Showing 1 - 10 of 10
This paper quantifies the effect of reallocation dynamics on aggregate productivity developments in the banking sectors of Europe and the United States. We document an increase in productivity over the period 1995-2009, on the order of 11 in the US and 19 in Europe. At an annual frequency,...
Persistent link: https://www.econbiz.de/10010856537
Most panel data studies of the predictability of returns presume that the cross-sectional units are independent, an assumption that is not realistic. As a response to this, the current paper develops block bootstrap-based panel predictability tests that are valid under very general conditions....
Persistent link: https://www.econbiz.de/10010856546
We consider an exact factor model and derive a Lagrange multiplier-type test for unit roots in the idiosyncratic components. The asymptotic distribution of the statistic is derived under the misspecification that the differenced factors are white noise. We prove that the asymptotic distribution...
Persistent link: https://www.econbiz.de/10010856563
Motivated by the dominant role of cross-country heterogeneity in private saving in the creation of Eurozone imbalances over the past decade, we empirically investigate the determinants of private saving for a sample of 30 OECD countries over the period 1990-2010. In addition to standard...
Persistent link: https://www.econbiz.de/10010856565
In this paper, we demonstrate that cultural borders in international finance resurge during financial crises. To investigate the role of cultural borders during both tranquil and crisis periods, we employ a unique data set that focuses on Eurozone cross-border depositing in a gravity-model...
Persistent link: https://www.econbiz.de/10010856571
This paper introduces the notion of nowcasting causality for mixed-frequency VARs as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in the mixed-frequency VAR setting of Ghysels 2012 and illustrate that nowcasting...
Persistent link: https://www.econbiz.de/10010734865
This study aims at providing an empirical analysis of long-term determinants of sovereign debt yield spreads under European EMU (Economic and Monetary Union) through pairwise approach within panel framework. Panel gravity models are increasingly used in the cross-market correlation literature...
Persistent link: https://www.econbiz.de/10010734874
Recent developments within the panel unit-root literature have illustrated how the exact factor model serves as a parsimonious framework and allows for consistent maximum likelihood inference even when it is misspecified contra the more general approximate factor model. In this paper we consider...
Persistent link: https://www.econbiz.de/10010734882
This paper examines the relationship between sovereign credit default swaps CDS and sovereign rating changes of European countries. To this aim, a new estimator is introduced which merges mixed data sampling MIDAS with probit regression. Simulations show that the estimator has good properties in...
Persistent link: https://www.econbiz.de/10011098672
We extend the repeated observations forecasting ROF analysis of Croushore and Stark 2002 to allow for regressors of possibly higher sampling frequencies than the regressand. For the U.S. GNP quarterly growth rate, we compare the forecasting performances of an AR model with several...
Persistent link: https://www.econbiz.de/10010890984