Showing 1 - 10 of 11,076
The contribution of generalized method of moments (Hansen and Singleton, 1982) was to allow frequentist inference regarding the parameters of a nonlinear structural model without having to solve the model. Provided there were no latent variables. The contribution of this paper is the same. With...
Persistent link: https://www.econbiz.de/10011083999
-time capacity to forecast GDP and consumption. A Bayesian error correction approach augmented with the consumer sentiment index and …
Persistent link: https://www.econbiz.de/10005264635
This paper estimates bond-by-bond "haircuts"-realized investor losses-in recent debt restructurings in Russia, Ukraine, Pakistan, Ecuador, Argentina, and Uruguay. We consider both external and domestic retructurings. Haircuts are computed as the percentage difference between the present values...
Persistent link: https://www.econbiz.de/10005825806
This paper examine whether asymmetrics cointegration present in the relationship between barley and crude oil price. The result suggest that an asymmetric cointegration statistically found barley price and oil price are cointegrated and adjustment mechanisms exist in the case between these two...
Persistent link: https://www.econbiz.de/10011108157
The way in which market participants form expectations affects the dynamic properties of financial asset prices and therefore the appropriateness of different econometric tools used for empirical asset pricing. In addition to standard rational expectations models, this thesis studies a class of...
Persistent link: https://www.econbiz.de/10011109608
This paper examines the modelling complications that appear when some macroeconomic behavioral relationships interact with structural variables, even under a given A matrix. The main problem is concretized for the situation when, a) the final consumption, gross fixed capital formation, inventory...
Persistent link: https://www.econbiz.de/10011258652
This paper examines the historical evolution of central bank credibility using both historical narrative and empirics for a group of 16 countries, both advanced and emerging. It shows how the evolution of credibility has gone through a pendulum where credibility was high under the classical gold...
Persistent link: https://www.econbiz.de/10011079872
In this paper we provide empirical measures of central bank credibility and augment these with historical narratives from eleven countries. To the extent we are able to apply reliable institutional information we can also indirectly assess their role in influencing the credibility of the...
Persistent link: https://www.econbiz.de/10011119808
The measurement error problem in linear time series regression, with focus on the impact of error memory, modeled as finite-order MA processes, is considered. Three prototype models, two bivariate and one univariate ARMA, and ways of handling the problem by using instrumental variables (IVs) are...
Persistent link: https://www.econbiz.de/10011191541
This paper considers structural models when both I(1) and I(0) variables are present. It is necessary to extend the traditional classification of shocks as permanent and transitory, and we do this by introducing a mixed shock. The extra shocks coming from introducing I(0) variables into a system...
Persistent link: https://www.econbiz.de/10011191571