Showing 1 - 10 of 1,150
The paper employs cointegration, Fully-Modified Ordinary Least Squares (FMOLS), error correction and the Generalized Method of Moments (GMM) techniques to investigate the relationship between economic growth and financial development using annual time series data (1971-2010) from Ghana. Three...
Persistent link: https://www.econbiz.de/10013063972
Complete financial markets allow countries to share their consumption risks internationally, thereby creating welfare gains through lower volatility of aggregate consumption. This paper empirically looks at international consumption risk sharing and its determinants in a panel of 120 countries...
Persistent link: https://www.econbiz.de/10011967365
I build a production-based continuous-time equilibrium model with Markov regime switches. The model is solved in closed-form and endogenously generates the following previously documented patterns: (1) Value stocks yield larger returns than growth stocks that cannot be reconciled by CAPM; (2)...
Persistent link: https://www.econbiz.de/10012846563
We investigate the sources of time-variation in the stock-oil correlation over the period 1986-2018. We first derive an oil futures return news decomposition following Campbell and Shiller (1988) and Campbell (1991). Then, for both stock and oil, we split unexpected returns into cash-flow news...
Persistent link: https://www.econbiz.de/10012826383
I study how unsecured credit affects the extent to which unemployment insurance (UI) policies smooth cyclical fluctuations in aggregate consumption. To do so, I develop a real business cycle model with incomplete asset markets, frictional labor markets, and defaultable debt. Using empirically...
Persistent link: https://www.econbiz.de/10014253779
In this paper we show that findings of an apparently instable popularity function of U.S. presidents, as reported in the previous literature, are likely the consequence of the common use of linear estimation techniques. Employing Penalized Spline Smoothing in the context of Additive Mixed Models...
Persistent link: https://www.econbiz.de/10010308224
This paper empirically studies the impact of the quality of political institutions on the link between central bank independence and inflation. Making use of data on the evolution of central bank independence over time and controlling for possible nonlinearities, we employ interaction models to...
Persistent link: https://www.econbiz.de/10010274749
Labor and product market regulations affect the unemployment rate of a country without doubt. Econometricians, however, have yet to establish an unequivocal significance of this impact. Model mis-specification, one of the main underlying problems, is overcome by adopting a Bayesian Model...
Persistent link: https://www.econbiz.de/10010301689
The financialization view is that increased trading in commodity futures markets is associated with increases in the growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased sharply and many commodity prices rose and became more...
Persistent link: https://www.econbiz.de/10012030340
This paper investigates determinants of changes of the labor share in developed countries with a focus on Western Europe. Using a country-industry panel that covers the private sector, the paper focuses on long and short-run changes within industries. The results show a large and time-persistent...
Persistent link: https://www.econbiz.de/10010281547