C33 - Models with Panel Data; Longitudinal Data; Spatial Time Series
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What Is Behind the Weakness in Global Investment?
The recovery in private business investment globally remains extremely weak more than seven years after the financial crisis. This paper contributes to the ongoing policy debate on the factors behind this weakness by analyzing the role of growth prospects and uncertainty in explaining developments in non-residential private business investment in large advanced economies since the crisis. -
Nowcasting BRIC+M in Real Time
Emerging-market economies have become increasingly important in driving global GDP growth over the past 10 to 15 years. This has made timely and accurate assessment of current and future economic activity in emerging markets important for policy-makers not only in these countries but also in advanced economies. -
The Effect of the Federal Reserve’s Tapering Announcements on Emerging Markets
The Federal Reserve’s quantitative easing (QE) program has been accompanied by a flow of funds into emerging-market economies (EMEs) in search of higher returns. -
Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. -
Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns. -
Are Canadian Banks Efficient? A Canada–U.S. Comparison
The authors compare the efficiency of Canada's largest banks with U.S. commercial banks over the past 20 years. Efficiency is measured in three ways. -
Efficiency and Economies of Scale of Large Canadian Banks
The authors measure the economies of scale of Canada's six largest banks and their costefficiency over time. Using a unique panel data set from 1983 to 2003, they estimate pooled translog cost functions and derive measures of relative efficiency and economies of scale. -
Translog ou Cobb-Douglas? Le rôle des durées d'utilisation des facteurs
Using French data on industrial firms over the period 1989-2001, the authors estimate a "flexible" Translog production function that accounts for the volumes and durations of factor utilization. -
Durées d'utilisation des facteurs et fonction de production : une estimation par la méthode des moments généralisés en système
Although a number of studies have demonstrated the importance of the degree of factor utilization in economic analysis, the impact of the durations of utilization in a production function remains largely unknown, particularly in terms of the duration of equipment utilization. -
The Employment Costs of Downward Nominal-Wage Rigidity
In this paper, we use firm-level wage and employment data to address whether there is evidence of downward nominal-wage rigidity, and whether that rigidity is associated with a reduction in employment. We describe an estimation bias that can result when estimating reduced-form wage and employment equations and suggest a way of controlling for that bias. […]