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A non-linear multivariate model of the UK real exchange rate
Milas, Costas - 2001
Persistent link: https://www.econbiz.de/10001636887
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On the degree of homogeneity in dynamic heterogeneous panel data models
Offermanns, Christian J. - 2014
We propose a semi-parametric approach to heterogeneous dynamic panel data modelling. The method generalizes existing approaches to model cross-section homogeneity within such panels. It allows for partial influence of other cross-section units on estimated coefficients, differentiating between...
Persistent link: https://www.econbiz.de/10010414225
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Equilibrium real exchange rate estimates across time and space
Fischer, Christoph - 2019
estimation method used to derive them. Essentially, these methods differ in their treatment of the time-series (time) and the … cross-section (space) variation in the panel. The study shows that conventional panel estimation methods (pooled OLS, fixed … literature to show that the distortion is generally very large. This suggests the use of the CRE model for the panel estimation …
Persistent link: https://www.econbiz.de/10011998982
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Exploring the role of exchange rate in inflation targeting : evidence from Thailand
Pongsak Luangaram; Nipit Wongpunya - 2022
Persistent link: https://www.econbiz.de/10013262839
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Exchange rate depreciations and local business cycles : the role of bank loan supply
Beck, Thorsten; Bednarek, Peter; Kaat, Daniel Marcel te; … - 2021
This paper uses matched bank-firm-level data and the 2014 depreciation of the euro to show that exchange rate depreciations lead to increased bank loan supply of large banks with significant net foreign asset exposure. This increase in lending can be explained by a shift in credit towards both...
Persistent link: https://www.econbiz.de/10012792736
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The law of one food price
Clements, Kenneth W.; Si, Jiawei; Long Hai Vo - 2019
Persistent link: https://www.econbiz.de/10012207562
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The time-varying impact of systematic risk factors on corporate bond spreads
Klein, Arne Christian; Pliszka, Kamil - 2018
During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...
Persistent link: https://www.econbiz.de/10011855295
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A mixture of ordered probit models with endogenous assignment to two latent classes
Huismans, Jochem; Nijenhuis, Jan Willem; Sirchenko, Andrei - 2021
Persistent link: https://www.econbiz.de/10012507430
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An estimation of regime switching models with nonlinear endogenous switching
Chotipong Charoensom - 2024
Persistent link: https://www.econbiz.de/10014486831
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International investment positions and exchange rate dynamics
Binder, Michael; Offermanns, Christian J. - 2014
We revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we make use of a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our model the...
Persistent link: https://www.econbiz.de/10010414236