Browsing Department of Economics (ECO) by Title

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Browsing Department of Economics (ECO) by Title

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    Title: Exponential GARCH Modeling with Realized Measures of Volatility  Author(s): HANSEN, Peter Reinhard; HUANG, Zhuo Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, ...
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    Title: Export Promotion, Learning by Doing and Growth  Author(s): AMBLER, Steve; CARDIA, Emanuela; FARAZLI, Jeannine Date: 1999 Type of Publication: Article Abstract: This paper explores the quantitative link between export-promoting commercial policies and economic growth. We build and calibrate a dynamic general equilibrium model of a small developing economy. The economy’s equilibrium ...
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    Title: Export-Supporting FDI  Author(s): KRAUTHEIM, Sebastian Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Wholesale trade affiliates account for a considerable fraction of the sales of Multinational Companies (MNCs). However, this and similar types of FDI, aiming at facilitating export activities, have received little ...
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    Title: Exporter Dynamics and Productivity Growth  Author(s): BERMAN, Nicolas; REBEYROL, Vincent Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: Using a large firm-level database containing information on export flows of French firms by destination, over the period 1995-2005, we study the impact of exporter dynamics on their future productivity growth. Our empirical ...
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    Title: The extensive margin and monetary policy  Author(s): BERGIN, Paul; CORSETTI, Giancarlo Date: 2008 Type of Publication: Article Abstract: The creation of new firms, referred to as the extensive margin, is a significant but overlooked dimension of monetary policy. A monetary VAR documents that monetary policy has significant effects on firm creation. An ...
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    Title: External causes of euro zone inflation differentials: a re-examination of the evidence  Author(s): VERHOEF, Bastiaan A.; ARNOLD, Ivo J. M. Date: 2004 Type of Publication: Article
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    Title: Facility-Based Competition in Europe - the Case For A Separate Satellite System  Author(s): STEHMANN, Oliver Date: 1992 Type of Publication: Article Abstract: Technological progress in both the space and the Earth segments has made it feasible to run satellite networks completely independent of terrestrial systems. Given its intrinsic advantages, especially in Europe, a separate ...
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    Title: Factor Analysis in a Model with Rational Expectations  Author(s): BEYER, Andreas; FARMER, Roger E. A.; HENRY, Jérôme; MARCELLINO, Massimiliano Date: 2008-01-01 Type of Publication: Article Abstract: DSGE models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation ...
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    Title: Factor Augmented Error Correction Models  Author(s): BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2009 Type of Publication: Contribution to book Abstract: This chapter brings together several important strands of the econometrics literature: error-correction, cointegration, and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the ...
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    Title: Factor Forecasts for the UK  Author(s): ARTIS, Michael J.; BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2001 Type of Publication: Working Paper Series/Report no.: EUI ECO
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    Title: Factor Forecasts for the UK  Author(s): ARTIS, Michael J.; BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2002 Type of Publication: Working Paper Series/Report no.: CEPR Discussion Paper Abstract: Time series models are often adopted for forecasting because of their simplicity and good performance. The number of parameters in these models increases quickly with the number of variables modelled, so that usually only ...
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    Title: Factor Forecasts for the UK  Author(s): ARTIS, Michael J.; BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2005 Type of Publication: Article
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    Title: Factor Midas for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison For German Gdp*  Author(s): MARCELLINO, Massimiliano; SCHUMACHER, Christian Date: 2010 Type of Publication: Article Abstract: In this article, we merge two strands from the recent econometric literature. First, factor models based on large sets of macroeconomic variables for forecasting, which have generally proven useful for forecasting. However, ...
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    Title: Factor-Augmented Error Correction Models  Author(s): BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper brings together several important strands of the econometrics literature: errorcorrection, cointegration and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the ...
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    Title: Factor-GMM Estimation with Large Sets of Possibly Weak Instruments  Author(s): KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2010-01-01 Type of Publication: Article Abstract: The use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity is analysed. In particular, the focus is on situations where many weak instruments exist and/or the factor ...
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    Title: Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP  Author(s): MARCELLINO, Massimiliano; SCHUMACHER, Christian Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper compares different ways to estimate the current state of the economy using factor models that can handle unbalanced datasets. Due to the different release lags of business cycle indicators, data unbalancedness ...
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    Title: Factor-MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP  Author(s): MARCELLINO, Massimiliano; SCHUMACHER, Christian Date: 2010-01-01 Type of Publication: Article Abstract: In this article, we merge two strands from the recent econometric literature. First, factor models based on large sets of macroeconomic variables for forecasting, which have generally proven useful for forecasting. However, ...
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    Title: Fair Divisions as Attracting Nash Equilibria of Simple Games  Author(s): GALBIATI, Marco Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We consider the problem of allocating a finite number of divisible homogeneous goods to N ≥ 2 individuals, in a way which is both envy-free and Pareto optimal. Building on Thomson (2005 Games and Economic Behavior), a ...
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    Title: Fairness vs. Social Welfare in Experimental Decision  Author(s): KOHLER, Stefan Date: 2005 Type of Publication: Working Paper Series/Report no.: EUI ECO
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    Title: Family Firms and the Agency Cost of Debt: The role of soft information during a crisis  Author(s): D’AURIZIO, Leandro; OLIVIERO, Tommaso; ROMANO, Livio Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: In this paper we study how access to bank lending during the recent financial crisis differed between family and non-family firms. Our theoretical prediction is that the presence of a family block-holder in the company ...