Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...

One feature of the global economy in recent years has been the increasing number and importance of new investment funds (private equity (PE), hedge funds (HFs), and sovereign wealth funds (SWFs)), which are sometimes referred to as alternative investment funds (AIFs). This increase has...

This report examines whether investment funds – in particular, private equity, hedge funds and sovereign wealth funds – help to revive underperforming companies and thereby contribute to employment growth or whether, on the contrary, they strive to maximise financial returns at the expense...

The hedge fund industry has risen in 2007 to the top of the international political agenda, yet the debate surrounding it is limited by a lack of understanding of how the industry functions, or even how it is to be defined. The industry consists largely of investment funds operating from...

Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects originating from one of the three currency areas and...

The aim of this paper is twofold. First, for West Germany, France, Italy and US, we econometrically select within a SVAR model some fiscal policy regimes, i.e. a u0094set of rulesu0094 for the implementation of fiscal policies. Second, we identify the fiscal policy shocks related to different...

There has been much discussion of the differences in macroeconomic performance and prospects between the US, Japan and the euro area. Using Markov-switching techniques, in this paper we identify and compare specifically their major business-cycle features and examine the case for a common...

This paper offers an alternative explanation for the behavior of postwar US inflation by measuring a novel source of monetary policy time-inconsistency due to Cukierman (2002). In the presence of asymmetric preferences, the monetary authorities end up generating a systematic inflation bias...