Similar Search Results

Testing CAPM with a Large Number of Assets

Pesaran, M. Hashem; Yamagata, Takashi - Institute for the Study of Labor (IZA) - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative …

Persistent link: https://www.econbiz.de/10010550527

Real Wages and the Business Cycle in Germany

Marczak, Martyna; Beissinger, Thomas - Institute for the Study of Labor (IZA) - 2010

-Prescott filter, the Baxter-King filter and the structural time series model. The detrended data are analyzed both in the time domain … relative importance of particular frequencies for the behavior of real wages. In the time domain we find that both real wages … the business cycle and shows an anticyclical behavior for shorter time periods, whereas for longer time spans a …

Persistent link: https://www.econbiz.de/10008678691

Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets

Ehrlich, Isaac; Shin, Jong Kook; Yin, Yong - Institute for the Study of Labor (IZA) - 2011

By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance models predict. Our model ascribes the "bias" to...

Persistent link: https://www.econbiz.de/10009359859

The Real Exchange Rate and Growth in Zimbabwe: Does the Currency Regime Matter?

Brixiova, Zuzana; Ncube, Mthuli - Institute for the Study of Labor (IZA) - 2014

Zimbabwe faces growth and external competitiveness challenges, as indicated by its low trend growth and investment, declining share in the world exports, high current account deficits, and external debt. The stock-flow approach to the equilibrium exchange rate reveals that the real exchange rate...

Persistent link: https://www.econbiz.de/10010891170

Can the UAE Avoid the Oil Curse by Economic Diversification?

Haouas, Ilham; Heshmati, Almas - Institute for the Study of Labor (IZA) - 2014

Recent research conclude that the GCC economies have failed to address the oil curse. They are far behind other countries, especially those in the G7, which possess huge reserves of oil wealth but have undertaken economic diversification to correct the ill-effects of an oil curse. This paper...

Persistent link: https://www.econbiz.de/10010884109

Structural Change in MENA Remittance Flows

Naufal, George S; Genc, Ismail H. - Institute for the Study of Labor (IZA) - 2013

After independence, the GCC countries relied heavily on foreign workers from fellow Arab countries. Thus, remittances flowed from GCC to other countries in MENA. In the 1980s-1990s labor source switched to South Asia; so did the flow of remittances. This paper examines the consequences of the...

Persistent link: https://www.econbiz.de/10010959636

Testing Dependence among Serially Correlated Multi-Category Variables

Pesaran, M. Hashem; Timmermann, Allan - Institute for the Study of Labor (IZA) - 2006

The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Existing tests assume, however, that draws are independent, and there are no tests that account for serial dependencies - a problem that is particularly important in economics and...

Persistent link: https://www.econbiz.de/10005763908

Google Econometrics and Unemployment Forecasting

Askitas, Nikos; Zimmermann, Klaus F. - Institute for the Study of Labor (IZA) - 2009

The current economic crisis requires fast information to predict economic behavior early, which is difficult at times of structural changes. This paper suggests an innovative new method of using data on internet activity for that purpose. It demonstrates strong correlations between keyword...

Persistent link: https://www.econbiz.de/10005004554

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - Institute for the Study of Labor (IZA) - 2007

time series in addition to the variable under consideration. Importantly, our test procedure only requires specification of …

Persistent link: https://www.econbiz.de/10005762413

The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?

Candelon, Bertrand; Dupuy, Arnaud; Gil-Alana, Luis A. - Institute for the Study of Labor (IZA) - 2008

This paper provides new evidence on the nature of occupational differences in unemployment dynamics, which is relevant for the debate between the structural or hysteresis hypotheses. We develop a procedure that permits us to test for the presence of a structural break at unknown date. Our...

Persistent link: https://www.econbiz.de/10005822105