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Displaying results 1 to 15 of 15.

  1. Inflation differentials and business cycle fluctuations in the European Monetary Union
    Author: Proano, Christian
    Published: 2007
    Publisher:  Hans-Böckler-Stiftung, Düsseldorf

    The high degree of persistence in the national inflation differentials of the majority of EMU Member States observed since the introduction of the euro has raised serious concerns among researchers and policy-makers alike. In this paper the main... more

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    The high degree of persistence in the national inflation differentials of the majority of EMU Member States observed since the introduction of the euro has raised serious concerns among researchers and policy-makers alike. In this paper the main theoretical arguments which explain the existence of such inflation differentials within a monetary union are reviewed and, by means of econometric methods, their dynamic behaviour prior and after the introduction of the euro is analyzed. Furthermore, the empirical evidence for different degrees of correlation between the country-specific business cycles fluctuations and the arise of national inflation differentials with respect to the euro area average are investigated through single-equation GMM and panel TSLS estimations. Der hohe Grad an Persistenz der nationalen Inflationsdifferenziale, den man seit der Einführung des Euros in den meisten Mitgliedsländern beobachten kann, wird sowohl von Wissenschaftlern als auch von Politikern mit Sorge verfolgt. In dieser Arbeit werden die theoretischen Hauptargumente für die Existenz solcher Inflationsdifferenziale in einer Währungsunion diskutiert und, anhand ökonometrischer Methoden, ihre dynamische Entwicklung vor und nach der Einführung des Euro analysiert. Darüber hinaus wird der Zusammenhang zwischen den nationalen Konjunkturzylen und den beobachteten Inflationsdifferenzialen anhand von Einzelgleichungs-GMM- und Panel-2SLS-Schätzungen untersucht.

     
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    Source: Union catalogues
    Language: German
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/105888
    Series: Working paper / IMK, Institut für Makroökonomie ; 2007,5
    Subjects: Inflation differentials; convergence and stationary tests; GMM estimation; Phillips Curve
    Scope: Online-Ressource (44 S.), graph. Darst.
    Notes:

    Zsfassung in dt. Sprache
  2. Roughness in spot variance?
    a GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
    Author: Bolko, Anine E.; Christensen, Kim; Pakkanen, Mikko S.; Veliyev, Bezirgen
    Published: [2020]
    Publisher:  Department of Economics and Business Economics, Aarhus University, Aarhus, Denmark

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CREATES research paper ; 2020, 12
    Subjects: GMM estimation; realized variance; rough volatility; stochastic volatility
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  3. Policy analysis using multilevel regression models with group interactive fixed effects
    Author: Gong, Zhenhao; Kim, Min Seong
    Published: [2024]
    Publisher:  University of Connecticut, Department of Economics, Storrs, CT

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Department of Economics working paper series / University of Connecticut ; 2024, 01 (January 2024)
    Subjects: endogeneity; GMM estimation; group heterogeneity; group level test; least squares estimation; panel; repeated cross-sections
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  4. Ethnic regional networks and immigrants' earnings: a spatial autoregressive network approach
    Author: Wang, Xingang; Maani, Sholeh A.
    Published: November 2021
    Publisher:  IZA - Institute of Labor Economics, Bonn, Germany

    The conventional model of immigrant earnings does not account for the correlation of outcomes across immigrant ethnic networks. We apply a spatial autoregressive network approach to account for the spill-over effects of migrant ethnic group economic... more

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    The conventional model of immigrant earnings does not account for the correlation of outcomes across immigrant ethnic networks. We apply a spatial autoregressive network approach to account for the spill-over effects of migrant ethnic group economic resources and labour market outcomes. We employ unit-record data across 10 years for New Zealand, a major immigrant receiving country. By applying generalised method of moment (GMM) estimation, we address endogeneity of the spatial network variable. Results confirm strong positive associations of earnings with both ethnic concentration and networks of resources. The analytically enhanced approach provides opportunities for new research on the determinants of immigrant earnings.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/250523
    Series: Discussion paper series / IZA ; no. 14862
    Subjects: immigrant; earnings; ethnic network; spatial autoregressive model; GMM estimation
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  5. GMM estimation of spatial autoregressive models with cluster dependent errors
    Author: Sato, Takaki
    Published: October, 2022
    Publisher:  Center for Data Science and Service Research, Graduate School of Economic and Management, Tohoku University, Sendai, Japan

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10097/00135983
    Series: Data science and service research discussion paper ; no. 131
    Subjects: Cluster dependence; GMM estimation; Spatial autoregressive models
    Scope: 1 Online-Ressource (circa 29 Seiten)
  6. Inflation targeting in the United Kingdom
    is there evidence for asymmetric preferences?
    Author: Rawat, Pranjal; Srinivasan, Naveen
    Published: June 2020
    Publisher:  Madras School of Economics, Chennai, India

