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We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching...
Persistent link: https://www.econbiz.de/10005599304
This paper uses data across 365 corridors to document time and country variation in remittance fees and explore factors predicting variation in remittance fees. We document a general reduction in such fees over the past decade although the goal of fees below 3 percent has not been met yet in...
Persistent link: https://www.econbiz.de/10015060523
We provide new estimates of the return on US external claims and liabilities using confidential, high-quality, security-level data. The excess return is positive on average, since claims are tilted toward higher return equities. The excess return is large and positive in normal times but large...
Persistent link: https://www.econbiz.de/10015328265
we show that, if the true process of UIP deviations were of the nonlinear form we consider, estimation of conventional …
Persistent link: https://www.econbiz.de/10005604790
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term …
Persistent link: https://www.econbiz.de/10008727797
of serial correlation in the context of panel probit regressions. This paper documents the magnitude of the problem …
Persistent link: https://www.econbiz.de/10005768958
evidence is provided for a panel of 14 emerging economies in the period 1970-98. Attention is focused on the stocks of foreign …
Persistent link: https://www.econbiz.de/10005599482
The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting and basic definitions common to all the model...
Persistent link: https://www.econbiz.de/10005604852
This paper develops a comprehensive new framework to measure and analyze sovereign risk. Since traditional macroeconomic vulnerability indicators and accounting-based measures do not address risk in a comprehensive and forward-looking way, the contingent claims approach is used to construct a...
Persistent link: https://www.econbiz.de/10005605090
) asymptotically, the heterogeneity bias of the FE may be more or less severe in VAR specifications than in standard dynamic panel data … estimators; (iii) when this happens, the panel must be longer than a typical macro dataset for the MG to be a viable solution. …
Persistent link: https://www.econbiz.de/10005263898