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Attention to the tail(s) : global financial conditions and exchange rate risks
Eguren-Martin, Fernando; Sokol, Andrej - 2020
consistently across a large panel of developed and emerging economies. Based on quantile regression results, we provide a …
Persistent link: https://www.econbiz.de/10012197839
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The simpler the better : measuring financial conditions for monetary policy and financial stability
Arrigoni, Simone; Bobasu, Alina; Venditti, Fabrizio - 2020
emerging economies at a monthly frequency covering about 70% of the world's GDP. We use four criteria to assess the performance …
Persistent link: https://www.econbiz.de/10012259350
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Indebtedness in the EU : a drag or a catalyst for growth?
Mika, Alina; Zumer, Tina - 2017
-growth nexus in two alternative empirical set-ups: the traditional cross-county panel regressions and mean group estimations. We …
Persistent link: https://www.econbiz.de/10011764407
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What lies beneath the euro's effect on financial integration? : currency risk, legal harmonization, or trade?
Kalemli-Ozcan, Sebnem; Papaioannou, Elias; Peydró, … - 2010
Although recent research shows that the euro has spurred cross-border financial integration, the exact mechanisms remain unknown. We investigate the underlying channels of the euro's effect on financial integration using data on bilateral banking linkages among twenty industrial countries in the...
Persistent link: https://www.econbiz.de/10003983654
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Current account benchmarks for central and eastern Europe : a desperate search?
Chudik, Alexander; Dieppe, Alistair - 2009
sustainability approach á la Lane and Milesi-Ferretti (LM) versus the structural current accounts literature (SCA) based on panel … a medium term horizon. -- Current account ; capital flows ; financial integration ; central and eastern Europe ; panel …
Persistent link: https://www.econbiz.de/10003826590
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From carry trades to curvy trades
Dreher, Ferdinand; Gräb, Johannes; Kostka, Thomas - 2018
Traditional carry trade strategies are based on differences in short-term interest rates, neglecting any other information embedded in yield curves. We derive return distributions of carry trade portfolios among G10 currencies, where the signals to buy and sell currencies are based on summary...
Persistent link: https://www.econbiz.de/10011856388
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Petrodollars and imports of oil exporting countries
Beck, Roland; Kamps, Annette - 2009
including a large cross section of oil exporting countries, we show with a panel cointegration analysis that import demand in … wide set of alternative specifications. -- Import Equation ; Oil Exporting Countries ; Panel Cointegration …
Persistent link: https://www.econbiz.de/10003831790
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Revisiting fiscal sustainability : panel cointegration and structural breaks in OECD countries
Afonso, António; Jalles, João Tovar - 2012
Persistent link: https://www.econbiz.de/10009765143
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Budgetary and external imbalances relationship : a panel data diagnostic
Afonso, António; Rault, Christophe - 2008
, using recent bootstrap panel cointegration techniques and SUR methods. We investigate the magnitude of the relationship … panel cointegration tests used allow for within and between correlation, while the SUR results show both positive and …We assess the cointegration relationship between current account and budget balances, and effective real exchange rates …
Persistent link: https://www.econbiz.de/10003803327
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Cointegration in panel data with breaks and cross-section dependence
Banerjee, Anindya (contributor);  … - 2006
The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the … when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power …
Persistent link: https://www.econbiz.de/10003290322