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Cointegration in a periodic vector autoregression
Kleibergen, Frank; Franses, Philip Hans - Faculteit der Economische Wetenschappen, Erasmus … - 1999
to a restriction on a product of parameter matrices. We therefore use GMM to construct estimators of the long …-run (cointegration) parameters and to obtain test statistics for cointegration. We show that the limiting distributions of the GMM …
Persistent link: https://www.econbiz.de/10010837996
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Does the ECB Care about Shifts in Investors’ Risk Appetite?
Papadamou, Stephanos; Siriopoulos, Costas - Volkswirtschaftliche Fakultät, … - 2008
A key problem facing monetary policy makers is determining whether serious financial instability is present. Periods of financial instability are linked with low investors’ risk appetite (or in other words high risk aversion). Two different measures of investors’ risk aversion are used: (a)...
Persistent link: https://www.econbiz.de/10008680305
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Fiscal multipliers in a panel of countries
Contreras, Juan; Battelle, Holly - 2014
countries. By using a GMM estimator and lagged dependent variables as instruments in a SVAR model, we attempt to correct for the …
Persistent link: https://www.econbiz.de/10010402581
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The bank capital-competition-risk nexus : a global perspective
Davis, E. Philip; Karim, Dilruba; Noel, Dennison - 2019
Persistent link: https://www.econbiz.de/10011996334
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A bias-corrected method of moments approach to estimation of dynamic Short-T panels
Chudik, Alexander; Pesaran, M. Hashem - 2017
This paper contributes to the GMM literature by introducing the idea of self-instrumenting target variables instead of …¤erent experimental designs and sample sizes, including in the case of experiments where the system GMM estimators are inconsistent. We …
Persistent link: https://www.econbiz.de/10011735967
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The fiscal consequences of deflation : evidence from the Golden Age of globalization
Afonso, António; Jalles, João Tovar - 2016
Persistent link: https://www.econbiz.de/10011549515
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Bank risk in a decade of low interest rates
Chang, Yen-Ling; Talley, Daniel A. - In: Journal of economics and finance 41 (2017) 3, pp. 505-528
Persistent link: https://www.econbiz.de/10011802159
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Fiscal episodes and market power
Afonso, António; Jalles, João Tovar - In: Open economies review 28 (2017) 2, pp. 233-250
Persistent link: https://www.econbiz.de/10011804330
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The fiscal consequences of deflation : evidence from the golden age of globalization
Afonso, António; Jalles, João Tovar - In: The quarterly review of economics and finance : journal … 74 (2019), pp. 129-147
Persistent link: https://www.econbiz.de/10012297233
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Fiscal sustainability assessment for Suriname 1978-2017 : a fiscal reaction function approach
Mungroo, Albert; Tjon Kie Sim-Balker, Peggy - 2020
following econometric techniques OLS, VAR, TAR, GMM and VECM. The results showed a positive and significant, but weak …
Persistent link: https://www.econbiz.de/10012298406