L. Vanessa Smith

University of York

Heslington

University of York

York, YO10 5DD

United Kingdom

SCHOLARLY PAPERS

13

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103

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Scholarly Papers (13)

1.

Exploring the International Linkages of the Euro Area: A Global VAR Analysis

CESifo Working Paper Series No. 1425, ECB Working Paper No. 568, IEPR Working Paper No. 04.6
Number of pages: 68 Posted: 19 Jan 2005
European Central Bank (ECB), European Central Bank (ECB), University of Southern California - Department of Economics and University of York
Downloads 411 (69,098)

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Global VaR (GVaR), Global interdependencies, global macroeconomic

Long Run Macroeconomic Relations in the Global Economy

CESifo Working Paper Series No. 1904, ECB Working Paper No. 750
Number of pages: 70 Posted: 08 Feb 2007
Stephane Dees, Sean Holly, M. Hashem Pesaran and L. Vanessa Smith
European Central Bank (ECB), University of Cambridge - Department of Applied Economics, University of Southern California - Department of Economics and University of York
Downloads 233 (128,374)

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Global VAR, Fisher relationship, Uncovered Interest Rate Parity, Purchasing Power Parity, persistence profile

Long Run Macroeconomic Relations in the Global Economy

Economics Discussion Paper No. 2007-7
Number of pages: 77 Posted: 06 Dec 2010
Stephane Dees, Sean Holly, M. Hashem Pesaran and L. Vanessa Smith
European Central Bank (ECB), University of Cambridge - Department of Applied Economics, University of Southern California - Department of Economics and University of York
Downloads 133 (212,259)

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Global VAR, interdependencies, Fisher relationship, Uncovered Interest Rate Parity, Purchasing Power Parity, persistence profile

Long Run Macroeconomic Relations in the Global Economy

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 1, 2007-3
Number of pages: 58 Posted: 18 Oct 2010
M. Hashem Pesaran, Sean Holly, Stephane Dees and L. Vanessa Smith
University of Southern California - Department of Economics, University of Cambridge - Department of Applied Economics, European Central Bank (ECB) and University of York
Downloads 39 (429,402)

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Global VAR, Fisher relationship, Uncovered Interest Rate Parity, Purchasing Power Parity, persistence profile

3.

What If the UK Had Joined the Euro in 1999? An Empirical Evaluation Using a Global VAR

CESifo Working Paper Series No. 1477; IEPR Working Paper No. 05.24
Number of pages: 58 Posted: 11 Jun 2005
M. Hashem Pesaran, Ron Smith and L. Vanessa Smith
University of Southern California - Department of Economics, Birkbeck College and University of York
Downloads 342 (85,651)

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Global VAR (GVAR), Counterfactual Analysis, UK and Sweden entry to euro

Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model

ECB Working Paper No. 1239
Number of pages: 55 Posted: 17 Sep 2010
Stephane Dees, M. Hashem Pesaran, L. Vanessa Smith and Ron Smith
European Central Bank (ECB), University of Southern California - Department of Economics, University of York and Birkbeck College
Downloads 182 (162,501)

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Global VAR (GVAR), New Keynesian DSGE models, supply shocks, demand shocks, monetary policy shocks

Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model

CESifo Working Paper Series No. 3081
Number of pages: 53 Posted: 15 Jun 2010
Stephane Dees, M. Hashem Pesaran, L. Vanessa Smith and Ron Smith
European Central Bank (ECB), University of Southern California - Department of Economics, University of York and Birkbeck College
Downloads 151 (191,400)

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global VAR (GVAR), New Keynesian DSGE models, supply shocks, demand shocks, monetary policy shocks

Identification of New Keynesian Phillips Curves from a Global Perspective

CESifo Working Paper Series No. 2219, IEPR Working Paper No. 08.1, ECB Working Paper No. 892
Number of pages: 41 Posted: 12 Feb 2008
Stephane Dees, M. Hashem Pesaran, L. Vanessa Smith and Ron Smith
European Central Bank (ECB), University of Southern California - Department of Economics, University of York and Birkbeck College
Downloads 147 (195,673)

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Global VAR (GVAR), identification, New Keynesian Phillips Curve, Trend-Cycle decomposition

Identification of New Keynesian Phillips Curves from a Global Perspective

IZA Working Paper No. 3298
Number of pages: 32 Posted: 23 May 2008
Stephane Dees, M. Hashem Pesaran, L. Vanessa Smith and Ron Smith
European Central Bank (ECB), University of Southern California - Department of Economics, University of York and Birkbeck College
Downloads 45 (405,751)

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New Keynesian Phillips Curve, identification, Global VAR (GVAR), trend-cycle decomposition

6.

