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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/10003985756

Infinite dimensional VARs and factor models

Chudik, Alexander (contributor); … - 2007

This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...

Persistent link: https://www.econbiz.de/10003646695

China's emergence in the world economy and business cycles in Latin America

Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2011

world have altered the transmission mechanism of international business cycles to Latin America. Evidence based on a Global … world shows that the long-term impact of a China GDP shock on the typical Latin American economy has increased by three … associated with a deceleration in China's economic growth in the future for both Latin America and the rest of the world economy …

Persistent link: https://www.econbiz.de/10009311486

A pair-wise approach to testing for output and growth convergence

Pesaran, M. Hashem (contributor) - 2004 - [Elektronische Ressource]

to output series in the Penn World Tables over 1950-2000, as well as to Maddion's historical series over 1870 …

Persistent link: https://www.econbiz.de/10002422931

Oil Prices and the Global Economy : Is it Different this Time Around?

Mohaddes, Kamiar - 2017

The recent plunge in oil prices has brought into question the generally accepted view that lower oil prices are good for the US and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a fall in oil prices tends relatively quickly to lower...

Persistent link: https://www.econbiz.de/10012968623

Is There a Debt-Threshold Effect on Output Growth?

Chudik, Alexander - 2017

This paper studies the long-run impact of public debt expansion on economic growth and investigates whether the debt-growth relation varies with the level of indebtedness. Our contribution is both theoretical and empirical. On the theoretical side, we develop tests for threshold effects in the...

Persistent link: https://www.econbiz.de/10012971219

Country-Specific Oil Supply Shocks and the Global Economy : A Counterfactual Analysis

Mohaddes, Kamiar - 2017

This paper investigates the global macroeconomic consequences of country-specific oilsupply shocks. Our contribution is both theoretical and empirical. On the theoretical side, we develop a model for the global oil market and integrate this within a compact quarterly model of the global economy...

Persistent link: https://www.econbiz.de/10012971221

Long-Term Macroeconomic Effects of Climate Change : A Cross-Country Analysis

Kahn, Matthew E. - 2020

, reduces world real GDP per capita by 7.22 percent by 2100. On the other hand, abiding by the Paris Agreement, thereby limiting …

Persistent link: https://www.econbiz.de/10012847206

Identification of New Keynesian Phillips Curves from a global perspective

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

number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first …

Persistent link: https://www.econbiz.de/10003652695

Forecasting time series subject to multiple structural breaks

Pesaran, M. Hashem (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002120362