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Firm heterogeneity and credit risk diversification

Hanson, Samuel; Pesaran, Mohammad Hashem; Schuermann, Til - 2005

This paper considers a simple model of credit risk and derives the limit distribution of losses under different … results obtained indicate that if firm-specific risk exposures (including their default thresholds) are heterogeneous but come … from a common parameter distribution, for sufficiently large portfolios there is no scope for further risk reduction …

Persistent link: https://www.econbiz.de/10010276169

Cointegration analysis with mixed-frequency data

Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2007

We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...

Persistent link: https://www.econbiz.de/10010264085

Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

Kapetanios, George; Pesaran, Mohammad Hashem - 2005

This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross section dependence. A popular method for modelling such dependence uses a factor error structure. Such models raise new problems for estimation and inference. This paper compares...

Persistent link: https://www.econbiz.de/10010276160

Sales and Markup Dispersion : Theory and Empirics

Mrazova, Monika - 2019

We derive exact conditions relating the distributions of firm productivity, sales, output, and markups to the form of demand in monopolistic competition. Applications include a new “CREMR” demand function (Constant Revenue Elasticity of Marginal Revenue): it is necessary and sufficient for...

Persistent link: https://www.econbiz.de/10012892151

Yield Curve and Financial Uncertainty : Evidence Based on Us Data

Castelnuovo, Efrem - 2019

How do short and long term interest rates respond to a jump in financial uncertainty? We address this question by conducting a local projections analysis with US monthly data, period: 1962-2018. The state-of-the-art financial uncertainty measure proposed by Ludvigson, Ma, and Ng (2019) is found...

Persistent link: https://www.econbiz.de/10012867014

The Impact of Aggregate Uncertainty on Firm-Level Uncertainty

Easaw, Joshy; Grimme, Christian - 2021

We analyse the extent to which firm-level uncertainty is affected by aggregate uncertainty. Firm-level uncertainty is constructed from a large and monthly panel dataset of manufacturing firms. We find that aggregate uncertainty has a positive and robust impact on firm-level uncertainty. This...

Persistent link: https://www.econbiz.de/10013239562

Consumption, wealth and business cycles in Germany

Hamburg, Britta; Hoffmann, Mathias; Keller, Joachim - 2005

This paper studies the long-run relationship between consumption, asset wealth and income in Germany, based on data from 1980 to 2003. While earlier studies – mostly for the Anglo- Saxon economies – have generally documented that departures of these three variables from their common trend...

Persistent link: https://www.econbiz.de/10010261168

Do better capitalized banks lend less? Long-run panel evidence from Germany

Buch, Claudia M.; Prieto, Esteban - 2012

Insufficient capital buffers of banks have been identified as one main cause for the large systemic effects of the recent financial crisis. Although higher capital is no panacea, it yet features prominently in proposals for regulatory reform. But how do increased capital requirements affect...

Persistent link: https://www.econbiz.de/10010283577

The causal effect of parents' schooling on children's schooling: A comparison of estimation methods

Holmlund, Helena; Lindahl, Mikael; Plug, Erik - 2010

We review the empirical literature that estimates the causal effect of parent's schooling on child's schooling, and conclude that estimates differ across studies. We then consider three explanations for why this is: (a) idiosyncratic differences in data sets; (b) differences in remaining biases...

Persistent link: https://www.econbiz.de/10010274841

Forecasting with Panel Data : Estimation Uncertainty Versus Parameter Heterogeneity

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022

methods provide better overall forecasting performance and offer more attractive risk profiles compared to individual, pooled …

Persistent link: https://www.econbiz.de/10013292495

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