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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …

Persistent link: https://www.econbiz.de/10010276254

Wages and International Rent Sharing in Multinational Firms

Budd, John W.; Konings, Jozef; Slaughter, Matthew J. - 2002

We use a unique firm-level panel data set of multinational parents and their foreign affiliates to analyze whether profits are shared across borders within multinational firms. Using both fixed-effects and generalized method-of-moments estimators, affiliate wage levels are estimated to respond...

Persistent link: https://www.econbiz.de/10010262687

Domestic multinationals, foreign affiliates, and labour demand elasticities

Godart, Olivier N.; Görg, Holger; Greenaway, David - 2012

Using information on a panel of multinational firms operating in the United Kingdom from 1996 to 2005, we find that labour demand in domestic multinationals is less sensitive to labour cost changes than in foreign multinationals. This difference in the wage elasticity of labour demand persists...

Persistent link: https://www.econbiz.de/10010291352

Exponent of cross-sectional dependence: Estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10010282124

Spillovers from foreign firms through worker mobility: an empirical investigation

Görg, Holger; Strobl, Eric - 2002

While there has been a large empirical literature on productivity spillovers from foreign to domestic firms this literature treats the channels through which these spillover effects work as a black box. This paper attempts to fill this gap in the literature. Our results suggest that firms which...

Persistent link: https://www.econbiz.de/10010265549

How Does Globalization Affect the Synchronization of Business Cycles?

Kose, M. Ayhan; Prasad, Eswar; Terrones, Marco E. - 2003

This paper examines the impact of rising trade and financial integration on international business cycle comovement among a large group of industrial and developing countries. The results provide at best limited support for the conventional wisdom that globalization has increased the degree of...

Persistent link: https://www.econbiz.de/10010276292

Growth, volatility and political instability: non-linear time-series evidence for Argentina, 1896 - 2000

Campos, Nauro F.; Karanasos, Menelaos G. - 2007

What is the relationship between economic growth and its volatility? Does political instability affect growth directly … or indirectly, through volatility? This paper tries to answer such questions using a power-ARCH framework with annual … legislative changes) has an indirect (through volatility) negative impact. We also find preliminary support for the idea that …

Persistent link: https://www.econbiz.de/10010268236

Much ado about nothing? Do domestic firms really benefit from foreign direct investment?

Görg, Holger; Greenaway, David - 2003

Governments the world over offer significant inducements to attract inward investment, motivated by the expectation of …

Persistent link: https://www.econbiz.de/10010265405

Infinite dimensional VARs and factor models

Chudik, Alexander; Pesaran, Mohammad Hashem - 2007

that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …

Persistent link: https://www.econbiz.de/10010276258

Identification of New Keynesian Phillips Curves from a global perspective

Dees, Stephane; Pesaran, Mohammad Hashem; Smith, L. Vanessa - 2008

New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check...

Persistent link: https://www.econbiz.de/10010276262