Forecasting Economic and Financial Variables with Global VARs

CESifo Working Paper Series No. 2263, IEPR Working Paper No. 08.2, FRB of New York Staff Report, No. 317, Wharton Financial Institutions Center Working Paper No. 08-05
Number of pages: 67 Posted: 06 Feb 2008
M. Hashem Pesaran, L. Vanessa Smith and Til Schuermann
University of Southern California - Department of Economics, University of York and Oliver Wyman
Downloads 176 (167,443)

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forecasting using GVAR, structural breaks and forecasting, average forecasts across models and windows, financial and macroeconomic forecasts

Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects

CESifo Working Paper Series No. 4822
Number of pages: 42 Posted: 25 Jun 2014
Kazuhiko Hayakawa, M. Hashem Pesaran and L. Vanessa Smith
Hiroshima University, University of Southern California - Department of Economics and University of York
Downloads 85 (291,498)

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short T dynamic panels, transformed maximum likelihood, multi-factor error structure, interactive fixed effects

Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects

CAFE Research Paper No. 14.06
Number of pages: 42 Posted: 29 May 2014
Kazuhiko Hayakawa, M. Hashem Pesaran and L. Vanessa Smith
Hiroshima University, University of Southern California - Department of Economics and University of York
Downloads 51 (384,179)

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short T dynamic panels, transformed maximum likelihood, multi-factor error structure, interactive fixed effects

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

CESifo Working Paper No. 2193
Number of pages: 59 Posted: 23 Jan 2008
M. Hashem Pesaran, L. Vanessa Smith and Takashi Yamagata
University of Southern California - Department of Economics, University of York and University of Cambridge - Faculty of Economics and Politics
Downloads 83 (295,796)

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panel unit root tests, cross section dependence, multi-factor residual structure, Fisher inflation parity, real equity prices

Panel Unit Root Tests in the Presence of a Multifactor Error Structure

IZA Working Paper No. 3254
Number of pages: 56 Posted: 23 May 2008
M. Hashem Pesaran, L. Vanessa Smith and Takashi Yamagata
University of Southern California - Department of Economics, University of York and University of York - Department of Economics and Related Studies
Downloads 29 (475,805)

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panel unit root tests, cross section dependence, multi-factor residual structure, Fisher inflation parity, real equity prices

9.

On the Epidemic of Financial Crises

Number of pages: 42 Posted: 28 Apr 2013
Nikolaos Demiris, Theodore Kypraios and L. Vanessa Smith
Athens University of Economics and Business, University of Nottingham and University of York
Downloads 75 (311,182)

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Financial crisis, contagion, stochastic epidemic model, random graph, MCMC

10.

A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices

CAFE Research Paper No. 14.05
Number of pages: 46 Posted: 29 May 2014
Natalia Bailey, M. Hashem Pesaran and L. Vanessa Smith
Monash University, University of Southern California - Department of Economics and University of York
Downloads 73 (316,123)

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Sparse correlation matrices, High-dimensional data, Multiple testing, Thresholding, Shrinkage

11.

Short T Dynamic Panel Data Models with Individual and Interactive Time Effects

USC-INET Research Paper No. 18-18
Number of pages: 69 Posted: 25 Oct 2018
Kazuhiko Hayakawa, M. Hashem Pesaran and L. Vanessa Smith
Hiroshima University, University of Southern California - Department of Economics and University of York
Downloads 25 (483,986)

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Short T Dynamic Panels, Unobserved Common Factors, Quasi Maximum Likelihood, Interactive Time Effects,

12.

A Multiple Testing Approach to the Regularisation of Large Sample Correlation Markets

CESifo Working Paper Series No. 4834
Number of pages: 46 Posted: 03 Jul 2014
Natalia Bailey, M. Hashem Pesaran and L. Vanessa Smith
Monash University, University of Southern California - Department of Economics and University of York
Downloads 18 (523,425)

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sparse correlation matrices, high-dimensional data, multiple testing, thresholding, shrinkage

13.

Constructing Multi‐Country Rational Expectations Models

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 6, pp. 812-840, 2014
Number of pages: 29 Posted: 28 Oct 2014
Stephane Dees, M. Hashem Pesaran, L. Vanessa Smith and Ron Smith
European Central Bank (ECB), University of Southern California - Department of Economics, University of York and Birkbeck College
Downloads 1 (637,860)
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