Mostrando recursos 101 - 120 de 207

  1. Análisis econométrico de los precios en los mercados agrícolas y energéticos: un enfoque GARCH desde una perspectiva global

    Riotorto Vicente, Victoria
    [Resumen] El crecimiento continuo de las necesidades globales de energía y el desarrollo de los mercados de futuros en los últimos años es un hecho conocido. El objetivo de este trabajo es responder a las siguientes cuestiones: 1) ¿Son las variables macroeconómicas significativas a la hora de explicar los precios en los mercados energéticos y no energéticos? 2) ¿Es la especulación financiera relevante en estos mercados? 3) ¿Existen relaciones significativas entre los precios de las diferentes commodities? Para responderlas se analizan los precios de tres commodities energéticas (crudo de petróleo, carbón y gas natural) y cinco commodities no energéticas (maíz,...

  2. pca2: implementing a strategy to reduce the instrument count in panel GMM

    Bontempi, Maria Elena; Mammi, Irene
    The problem of instrument proliferation and its consequences (overfitting of the endogenous explanatory variables, biased IV and GMM estimators, weakening of the power of the overidentification tests) are well known. This paper introduces a statistical method to reduce the instrument count. The principal component analysis (PCA) is applied on the instrument matrix, and the PCA scores are used as instruments for the panel generalized method-of-moments (GMM) estimation. This strategy is implemented through the new command pca2.

  3. A statistical test for forecast evaluation under a discrete loss function

    Eransus, Francisco Javier; Novales Cinca, Alfonso
    We propose a new approach to evaluating the usefulness of a set of forecasts, based on the use of a discrete loss function de…ned on the space of data and forecasts. Existing procedures for such an evaluation either do not allow for formal testing, or use tests statistics based just on the frequency distribution of (data , forecasts)-pairs. They can easily lead to misleading conclusions in some reasonable situations, because of the way they formalize the underlying null hypothesis that ‘the set of forecasts is not useful.’ Even though the ambiguity of the underlying null hypothesis precludes us from performing...

  4. ICT and Non-ICT investments: short and long run macro dynamics

    Bacchini, Fabio; Bontempi, Maria Elena; Golinelli, Roberto; Jona Lasinio, Cecilia
    In this paper, we model business investment distinguishing between ICT (communication equipment, hardware and software) and Non-ICT (machinery and equipment, and nonresidential buildings) components and taking into account asset specific characteristics potentially affecting the reactivity of capital accumulation over the business cycle. Business investment and ICT and Non-ICT assets are estimated within a VECM model to test, in a unique framework, the assumptions of the flexible accelerator model (Clark, 1944, and Koyck, 1954) and of the neoclassical model of Hall and Jorgenson (1967), as well as how financial constraints and uncertainty influence investment behaviour (Hall and Lerner, 2010, and Bloom, 2007)....

  5. Do Households Anchor their Inflation Expectations? Theory and Evidence from a Household Survey

    Easaw, Joshy; Golinelli, Roberto; Malgarini, Marco
    The purpose of the present paper is to study how households form inflation expectations. Using a novel survey-base dataset of Italian households’ opinions of inflation we investigate two separate, but related, types of behavior: ‘inattentiveness’ and ‘anchoring’. The present analysis extends the existing literature by incorporating explicitly inflation targets and distinguishing between aggregate and disaggregate dynamics based on demographic groups. In addition, we extend the literature by considering both the short- and long-run dynamics as households update their inflation expectations while also accounting for their state-varying behavior. All these issues provide important insights into understanding actual inflation dynamics and the...

  6. A strategy to reduce the count of moment conditions in panel data GMM

    Bontempi, Maria Elena; Mammi, Irene
    The problem of instrument proliferation and its consequences (overfitting of endogenous variables, bias of estimates, weakening of Sargan/Hansen test) are well known. The literature provides little guidance on how many instruments is too many. It is common practice to report the instrument count and to test the sensitivity of results to the use of more or fewer instruments. Strategies to alleviate the instrument proliferation problem are the lag-depth truncation and/or the collapse of the instrument set (the latter being an horizontal squeezing of the instrument matrix). However, such strategies involve either a certain degree of arbitrariness (based on the ability and...

