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Forecasting economic and financial variables with global VARs

Pesaran, M. Hashem (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003662971

Identification of new Keynesian Phillips Curves from a global perspective

Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2008

Persistent link: https://www.econbiz.de/10003641659

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003641741

International taxation and multinational firm location decisions

Barrios Cobos, Salvador; Huizinga, Harry; Laeven, Luc; … - 2008

Using a large international firm-level data set, we estimate separate effects of host and parent country taxation on the location decisions of multinational firms. Both types of taxation are estimated to have a negative impact on the location of new foreign subsidiaries. In fact, the impact of...

Persistent link: https://www.econbiz.de/10003805989

Supply, demand and monetary policy shocks in a multi-country New Keynesian model

Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2010

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/10003974674

Infinite dimensional VARs and factor models

Chudik, Alexander (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003624878

Predictability of asset returns and the efficient market hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10003983206

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

Persistent link: https://www.econbiz.de/10003965868

Country-specific oil supply shocks and the global economy : a counterfactual analysis

Mohaddes, Kamiar; Pesaran, M. Hashem - 2015

this within a compact quarterly model of the global economy to illustrate how our multi-country approach to modelling oil … the global economy (real outputs and financial markets) mainly due to an increase in Saudi Arabian oil production. In … supply shock has significant adverse effects for the global economy with real GDP falling in both advanced and emerging …

Persistent link: https://www.econbiz.de/10010528313

Theory and practice of GVAR modeling

Chudik, Alexander; Pesaran, M. Hashem - 2014

The Global Vector Autoregressive (GVAR) approach has proven to be a very useful approach to analyze interactions in the global macroeconomy and other data networks where both the cross-section and the time dimensions are large. This paper surveys the latest developments in the GVAR modeling,...

Persistent link: https://www.econbiz.de/10010354717