This paper presents an empirical investigation of the disequilibrium hypothesis on the Polish loan market in the 1990s. Using data over this period of deep transition, we estimate a disequilibrium model with a standard maximum likelihood method. However, the estimates are highly...

This paper presents an empirical investigation of the disequilibrium hypothesis on the Polish loan market in the 1990s. Using data over this period of rapid and sustained transition, we estimate a disequilibrium model with a standard maximum likelihood method. However, the estimates are highly...

Using panel data models, the author examines the threshold effects of the productivity of infrastructure investment in developing countries. He considers various specifications of an augmented production function that allow for endogenous thresholds. More precisely, these specifications are...

In this paper we present and extend the approach of Bollerslev and Zhang (2003) for quot;realizedquot; measures and co-measures of risk in some classical asset pricing models, such as the Capital Asset Pricing Model (CAPM) of Sharpe (1964) and the Arbitrage Pricing Theory (APT) model by Ross...

[eng] This paper offers an overview of panel-data cointegration tests. We present the main tests based on the null hypothesis of no cointegration (Pedroni, Kao, Bai and Ng test ; Groen and Kleibergen test ) and the McCoskey and Kao test based on the null hypothesis of cointegration. We also...

[fre] Le partage de la valeur ajoutée dans le cycle. Quelques pistes de modélisation en équilibre général . Christophe Hurlin et Franck Portier . Notre objectif dans cet article est de présenter un rapide constat empirique de l'évolution cyclique du partage de la valeur ajoutée dans les...

[eng] The contribution of public capital to private factor productivity: an estimate using sector-based panel data . for ten OECD countries . by Christophe Hurlin . This paper uses sector-based panel data on ten OECD countries to produce a number of estimates of the return on public capital. The...

[eng] Our article presents an overview of panel unit-root tests. There are two major trends in this research area. First, since the late 1990s, the work on panel unit-root tests aims to take account of heterogeneity in dynamic properties of series. Second, attempts have recently been made to...

Traditionally, nancial crisis Early Warning Systems (EWSs) rely on macroeconomic leading indicators to forecast the occurrence of such events. This paper extends such discrete-choice EWSs by taking into account the persistence of the crisis phenomenon. The dynamic logit EWS is estimated using an...