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A Faith-based Initiative: Does a Flexible Exchange Rate Regime Really Facilitate Current Account Adjustment?
Chinn, Menzie David; Wei, Shang-Jin - C.E.P.R. Discussion Papers - 2008
The assertion that a flexible exchange rate regime would facilitate current account adjustment is often repeated in policy circles. In this paper, we compile a data set encompassing data for over 170 countries over the 1971-2005 period, and examine whether the rate of current account reversion...
Persistent link: https://www.econbiz.de/10005123904
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Value-at-Risk for country risk ratings
McAleer, Michael; da Veiga, Bernardo; Hoti, Suhejla - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1454-1463
The country risk literature argues that country risk ratings have a direct impact on the cost of borrowings as they reflect the probability of debt default by a country. An improvement in country risk ratings, or country creditworthiness, will lower a country's cost of borrowing and debt...
Persistent link: https://www.econbiz.de/10010870466
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The empirical determinants of the Euro: Short and long run perspectives
Chinn, Menzie David - Sonderforschungsbereich 373, Quantifikation und … - 2000
The behavior of the dollar/euro exchange rate is modeled using a monetary model of the exchange rate. The econometric … analysis is complicated by the short sample span of actual euro data available for analysis. Hence, data on a synthetic euro …, is identified for the 1991M08-1999M12 period using the Johansen procedure. The model implies that the euro was …
Persistent link: https://www.econbiz.de/10010956396
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Modelling the information content in insider trades in the Singapore exchange
Ann, Wong Kie; Sequeira, John M.; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 68 (2005) 5, pp. 417-428
Over the past decade, numerous studies have debated the usefulness of insider trading. One particularly important study relates to the informational role that insiders’ transaction volumes have on trading activity in the equity market. In our paper, we examine whether insiders’ purchases...
Persistent link: https://www.econbiz.de/10010749255
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Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?
McAleer, Michael; Jimenez-Martin, Juan-Angel; … - Tinbergen Instituut
See the publication in <I>The North American Journal of Economics and Finance</I> (2013). Volume 26(C), pages 250-265.<P> The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the...</p></i>
Persistent link: https://www.econbiz.de/10011256748
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Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
McAleer, Michael; Jimenez-Martin, Juan-Angel; … - Tinbergen Institute
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...
Persistent link: https://www.econbiz.de/10005016261
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Multivariate Stochastic Volatility
Asai, Manabu; McAleer, Michael; Yu, Jun - East Asian Bureau of Economic Research (EABER) - 2006
. This paper reviews the substantial literature on specification, estimation and evaluation of MSV models. A wide range of …, Cholesky decomposition, Wishart autoregressive process, and the empirical range. Alternative methods of estimation, including …
Persistent link: https://www.econbiz.de/10009365381
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Moment Restriction-based Econometric Methods: An Overview
Kunitomo, Naoto; McAleer, Michael; Nishiyama, Yoshihiko - Institute of Economic Research, Kyoto University - 2010
stationary processes, method of moments estimation and identifiability of semiparametric nonlinear errors-in-variables models … coefficients in a structural equation with many instruments, instrumental variable estimation in the presence of many moment … conditions, estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional …
Persistent link: https://www.econbiz.de/10008670443
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Multivariate Stochastic Volatility: A Review
Asai, Manabu; McAleer, Michael; Yu, Jun - In: Econometric Reviews 25 (2006) 2-3, pp. 145-175
. This paper reviews the substantial literature on specification, estimation, and evaluation of MSV models. A wide range of … Cholesky decomposition, and the Wishart autoregressive process. Alternative methods of estimation, including quasi …
Persistent link: https://www.econbiz.de/10009228515
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Moment Restriction-based Econometric Methods: An Overview
McAleer, Michael; Kunitomo, Kunitomo, N.; Nishiyama, … - Faculteit der Economische Wetenschappen, Erasmus … - 2010
stationary processes, method of moments estimation and identifiability of semiparametric nonlinear errors-in-variables models … coefficients in a structural equation with many instruments, instrumental variable estimation in the presence of many moment … conditions, estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional …
Persistent link: https://www.econbiz.de/10010731794