Browsing Department of Economics (ECO) by Subject "E43"
Now showing items 1-4 of 4
-
Title:Essays in international finance and applied econometrics Author(s):RACZKO, MarekDate:2016Citation:Florence : European University Institute, 2016Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:The thesis consists of three essays in the fields of international finance and applied econometrics. The first chapter analyzes the co-movement of market premia for rare adverse events, addressing the important issue of ... -
Title:Sovereign debt issuance and selective default Author(s):PACZOS, Wojtek; SHAKHNOV, KirillDate:2016Type:Working PaperSeries/Number:EUI ECO; 2016/04Abstract:We propose a novel theory to explain why sovereigns borrow on both domestic and international markets and why defaults are mostly selective (on either domestic or foreign investors). Domestic debt issuance can only smooth ...
-
Title:Financial intermediation, house prices, and the distributive effects of the U.S. great recession Author(s):MENNO, Dominik; OLIVIERO, TommasoDate:2013Type:Working PaperSeries/Number:EUI ECO; 2013/05Abstract:This paper quantifies the effects of credit spread and income shocks on aggregate house prices and households’ welfare. We address this issue within a stochastic dynamic general equilibrium model with heterogeneous households ...
-
Title:Forecasting Government Bond Yields with Large Bayesian VARs Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/17Abstract:We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector ...