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Major public debt reductions
Nickel, Christiane; Rother, Philipp; Zimmermann, Lilli - 2010
The financial crisis of 2008/2009 has left European economies with a sizeable public debt stock bringing back the question what factors help to reduce these fiscal imbalances. Using data for the period 1985-2009 this paper identifies factors determining major public debt reductions. On average,...
Persistent link: https://www.econbiz.de/10009640299
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Measuring contagion with a Bayesian, time-varying coefficient model
Ciccarelli, Matteo; Rebucci, Alessandro - 2003
To measure contagion empirically, we propose using a Bayesian time-varying coefficient model estimated with Markov ChainMonte Carlo methods. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...
Persistent link: https://www.econbiz.de/10009635914
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Nelson-Siegel, affine and quadratic yield curve specifications
Nyholm, Ken; Vidova-Koleva, Rositsa - 2010
essentially affine term structure models, as well as the dynamic Nelson-Siegel model. In total eleven model variants are evaluated …, comprising five quadratic, four affine and two Nelson-Siegel models. Recursive re-estimation and out-of-sample one-, six- and …, 24, 60 and 120 months. Our results indicate that quadratic models provide the best in-sample fit, while the best out …
Persistent link: https://www.econbiz.de/10009640335
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In dubio pro CES
León-Ledesma, Miguel A.; McAdam, Peter; Willman, Alpo - 2010
distribution models. In the context of a Monte Carlo exercise embodying balanced and near balanced growth, we demonstrate that the …
Persistent link: https://www.econbiz.de/10009640366
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Liquidity requirements and payment delays
Schulz, Christian - 2011
The paper presents an analysis of the trade-offs of participants of different type between payment delay and liquidity requirement on the basis of synthetically generated data. The generation of the synthetic transaction data set for a simple RTGS system is described and calibrated using real...
Persistent link: https://www.econbiz.de/10009640617