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Asymptotics for Panel Models with Common Shocks - Extended Version

Kao, Chihwa - 2010

This paper develops a novel asymptotic theory for panel models with common shocks. We assume that contemporaneous … terms. Several characteristics of the panel are considered: cross-sectional and time-series dimensions can either be fixed …

Persistent link: https://www.econbiz.de/10013136583

Assessing Aggregate Comovements in France, Germany and Italy. Using a Non Stationary Factor Model of the Euro Area

de Bandt, Olivier - 2010

The objective of the paper is to investigate to what extent business cycles co-move in Germany, France and Italy. We use a large-scale database of non-stationary series for the euro area in order to assess the effect of common versus idiosyncratic shocks, as well as transitory versus permanent...

Persistent link: https://www.econbiz.de/10013136631

Investigating Business Cycle Asymmetry for the G7 Countries : Evidence from Over a Century of Data

Narayan, Paresh Kumar - 2012

In this paper we test for asymmetric behaviour of business cycles for the G7 countries, using the entropy-based test for asymmetry suggested by Racine and Maasoumi [Racine, J.S., & Maasoumi, E. (in press-a). A versatile and robust metric entropy test of time-reversibility, and other hypotheses,...

Persistent link: https://www.econbiz.de/10013105365

Commodity Windfalls, Polarization, and Net Foreign Assets : Panel Data Evidence on the Voracity Effect

Arezki, Rabah - 2013

panel of 145 countries during the period 1970-2007. The main finding is that windfalls from international commodity price …

Persistent link: https://www.econbiz.de/10013092044

Responses to Monetary Policy Shocks in the East and the West of Europe : A Comparison

Jarocinski, Marek - 2009

This paper estimates responses to monetary shocks for several of the current members of the EMU (in the pre-EMU sample) and for the Central and East European (CEE) countries, along with the mean response in each of the groups. The problem of the short sample, especially acute in the case of the...

Persistent link: https://www.econbiz.de/10013157690

Heterogeneous Shocks in the COVID-19 Pandemic : Panel Evidence from Italian Firms

Brancati, Emanuele - 2020

shock for Italian firms. We take advantage of unique panel data on 7,800 companies between January 2020 – right before the … this short time window to proxy for firms' idiosyncratic shock. Our analysis shows disproportionate effects for …

Persistent link: https://www.econbiz.de/10012834497

Simultaneous Spatial Panel Data Models with Common Shocks

Lu, Lina - 2017

I consider a simultaneous spatial panel data model, jointly modeling three effects: simultaneous effects, spatial … effects and common shock effects. This joint modeling and consideration of cross-sectional heteroskedasticity result in a … to analyze the relationship between trade and GDP using a panel data over time and across countries …

Persistent link: https://www.econbiz.de/10012943957

Are US-Dollar-Hedged-ETF Investors Aggressive on Exchange Rates? A Panel VAR Approach

Shank, Corey A. - 2017

benchmark and foreign exchange rate from July 2011 to November 2015 using a panel VAR approach. We find that investors are able …

Persistent link: https://www.econbiz.de/10012969245

Labor Mobility, Economic Shocks, and Jobless Growth : Evidence from Panel Data in Morocco

Verme, Paolo - 2017

labeled as "jobless growth." For the first time for Morocco, this paper uses quarterly panel data to investigate the question …

Persistent link: https://www.econbiz.de/10012973446

Monetary Shocks, Equity Returns and Volatility - A Firm-Level Panel Data Analysis

Luo, H. Arthur - 2015

This paper studies the impact of monetary policy shocks on equity returns and their volatility among nine industries and their affiliated firms in the U.S. We use an extension of the traditional Capital Asset Pricing Model as the analytical framework and approximate policy shocks with the...

Persistent link: https://www.econbiz.de/10013017992