This paper investigates the link between sovereign ratings and macroeconomic fundamentals for a group of euro area countries which recorded rating downgrades amid the euro area sovereign debt crisis. We apply an elaborated econometric estimation technique, based on a Bayesian ordered probit...

This paper aims to shed light on the characteristics and particularly the determinants of credit-less recoveries. After building a dataset and documenting some stylised facts of credit-less recoveries in emerging market economies, this paper uses panel probit models to analyse key determinants...

We estimate an ordered probit model in order to explain the occurrence and magnitude of producer price changes in the French manufacturing sector. We use data consisting essentially of the Banque de France monthly business surveys, pooled over the years 1998-2005. Our results show that changes...

This paper aims to shed light on the characteristics and particularly the determinants of credit-less recoveries. After building a dataset and documenting some stylised facts of credit-less recoveries in emerging market economies, this paper uses panel probit models to analyse key determinants...

Social and economic networks are ubiquitous, serving as contexts for job search, technology diffusion, the accumulation of human capital and even the formulation of norms and values. The systematic empirical study of network formation - the process by which agents form, maintain and dissolve...

A system of multivariate semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric regressors may be endogenous while the nonparametric regressors are assumed to be strictly...

We show how the dynamic logit model for binary panel data may be approximated by a quadratic exponential model. Under the approximating model, simple sufficient statistics exist for the subject-specific parameters introduced to capture the unobserved heterogeneity between subjects. The latter...

In this paper, we introduce a new Poisson mixture model for count panel data where the underlying Poisson process intensity is determined endogenously by consumer latent utility maximization over a set of choice alternatives. This formulation accommodates the choice and count in a single random...

This paper identifies the basic features of the price setting mechanism in the Spanish economy, using a large dataset that contains over 1.1 million price records and covers around 70% of the expenditure on the CPI basket. In particular, the paper identifies differences in the frequency and size...

We forecast recession probabilities for the United States, Germany and Japan. The predictions are based on the widely-used probit approach, but the dynamics of regressors are endogenized using a VAR. The combined model is called a ‘ProbVAR’. At any point in time, the ProbVAR allows to...