Search results for " continuous-time Weibull model"

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The Legacy and the Tyranny of Time: Exit and Re-Entry of Sovereigns to International Capital Markets

2018

We use a novel continuous-time Weibull model (without and) with a change-point in the duration dependence parameter to investigate the duration of the exit and re-entry of sovereigns to international capital markets. Relying on annual data for a large panel of countries over the period 1970-2011, we find that, as the reputation of debtor countries as good (bad) borrowers solidifies over time, those episodes are more likely to end - i.e. the "legacy of time". Debtor countries can take advantage of the "benefit of doubt" of creditors during short exit spells. However, when exits are long and the reputation as a bad borrower emerges, no more "complacency" makes it more difficult for them to bo…

Economics and EconometricsGovernment050208 financeHaircutCreditormedia_common.quotation_subject05 social sciencesSettore SECS-P/02 Politica EconomicaDuration dependenceDebtorMonetary economicsInternational capital marketMarket economyAccounting0502 economics and businessEconomicsinternational capital markets re-entry and exit continuous-time Weibull model duration dependence change-point.050207 economicsDuration (project management)FinanceReputationmedia_commonJournal of Money, Credit and Banking
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Global factors, uncertainty, weather conditions and energy prices: On the drivers of the duration of commodity price cycle phases

2020

We investigate the role of global factors in explaining the length of commodity price cycle phases, using a continuous-time Weibull duration model and data for a panel of 33 countries over the period 1980Q1-2015Q4. We find evidence of increasing (constant) positive duration dependence for commodity price booms and busts (normal time spells). Global macroeconomic conditions - in particular, inflation, economic policy uncertainty and monetary policy actions - significantly affect the duration of all commodity price cycle phases. Global environmental conditions also impact the duration of commodity price booms, with a rise in average temperature (rainfall) increasing (reducing) their length. A…

InflationEconomics and Econometrics020209 energymedia_common.quotation_subjectCommodity price cycles Continuous-time Weibull model Global factors05 social sciencesMonetary policySettore SECS-P/02 Politica EconomicaDuration dependence02 engineering and technologyMonetary economicsBoomGeneral Energy13. Climate action8. Economic growth0502 economics and business0202 electrical engineering electronic engineering information engineeringEconomics050207 economicsDuration (project management)Commodity (Marxism)media_commonEnergy Economics
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