik, Alexander; Pesaran, M. Hashem - CESifo - 2013
This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data models with lagged dependent variable and/or weakly ex-ogenous regressors. We show that the CCE mean group estimator continues to be valid but the following two conditions must...
Persistent link: https://www.econbiz.de/10010877901