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Persistence in the market risk premium : evidence across countries
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020
This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and Japan, and for robustness purposes considers...
Persistent link: https://www.econbiz.de/10012199998
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The effects of variance breaks on homogenous panel unit root tests
Herwartz, Helmut; Siedenburg, Florian - 2009
Noting that many economic variables display occasional shifts in their second order moments, we investigate the performance of homogenous panel unit root tests in the presence of permanent volatility shifts. It is shown that in this case, panel unit root tests derived under time invariant...
Persistent link: https://www.econbiz.de/10003887238
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How volatile is ENSO?
Lan Fen Chu; McAleer, Michael; Chen, Chi-chung - 2010
Persistent link: https://www.econbiz.de/10008689070
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An empirical study on causes and consequences of inflation and inflation uncertainty
Hartmann, Matthias - 2012
Empirical study of causality between inflation, inflation uncertainty and other macroeconomicy quantities. Additionally, the issue of how to measure the unobservable inflation uncertainty is addressed.
Persistent link: https://www.econbiz.de/10009671994
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State dependence in the finance-growth nexus : a functional coefficient approach
Herwartz, Helmut; Yabibal Mulualem Walle - 2013
Noting that "one size does not fit all" in the case of the finance-growth (FG) nexus, a growing body of literature has recently focused on uncovering economic conditions under which financial development could be beneficial (detrimental) to economic development. We look into these conditions by...
Persistent link: https://www.econbiz.de/10009752169
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How volatile is ENSO?
Chu, LanFen; McAleer, Michael; Chen, Chi-chung - 2009
Persistent link: https://www.econbiz.de/10003877146
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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
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Fractional integration in the purchasing power parity
Gil-Alaña, Luis A. - 1998
Persistent link: https://www.econbiz.de/10000994027
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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
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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