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Financialization in Commodity Markets
Chari, Varadarajan V. - 2017
Recent experience has given rise to the financialization view: increased trading in commodity fu­tures markets leads to an increase in the level and volatility of spot prices. We construct a large panel data set which includes commodities with and without futures markets. The data do not...
Persistent link: https://www.econbiz.de/10012948088
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Estimating Deterministic Trends in the Presence of Serially Correlated Errors
Canjels, Eugene; Watson, Mark W. - 2021
This paper studies the problems of estimation and inference in the linear trend model: yt=à+þt+ut, where ut follows an …
Persistent link: https://www.econbiz.de/10013223612
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The Pruned State-Space System for Non-Linear DSGE Models : Theory and Empirical Applications
Andreasen, Martin M. - 2013
estimation for DSGE models approximated up to third-order and provides the foundation for indirect inference and SMM when …
Persistent link: https://www.econbiz.de/10013083081
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Missing Events in Event Studies : Identifying the Effects of Partially-Measured News Surprises
Gürkaynak, Refet S. - 2018
Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...
Persistent link: https://www.econbiz.de/10012911460
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Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach
Schorfheide, Frank - 2014
multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … Bayesian estimation provides strong evidence for a small predictable component in consumption growth (even if asset return data … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …
Persistent link: https://www.econbiz.de/10013050301
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Testing the Correlated Random Coefficient Model
Heckman, James J. - 2012
The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...
Persistent link: https://www.econbiz.de/10013116685
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The Forecasting Ability of Correlations Implied in Foreign Exchange Options
Campa, José Manuel - 2008
This paper evaluates the forecasting accuracy of correlation derived from implied volatilities in dollar-mark, dollar …-yen, and mark-yen options from January 1989 to May 1995. As a forecast of realized correlation between the dollar-mark and … dollar-yen, implied correlation is compared against three alternative forecasts based on time series data: historical …
Persistent link: https://www.econbiz.de/10012774954
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Comovement
Barberis, Nicholas - 2002
A number of studies have identifed patterns of positive correlation of returns, or comovement, among different traded …
Persistent link: https://www.econbiz.de/10012787252
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China's GDP Growth May Be Understated
Clark, Hunter L. - 2017
Concerns about the quality of China's official GDP statistics have been a perennial question in understanding its economic dynamics. We use data on satellite-recorded nighttime lights as an independent benchmark for comparing various published indicators of the state of the Chinese economy....
Persistent link: https://www.econbiz.de/10012958590
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Identification and Estimation of 'Irregular' Correlated Random Coefficient Models
Graham, Bryan S. - 2010
In this paper we study identification and estimation of a correlated random coefficients (CRC) panel data model. The …
Persistent link: https://www.econbiz.de/10012758200