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Madras School of Economics ; 196 (2020)
    Subjects: Phillips curve; Taylor Rules; Asymmetric Preferences; Deflationary Bias; GMM estimation; Linex Loss Function;Rational Expectations; Monetary Policy
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  7. Minimizing COVID-19 transmission cases
    do policies and institutions matter?
    Author: Ambaw, Dessie Tarko; Hing Vutha; Osakwe, Patrick N.
    Published: November 2021
    Publisher:  United Nations, Geneva

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: UNCTAD research paper ; No. 71
    Subjects: Covid-19 pandamic; Infection; GMM estimation; Institutions; Policies
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  8. Higher-order income risk over the business cycle
    Author: Busch, Christopher; Ludwig, Alexander
    Published: 28 March 2020
    Publisher:  Centre for Economic Policy Research, London

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    Location:
    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP14538
    Subjects: labor income risk; Business cycle; GMM estimation; Skewness; Persistent and Transitory Income Shocks; Risk attitudes; Life-Cycle Mode
    Scope: 1 Online-Ressource (circa 87 Seiten), Illustrationen
  9. Separate estimation of spatial dependence parameters and variance parameters in a spatial model
    Author: Arnold, Matthias; Wied, Dominik
    Published: 2010
    Publisher:  Universitätsbibliothek Dortmund, Dortmund

  10. Sucuk market development and Islamic banks' capital ratios
    Author: Smaoui, Houcem; Ghouma, Hatem
    Published: [2019]
    Publisher:  Economic Research Forum (ERF), Dokki, Giza, Egypt

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Economic Research Forum ; no. 1329 (August 2019)
    Subjects: Sukuk; Islamic banking; Capital ratios; GMM estimation
    Scope: 1 Online-Ressource (circa 54 Seiten)
  11. Dynamic panel GMM with near unity
    Author: Phillips, Peter C. B.
    Published: 2014
    Publisher:  Cowles Foundation for Research in Economics, Yale Univ., New Haven, Conn.

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    VS 29 (1962)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Cowles Foundation discussion paper ; 1962
    Subjects: Cauchy limit theory; Dynamic panel; GMM estimation; Instrumental variable; Irrelevant instruments; Panel unit roots; Persistence
    Scope: Online-Ressource (36 S.), graph. Darst.
  12. Inflation dynamics in the new EU member states
    how relevant are external factors?
    Author: Mihailov, Alexander; Rumler, Fabio; Scharler, Johann
    Published: 2010
    Publisher:  Univ. of Reading, Dep. of Economics, Reading

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    Series: Discussion papers / University of Reading, Department of Economics ; 085
    Subjects: New Keynesian Phillips Curve; small open economies; inflation dynamics; new EU member countries; GMM estimation
    Scope: Online-Ressource (21 S.), graph. Darst.
  13. Misspecification-robust inference in linear asset pricing models with irrelevant risk factors
    Author: Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare
    Published: 2013
    Publisher:  Federal Reserve Bank of Atlanta, Atlanta, Ga.

    We show that in misspecified models with useless factors (for example, factors that are independent of the returns on the test assets), the standard inference procedures tend to erroneously conclude, with high probability, that these irrelevant... more

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    We show that in misspecified models with useless factors (for example, factors that are independent of the returns on the test assets), the standard inference procedures tend to erroneously conclude, with high probability, that these irrelevant factors are priced and the restrictions of the model hold. Our proposed model selection procedure, which is robust to useless factors and potential model misspecification, restores the standard inference and proves to be effective in eliminating factors that do not improve the model's pricing ability. The practical relevance of our analysis is illustrated using simulations and empirical applications.

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/101040
    Series: Working paper / Federal Reserve Bank of Atlanta ; 2013-9
    Subjects: asset pricing models; lack of identification; model misspecification; GMM estimation
    Scope: Online-Ressource (41 S.), graph. Darst.
  14. What drives gross flows in equity and investment fund shares in Luxembourg?
    Author: Di Filippo, Gabriele
    Published: August 2017
    Publisher:  Banque centrale du Luxembourg, Luxembourg

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    Series: Working paper / Banque centrale du Luxembourg ; no 112
    Subjects: International finance; external statistics; balance of payments; equity and investment fund shares; gross flows; surges/flights; stops/retrenchments; graphical analysis; GMM estimation; discrete choice model; ROC analysis; prediction exercise
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  15. OPEC and demand response to crude oil prices
    Author: Genc, Talat S.
    Published: [2017]
    Publisher:  Department of Economics and Finance, University of Guelph, Guelph, Ontario

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    Series: Discussion paper / Department of Economics and Finance University of Guelph ; 2017, 01
    Subjects: Price elasticity of demand; crude oil; global financial/economic crisis; Brentbenchmark; market power; GMM estimation
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen