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The determinants of trade costs : a random coefficients approach

Egger, Peter; Průša, Jan - 2014

This paper assesses whether the sensitivity of bilateral trade volumes to various trade cost factors is constant or varies across countries. It utilizes a random coeffcients model and analyses a cross-sectional sample of bilateral trade data for 96 countries in 2005. We expect the elasticity of...

Persistent link: https://www.econbiz.de/10010371278

Time varying hierarchical archimedean copulae

Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010

There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...

Persistent link: https://www.econbiz.de/10003953027

International capital market integration, educational choice and economic growth

Egger, Hartmut; Egger, Peter; Falkinger, Josef; … - 2005

This paper examines the impact of capital market integration (CMI) on higher education and economic growth. We take into account that participation in higher education is noncompulsory and depends on individual choice. Integration increases (decreases) the incentives to participate in higher...

Persistent link: https://www.econbiz.de/10003299332

A new approach to bootstrap inference in functional coefficient models

Herwartz, Helmut (contributor); Fang, Xu (contributor) - 2007

We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic is shown to hold asymptotically. In simulation...

Persistent link: https://www.econbiz.de/10003477963

Trade costs in the global economy : measurement, aggregation and decomposition

Egger, Peter; Larch, Mario; Nigai, Sergey; Yotov, Yoto - 2021 - Manuscript date: 10 May 2018

Proper measurement and aggregation of trade costs is of paramount importance for sound academic and policy analysis of the determinants - particularly those of policy - of economic outcomes. The international trade profession has witnessed significant new developments, both on the theoretical...

Persistent link: https://www.econbiz.de/10012419247

Long-span multi-layer spillovers between moments of advanced equity markets : the role of climate risks

Foglia, Matteo; Plakandaras, Vasilios; Gupta, Rangan; … - 2024

Persistent link: https://www.econbiz.de/10014515694

Simple nonparametric estimators for the bid-ask spread in the Roll model

Chen, Xiahong; Linton, Oliver; Schneeberger, Stefan; … - 2016

We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods are based on the empirical characteristic function instead of the sample autocovariance function like the method of Roll (1984). As in Roll (1984), we have a closed form expression for...

Persistent link: https://www.econbiz.de/10011441970

Estimating currency misalignment using the Penn effect : it' s not as simple as it looks

Cheung, Yin-Wong; Chinn, Menzie David; Nong, Xin - 2016

Persistent link: https://www.econbiz.de/10011539138

How global is FDI? : evidence from the analysis of Theil indices

Bickenbach, Frank; Liu, Wan-hsin; Nunnenkamp, Peter - 2015

It is open to question whether the intensified worldwide competition for FDI has reduced its traditionally strong concentration in a few large and relatively advanced host countries. We calculate and decompose Theil indices to track changes in absolute and relative concentration of FDI during...

Persistent link: https://www.econbiz.de/10011410419

Long-run links among money, prices, and output : world-wide evidence

Herwartz, Helmut; Reimers, Hans-Eggert - 2001

analyse this topic by means of a P-star model. Based on the quantity theory of money, this approach explains inflation via a …. Moreover, parameter restrictions for the long-run relationships implied by the monetary theory are tested. Country specific P … Preisniveau und dem realen Output testet. Weiterhin werden die Parameterrestriktionen, die sich durch die monet¨are Theorie …

Persistent link: https://www.econbiz.de/10011419407