Now showing items 21-30 of 39
Policy initiatives and firms’ access to external finance: Evidence from a panel of emerging Asian economies
(University of Glasgow, 2015-01)
This paper analyses the impact of policy initiatives co-ordinated by Asian national governments on firms' access to external finance, using a unique firm-level database of eight Asian countries- Hong Kong SAR, Indonesia, ...
Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty
(University of Glasgow, 2015)
This paper extends the Nelson-Siegel linear factor model by developing a flexible macro-finance framework for modeling and forecasting the term structure of US interest rates. Our approach is robust to parameter uncertainty ...
Fiscal multipliers in a two-sector search and matching model
(University of Glasgow, 2015-01-25)
This paper evaluates the effects of policy interventions on sectoral labour markets and the aggregate economy in a business cycle model with search and matching frictions. We extend the canonical model by including ...
The Optimal Degree of Monetary-Discretion in a New Keynesian Model with Private Information
(University of Glasgow, 2015-01-14)
This paper considers the optimal degree of discretion in monetary policy when the central bank conducts policy based on its private information about the state of the economy and is unable to commit. Society seeks to ...
Transaction Costs and Institutions: Investments in Exchange
(University of Glasgow, 2015-03-20)
This paper proposes a simple model for understanding transaction costs for their composition, size and policy implications. We distinguish between investments in institutions that facilitate exchange and the cost of ...
Firm survival, uncertainty and financial frictions: Is there a financial uncertainty accelerator?
(University of Glasgow, 2015-02-03)
Using a large panel of unquoted UK firms over the period 2000-09, we examine the impact of firm-specific uncertainty on corporate failures. In this context we also distinguish between firms which are likely to be more or ...
Quantile forecasts of inflation under model uncertainty
(University of Glasgow, 2015-04-30)
Bayesian model averaging (BMA) methods are regularly used to deal with model uncertainty in regression models. This paper shows how to introduce Bayesian model averaging methods in quantile regressions, and allow for ...
An Alternative way of Predicting the Outcome of the Scottish Independence Referendum: The Information in the Ether
(University of Glasgow, 2015)
Co-Movement, Spillovers and Excess Returns in Global Bond Markets
(University of Glasgow, 2015-06-15)
This paper investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in bond yields of seven advanced economies is due ...
Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula
(University of Glasgow, 2015-02-24)
We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting ...