Mostrando recursos 121 - 140 de 230

  1. 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.

  2. 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...

  3. 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...

  4. 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.

  5. 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...

  6. 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....

  7. 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...

  8. Mathematical framework for pseudo-spectra of linear stochastic difference equations

    Bujosa Brun, Marcos; Bujosa Brun, Andrés; García Ferrer, Antonio
    Although spectral analysis of stationary stochastic processes has solid mathematical foundations, this is not always so for some non-stationary cases. Here, we establish a rigorous mathematical extension of the classic Fourier spectrum to the case in which there are AR roots in the unit circle, ie, the transfer function of the linear time-invariant filter has poles on the unit circle. To achieve it we: embed the classical problem in a wider framework, the Rigged Hilbert space, extend the Discrete Time Fourier Transform and defined a new Extended Fourier Transform pair pseudo-covariance function/pseudo-spectrum. Our approach is a proper extension of the...

  9. 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

  10. 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...

  11. 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...

  12. 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...

  13. 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...

  14. 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...

  15. Information and Learning in Oligopoly: an Experiment

    Bigoni, Maria; Fort, Margherita
    This paper presents an experiment on learning in repeated games, which complements the analysis of players' actual choices with data on the information acquisition process they follow. Subjects play a repeated Cournot oligopoly, with limited a priori information. The econometrics hinges on a model built upon Experience Weighted Attraction learning, and the simultaneous analysis of data on the information gathered and on actions taken by the subjects. Results suggest that learning is a composite process, in which different components coexist. Adaptive learning emerges as the leading element, but when subjects look at the strategies individually adopted by their competitors they tend to imitate...

  16. Inflation expectations in Spain: The Spanish PwC Survey

    Ramos-Herrera, María del Carmen; Sosvilla-Rivero, Simón
    We examine the predictive ability, the consistency properties and the possible driving forces of inflation expectations, using a survey conducted in Spain by PwC among a panel of experts and entrepreneurs. When analysing the headline inflation rate, our results suggest that the PwC panel has some forecasting ability for time horizons from 3 to 9, improving when it comes to predict the core inflation rate. Nevertheless, the results indicate that predictions made by survey participants are neither unbiased nor efficient predictors of future inflation rates, regardless of the measures of inflation used. As for the consistency properties of the inflation...

  17. Exploiting infinite variance through Dummy Variables in non-stationary autoregressions

    Cavaliere, Giuseppe; Georgiev, Iliyan
    We consider estimation and testing infinite-order autoregressive models with a (near) unit root and infinite-variance innovations. We study the asymptotic properties of estimators obtained by dummying out large innovations, i.e., exceeding a given threshold. These estimators reflect the common practice of dealing with large residuals by including impulse dummies in the estimated regression. Iterative versions of the dummy-variable estimator are also discussed. We provide conditions on the preliminary parameter estimator and on the threshold which ensure that (i) the dummy-based estimator is consistent at higher rates than the OLS estimator, (ii) an asymptotically normal test statistic for the unit root...

  18. Estimating Implied Recovery Rates from the Term Structure of CDS Spreads

    Jaskowski, Marcin; McAleer, Michael
    Credit risk models should reect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondary market value in bad states of nature, where marginal utilities are high. Although the negative correlation between recovery rates and default probabilities is well documented, the majority of pricing models does not allow for correlation between the two. In this paper, we propose a relatively parsimonious reduced-form continuous time model that estimates expected recovery rates and default probabilities from the term structure of CDS...

  19. O Software open source como instrumento pedagógico: aplicação prática à econometria e à matemática

    Nunes, Alcina; Balsa, Carlos
    Em co-autoria com Alcina Nunes do Departamento de Economia e Gestão.

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

    Ramos, Célia M. Q.
    Tese de Doutoramento em Métodos Quantitativos Aplicados à Economia e à Gestão, Especialização em Econometria, Universidade do Algarve

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