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Factor Timing with Portfolio Characteristics
In a factor timing context, academic research has focused on identifying a set of predictors that can explain the dynamics of factor portfolios. We propose an alternative approach for timing factor portfolio returns by exploiting the information from ...
Anastasios Kagkadis+3 more
semanticscholar +1 more source
Do Corporate Bond Shocks Affect Commercial Bank Lending?
Understanding how corporate bond market disruptions are transmitted to the rest of the financial system is essential to gauge systemic financial risk and design policy responses.
M. Catalan
semanticscholar +1 more source
Methods Matter: p-Hacking and Publication Bias in Causal Analysis in Economics: Reply
In Brodeur, Cook, and Heyes (2020) we present evidence that instrumental variable (and to a lesser extent difference-in-difference) articles are more p-hacked than randomized controlled trial and regression discontinuity design articles.
A. Brodeur, Nikolai Cook, A. Heyes
semanticscholar +1 more source
Value-at-Risk Estimation Using an Interpolated Distribution of Financial Returns Series
This paper develops a model for estimating Value-at-Risk (VaR) from the historical return series. The proposed method uses spline interpolation to represent the empirical probability distribution of the return series. The approach developed in this paper
Saeed Shaker-Akhtekhane+1 more
semanticscholar +1 more source
EXCHANGE RATE PASS-THROUGH IN MOROCCO: A STRUCTURAL VAR APPROACH
This study analyzes the impact of short- and long-term exchange rate fluctuations in Morocco. The purpose of this paper is to study the shocks transmission of exchange rates variations to prices index known as exchange rate pass-through.
El Amri Youness+2 more
semanticscholar +1 more source
Strategy for increasing the efficiency of the Russian economy under sanctions
The article offers a strategy for increasing the Russian economy through the rational use of the country's natural resources. As tools, it is offered to apply a functional approach to determine the critical functions of the system in order to generate ...
I. Ivanov
semanticscholar +1 more source
Blunt Instruments: Avoiding Common Pitfalls in Identifying the Causes of Economic Growth
Concern has intensified in recent years that many instrumental variables used in widely-cited growth regressions may be invalid, weak, or both. Attempts to remedy this general problem remain inadequate.
Samuel Bazzi, Michael A. Clemens
semanticscholar +1 more source
This paper provides a detailed description of an extended version of the ECB’s New Area-Wide Model (NAWM) of the euro area (cf. Christoffel, Coenen, and Warne 2008).
G. Coenen+3 more
semanticscholar +1 more source
Examining Factors Influencing Audit Risk for Professional Accountant in Business
This study attempts to examine the determinant factors influencing the degree of audit risk, specially focusing on the professional accountant in business operations.
Cheng-Wen Lee, Yilin Hu
semanticscholar +1 more source
Parameter Learning in General Equilibrium: The Asset Pricing Implications
Parameter learning strongly amplifies the impact of macroeconomic shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty.
P. Collin-Dufresne+2 more
semanticscholar +1 more source