  7. Testing exogeneity of multinomial regressors in count data models: does two stage residual inclusion work?

    Geraci, Andrea; Fabbri, Daniele; Monfardini, Chiara
    We study a simple exogeneity test in count data models with possibly endogenous multinomial treatment. The test is based on Two Stage Residual Inclusion (2SRI). Results from a broad Monte Carlo study provide novel evidence on important features of this approach in nonlinear settings. We find differences in the finite sample performance of various likelihood-based tests under correct specification and when the outcome equation is misspecified due to neglected over-dispersion or non-linearity. We compare alternative 2SRI procedures and uncover that standardizing the variance of the first stage residuals leads to higher power of the test and reduces the bias of...

  8. The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time

    Girardi, Alessandro; Golinelli, Roberto; Pappalardo, Carmine
    Building on the literature on regularization and dimension reduction methods, we have developed a quarterly forecasting model for euro area GDP. This method consists in bridging quarterly national accounts data using factors extracted from a large panel of monthly and quarterly series including business surveys and financial indicators. The pseudo real-time nature of the information set is accounted for as the pattern of publication lags is considered. Forecast evaluation exercises show that predictions obtained through various dimension reduction methods outperform both the benchmark AR and the diffusion index model without pre-selected indicators. Moreover, forecast combination significantly reduces forecast error.

  9. Birth order and child outcomes: does maternal quality time matter?

    Monfardini, Chiara; See, Sarah Grace
    Higher birth order positions are often associated with poorer outcomes, possibly due to fewer resources received within the household. Using a sample of PSID-CDS children, we investigate whether the birth order effects in their outcomes are due to unequal allocation of the particular resource represented by maternal quality time. OLS regressions show that the negative birth order effects on various test scores are only slightly diminished when maternal time is included among the regressors. This result is confirmed when we account for unobserved heterogeneity at the household level, exploiting the presence of siblings in the data. Our evidence therefore suggests...

  10. Self investments of adolescents and their cognitive development

    Del Boca, Daniela; Monfardini, Chiara; Nicoletti, Cheti
    While a large literature has focused on the impact of parental investments on child cognitive development, very little is known about the role of child's own investments. Information on how children invest their time separately from parents is probably little informative for babies and toddlers, but it becomes more and more important in later stages of life, such as adolescence, when children start to take decisions independently. By using the Child Development Supplement of the PSID (Panel Study of Income Dynamics), we model the production of cognitive ability of adolescents and extend the set of inputs to include the child's...

  11. Household Inflation Expectations: Information Gathering, Inattentive or ‘Stubborn’?

    Easaw, Joshy; Golinelli, Roberto
    The purpose of this paper is to investigate the microfoundations of how non-experts’ (or general public) form inflation expectations. Using a unique dataset we investigate the range of near rational inflation expectations. An important contribution to understanding how non-experts form their expectations is ‘sticky information expectations’, specifically the epidemiological model. Our analysis uses an extended version of the epidemiological model. We find that the general public are best depicted as those who are either information gathers or inattentive. In addition, the inattentive general public can be either forward-looking or ‘stubborn’, that is persistent.

  12. Ten Things You Should Know About the Dynamic Conditional Correlation Representation

    Caporin, Massimiliano; McAleer, Michael
    The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the standardized residuals, and hence does not yield dynamic conditional correlations; DCC is stated rather than derived; DCC has no moments; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic properties; DCC is not a special case of GARCC, which has...

  13. Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis

    McAleer, Michael; Suen, John; Wong, Wing-Keung
    This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot-com bubble of Nasdaq. It examines the profitability of Technical Analysis (TA) strategies generating buy and sell signals with knowing and without trading rules. The empirical results show that by applying long and short strategies during the bubble formation and short strategies after the bubble burst, it not only produces returns that are significantly greater than buy and hold strategies, but also produces greater wealth compared with TA strategies without trading rules....

