This study focuses on the role of heterogeneity in network peer effects by accounting for network-specific factors and different driving mechanisms of peer behavior. We propose a novel Multivariate Instrumental Variable (MVIV) estimator which is consistent for a large number of networks keeping...

Understanding the monetary policy transmission mechanism is pivotal for the design of an effective monetary policy. In this regard, the coexistence of interest rate and cost channel of monetary policy has raised important implications for the conduct of monetary policy. This article estimates a...

This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment constraints. Moment constraints are often used to identify and estimate the mean and variance parameters and are however discarded when estimating error quantiles. In order to prevent...