User profiles for Roberto Rigobon
Roberto RigobonProfessor Applied Economics, Sloan School, MIT Verified email at mit.edu Cited by 26001 |
The impact of monetary policy on asset prices
Estimating the response of asset prices to changes in monetary policy is complicated by the
endogeneity of policy decisions and the fact that both interest rates and asset prices react to …
endogeneity of policy decisions and the fact that both interest rates and asset prices react to …
Aggregate confusion: The divergence of ESG ratings
This paper investigates the divergence of environmental, social, and governance (ESG) ratings
based on data from six prominent ESG rating agencies: Kinder, Lydenberg, and Domini (…
based on data from six prominent ESG rating agencies: Kinder, Lydenberg, and Domini (…
Identification through heteroskedasticity
R Rigobon - Review of Economics and Statistics, 2003 - direct.mit.edu
This paper develops a method for solving the identification problem that arises in
simultaneous-equation models. It is based on the heteroskedasticity of the structural shocks. For …
simultaneous-equation models. It is based on the heteroskedasticity of the structural shocks. For …
Rule of law, democracy, openness, and income: Estimating the interrelationships1
We estimate the interrelationships among economic institutions, political institutions, openness,
and income levels, using identification through heteroskedasticity (IH). We split our cross…
and income levels, using identification through heteroskedasticity (IH). We split our cross…
Measuring the reaction of monetary policy to the stock market
Movements in the stock market can have a significant impact on the macroeconomy and are
therefore likely to be an important factor in the determination of monetary policy. However, …
therefore likely to be an important factor in the determination of monetary policy. However, …
No contagion, only interdependence: measuring stock market comovements
Heteroskedasticity biases tests for contagion based on correlation coefficients. When contagion
is defined as a significant increase in market comovement after a shock to one country, …
is defined as a significant increase in market comovement after a shock to one country, …
Resource curse or debt overhang?
… Osmel Manzano Roberto Rigobon Working Paper8390 http://www.nber.org/p … Osmel
Manzano Roberto Rigobon … Roberto Rigobon Unidad de Estudios Económicos …
Manzano Roberto Rigobon … Roberto Rigobon Unidad de Estudios Económicos …
Currency choice and exchange rate pass-through
We show, using novel data on currency and prices for US imports, that even conditional on
a price change, there is a large difference in the exchange rate pass-through of the average …
a price change, there is a large difference in the exchange rate pass-through of the average …
Measuring Contagion: Conceptual and Empirical Issues
The 1990’s has been punctuated by a series of severe financial and currency crises: the
Exchange Rate Mechanism (ERM) attacks of 1992; the Mexican peso collapse of 1994; the East …
Exchange Rate Mechanism (ERM) attacks of 1992; the Mexican peso collapse of 1994; the East …
Stocks, bonds, money markets and exchange rates: measuring international financial transmission
…, M Fratzscher, R Rigobon - Journal of Applied …, 2011 - Wiley Online Library
Understanding the complexity of the financial transmission process across various assets—domestically
as well as within and across asset classes—requires the simultaneous …
as well as within and across asset classes—requires the simultaneous …
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