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Assessing the Effect of Current Account and Currency Crises on Economic Growth
Aßmann, Christian - 2008
specific heterogeneity via random coe?cients. For accurate estimation of the treatment type model a simulated maximum …
Persistent link: https://www.econbiz.de/10010296297
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The Introduction of the Euro and its Effects on Investment Decisions
Haselmann, Rainer; Helmut, Herwartz - 2005
In this paper we examine changes on investment decisions induced by the introduction of the Euro. There are two … potential sources of portfolio reallocation. First, the introduction of the Euro diminished exchange rate risks within the EMU …
Persistent link: https://www.econbiz.de/10010296249
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Determinants and dynamics of current account reversals: an empirical analysis
Liesenfeld, Roman; Moura, Guilherme V.; Richard, … - 2009
We use panel probit models with unobserved heterogeneity, state-dependence and serially correlated errors in order to analyze the determinants and the dynamics of current-account reversals for a panel of developing and emerging countries. The likelihood-based inference of these models requires...
Persistent link: https://www.econbiz.de/10010298829
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A noise trader model as a generator of apparent financial power laws and long memory
Alfarano, Simone; Lux, Thomas - 2005
In various agent-based models the stylized facts of financial markets (unit-roots, fat tails and volatility clustering) have been shown to emerge from the interactions of agents. However, the complexity of these models often limits their analytical accessibility. In this paper we show that even...
Persistent link: https://www.econbiz.de/10010295050
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Testing for Causality in Variance using Multivariate GARCH Models
Hafner, Christian M.; Herwartz, Helmut - 2004
Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated univariate models. Although such tests are applied frequently little is known about their power properties. In this paper we show that a convenient alternative to residual based...
Persistent link: https://www.econbiz.de/10010296228
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A robust bootstrap approach to the Hausman test in stationary panel data models
Herwartz, Helmut; Neumann, Michael H. - 2007
In panel data econometrics the Hausman test is of central importance to select an e?cient estimator of the models' slope parameters. When testing the null hypothesis of no correlation between unobserved heterogeneity and observable explanatory variables by means of the Hausman test model...
Persistent link: https://www.econbiz.de/10010296293
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Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device
Herwartz, Helmut - 2008
In this note a Monte Carlo approach is suggested to determine critical values for diagnostic tests of Value-at-Risk models that rely on binary random variables. Monte Carlo testing offers exact significance levels in finite samples. Conditional on exact critical values the dynamic quantile test...
Persistent link: https://www.econbiz.de/10010298764
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When, how fast and by how much do trade costs change in the euro area?
Herwartz, Helmut; Weber, Henning - 2008
Microfoundations of the euro's effect on euro area trade hinge on the timing, the speed and the size of adjustment in … at the sector level. We find that, due to falling trade costs, trade within the euro area increases between the years … 2000 and 2003 by 10 to 20 percent compared with trade between European countries that are not members of the euro area …
Persistent link: https://www.econbiz.de/10010298765
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Monetary policy during financial crises: Is the transmission mechanism impaired?
Jannsen, Nils; Potjagailo, Galina; Wolters, Maik H. - 2015
We study the macroeconomic effects of monetary policy during financial crises using a Bayesian panel vector autoregressive (PVAR) model for 20 advanced economies. We interact all of the endogenous variables with financial crisis dummies, which are constructed using the narrative approach. We...
Persistent link: https://www.econbiz.de/10011327305
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An analysis of systematic risk in worldwide econonomic sentiment indices
Luu, Duc Thi; Yanovski, Boyan; Lux, Thomas - 2018
In this paper, we investigate the temporal dynamics of correlations between sentiment indices worldwide. Employing the tools of Random Matrix Theory (RMT) and Principal Component Analysis (PCA), our paper aims to extract latent information embedded in the interactions between economic and...
Persistent link: https://www.econbiz.de/10011791083