Showing 1 - 10 of 116
A recent boom in commodities-for-manufactures trade between China and other developing countries has led to much concern about the losers from rising import competition in manufacturing, but little attention on the winners from growing Chinese demand for commodities. Using census data for...
Persistent link: https://www.econbiz.de/10011126579
This paper investigates the direct and indirect impacts of ethanol production on land use, deforestation and food production. A partial equilibrium model of a national economy with two sectors and two regions, one of which includes a residual forest, is developed. It analyses how an exogenous...
Persistent link: https://www.econbiz.de/10010746560
Hall & Yao (2003) showed that, for ARCH/GARCH, i.e. autoregressive conditional heteroscedastic …
Persistent link: https://www.econbiz.de/10011126223
The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in … for GARCH models only, the basic idea may be applied to address the estimation procedure selection problem in a general …
Persistent link: https://www.econbiz.de/10011126440
GARCH model. We extend the univariate Markov-Switching GARCH of Haas, Mittnik and Paolella (2004) into a bivariate Markov …-switching GARCH model with Conditional Constant Correlation (CCC) speci…cation within each regime, though the correlation may change …
Persistent link: https://www.econbiz.de/10011071166
stationary time series and for standardized innovations of GARCH models. A simulation study demonstrates the efficacy of both …
Persistent link: https://www.econbiz.de/10010746302
We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH … factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH coefficients and on … conditions, this is simply not fully diversifiable in arbitrary large portfolios. Non-GARCH memory properties arise at the …
Persistent link: https://www.econbiz.de/10010746556
This paper explains the nonneutrality of money from two assumptions: (1) consumers dislike paying prices that exceed some fair markup on firms’ marginal costs; and (2) consumers under infer marginal costs from available information. After an increase in money supply, consumers underappreciate...
Persistent link: https://www.econbiz.de/10011163499
We offer a new explanation as to why international trade is so volatile in response to economic shocks. Our approach combines the uncertainty shock idea of Bloom (2009) with a model of international trade, extending the idea to the open economy. Firms import intermediate inputs from home or...
Persistent link: https://www.econbiz.de/10011125941
We establish a set of US stylized facts on prices, quantities and balance sheets, assess the consistency of the current generation of financial DSGE models to these, and provide guidance on the challenges ahead. We mainly find four aspects which future financial friction models should take into...
Persistent link: https://www.econbiz.de/10011126533