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The impact of South-South trade agreements on FDI
Cherif, Mondher; Dreger, Christian - 2015
The integration of emerging markets into the global economy is heavily promoted by foreign direct investment (FDI) inflows. Within the factors driving the location of FDI, regional trade agreements (RTAs) become increasingly relevant for emerging markets. We explore the impact of South-South...
Persistent link: https://www.econbiz.de/10010496898
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as … the US over the period 1973-2008. We carry out the analysis on both sectors and individual industries within sectors. As a … subgroups including Euro area countries, the UK and the US respectively, provides evidence of a global convergence …
Persistent link: https://www.econbiz.de/10003889148
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International financial integration and real exchange rate long-run dynamics in emerging countries : some panel evidence
Caporale, Guglielmo Maria; Hadj Amor, Thouraya; Rault, … - 2009
The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...
Persistent link: https://www.econbiz.de/10003889635
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Bayesian procedures as a numerical tool for the estimation of dynamic discrete choice models
Haan, Peter; Kemptner, Daniel; Uhlendorff, Arne - 2012
Dynamic discrete choice models usually require a general specification of unobserved heterogeneity. In this paper, we apply Bayesian procedures as a numerical tool for the estimation of a female labor supply model based on a sample size which is typical for common household panels. We provide...
Persistent link: https://www.econbiz.de/10009579233
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Restrictions search for panel VARs
Camehl, Annika - 2016
As panel vector autoregressive (PVAR) models can include several countries and variables in one system, they are well suited for global spillover analyses. However, PVARs require restrictions to ensure the feasibility of the estimation. The present paper uses a selection prior for a data-based...
Persistent link: https://www.econbiz.de/10011552976
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Assessing identifying restrictions in SVAR models
Piffer, Michele - 2016 - This draft: March 22, 2016
This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector Autoregressive models. The researcher is uncertain about the validity of some sign restrictions that she is contemplating to use. She therefore expresses her uncertainty with a...
Persistent link: https://www.econbiz.de/10011446039
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Regionality revisited : an examination of the direction of spread of currency crisis
Dasgupta, Amil; Leon-Gonzalez, Roberto; Shortland, Anja - 2010 - This draft: March 2010
literature on contagion. In particular, we use the Bayesian averaging of binary models which allows us to take into account the …
Persistent link: https://www.econbiz.de/10009129985
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Active, or passive? : revisiting the role of fiscal policy in the great inflation
Ettmeier, Stephanie; Kriwoluzky, Alexander - 2020
We reexamine whether pre-Volcker U.S. fiscal policy was active or passive. To do so, we estimate a DSGE model with … existing studies, we do not have to treat each policy regime as distinct, separately estimated, models. Rather, SMC enables us …
Persistent link: https://www.econbiz.de/10012223616
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Bayesian structural VAR models : a new approach for prior beliefs on impulse responses
Bruns, Martin; Piffer, Michele - 2019
Structural VAR models are frequently identified using sign restrictions on contemporaneous impulse responses. We develop a methodology that can handle a set of prior distributions that is much larger than the one currently allowed for by traditional methods. We then develop an importance sampler...
Persistent link: https://www.econbiz.de/10011987867
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Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
Lütkepohl, Helmut; Woźniak, Tomasz - 2017
In order to identify structural shocks that affect economic variables, restrictions need to be imposed on the parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However, only over-identifying restrictions can be tested with...
Persistent link: https://www.econbiz.de/10011771740