This dissertation considers a local control function approach for the binary response model under endogeneity. The objective of the Smoothed Maximum Score estimator (SMSE)(Horowitz 1992) is modified by weighting the observations with a kernel. Under some mild regularity conditions similar in...

The business cycles theories of Wicksell (1898), Schumpeter (1912), Mises (1912), Hayek (1929, 1935) and Minsky (1986, 1992) explain business cycles by distorted prices on capital markets, buoyant credit expansion and overinvestment. The exuberance during the boom endogenously causes the...

We show how since the mid 1980s expansionary monetary policies in the large economies and “vagabonding liquidity” have contributed to bubbles in the new and emerging markets. Based on the monetary overinvestment theories of Hayek and Wicksell we describe a wave of bubbles and crises that was...

Credit booms have globally fuelled hikes in stock, raw material and real estate markets which have culminated in the recent US subprime market crisis. We explain the global asset market booms since the mid 1980s based on the overinvestment theories of Hayek, Wicksell and Schumpeter. We argue...

The paper analyses the monetary policy operations of central banks in the Middle East and North Africa (MENA). We distinguish the pattern of monetary policy operations of the liquidity providing central banks of the large industrialized countries (creditor central banks) and the liquidity...

This research is focused on models for volatility. After the introduction of realized volatility as a consistent estimator for daily volatility, time series models without latent variables have been used to model and forecast volatility. The first part of this research provides a critical review...

The development of cointegration theories and the presence of nonstationarity in time series raised serious concerns about possible spurious estimations in forest products models. Based on the results of Hsiao (1997a, 1997b), all the virtues of two-stage least square (2SLS) hold if there are...

In GARCH models, neglecting parameter changes in the conditional volatility process results in biased estimation. The estimated sum of the autoregressive parameters of the conditional volatility converges to one. In Chapter 2, I analyze the effect of changes in the parameters of conditional...

This dissertation consists of three essays that focus on a Bayesian estimation of stochasticcost frontiers for electric generation plants. This research gives insight into the changingdevelopment of the electric generation market and could serve to inform both private investmentand public policy...

This paper explores the conflict of real and monetary convergence during the EMU run-up of the future Central and Eastern European (CEE) EU member states. Based on a Balassa-Samuelson model of productivity driven inflation, it compares the policy options which might make the compliance possible,...