A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking "pure" country and industry factors are...

This paper investigates various output gap measures in a simple inflation forecasting framework. Reflecting the cyclical position of an economy, an (unobservable) output gap has important implications for economic analysis. I construct and compare common output gap measures for five European...

We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on Merton's (1974) structural model of credit risk. The indicator is estimated using equity prices and balance-sheet data for 38 banks in 14 emerging market countries. Results show it...

In a recent article Jennrich and Satorra (Psychometrika 78: 545–552, <CitationRef CitationID="CR2">2013</CitationRef>) showed that a proof by Browne (British Journal of Mathematical and Statistical Psychology 37: 62–83, <CitationRef CitationID="CR1">1984</CitationRef>) of the asymptotic distribution of a goodness of fit test statistic is incomplete because it fails to prove...</citationref></citationref>

This paper analyzes the linkages between governance quality and country stress events. It focuses on two types of events: fiscal and political stress events, for which two innovative stress indicators are introduced. The results suggest that weaker governance quality is associated with a higher...

Forecasts of the cyclically-adjusted primary government balance are, potentially, informative as to the stance of future fiscal policies. This is sustained by the fiscal surveillance procedure for Eurozone members since the reformed Stability and Growth Pact of 2005. However, the quality of...

A review of several statistical methods that are currently in use for outlier identification is presented, and their performances are compared theoretically for typical statistical distributions of experimental data, considering values derived from the distribution of extreme order statistics as...

The Cramer-Ridder test is a popular procedure for testing if some outcome states can be pooled into one state in the multinomial logit model. We show that, in the presence of binary regressors, the test is overly stringent and poolability may not be tested unambiguously.