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Cross-section dependence and the monetary exchange rate model – A panel analysis
Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - In: The North American Journal of Economics and Finance 23 (2012) 1, pp. 38-53
finding indicates that cross-member cointegration exists and non-stationarity in exchange rates and fundamentals is mainly …
Persistent link: https://www.econbiz.de/10010886092
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Cross-section dependence and the monetary exchange rate model : a panel analysis
Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - In: The North American journal of economics and finance : a … 23 (2012) 1, pp. 38-53
Persistent link: https://www.econbiz.de/10009673901
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Large T and small N : A three-step approach to the identification of cointegrating relationships in time series models with a small cross-sectional dimension.
Hammersland, Roger - Norges Bank - 2004
This paper addresses cointegration in small cross-sectional panel data models. In addition to dealing with … cointegrating relationships within the cross-sectional dimension, the paper explicitly addresses the issue of cointegration between …
Persistent link: https://www.econbiz.de/10005481451
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Estimation of Panel Data Models with Interactive Effects and Multiple Structural Breaks When T Is Fixed
Kaddoura, Yousef; Westerlund, Joakim - 2021
In this article, we propose a new estimator of panel data models with interactive fixed effects and multiple structural breaks that is suitable when the number of time periods, T, is fixed and only the number of cross-sectional units, N, is large. This is done by viewing the determination of the...
Persistent link: https://www.econbiz.de/10013208906
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The role of exchange rate for current account: A panel data analysis
Vieira, Flavio Vilela; MacDonald, Ronald - In: EconomiA 21 (2020) 1, pp. 57-72
The goal of this paper is to address the role of the real effective exchange rate (fundamentals, misalignment and volatility) for the current account using a panel data analysis for a set of 58 countries, over the period of 1994-2014. The results suggest that exchange rate misalignment is...
Persistent link: https://www.econbiz.de/10013466668
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Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI
Castro, Vítor - Núcleo de Investigação em Políticas Económicas … - 2012
In this paper, we analyse the link between the macroeconomic developments and the banking credit risk in a particular group of countries – Greece, Ireland, Portugal, Spain and Italy (GIPSI) – recently affected by unfavourable economic and financial conditions and to which, on this matter,...
Persistent link: https://www.econbiz.de/10010897803
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Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI
Castro, Vítor - In: Economic Modelling 31 (2013) C, pp. 672-683
In this paper, we analyze the link between the macroeconomic developments and the banking credit risk in a particular group of countries – Greece, Ireland, Portugal, Spain and Italy (GIPSI) – recently affected by unfavourable economic and financial conditions.
Persistent link: https://www.econbiz.de/10011048949
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Macroeconomic Determinants of the Credit Risk in the Banking System: The Case of the GIPSI
Castro, Vítor - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2013
In this paper, we analyse the link between the macroeconomic developments and the banking credit risk in a particular group of countries – Greece, Ireland, Portugal, Spain and Italy (GIPSI) – recently affected by unfavourable economic and financial conditions. Employing dynamic panel data...
Persistent link: https://www.econbiz.de/10010834016
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Tests for cointegration in panels with regime shifts
Gutierrez, Luciano - EconWPA - 2005
In the paper we extend Gregory and Hansen’s (1996)ADF, Za, Zt cointegration tests to panel data, using the method … proposed in Maddala and Wu (1999). We test the null hypothesis of no cointegration for all the units in the panel against the … alternative hypothesis of cointegration, while allowing for a one-time regime shift of unknown timing for at least some …
Persistent link: https://www.econbiz.de/10005119193
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The role of exchange rate for current account: a panel data analysis
Vieira, Flavio Vilela; MacDonald, Ronald - In: Economia : revista da ANPEC 21 (2020) 1, pp. 57-72
The goal of this paper is to address the role of the real effective exchange rate (fundamentals, misalignment and volatility) for the current account using a panel data analysis for a set of 58 countries, over the period of 1994-2014. The results suggest that exchange rate misalignment is...
Persistent link: https://www.econbiz.de/10012287467