Related papers: A re-examination of real interest parity in CEECs …
We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach. The method provides consistent and asymptotically efficient parameter estimates, and is not dependent on assumptions of strict…
This paper derives several novel tests to improve on the t-test for testing AR(1) coefficients of panel time series, i.e., of multiple time series, when each has a small number of observations. These tests can determine the acceptance or…
In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and…
This review discusses methods of testing for a panel unit root. Modern approaches to testing in cross-sectionally correlated panels are discussed, preceding the analysis with an analysis of independent panels. In addition, methods for…
The integration of Central and Eastern European (CEE) countries into the European Economic Area serves as a valuable experiment for the regional economic development theory. The long-lasting convergence of these economies with more advanced…
This paper introduces a feasible and practical Bayesian method for unit root testing in financial time series. We propose a convenient approximation of the Bayes factor in terms of the Bayesian Information Criterion as a straightforward and…
In this paper we study empirically the Forward Rate Curve (FRC) of 5 different currencies. We confirm and extend the findings of our previous investigation of the U.S. Forward Rate Curve. In particular, the average FRC follows a square-root…
Many countries impose regulatory restrictions on lending rates known as interest rate caps. In most cases, these restrictions apply to the effective (rather than nominal) interest rate, a measure which incorporates all commissions and fees…
Several studies have established the predictive power of the yield curve in terms of real economic activity. In this paper we use data for a variety of E.U. countries: both EMU (Germany, France, Italy) and non-EMU members (Sweden and the…
In this paper, a unified approach is proposed to derive the exact local asymptotic power for panel unit root tests, which is one of the most important issues in nonstationary panel data literature. Two most widely used panel unit root tests…
We propose two types of equal predictive ability (EPA) tests with panels to compare the predictions made by two forecasters. The first type, namely $S$-statistics, focuses on the overall EPA hypothesis which states that the EPA holds on…
This paper analyzes how interaction effects can be consistently estimated under economically plausible assumptions in linear panel models with a fixed $T$-dimension. We advocate for a \emph{correlated interaction term estimator} (CITE) and…
I studied the convergence of regional house prices to national prices in USA by analyzing time-series of house price indices of 9 Census Divisions. I found the evidence of the convergence in some parts of the country using asymmetric unit…
There has been strong recent interest in testing interval null hypothesis for improved scientific inference. For example, Lakens et al (2018) and Lakens and Harms (2017) use this approach to study if there is a pre-specified meaningful…
The hypothesis that committed revolving credit lines with fixed spreads can provide firms with interest rate insurance is a standard feature of models on these credit facilities' interest rate structure. Nevertheless, this hypothesis has…
The present study deals with the analysis and mapping of Swiss franc interest rates. Interest rates depend on time and maturity, defining term structure of the interest rate curves (IRC). In the present study IRC are considered in a…
An empirical analysis on Eurodollar interest rates daily data in the time period 1990-1996, is performed and compared with Libor data in the time period 1984-1998. The complementary cumulative distributions for the daily fluctuations at…
To perform statistical inference for time series, one should be able to assess if they present deterministic or stochastic trends. For univariate analysis one way to detect stochastic trends is to test if the series has unit roots, and for…
We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate…
The present study deals with the analysis and classification of interest rate curves. Interest rate curves (IRC) are the basic financial curves in many different fields of economics and finance. They are extremely important tools in banking…