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The predictive power of equilibrium exchange rate models
Ca'Zorzi, Michele; Cap, Adam; Mijakovic, Andrej; … - 2020
In this paper we evaluate the predictive power of the three most popular equilibrium exchange rate concepts: Purchasing Power Parity (PPP), Behavioral Equilibrium Exchange Rate (BEER) and the Macroeconomic Balance (MB) approach. We show that there is a clear trade-off between storytelling and...
Persistent link: https://www.econbiz.de/10012139745
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Dynamic clustering of multivariate panel data
João, Igor Custodio; Lucas, André; Schaumburg, Julia; … - 2021
We propose a dynamic clustering model for uncovering latent time-varying group structures in multivariate panel data. The model is dynamic in three ways. First, the cluster location and scale matrices are time-varying to track gradual changes in cluster characteristics over time. Second, all...
Persistent link: https://www.econbiz.de/10012594269
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When do countries implement structural reforms?
Silva, António Dias da; Givone, Audrey; Sondermann, David - 2017
The objective of this paper is to investigate which factors ] macroeconomic, policy ]related or institutional ] foster … across 40 OECD and EU countries and link them to such factors. Our results suggest that structural reforms implementation is …
Persistent link: https://www.econbiz.de/10011662947
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Responses to monetary policy shocks in the east and the west of Europe : a comparison
Jarociński, Marek - 2008
This paper compares impulse responses to monetary policy shocks in the euro area countries before the EMU and in the New Member States (NMS) from central-eastern Europe. We mitigate the small sample problem, which is especially acute for the NMS, by using a Bayesian estimation that combines...
Persistent link: https://www.econbiz.de/10003825885
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Econometric analysis of high dimensional VARs featuring a dominant unit
Pesaran, M. Hashem; Chudik, Alexander - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10003973331
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Weak and strong cross section dependence and estimation of large panels
Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa - 2009
satisfy certain ‘granularity’ conditions. Relationship with the notions of weak and strong common factors is investigated and … an application to the estimation of panel data models with an infinite number of weak factors and a finite number of … strong factors is also considered. The paper concludes with a set of Monte Carlo experiments where the small sample …
Persistent link: https://www.econbiz.de/10003963781
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Current account benchmarks for central and eastern Europe : a desperate search?
Chudik, Alexander; Dieppe, Alistair - 2009
This paper examines two competing approaches for calculating current account benchmarks, i.e. the external sustainability approach á la Lane and Milesi-Ferretti (LM) versus the structural current accounts literature (SCA) based on panel econometric techniques. The aim is to gauge the medium...
Persistent link: https://www.econbiz.de/10003826590
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A panel VAR analysis of macro-financial imbalances in the EU
Comunale, Mariarosaria - 2017
We investigate the interactions across current account misalignments, Real Effective Exchange Rate misalignments and financial (or output) gaps within EU countries. We apply panel techniques, including a Bayesian panel VAR, to 27 EU members over the period 1994-2012. We find that, for the euro...
Persistent link: https://www.econbiz.de/10011637376
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Dynamic nonparametric clustering of multivariate panel data
João, Igor Custodio; Lucas, André; Schaumburg, Julia; … - 2023
We introduce a new dynamic clustering method for multivariate panel data char- acterized by time-variation in cluster locations and shapes, cluster compositions, and, possibly, the number of clusters. To avoid overly frequent cluster switching (flickering), we extend standard cross-sectional...
Persistent link: https://www.econbiz.de/10013552743
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LSIs' exposures to climate change related risks : an approach to assess physical risks
Pagliari, Maria Sole - 2021
This paper proposes an approach to estimate the impact of adverse climatic events on the profitability of small European banks (LSIs). By considering river ooding phenomena, we construct a unique database matching the information on location, frequency and severity of oods with the location and...
Persistent link: https://www.econbiz.de/10012421086