  14. Testing the Internal Validity of Compulsory School Reforms as Instrument for Years of Schooling

    Brunello, Giorgio; Fort, Margherita; Weber, Guglielmo; Weiss, Christoph
    In the large empirical literature that investigates the causal effects of education on outcomes such as health, wages and crime, it is customary to measure education with years of schooling, and to identify these effects using the exogenous variation provided by school reforms increasing compulsory education and minimum school leaving age. If these reforms are correlated to changes in school quality, and school quality is an omitted variable, this identification strategy may fail. We test whether this is the case by using the information provided by two distinct test scores on mathematics and reading and find that we cannot reject the...

  15. A influência das tecnologias de informação e de comunicação na procura turística: uma abordagem com dados em macro painel

    Ramos, Célia M. Q.
    Tese de dout., Métodos Quantitativos Aplicados à Economia e à Gestão (Econometria), Faculdade de Economia, Univ. do Algarve, 2011

  16. A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models

    Cavaliere, Giuseppe; De Angelis, Luca; Rahbek, Anders; Taylor, A.M.Robert
    In this paper we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems characterized by heteroskedastic innovation processes. In particular we compare the efficacy of the most widely used information criteria, such as AIC and BIC, with the commonly used sequential approach of Johansen (1996) based around the use of either asymptotic or wild bootstrap-based likelihood ratio type tests. Complementing recent work done for the latter in Cavaliere, Rahbek and Taylor (2013, Econometric Reviews, forthcoming), we establish the asymptotic properties of the procedures based on information criteria in the presence of heteroskedasticity (conditional or...

  17. Job Insecurity and Financial Distress

    Giannetti, Caterina; Madia, Marianna; Moretti, Luigi
    This paper investigates the effects of different job categories on households’ likelihood of experiencing financial distress. Given imperfect financial markets and the absence of unemployment subsidies, households with less secure jobs are likely to experience drops in income more frequently than households with well-protected jobs. Households’ abilities to deal with financial decisions (i.e. financial literacy) can mitigate these problems. Our results suggest that greater job insecurity increases the probability of being in financial distress similarly than other working statuses (e.g. unemployment), and in some cases even more (i.e. part-time workers). However, a high level of financial literacy can counterbalance this...

  18. Disclosure of Personal Information under Risk of Privacy Shocks

    Feri, Francesco; Giannetti, Caterina; Jentzsch, Nicola
    Companies are under an increasing pressure by policy makers to publicize data breaches. Such notification obligations require announcing the loss of personal data collected from customers, because of hacker attacks or other incidents. While notification is likely to impact on firms’ reputation, we know little about the impact such notifications have on consumers with respect to disclosure of their personal data. We present the problem as a dynamic lottery with personal data under the risk of privacy shocks and experimentally study how the privacy breach notification changes an individual’s behavior regarding data disclosure. Our results suggest that the notification induces...

  19. Banks Information Policies, Financial Literacy and Household Wealth A

    Fort, Margherita; Manaresi, Francesco; Trucchi, Serena
    We investigate the causal effect of financial literacy on financial assets, exploiting banks information policies for identification. In Italy, banks who belong to the PattiChiari consortium have implemented policies aimed at increasing transparency and procedural simplification. These policies may affect individuals' financial literacy without involving any direct cost for clients in terms of time, effort or resources, as we show in the paper. We exploit confidential information on whether individuals have their main bank account in one bank in the PattiChiari consortium to instrument their financial literacy level. We show that these policies have a positive and significant effect on...

  20. Unconditional and Conditional Quantile Treatment Effect: Identification Strategies and Interpretations A

    Fort, Margherita
    This paper reviews strategies that allow one to identify the effects of policy interventions on the unconditional or conditional distribution of the outcome of interest. This distiction is irrelevant when one focuses on average treatment effects since identifying assumptions typically do not affect the parameter's interpretation. Conversely, finding the appropriate answer to a research question on the effects over the distribution requires particular attention in the choice of the identification strategy. Indeed, quantiles of the conditional and unconditional distribution of a random variable carry a different meaning even if identification of both these set of parameters may require conditioning on...

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