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Equilibrium real effective exchange rates and real exchange rate misalignments : time series vs. panel estimates

Hossfeld, Oliver - 2010

panel cointegration techniques to derive fully countryspecific measures of misalignment and measures based on panel …-of-sample performance prior to comparing it to two final panel specifications. Robustness of the results is supported by recently introduced … cross-sectionally augmented panel unit root tests by Pesaran (2007) and bootstrapped error correction-based panel …

Persistent link: https://www.econbiz.de/10011374380

To Pool or Not to Pool : What Is a Good Strategy for Parameter Estimation and Forecasting in Panel Regressions?

Wang, Wendun - 2018

This paper considers estimating the slope parameters and forecasting in potentially heterogeneous panel data …

Persistent link: https://www.econbiz.de/10012927647

Does wage rigidity make firms riskier? : evidence from long-horizon return predictability

Favilukis, Jack; Lin, Xiaoji - 2012

We explore the relationship between sticky wages and risk. Like operating leverage, sticky wages are a source of risk for the firm. Firms, industries, regions, or times with especially high or rigid wages are especially risky. If wages are sticky, then wage growth should negatively forecast...

Persistent link: https://www.econbiz.de/10009697776

Return Predictability : Learning from the Cross-Section

Penasse, Julien - 2017

Long histories of returns are needed but often lacking when estimating the equity premium. This paper studies stock return predictability from the perspective of a Bayesian investor who has access to international data. Learning across countries arises whenever this investor believes that...

Persistent link: https://www.econbiz.de/10012972060

The US$/€ Exchange Rate : Structural Modeling and Forecasting During the Recent Financial Crises

Morana, Claudio - 2015

The paper investigates the determinants of the US$/€ exchange rate since its introduction in 1999, with a special focus on the recent subprime mortgage and sovereign debt financial crises. The econometric model is grounded on the asset pricing theory of exchange rate determination, which...

Persistent link: https://www.econbiz.de/10013009488

International Stock Return Predictability : What is the Role of the United States?

Rapach, David - 2010

We present significant evidence of out-of-sample equity premium predictability for a host of industrialized countries over the postwar period. There are important differences, however, in the nature of equity premium predictability between the United States and other developed countries. Taken...

Persistent link: https://www.econbiz.de/10013146627