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Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

Persistent link: https://www.econbiz.de/10014431618

A conditional approach to panel data models with common shocks

Forchini, Giovanni; Peng, Bin - In: Econometrics : open access journal 4 (2016) 1, pp. 1-12

This paper studies the effects of common shocks on the OLS estimators of the slopes' parameters in linear panel data …

Persistent link: https://www.econbiz.de/10011411728

On policy evaluation with aggregate time-series shocks

Arkhangelsky, Dmitry; Korovkin, Vasily - 2020

Persistent link: https://www.econbiz.de/10012302315

On PPP, unit roots and panels

Wagner, Martin - 2005

This paper re-assesses the panel (unit root test) evidence for PPP on four monthly data sets. We discuss and illustrate … that commonly-used first generation panel unit root tests are inappropriate for PPP analysis since they are constructed for … cross-sectionally uncorrelated panels. Given that real exchange rate panel data sets are - almost by construction - highly …

Persistent link: https://www.econbiz.de/10009730396

Does the nominal exchange rate regime affect the real interest parity condition?

Dreger, Christian - 2010

system and the current managed float. Panel integration techniques are applied to increase the power of the tests, where …

Persistent link: https://www.econbiz.de/10011374381

Does the nominal exchange rate regime affect the real interest parity condition?

Dreger, Christian - 2008

system and the current managed float. Panel integration techniques are used to increase the power of the tests. Cross section …

Persistent link: https://www.econbiz.de/10011342531

Does the nominal exchange rate regime affect the real interest parity condition?

Dreger, Christian - 2010 - Postprint

system and the current managed float. Panel integration techniques are applied to increase the power of the tests, where …

Persistent link: https://www.econbiz.de/10011518866

International portfolio movements : panel data analysis

Kabadayi, Burhan; Emsen, O. Selcuk; Nisanci, Murat - In: Journal of applied finance & banking 2 (2012) 5, pp. 189-198

In this study, the effects of GDP per capita growth rates, real exchange rates, Standard and Poor’s (S&P) sovereign ratings, the difference between Transition Economies’ (TE) interest rates and USA’s interest rates on TEs’ net portfolio inflows were analyzed. The results showed that GDP...

Persistent link: https://www.econbiz.de/10009673693

Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?

Dreger, Christian - 2009

system and the current managed float. Panel integration techniques are used to increase the power of the tests. Cross section …

Persistent link: https://www.econbiz.de/10013158584

Cross-section dependence and the monetary exchange rate model : a panel analysis

Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - 2011

unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we … in line with the suggestions of the monetary model. -- Monetary exchange rate model ; common factors ; panel data … von 1973 bis 2007 für 19 OECD-Länder. Im ersten Schritt wird durch die Anwendung einer Faktorenanalyse zwischen …

Persistent link: https://www.econbiz.de/10009124360