Search Results - subject:"Threshold regression"

Credit risk and business cycle over different regimes

Marcucci, Juri; Quagliariello, Mario - Banca d'Italia - 2008

threshold regression models both at the aggregate and the bank level and exploiting a unique dataset on Italian bank borrowersï …

Persistent link: https://www.econbiz.de/10005609366

Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts

Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - C.E.P.R. Discussion Papers - 2014

peripheral countries during the debt crisis and explain them. Our estimates based on a panel smooth threshold regression model …

Persistent link: https://www.econbiz.de/10011084312

Was the European sovereign crisis self-fulfilling? Empirical evidence about the drivers of market sentiments

Bruneau, Catherine; Delatte, Anne-Laure; Fouquau, Julien - In: Journal of Macroeconomics 42 (2014) C, pp. 38-51

default of five European “peripheral” countries during January 2006 to September 2011 with a panel smooth threshold regression …

Persistent link: https://www.econbiz.de/10011117998

Financial Development and Income Inequality at Different Levels of Institutional Quality

Law, Siong Hook; Tan, Hui Boon; Azman-Saini, W. N. W. - In: Emerging Markets Finance and Trade 50 (2014) 1S, pp. 21-33

institutional quality. The empirical evidence based on the threshold regression approach shows that there indeed exists an …

Persistent link: https://www.econbiz.de/10010775198

Has the transport-led economic growth effect reached a peak in China? A panel threshold regression approach

Deng, Taotao; Shao, Shuai; Yang, Lili; Zhang, Xueliang - In: Transportation 41 (2014) 3, pp. 567-587

infrastructure capacity positively affect economic growth, based on panel threshold regression models. Our empirical findings suggest …

Persistent link: https://www.econbiz.de/10010989540

Financial stress, sovereign debt and economic activity in industrialized countries: Evidence from dynamic threshold regressions

Proaño, Christian R.; Schoder, Christian; Semmler, Willi - In: Journal of International Money and Finance 45 (2014) C, pp. 17-37

sector. Employing dynamic country-specific and dynamic panel threshold regression methods, we study the non-linear relation …

Persistent link: https://www.econbiz.de/10011048472

The impact of international financial integration on economic growth: New evidence on threshold effects

Chen, Jinzhao; Quang, Thérèse - In: Economic Modelling 42 (2014) C, pp. 475-489

Recent research highlights that countries differ with respect to their experience with capital flows and do not systematically gain from capital account liberalization. This paper contributes to the empirical literature that investigates the circumstances under which international financial...

Persistent link: https://www.econbiz.de/10010931017

Is the natural resource production a blessing or curse for China's urbanization? Evidence from a space–time panel data model

Liu, Yaobin - In: Economic Modelling 38 (2014) C, pp. 404-416

cointegration, panel threshold regression and spatial panel Durbin model. The results not only offer strong evidences that the …

Persistent link: https://www.econbiz.de/10010753342

Financial development and income inequality at different levels of institutional quality

Law, Siong Hook; Tan, Hui Boon; Wan Azman Saini Wan Ngah - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 21-33

Persistent link: https://www.econbiz.de/10010403294

Commonality in liquidity and real estate securities

Hoesli, Martin; Kadilli, Anjeza; Reka, Kustrim - 2014

We conduct an empirical investigation of the pricing and economic sources of commonality in liquidity in the U.S. REIT market. Taking advantage of the specific characteristics of REITs, we analyze three types of commonality in liquidity: within-asset commonality, cross-asset commonality (with...

Persistent link: https://www.econbiz.de/10010412872