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How to construct nationally Representative Firm Level Data from the ORBIS Global Database
Kalemli-Ozcan, Sebnem; Sørensen, Bent; … - 2015
Firm-level data on productivity, financial activity and firms' international linkages have become essential for research in the fields of macro, international finance and growth. This paper describes the development of a firm-level global panel dataset for public and private companies based on...
Persistent link: https://www.econbiz.de/10011403573
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Microfoundations
Janssen, Maarten C.W. - 2006
This paper gives an overview and evaluates the literature on Microfoundations.
Persistent link: https://www.econbiz.de/10010325179
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Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models
Blasques, Francisco; Nientker, Marc - 2019
This paper introduces a new solution method for Dynamic Stochastic General Equilibrium (DSGE) models that produces non explosive paths. The proposed solution method is as fast as standard perturbation methods and can be easily implemented in existing software packages like Dynare as it is...
Persistent link: https://www.econbiz.de/10012114765
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Bayesian Mode Inference for Discrete Distributions in Economics and Finance
Cross, Jamie; Hoogerheide, Lennart; Labonne, Paul; van … - 2023
Detecting heterogeneity within a population is crucial in many economic and financial applications. Econometrically, this requires a credible determination of multimodality in a given data distribution. We propose a straightforward yet effective technique for mode inference in discrete data...
Persistent link: https://www.econbiz.de/10014321811
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Bank Ownership and Financial Stability
Perotti, Enrico; Vorage, Marcel - 2010
data complementing existing evidence that financial instability is highest when bank control is capturedby small lobbies. …
Persistent link: https://www.econbiz.de/10010325737
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Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015
We investigate the intraday dependence pattern between tick data of stock price changes using a new time-varying model for discrete copulas. We let parameters of both the marginal models and the copula vary over time using an observation driven autoregressive updating scheme based on the score...
Persistent link: https://www.econbiz.de/10011288386
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Cyclicality in Losses on Bank Loans
Keijsers, Bart; Diris, Bart; Kole, Erik - 2015
Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...
Persistent link: https://www.econbiz.de/10011288399
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Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular … macroeconomic series from Stock and Watson (2009). We find that the parameters of both models exhibit a higher degree of instability … the gradual ending of a period of high structural instability that took place in the 1970s and early 1980s. …
Persistent link: https://www.econbiz.de/10011288409
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Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model
Koopman, Siem Jan; Lit, Rutger; Lucas, Andre - 2015
We introduce a dynamic Skellam model that measures stochastic volatility from high-frequency tick-by-tick discrete stock price changes. The likelihood function for our model is analytically intractable and requires Monte Carlo integration methods for its numerical evaluation. The proposed...
Persistent link: https://www.econbiz.de/10011403534
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Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice
Chang, Chia-Lin; Li, Yiying; McAleer, Michael - 2015
Energy and agricultural commodities and markets have been examined extensively, albeit separately, for a number of years. In the energy literature, the returns, volatility and volatility spillovers (namely, the delayed effect of a returns shock in one asset on the subsequent volatility or...
Persistent link: https://www.econbiz.de/10011403535