Showing 1 - 10 of 1,549
We propose a model of the interbank money market with an explicit role for central bank intervention and periodic reserve requirements, and study the interaction of profit-maximizing banks with a central bank targeting interest rates at high frequency. The model yields predictions on biweekly...
Persistent link: https://www.econbiz.de/10005769266
We use daily data on bank reserves and overnight interest rates to document a striking pattern in the high-frequency behavior of the U.S. market for federal funds: depository institutions tend to hold more reserves during the last few days of each “reserve maintenance period,” when the...
Persistent link: https://www.econbiz.de/10005825728
A stylized fact from the literature on the Micro-econometrics of International Trade and a central implication of the heterogeneous firm models from the New New Trade Theory is that exporters are more productive than non-exporters. It is argued that this exporter productivity premium is due to...
Persistent link: https://www.econbiz.de/10010818711
The quintile share ratio of disposable income is the primary inequality indicator of the European Union. As an inequality indicator, it must be sensitive to extreme large observations. Therefore, outliers have a strong impact on the bias and the variance of the classical quintile share ratio...
Persistent link: https://www.econbiz.de/10010759616
A stylized fact from the literature on the Micro-econometrics of International Trade and a central implication of the heterogeneous firm models from the New New Trade Theory is that exporters are more productive than non-exporters. It is argued that this exporter productivity premium is due to...
Persistent link: https://www.econbiz.de/10010858048
A key concept of the forward search algorithm in confirmatory factor analysis is ordering of the data on the basis of observational residuals. These residuals are computed under the proposed model and measure the discrepancy between the observed and predicted response for each unit of the...
Persistent link: https://www.econbiz.de/10010998586
A stylized fact from the literature on the Micro-econometrics of International Trade and a central implication of the heterogeneous firm models from the New New Trade Theory is that exporters are more productive than non-exporters. It is argued that this exporter productivity premium is due to...
Persistent link: https://www.econbiz.de/10010680359
In this paper, a new robust and efficient estimation approach based on local modal regression is proposed for partially linear single-index models, of which the univariate nonparametric link function is approximated by local polynomial regression. The asymptotic normality of proposed estimators...
Persistent link: https://www.econbiz.de/10010786419
The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield spreads). It also investigates the extent to which the practice by rating agencies and banks of not rating companies higher than their sovereign ("country or sovereign ceiling") is...
Persistent link: https://www.econbiz.de/10005599227
We examine the interest rate elasticity of housing prices, advancingthe empirical literature in two directions. First, we take a commonly used cross-country panel dataset and evaluate the housing price equation using a consistent estimator in the presence of endogenous explanatory variables and...
Persistent link: https://www.econbiz.de/10005604881