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Hybrid Historical Simulation VaR and ES : Performance in Developed and Emerging Markets

Zikovic, Sasa - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

Persistent link: https://www.econbiz.de/10013155427

Transportation Costs and the Great Divergence

Azarnert, Leonid V. - 2014

This work shows the asymmetric effect of the reduction in transportation costs across different sectors in the process of the Great Divergence. Specifically, the analysis indicates that reductions in transportation costs of industrial goods enhance convergence of the growth rates of trading...

Persistent link: https://www.econbiz.de/10013054015

The Great Divergence : A Network Approach

Lindner, Ines - 2016

knowledge throughout the world explains a period of increasing world inequality after the take-off of the forerunners of the … industrial revolution, followed by decreasing relative inequality. Knowledge diffusion through a Small World network explains the … individual countries in the course of world development …

Persistent link: https://www.econbiz.de/10013001168

Cross-Country Income Differences and Technology Diffusion in a Competitive World

Irmen, Andreas - 2012

-degenerate world income distribution. In accordance with the empirical literature, I find that country characteristics such as the … policies such as subsidies to innovation investments explain a country's position in the eventual world income distribution …

Persistent link: https://www.econbiz.de/10012754962

International Climate Agreements, Cost Reductions and Convergence of Partisan Politics

Laurency, Patrick; Schindler, Dirk - 2021

In recent years, differences between traditional and green parties have been leveled with respect to climate protection. We show that this partial convergence in party platforms can be explained by international climate agreements, effectively reducing greenhouse gas emissions. We set up a...

Persistent link: https://www.econbiz.de/10013315969

Regional Inequality, Convergence, and its Determinants - A View from Outer Space

Lessmann, Christian - 2015

This paper provides a new data set of regional income inequalities within countries based on satellite nighttime light data. We first empirically study the relationship between luminosity data and regional incomes for those countries where regional income data are available. We subsequently use...

Persistent link: https://www.econbiz.de/10013023191

Bootstrap Panel Granger-Causality between Government Budget and External Deficits for the EU

Afonso, António - 2009

We investigate the existence of Granger-causality between current account and government budget balances over the period 1970-2007, for different EU and OECD country groupings. We use the panel-data approach of Konya (2006), which is based on SUR systems and Wald tests with country specific...

Persistent link: https://www.econbiz.de/10012764453

Sectoral Trade Freeness and Agglomeration in the EU : An Empirical Test Strategy

Cafiso, Gianluca - 2021

This paper studies the evolution of trade freeness and of the agglomeration of production, as well as their relationship, at the sectoral level in a group of EU countries. Our main objective is to test at the sectoral level the conclusions of previous aggregate analyses which find that an...

Persistent link: https://www.econbiz.de/10013315837

Confidence Bands for Impulse Responses : Bonferroni versus Wald

Lütkepohl, Helmut - 2014

In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint distribution in the Bayesian framework or the joint asymptotic...

Persistent link: https://www.econbiz.de/10013057654

Fiscal Decentralization and Public Sector Efficiency : Evidence from OECD Countries

Adam, Antonis - 2008

This paper attempts to identify the effect of fiscal decentralization on public sector efficiency (PSE). We employ data envelopment analysis on a panel of 21 OECD countries over the period 1970-2000 to construct two alternative PSE indicators that reflect the governmental goals of economic...

Persistent link: https://www.econbiz.de/10012770638