On The Heterogeneity Bias Of Pooled Estimators In Stationary Var Specifications
DOWNLOAD
Download On The Heterogeneity Bias Of Pooled Estimators In Stationary Var Specifications PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get On The Heterogeneity Bias Of Pooled Estimators In Stationary Var Specifications book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
On The Heterogeneity Bias Of Pooled Estimators In Stationary Var Specifications
DOWNLOAD
Author : Mr.Alessandro Rebucci
language : en
Publisher: International Monetary Fund
Release Date : 2003-04-01
On The Heterogeneity Bias Of Pooled Estimators In Stationary Var Specifications written by Mr.Alessandro Rebucci and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-04-01 with Business & Economics categories.
This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative (IV) in Monte Carlo simulations. The main results are: (i) asymptotically, the heterogeneity bias of the FE may be more or less severe in VAR specifications than in standard dynamic panel data specifications; (ii) in Monte Carlo simulations, slope heterogeneity must be relatively high to be a source of concern for pooled estimators; (iii) when this happens, the panel must be longer than a typical macro dataset for the MG to be a viable solution.
On The Heterogeneity Bias Of Pooled Estimators In Stationary Var Specifications
DOWNLOAD
Author : Alessandro Rebucci
language : en
Publisher:
Release Date : 2006
On The Heterogeneity Bias Of Pooled Estimators In Stationary Var Specifications written by Alessandro Rebucci and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative (IV) in Monte Carlo simulations. The main results are: (i) asymptotically, the heterogeneity bias of the FE may be more or less severe in VAR specifications than in standard dynamic panel data specifications; (ii) in Monte Carlo simulations, slope heterogeneity must be relatively high to be a source of concern for pooled estimators; (iii) when this happens, the panel must be longer than a typical macro dataset for the MG to be a viable solution.
Limits Of Floating Exchange Rates
DOWNLOAD
Author : Mr.Sebastian Weber
language : en
Publisher: International Monetary Fund
Release Date : 2011-02-01
Limits Of Floating Exchange Rates written by Mr.Sebastian Weber and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-01 with Business & Economics categories.
A traditional argument in favor of flexible exchange rates is that they insulate output better from real shocks, because the exchange rate can adjust and stabilize demand for domestic goods through expenditure switching. This argument is weakened in models with high foreign currency debt and low exchange rate pass-through to import prices. The present study evaluates the empirical relevance of these two factors. We analyze the transmission of real external shocks to the domestic economy under fixed and flexible exchange rate regimes for a broad sample of countries in a Panel VAR and let the responses vary with foreign currency indebtedness and import structure. We find that flexible exchange rates do not insulate output better from external shocks if the country imports mainly low pass-through goods and can even amplify the output response if foreign indebtedness is high.
Financial Liberalisation
DOWNLOAD
Author : Philip Arestis
language : en
Publisher: Springer
Release Date : 2016-11-26
Financial Liberalisation written by Philip Arestis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-26 with Business & Economics categories.
This book is the thirteenth volume in the International Papers in Political Economy (IPPE) series which explores the latest developments in political economy. A collection of eight papers, the book concentrates on the deregulation of domestic financial markets and discusses financial liberalisation in terms of its past performance, current progress and future developments. The chapters have been written by expert contributors in the field and focus on topics such as past records of financial liberalisation, future policies of regulation, and current account imbalances. Other papers examine capital account regulations in developing and emerging countries, and capital controls in the Eurozone after the 2007 financial crisis. This collection of papers invites readers to consider the impact of financial liberalisation both during and after the global economic crisis. Scholars and students with an interest in political economy, financialisation, and economic performance will find this collection stimulating and informative.
Financial Regulation And The Current Account
DOWNLOAD
Author : Mr.Sergi Lanau
language : en
Publisher: International Monetary Fund
Release Date : 2012-04-01
Financial Regulation And The Current Account written by Mr.Sergi Lanau and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-04-01 with Business & Economics categories.
