Showing 1 - 10 of 2,076
We study stock market reactions to the Brexit referendum on 23 June 2016 in order to assess investors' expectations about the effects of leaving the European Union on the UK economy. Our results suggest that initial stock price movements were driven by fears of a cyclical downturn and by the...
Persistent link: https://www.econbiz.de/10011900762
daily S&P500, the US Treasury Bond Index (USTB), the S&P Green Bond Index (GREEN) and the Dow Jones (DJ) Islamic World …
Persistent link: https://www.econbiz.de/10012584220
-dependent panel data model accounting in particular for program participation selection and the potential conditionality of the output … ; panel sample selection models ; conditional pooling …
Persistent link: https://www.econbiz.de/10008696785
, an ARDL dynamic panel model is estimated using the PMG method to analyse monthly data covering the most recent period …
Persistent link: https://www.econbiz.de/10013285828
the 2019Q1-2021Q2 period using a dynamic panel approach, specifically the system Generalized Method of Moments (GMM). In …
Persistent link: https://www.econbiz.de/10012668484
Interest-rate spreads fluctuate widely across time and countries. We characterize their behavior using some 3,200 quarterly observations for 21 advanced and 17 emerging economies since the early 1990s. Before the financial crisis, spreads are 10 times more volatile in emerging economies than in...
Persistent link: https://www.econbiz.de/10012162762
In this paper we perform a meta-analysis of the effects of monetary policies on output and prices. We use a sample of published papers on the effects of monetary policies in different countries. There is a large variation in the estimated effects of monetary policies on output and prices. We...
Persistent link: https://www.econbiz.de/10011449687
High-frequency changes in interest rates around FOMC announcements are a standard method of measuring monetary policy shocks. However, some recent studies have documented puzzling effects of these shocks on private-sector forecasts of GDP, unemployment, or inflation that are opposite in sign to...
Persistent link: https://www.econbiz.de/10012174827
Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive, we perform an in depth real-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature, namely the FRED-MD dataset. Focusing on U.S. GDP,...
Persistent link: https://www.econbiz.de/10012304069
We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with …-sectional (N) and time (T) dimensions and varying degrees of parameter heterogeneity. We investigate conditions under which panel …
Persistent link: https://www.econbiz.de/10013176894