Narrow search
Showing 1 - 10 of 714
Cover Image
On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications
Rebucci, Alessandro - 2003
This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative...
Persistent link: https://www.econbiz.de/10014403829
Cover Image
Foreign exchange intervention rule for central banks : risk-based framework
Lafarguette, Romain; Veyrune, Romain - 2021
rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria … could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the … than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico's FXIs data …
Persistent link: https://www.econbiz.de/10012518276
Cover Image
Estimating Potential Output with a Multivariate Filter
International Monetary Fund - 2010
This paper develops a simple model for measuring potential output that uses data on inflation, unemployment, and capacity utilization. We apply the model to 10 countries, in addition to the United States and the euro area. While there is a substantial amount of uncertainty around our estimates,...
Persistent link: https://www.econbiz.de/10014403161
Cover Image
Portfolio Diversification, Leverage, and Financial Contagion
Smith, T. Todd - 1999
Models of “contagion” rely on market imperfections to explain why adverse shocks in one asset market might be associated with asset sales in many unrelated markets. This paper demonstrates that contagion can be explained with basic portfolio theory without recourse to market imperfections....
Persistent link: https://www.econbiz.de/10014400415
Cover Image
Parametric Distributional Flexibility and Conditional Variance Models with An Application to Hourly Exchange Rates
Lye, Jenny N. - 1998
This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution. The distribution offers flexibility in modeling both leptokurtosis and asymmetry (characteristics seen in high-frequency financial time series...
Persistent link: https://www.econbiz.de/10014400775
Cover Image
Deviations of Exchange Rates From Purchasing Power Parity : A Story Featuring Two Monetary Unions
MacDonald, Ronald - 1998
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear...
Persistent link: https://www.econbiz.de/10014400558
Cover Image
A closed form multivariate linear filter
Boadway, Robin W.; Vitek, Francis - 2018
This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous...
Persistent link: https://www.econbiz.de/10011978601
Cover Image
Multivariate filter estimation of potential output for the United States
Alichi, Ali; Bizimana, Olivier; Laxton, Douglas; … - 2017
Estimates of potential output are an important component of a structured forecasting and policy analysis system. Using information on capacity utilization, this paper extends the multivariate filter developed by Laxton and Tetlow (1992) and modified by Benes and others (2010), Blagrave and...
Persistent link: https://www.econbiz.de/10011704412
Cover Image
Multivariate filter estimation of potential output for the United States : an extension with labor market hysteresis
Alichi, Ali; Avetisyan, Hayk; Laxton, Douglas; … - 2019
This paper extends the multivariate filter approach of estimating potential output developed by Alichi and others (2018) to incorporate labor market hysteresis. This extension captures the idea that long and deep recessions (expansions) cause persistent damage (improvement) to the labor market,...
Persistent link: https://www.econbiz.de/10012009370
Cover Image
Modeling banking, sovereign, and macro risk in a CCA global VAR
Gray, Dale; Groß, Marco; Paredes, Joan; Sydow, Matthias - 2013
estimation and calibration of the global model, we simulate various negative and positive shock scenarios, particularly to bank …
Persistent link: https://www.econbiz.de/10012667482