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Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies
Poghosyan, Tigran - 2012
cointegration techniques. The application of cointegration methodology allows distinguishing between long-run (debt-to-GDP ratio … growth rate. In the short-run, sovereign bond yields deviate from the level determined by the long-run fundamentals, but … countries exceeded the level determined by fundamentals in the aftermath of the crisis, while some North European countries have …
Persistent link: https://www.econbiz.de/10013096274
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Testing for Cointegration Using the Johansen Methodology When Variables are Near-Integrated
Hjalmarsson, Erik - 2008
We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the …
Persistent link: https://www.econbiz.de/10012773436
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How Buoyant is the Tax System? New Evidence from a Large Heterogeneous Panel
Dudine, Paolo - 2017
In this paper we provide short- and long-run tax buoyancy estimates for 107 countries (distributed between advanced, emerging and low-income) for the period 1980-2014. By means of Fully-Modified OLS and (Pooled) Mean Group estimators, we find that: i) for advanced economies both long-run and...
Persistent link: https://www.econbiz.de/10012962148
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The Global Trade Slowdown : Cyclical or Structural?
Constantinescu, Cristina - 2015
This paper focuses on the sluggish growth of world trade relative to income growth in recent years. The analysis uses an empirical strategy based on an error correction model to assess whether the global trade slowdown is structural or cyclical. An estimate of the relationship between trade and...
Persistent link: https://www.econbiz.de/10013027665
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External Adjustment in a Resource-Rich Economy : The Case of Papua New Guinea
Nakatani, Ryota - 2018
How should resource-rich economies handle the balance of payments adjustment required aftercommodity price declines? This paper addresses the question theoretically by developing asimple two-period multi-sector model based on Nakatani (2016) to compare different exchangerate policies, and...
Persistent link: https://www.econbiz.de/10012929941
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Emerging Market Business Cycles : The Role of Labor Market Frictions
Boz, Emine - 2012
Emerging economies are characterized by higher consumption and real wage variability relative to output and a strongly countercyclical current account. A real business cycle model of a small open economy that embeds a Mortensen-Pissarides type of search-matching frictions and countercyclical...
Persistent link: https://www.econbiz.de/10013098278
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The Pre-Crisis Capital Flow Surge to Emerging Europe : Did Countercyclical Fiscal Policy Make a Difference?
Atoyan, Ruben - 2012
A push-pull-brake model of capital flows is used to study the effects of fiscal policy changes on private capital flows to emerging Europe during 2000-07. In the model, countercyclical fiscal policy has two opposing effects on capital inflows: (i) a conventional absorption-reducing effect, as a...
Persistent link: https://www.econbiz.de/10013098584
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Emerging Market Sovereign Bond Spreads : Estimation and Back-Testing
Comelli, Fabio - 2012
periods. During crisis times, good macroeconomic fundamentals are helpful in containing bond spreads, but less than in non …
Persistent link: https://www.econbiz.de/10013098597
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How Much Should I Hold? Reserve Adequacy in Emerging Markets and Small Islands
Mwase, Nkunde - 2012
This paper investigates the drivers of reserves in emerging markets (EMs) and small island (SIs) and develops an operational metric for estimating reserves in SIs taking into account their unique characteristics. It uses quantile regression techniques to allow the estimated factors driving...
Persistent link: https://www.econbiz.de/10013098602
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Bond Yields in Emerging Economies : It Matters What State You are in
Jaramillo, Laura - 2012
country-specific fiscal fundamentals, revealing greater alertness about default risk …
Persistent link: https://www.econbiz.de/10013098609