Purpose This paper aims to explore the effect of non-resource tax revenue instability on in developed and developing countries. Design/methodology/approach The analysis has used an unbalanced panel data set 146 countries over period 1981–2016, as well two-step system generalized methods moment approach. Findings empirical suggested that influences negatively share gross domestic product. magnit...

This paper derives new results on the e¤ects of employing Taylor rules in economies that are subject to real market imperfections such as production externalities. Taylor rules that aggressively respond to output can eliminate sunspot equilibria that arise from the increasing returns. The paper also ...nds that rules which should be chosen (avoided) in perfect market environments often yield (e...

This paper empirically investigates the impact of macroeconomic uncertainty on the spreads of credit default swaps (CDS). While existing literature acknowledges the importance of the levels of macroeconomic factors in determining CDS spreads, we show that the second moments of these factors—macroeconomic uncertainty—predict CDS spreads even in the presence of traditional macroeconomic factors s...

We analyse the money-financed fiscal stimulus implemented in Venice during famine and plague of 1629–31, which was equivalent to a ‘net-worth helicopter money’ strategy – monetary expansion generating losses issuer. argue that aimed at reconciling need subsidize inhabitants suffering from containment policies with desire prevent an increase long-term government debt, but it generated much insta...

Two approaches to the multi-factor modeling of security returns are evaluated. In the first, a variance/covariance matrix of security returns and macroeconomic factors is assembled and decomposed. Factors are generated through this algebraic decomposition and are thus unspecified. In the second, a macroeconomic variable model is proposed and a linear model estimating security returns as a funct...

Abstract We propose a macroeconomic model in which adverse selection investment amplifies fluctuations, line with the prominent role played by credit crunch during financial crisis. Endogenous lending standards emerge due to an informational asymmetry between borrowers and lenders about riskiness of borrowers. By using loan approval probability as screening device, banks ration following increa...

In this paper, we argue that there is no compelling reason for restricting the class of multivariate models considered for macroeconomic forecasting to VARs given the recent advances in VARMA modelling methodology and improvements in computing power. To support this claim, we use real macroeconomic data and show that VARMA models forecast macroeconomic variables more accurately than VAR models.

I revisit the relationship between growth and volatility in two di¤erent disaggregated data sets. I con...rm that growth and volatility are negatively related across countries, but show that across sectors, the relation is the opposite. This phenomenon, sometimes called “Simpson’s fallacy”, has a natural interpretation in the present context: it is the component of aggregate volatility that is ...

his study examined the long-run relationship between Nigerian exports and imports between 1960 and 2014. Exports and imports were disaggregated into oil and non-oil components. The application of the Johansen, Bound testing and the Hansen parameter instability test cointegration techniques revealed that Nigerian exports and imports at the aggregate and disaggregated level are cointegrated with ...