Bayesian nonlinear expectation for time series modelling and its application to Bitcoin [0.03%]
时间序列的贝叶斯非线性期望及其在比特币中的应用
Tak Kuen Siu
Tak Kuen Siu
This paper proposes a two-stage approach to parametric nonlinear time series modelling in discrete time with the objective of incorporating uncertainty or misspecification in the conditional mean and volatility. At the first stage, a refere...
Masagus M Ridhwan,Peter Nijkamp,Affandi Ismail et al.
Masagus M Ridhwan et al.
The main objective of this study is to examine the effect of health on economic growth based on 719 estimates obtained from 64 studies from all over the world. We find evidence of a publication bias towards a positive estimated effect of he...
The efficiency of COVID cases to COVID policies: a robust conditional approach [0.03%]
基于稳健条件的新冠疫情案例与政策之间的关系研究
Richard Gearhart,Lyudmyla Sonchak-Ardan,Nyakundi Michieka
Richard Gearhart
This paper examines the efficiency of four major COVID-19 social distancing policies: (i) shelter-in-place orders (SIPO), (ii) non-essential business closures, (iii) mandatory quarantine for travelers, and (iv) bans on large gatherings. Res...
Maciej Stefański
Maciej Stefański
The paper estimates dynamic effects of pandemics on GDP per capita with local projections, controlling for the effects of wars and weather conditions, using a novel dataset that covers 33 countries and stretches back to the thirteenth centu...
The effect of Eurosystem asset purchase programmes on euro area sovereign bond yields during the COVID-19 pandemic [0.03%]
疫情之下欧洲央行资产购买计划对欧元区主权债券收益率的影响
George Hondroyiannis,Dimitrios Papaoikonomou
George Hondroyiannis
We investigate the effect of Eurosystem asset purchase programmes (APP) on the monthly yields of 10-year sovereign bonds for 11 euro area sovereigns during January-December 2020. The analysis is based on time-varying coefficient methods app...
COVID-19 and the volatility interlinkage between bitcoin and financial assets [0.03%]
新冠疫情下的比特币与传统金融资产的联动性分析
Aktham Maghyereh,Hussein Abdoh
Aktham Maghyereh
We investigate the effects of COVID-19 on volatility connectedness between bitcoin and five traditional financial assets from the gold, oil, foreign exchange, stock, and bond markets, employing high-frequency data. The empirical analyses ar...
Alessio Anzuini,Luca Rossi
Alessio Anzuini
We investigate whether forward guidance and large scale asset purchases are effective in steering economic expectations in the USA. Using the series of monetary policy shocks recovered in Swanson (J Monet Econ 118:32-53, 2021), local projec...
External financial dependence and firms' crisis performance across Europe [0.03%]
欧洲企业的外部融资依赖与金融危机表现之间的关系
Peter S Eppinger,Katja Neugebauer
Peter S Eppinger
How do financial market conditions affect real economic performance? Empirical investigations of this question have often relied on measures of external financial dependence (EFD) that are constructed using US data and applied to other coun...
Testing the binomial fixed effects logit model, with an application to female labour supply [0.03%]
关于女性劳动力供给的二项固定效应逻辑模型检验
Rainer Winkelmann,Lin Xu
Rainer Winkelmann
Regression models for proportions are frequently encountered in applied work. The conditional expectation function is bounded between 0 and 1 and therefore must be nonlinear, requiring nonstandard panel data extensions. One possible approac...
Sofiane Aboura
Sofiane Aboura
This study examines the potential influence of the Federal Reserve policy on Bitcoin price dynamics. The empirical investigation is based on methodologies to quantify the influence of the Fed Funds rate on Bitcoin through linear, nonlinear,...