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Gravity models of intra-EU trade: application of the CCEP-HT estimation in he...
We follow recent developments of panel data studies and allow for the existence of both observed and unobserved common factors where their individual responses are allowed to be... -
A simple panel unit root test in the presence of cross-section dependence (re...
A number of panel unit root tests that allow for cross-section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically... -
Social capital, barriers to production and capital shares: implications for t...
Recent advances in the growth literature have proposed that difficult-to-quantify concepts such as social capital may play an important role in explaining the degree of... -
An empirical analysis of nonstationarity in a panel of interest rates with fa...
This paper studies nonstationarities in a panel of Canadian and US interest rates of different maturities and risk. We focus on methods which model the cross-sectional... -
Dynamic factor extraction of cross-sectional dependence in panel unit root te...
Recently, considerable emphasis has been placed on the problems arising out of cross-sectional dependence in panel unit root tests. This paper adopts the factor-based... -
Evaluating the impacts of Washington state repeated job search services on th...
This paper uses an unbalanced panel dataset to evaluate how repeated job search services (JSS) and other personal characteristics affect the quarterly earnings of the prime-age... -
Long-run trends in internal migrations in italy: a study in panel cointegrati...
The objective of this paper is to examine the long-run determinants of internal migrations from southern Italy. In order to accomplish this task, the paper develops a bootstrap... -
Subsampling hypothesis tests for nonstationary panels with applications to ex...
This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated, and cross-sectionally cointegrated. The subsampling... -
Panel unit root tests and spatial dependence (replication data)
This paper studies the performance of panel unit root tests when spatial effects are present that account for cross-section correlation. Monte Carlo simulations show that there... -
Codependence in cointegrated autoregressive models (replication data)
This paper investigates codependent cycles, i.e., transitory components that react to common stimuli in a similar, although not necessarily synchronous fashion. Unlike previous... -
Expectation horizon and the Phillips Curve: the solution to an empirical puzz...
Estimates of the slope of the Phillips curve reported in the literature cover a range from roughly ? 0.6 to zero depending on specification. Forward-looking specifications,... -
Robust optimal monetary policy in a forward-looking model with parameter and ...
This paper characterizes a robust optimal policy rule in a simple forward-looking model, when the policymaker faces uncertainty about model parameters and shock processes. We... -
Unravelling financial market linkages during crises (replication data)
An empirical model of multiple asset classes across countries is formulated in a latent factor framework. A special feature of the model is that financial market linkages during... -
Exploring the international linkages of the euro area: a global VAR analysis ...
This paper presents a quarterly global model combining individual country vector error-correcting models in which the domestic variables are related to the country-specific... -
An evaluation of the forecasts of the federal reserve: a pooled approach (rep...
The Federal Reserve Greenbook forecasts of real GDP, inflation and unemployment are analysed for the period 1974-1997. We consider whether these forecasts exhibit systematic... -
The transmission mechanism in a changing world (replication data)
The paper aims to identify those factors that cause changes in the speed and strength of the international transmission of output shocks from the USA to specified European... -
Nonlinear autoregressive leading indicator models of output in G-7 countries ...
This paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G-7 countries. Our models use the spread between short-term and long-term... -
Shadow Banks and the Risk-Taking Channel of Monetary Policy Transmission in t...
We provide evidence for a risk-taking channel of monetary policy transmission in the euro area that works through an increase in shadow banks' total asset growth and their risk...
