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Growth, Volatility and Political Instability: Non-Linear Time-Series Evidence for Argentina, 1896-2000

Campos, Nauro F; Karanasos, Menelaos - C.E.P.R. Discussion Papers - 2007

What is the relationship between economic growth and its volatility? Does political instability affect growth directly … or indirectly, through volatility? This paper tries to answer such questions using a power-ARCH framework with annual … legislative changes) has an indirect (through volatility) negative impact. We also find preliminary support for the idea that …

Persistent link: https://www.econbiz.de/10005667076

Two to Tangle: Financial Development, Political Instability and Economic Growth in Argentina (1896-2000)

Campos, Nauro F; Karanasos, Menelaos; Tan, Bin - C.E.P.R. Discussion Papers - 2008

.g., cabinet changes) has an indirect (through volatility) impact on growth; (iii) the effect of financial development is positive … and, surprisingly, not via volatility; (iv) the informal instability effects are much larger in the short- than in the …

Persistent link: https://www.econbiz.de/10005114221

Sources of Risk in Currency Returns

Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - C.E.P.R. Discussion Papers - 2012

We quantify the sources of risk in currency returns as a first step toward understanding the returns reported for the carry trade. To do this, we develop and estimate an empirical model of exchange rate dynamics using daily data for four currencies relative to the US dollar: the Australian...

Persistent link: https://www.econbiz.de/10011083487

Regression Based Estimation of Dynamic Asset Pricing Models

Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015

We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...

Persistent link: https://www.econbiz.de/10011186634

How Prediction Markets Can Save Event Studies

Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - C.E.P.R. Discussion Papers - 2011

This review paper articulates the relationship between prediction market data and event studies, with a special focus on applications in political economy. Event studies have been used to address a variety of political economy questions from the economic effects of party control of government to...

Persistent link: https://www.econbiz.de/10009003379

Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model

Canova, Fabio; Ciccarelli, Matteo - C.E.P.R. Discussion Papers - 2001

We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a flexible model that accounts for both interdependencies in the cross section and time variations in the parameters. Posterior distributions for the parameters are obtained for...

Persistent link: https://www.econbiz.de/10005504253

Stock Returns, Term Structure, Inflation and Real Activity: An International Perspective

Canova, Fabio; de Nicolò, Gianni - C.E.P.R. Discussion Papers - 1997

This paper analyses the empirical interdependence of asset returns, real activity and inflation from a multicountry and international point of view. We find that nominal stock returns are significantly related to inflation only in the United States, that the US term structure of interest rates...

Persistent link: https://www.econbiz.de/10005504379

Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency

Meenagh, David; Minford, Patrick; Peel, David - C.E.P.R. Discussion Papers - 2006

A model of profits switches between four regimes with fixed probabilities; the rationally expected profits stream implies the stock market value. This efficient market model is not rejected by UK post-war time-series behaviour of either profits or the FTSE index.

Persistent link: https://www.econbiz.de/10005504613

A DSGE Model of China

Dai, Li; Minford, Patrick; Zhou, Peng - C.E.P.R. Discussion Papers - 2014

We use available methods for testing macro models to evaluate a model of China over the period from Deng Xiaoping's reforms up until the crisis period. Bayesian ranking methods are heavily influenced by controversial priors on the degree of price/wage rigidity. When the overall models are tested...

Persistent link: https://www.econbiz.de/10011083573

The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

Andreasen, Martin M.; Fernández-Villaverde, Jesús; … - C.E.P.R. Discussion Papers - 2013

estimation for DSGE models approximated up to third-order and provides the foundation for indirect inference and SMM when …

Persistent link: https://www.econbiz.de/10011083616