We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in
The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived default risk
Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and
Structural identification schemes are of essential importance to vector autoregressive (VAR) analysis. This paper tests a commonly used structural parameter identification scheme to assess whether it can properly capture fundamental and non ...
Identification schemes are of essential importance in structural analysis. This paper focuseson testing a commonly used long-run structural parameter identification scheme claiming to identifyfundamental and non-fundamental shocks to stock prices. ..
The theoretical literature remains inconclusive on whether changes in bank exposure to the domestic sovereign have an adverse effect on the sovereign risk position through a diabolic loop in the sovereign-bank nexus, or reduce perceived default risk
This paper assesses fiscal-policy sustainability. A sufficient condition for this is that public debt is on a stationary trajectory. This is tested by means of a very general Markov-switching augmented Dickey-Fuller (MS-ADF) model, which expands and
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