Search Results - subject:"finite variance"

Growth Convergence and Spillovers Among Indian States; What Matters? What Does Not?

Sodsriwiboon, Piyaporn; Kalra, Sanjay - International Monetary Fund (IMF) - 2010

Convergence and spillovers across countries and within countries are old, but recurrent policy concerns, and India is no exception to this rule. This paper examines convergence and spillovers across Indian states using non-stationary panel data techniques. Results on convergence among Indian...

Persistent link: https://www.econbiz.de/10008470398

Crude Oil Prices; Trends and Forecast

Krichene, Noureddine - International Monetary Fund (IMF) - 2008

Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward consistently rising prices. Short-term forecasting would imply persistence of...

Persistent link: https://www.econbiz.de/10005825666

Recent Dynamics of Crude Oil Prices

Krichene, Noureddine - International Monetary Fund (IMF) - 2006

Crude oil prices have been on a run-up spree in recent years. Their dynamics were characterized by high volatility, high intensity jumps, and strong upward drift, indicating that oil markets were constantly out-of-equilibrium. An explanation of the oil price process in terms of the underlying...

Persistent link: https://www.econbiz.de/10005826574

Subordinated Levy Processes and Applications to Crude Oil Options

Krichene, Noureddine - International Monetary Fund (IMF) - 2005

One approach to oil markets is to treat oil as an asset, besides its role as a commodity. Speculative and nonspeculative activity by investors in the derivatives markets could be responsible for a sizable increase in oil prices. This paper recognizes both the consumption and investment aspects...

Persistent link: https://www.econbiz.de/10005605320

Once Again, is Openness Good for Growth?

International Monetary Fund (IMF); International … - 2004

Rodriguez and Rodrik (2000) argue that the relation between openness and growth is still an open question. One of the main problems in the assessment of the effect is the endogeneity of the relation. In order to address this issue, this paper applies the identification through heteroskedasticity...

Persistent link: https://www.econbiz.de/10005768790

Ambiguity, Transparency, and Institutional Strength

Erbas, S. Nuri - International Monetary Fund (IMF) - 2004

Institutional transparency makes future contingencies more easily predictable for investors. Greater transparency can be achieved through vertical and horizontal integration of policy rules, which may result in lower Knightian uncertainty (ambiguity). In a model based on cumulative prospect...

Persistent link: https://www.econbiz.de/10005826452

Asymptotic null distributions of stationarity and nonstationarity

Cappuccio, Nunzio; Lubian, Diego - Dipartimento di Scienze Economiche, Facoltà di Economia - 2003

the error term is an i.i.d. process with finite variance as T " 1. This local-to-finite variance setup is helpful to … and infinite variance and to assess the robustness of these test statistics to small departures from the standard finite … variance context. From an empirical point of view, our analysis can be useful in settings where the (non)-existence of the …

Persistent link: https://www.econbiz.de/10011264970

Asymptotic null distributions of stationarity and nonstationarity

Cappuccio, Nunzio; Lubian, Diego - Dipartimento di Scienze Economiche, Facoltà di Economia - 2003

Persistent link: https://www.econbiz.de/10005641886

Nonlinear Exchange Rate Models; A Selective Overview

Sarno, Lucio - International Monetary Fund (IMF) - 2003

This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange...

Persistent link: https://www.econbiz.de/10005825647

PPP Strikes Back; Aggregation and the Real Exchange Rate

Mumtaz, Haroon; Imbs, Jean; Ravn, Morten O.; Rey, Helene - International Monetary Fund (IMF) - 2003

We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that established time-series and panel methods substantially exaggerate the persistence of real exchange rates because of heterogeneity in the dynamics of disaggregated relative prices. When...

Persistent link: https://www.econbiz.de/10005248142