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On Testing Shock Induced Asymmetries in Time Series
Nebeling, Thomas - 2017
This paper develops a Lagrange multiplier test statistic and its variants to test for the null hypothesis of no asymmetric effects of shocks on time series. In asymmetric time series models that allow for different responses to positive and negative past shocks the likelihood functions are, in...
Persistent link: https://www.econbiz.de/10012970844
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Inference in dynamic stochastic general equilibrium models with possible weak identification
Qu, Zhongjun - In: Quantitative economics : QE ; journal of the … 5 (2014) 2, pp. 457-494
This paper considers inference in log-linearized dynamic stochastic general equilibrium (DSGE) models with weakly (including un-) identified parameters. The framework allows for analysis using only part of the spectrum, say at the business cycle frequencies. First, we characterize weak...
Persistent link: https://www.econbiz.de/10011757270
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A Note on Business Cycle Non-Linearity in U.S. Consumption
Cook, Steven - 2004
The recently examined durability-asymmetry hypothesis of Cook (1999) is re-evaluated using the diagnostic tests of time deformation proposed by Stock (1987, 1988). An application of these tests to disaggregated data on U.S. consumers' expenditure provides further support for this hypothesis,...
Persistent link: https://www.econbiz.de/10014069978
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Cyclical dimensions of labour mobility after EU enlargement
Ahearnea, Alan; Brücker, Herbert; Darvasa, Zsolt; … - 2009
This paper explores the influence of the economic cycle on labour mobility within the EU, focusing on the likely impact of the present economic crisis. To do so, we use an econometrically calibrated simulation and a case study of Ireland. We find that, in the short run, the crisis is likely to...
Persistent link: https://www.econbiz.de/10003874247
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Comovements and structural factors of macroeconomic volatility in developing and transition economies : a dynamic panel data approach
Ouechtati, Ichraf; Zaouali, Amira - 2013
volatility in developing and transition economies, using dynamic panel technique. According to an analysis of variance and …
Persistent link: https://www.econbiz.de/10009788587
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Does the size of the effect of adverse events at high ages on daily-life physical functioning depend on the economic conditions around birth?
Scholte, Robert S.; Berg, Gerard J. van den; Lindeboom, … - 2014
This paper considers determinants of physical-functional limitations in daily-life activities at high ages. Specifically, we quantify the extent to which the impact of adverse life events on this outcome is larger in case of exposure to adverse economic conditions early in life. Adverse life...
Persistent link: https://www.econbiz.de/10010339647
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Stress Testing and Corporate Finance
de Bandt, Olivier - 2010
The article contributes to the literature on financial fragility, studying how macro-economic shocks affect supply and demand in the corporate debt market. We take into account the effect of the competitive environment, as well as the risk level, measured by companies' default rate. The model is...
Persistent link: https://www.econbiz.de/10013137974
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The Panel Conditionally Homogenous Vector-Autoregressive Model
Georgiadis, Georgios - 2012
In the panel conditionally homogenous vectorautoregressive model, the cross-sectional units' dynamics are generally … heterogenous, but homogenous if units share the same structural characteristics. The panel conditionally homogenous … vectorautoregressive model thus allows (i) to account for heterogeneity in dynamic panel data sets, (ii) to nevertheless exploit the panel …
Persistent link: https://www.econbiz.de/10013108290
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Competition and Credit Procyclicality in European Banking
Lucotte, Yannick - 2017
estimating both an interacted panel VAR (IPVAR) model using macroeconomic data and a single-equation model with bank …
Persistent link: https://www.econbiz.de/10012961270
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The Impact of Climate on Economic and Financial Cycles : A Markov-switching Panel Approach
Billio, Monica; Casarin, Roberto; De Cian, Enrica; … - 2021
cycles, in different phases and disentangling the effects for different sector channels. A Bayesian Panel Markov …
Persistent link: https://www.econbiz.de/10013241980