This paper examines the relationship between financial regulation and the current account in an intertemporal model of the current account where financial regulation affects the current account through liquidity constraints. Greater liquidity constraints decrease the size and persistence of the current account response to a net output shock. The theory is tested with an interacted panel VAR model where the coefficients are allowed to vary with the degree of financial regulation. The current account reaction to an output shock is 60% larger and substantially more persistent in a country with low financial regulation than in one with high financial regulation.
Global Growth And Financial Spillovers And The South African Macro Economy
DOWNLOAD
Author : Mthuli Ncube
language : en
Publisher: Springer
Release Date : 2016-04-29
Global Growth And Financial Spillovers And The South African Macro Economy written by Mthuli Ncube and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-29 with Business & Economics categories.
To what extent is South Africa affected by G8 economies and BRIC growth shocks? This book identifies channels that amplify these shock effects, the relevance of third country transmission effects and the effects of the first and second rounds of US quantitative easing. The changing reactions of South African variables over time to financial shocks emanating from the US and selected countries in the Euro area, is presented. The book quantifies the effects of capital flow shocks, determines the counterfactuals of asset prices and economic growth variables, and compares the contribution of capital flows and domestic macro factors on asset prices. The effects of the exchange rate depreciation are contrasted to the decline in investment as key drivers of the trade balance. Stock market interdependence is determined amongst South African, Indian and Brazilian equities. The contributions of stock price returns and volatility on South African economic growth are contrasted. The authors construct a financial stress index for South Africa and determine how it amplifies shocks.
Oil Price Shocks And Economic Growth In Oil Exporting Countries
DOWNLOAD
Author : Amir Sadeghi
language : en
Publisher: International Monetary Fund
Release Date : 2017-12-22
Oil Price Shocks And Economic Growth In Oil Exporting Countries written by Amir Sadeghi and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-12-22 with Business & Economics categories.
This paper examines the impact of government size on how output and government expenditure respond to oil price shocks in 28 oil-exporting countries between 1990 and 2016. Results suggest that if the size of government (measured by government expenditure-to-(non-oil) GDP ratio) is larger, non-oil output growth, in response to a positive oil price shock, tends to be greater and output volatility higher. Furthermore, I find that an unexpected increase in oil price leads to expansion in government expenditure and the expansion is larger, the larger is the government. This paper provides empirical evidence for direct correlation between government size and macroecnomic stability in oil-exporting countries. The findings imply that fiscal consolidation and economic diversification help to narrow down economic exposure to exogenous oil price shocks and reduce volatility in non-oil output.
Time Series And Panel Data Econometrics
DOWNLOAD
Author : M. Hashem Pesaran
language : en
Publisher: Oxford University Press
Release Date : 2015
Time Series And Panel Data Econometrics written by M. Hashem Pesaran and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Business & Economics categories.
This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.
Imf Research Bulletin
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2000
Imf Research Bulletin written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with International finance categories.
External Debt Statistics
DOWNLOAD
Author : International Monetary Fund
language : zh-CN
Publisher: International Monetary Fund
Release Date : 2005-04-29
External Debt Statistics written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-04-29 with Business & Economics categories.
This Guide provides clear, up-to-date guidance on the concepts, definitions, and classifications of the gross external debt of the public and private sectors, and on the sources, compilation techniques, and analytical uses of these data. The Guide supersedes the previous international guidance on external debt statistics available in External Debt: Definition, Statistical Coverage, and Methodology (known as the Gray Book), 1988. The Guide’s conceptual framework derives from the System of National Accounts 1993 and the fifth edition of the IMF’s Balance of Payments Manual(1993). Preparation of the Guide was undertaken by an Inter-Agency Task Force on Finance Statistics, chaired by the IMF and involving representatives from the BIS, the Commonwealth Secretariat, the European Central Bank, Eurostat, the OECD, the Paris Club Secretariat, UNCTAD, and the World Bank.