C1 - Econometric and Statistical Methods and Methodology: General
-
Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error?
Studies such as Lemmon, Roberts and Zender (2008) demonstrate how stable firms’ capital structures are over time, and raise the question of whether new theories of capital structure are needed to explain these phenomena. -
Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually. -
Predicting Financial Stress Events: A Signal Extraction Approach
The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor the evolution of a number of economic indicators that tend to exhibit an unusual behaviour in the periods preceding a financial stress event. -
Removal of the Unwinding Provisions in the Automated Clearing Settlement System: A Risk Assessment
A default in the Automated Clearing Settlement System (ACSS) occurs when a Direct Clearer is unable to settle its final obligation. -
Sheep in Wolf’s Clothing: Using the Least Squares Criterion for Quantile Estimation
Estimation of the quantile model, especially with a large data set, can be computationally burdensome. This paper proposes using the Gaussian approximation, also known as quantile coupling, to estimate a quantile model. -
Monetary Policy Transmission during Financial Crises: An Empirical Analysis
This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (“normal” and high financial stress) depends on a financial conditions index.