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MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES (replication data)
We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional... -
NONLINEAR GROWTH EFFECTS OF TAXATION: A SEMI-PARAMETRIC APPROACH USING AVERAG...
One of the major challenges of empirical tax research is the identification and calculation of appropriate tax data. While there is consensus that average marginal tax rates are... -
EFFICIENT AGGREGATION OF PANEL QUALITATIVE SURVEY DATA (replication data)
Qualitative business survey data are used widely to provide indicators of economic activity ahead of the publication of official data. Traditional indicators exploit only... -
Categorical semiparametric varying-coefficient models (replication data)
Semiparametric varying-coefficient models have become a common fixture in applied data analysis. Existing approaches, however, presume that those variables affecting the... -
THE RESPONSES OF YOUTH TO A CASH TRANSFER CONDITIONAL ON SCHOOLING: A QUASI-E...
We estimate the effect of cash transfers given to youth conditional on high school attendance on the labor supply decisions and academic performance of youth. We exploit... -
EUCLIDEAN REVEALED PREFERENCES: TESTING THE SPATIAL VOTING MODEL (replication...
In the spatial model of voting, voters choose the candidate closest to them in the ideological space. Recent work by Degan and Merlo in 2009 shows that it is falsifiable on the... -
MEDICAL EXPENDITURE RISK AND HOUSEHOLD PORTFOLIO CHOICE (replication data)
Medical expenses are an increasingly important contributor to household financial risk. We examine the effect of medical expenditure risk on the willingness of Medicare... -
SPATIAL COMPETITION WITH CHANGING MARKET INSTITUTIONS (replication data)
Competition across space can be fundamentally altered by changes in market institutions. We propose a framework that integrates market-altering policy changes in the spatial... -
SPATIAL FILTERING, MODEL UNCERTAINTY AND THE SPEED OF INCOME CONVERGENCE IN E...
In this paper we put forward a Bayesian model averaging method aimed at performing inference under model uncertainty in the presence of potential spatial autocorrelation. The... -
BENEFIT DURATION, UNEMPLOYMENT DURATION AND JOB MATCH QUALITY: A REGRESSION-D...
We use a sharp discontinuity in the maximum duration of benefit entitlement to identify the effect of extended benefit duration on unemployment duration and post-unemployment... -
ENTRY INTO PHARMACEUTICAL SUBMARKETS: A BAYESIAN PANEL PROBIT ANALYSIS (repli...
We study entry into pharmaceutical submarkets by using a dynamic panel probit model. We develop a Bayesian version of Wooldridge's approach to dealing with unobserved... -
REVERSE REGRESSIONS AND LONG-HORIZON FORECASTING (replication data)
Long-horizon predictive regressions in finance pose formidable econometric problems when estimated using available sample sizes. Hodrick in 1992 proposed a remedy that is based... -
TIME-VARYING DYNAMICS OF THE REAL EXCHANGE RATE: AN EMPIRICAL ANALYSIS (repli...
We use a time-varying structural vector autoregression to investigate evolving dynamics of the real exchange rate for the UK, euro area and Canada. We show that demand and... -
POOLING VERSUS MODEL SELECTION FOR NOWCASTING GDP WITH MANY PREDICTORS: EMPIR...
This paper discusses pooling versus model selection for nowcasting with large datasets in the presence of model uncertainty. In practice, nowcasting a low-frequency variable... -
THE GROWTH AFTERMATH OF NATURAL DISASTERS (replication data)
This paper traces the yearly response of gross domestic product growth-both aggregated and disaggregated into its agricultural and non-agricultural components-to four types of... -
LONG-RUN RISKS IN THE TERM STRUCTURE OF INTEREST RATES: ESTIMATION (replicati...
This paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their time-varying volatility determine asset price... -
REAL-TIME FORECASTING OF INFLATION AND OUTPUT GROWTH WITH AUTOREGRESSIVE MODE...
We examine how the accuracy of real-time forecasts from models that include autoregressive terms can be improved by estimating the models on lightly revised data instead of... -
HOW PUZZLING IS THE PPP PUZZLE? AN ALTERNATIVE HALF-LIFE MEASURE OF CONVERGEN...
Evidence of lengthy half-lives for real exchange rates in the presence of a high degree of exchange rate volatility has been considered as one of the most puzzling empirical... -
EURO CORPORATE BOND RISK FACTORS (replication data)
This paper investigates the determinants of credit spread changes in euro-denominated bonds. We adopt a factor model framework, inspired by the credit risk structural approach,... -
CARROT AND STICK: HOW RE-EMPLOYMENT BONUSES AND BENEFIT SANCTIONS AFFECT EXIT...
To increase the exit from welfare, benefit recipients in the municipality of Rotterdam were exposed to various financial incentives. Once their benefit spell exceeded one year,...
