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Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …
Persistent link: https://www.econbiz.de/10011389735
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Bayesian SAR model with stochastic volatility and multiple time-varying weights
Costola, Michele; Iacopini, Matteo; Wichers, Casper - 2023
A novel spatial autoregressive model for panel data is introduced, which incorporates multilayer networks and accounts for time-varying relationships. Moreover, the proposed approach allows the structural variance to evolve smoothly over time and enables the analysis of shock propagation in...
Persistent link: https://www.econbiz.de/10014416011
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Bank Cost Efficiency and Credit Market Structure Under a Volatile Exchange Rate
Mamonov, Mikhail; Parmeter, Christopher F.; Prokhorov, Artem - 2022
We study the differential impact of exchange rate volatility on cost efficiency and market structure when banks have … cost efficiency estimates are both severely downward biased---by 30 percentage points on average---and generally not rank … dependence in the bank cost efficiency rankings constructed with the revaluations being kept or dropped. We relate this …
Persistent link: https://www.econbiz.de/10013289130
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On the cyclicality of real wages and wage differentials
Otrok, Christopher; Pourpourides, Panayiotis M. - 2008
We show that two models of the labor market, a Walrasian model and a labor contracting model, both have an approximate dynamic factor structure. We use this result to motivate our empirical approach to estimating the cyclical properties of real wages, which does not impose any structure between...
Persistent link: https://www.econbiz.de/10010288748
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On the cyclicality of real wages and wage differentials
Otrok, Christopher M. (contributor);  … - 2008
We show that two models of the labor market, a Walrasian model and a labor contracting model, both have an approximate dynamic factor structure. We use this result to motivate our empirical approach to estimating the cyclical properties of real wages, which does not impose any structure between...
Persistent link: https://www.econbiz.de/10003746900
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Common Drifting Volatility in Large Bayesian VARs
Carriero, Andrea - 2014
The estimation of large vector autoregressions with stochastic volatility using standard methods is computationally … Kroneker structure that allows for fast estimation, even in a large system. Using US and UK data, we show that, compared to a …
Persistent link: https://www.econbiz.de/10013066409
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Large Vector Autoregressions with Stochastic Volatility and Flexible Priors
Carriero, Andrea - 2016
propose a new Bayesian estimation procedure for (possibly very large) VARs featuring time varying volatilities and general … as computing response functions to structural shocks. We show that indeed empirically the new estimation procedure …
Persistent link: https://www.econbiz.de/10012983057
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The semi-strong efficiency debate : in search of a new testing framework
Ziliotto, Arianna; Serati, Massimiliano - In: Research in international business and finance 34 (2015), pp. 412-438
Persistent link: https://www.econbiz.de/10011326196
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Exchange rate volatility, global market exposure and operational efficiency among US commercial banks
Abaidoo, Rexford - In: International journal of economics and finance 6 (2014) 9, pp. 83-94
Persistent link: https://www.econbiz.de/10010416729
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Why cryptocurrency markets are inefficient : the impact of liquidity and volatility
Al-Yahyaee, Khamis Hamed; Mensi, Walid; Ko, Hee-Un; … - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012654953