This paper proposes a Bayesian approach to estimate a factor augmented productivity equation. We exploit the panel dimension of our data and distinguish individual-specific and time-specific factors. On the basis of 21 technology, infrastructure and institution indicators from 82 countries over...

This study aims at providing an empirical analysis of long-term determinants of sovereign debt yield spreads under European EMU (Economic and Monetary Union) through pairwise approach within panel framework. Panel gravity models are increasingly used in the cross-market correlation literature...

Recent developments within the panel unit-root literature have illustrated how the exact factor model serves as a parsimonious framework and allows for consistent maximum likelihood inference even when it is misspecified contra the more general approximate factor model. In this paper we consider...

This paper quantifies the effect of reallocation dynamics on aggregate productivity developments in the banking sectors of Europe and the United States. We document an increase in productivity over the period 1995-2009, on the order of 11 in the US and 19 in Europe. At an annual frequency,...

We consider an exact factor model and derive a Lagrange multiplier-type test for unit roots in the idiosyncratic components. The asymptotic distribution of the statistic is derived under the misspecification that the differenced factors are white noise. We prove that the asymptotic distribution...

Motivated by the dominant role of cross-country heterogeneity in private saving in the creation of Eurozone imbalances over the past decade, we empirically investigate the determinants of private saving for a sample of 30 OECD countries over the period 1990-2010. In addition to standard...

Purpose – The purpose of this paper is to evaluate threshold effects in the persistence of South African aggregate inflation data. Design/methodology/approach – The conventional approach for assessing the degree of persistence within an inflation process is via its integration properties....

Purpose – The purpose of this paper is to evaluate threshold effects in the persistence of South African aggregate inflation data. Design/methodology/approach – The conventional approach for assessing the degree of persistence within an inflation process is via its integration properties....

This paper investigates the changing pattern of seasonal influences on quarterly Australian data on aggregate working days lost due to industrial disputes per thousand employees for the period 1983:1 to 2004:3. The analysis suggests the presence of (a) a structural break in the stationarity...