Econometrics: Applied Econometrics & Modeling eJournal最新文献

{"title":"How Does External Conflict Impact Social Trust? Evidence from the 9/11 Attacks as a Natural Experiment in the US","authors":"A. Shaleva","doi":"10.2139/ssrn.1769023","DOIUrl":"https://doi.org/10.2139/ssrn.1769023","url":null,"abstract":"ABSTRACTSocial trust has enchanted social scientists due to its importance for both cooperation within societies and economic performance. This article provides a novel empirical study of whether external conflict affects trust. The possible ways that conflict could be related to trust are theoretically validated by two hypotheses on social group behavior. To identify the effect of external conflict on within-society trust, I interpret U.S. General Social Survey (GSS) trust data within a natural experiment with the terror attacks of 9/11 observed as the external conflict. Difference-in-differences estimations are in favor of the hypothesis that positive trust attitudes within a group are independent from external conflict.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"42 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77051013","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Volatility Model for Financial Time Series in the Generalized Pearson Setting","authors":"Kurtay Ogunc","doi":"10.2139/ssrn.1925211","DOIUrl":"https://doi.org/10.2139/ssrn.1925211","url":null,"abstract":"Our objective is to review the existing literature on modeling financial asset return distributions and propose additional models and techniques that provide a better fit for a given financial asset return series such as global stock indices, industry segments and foreign exchange. One possible way is to adjust the model within the whole family of parameters, or only within the family of parameters, which make economic sense. The ideal model specification is the one that can handle structural change and time dependence in conditional mean, variance, skewness, and kurtosis. This may have more economic appeal than assuming fundamental nonnormality. We postulate that the simultaneous estimation of time-varying first-four moments using a flexible family of probability distributions such as the Pearson type distributions might provide a better explanation of risks, and hence, robust design of portfolio allocation systems beyond the traditional first-two moments framework. In a study of fractual structures in exchange rates, Richards (2000) finds in a simulation experiment that the best performing model among non-linear time series models is a GARCH, in which a generalized error distribution was modified to allow for wider tails.In this research, we will combine an autoregressive conditional heteroskedasticity model with an asymmetric information structure due to Daniel B. Nelson (1991) with a flexible family of distributions, developed by Karl Pearson (1895). Within this framework, a nonlinear parametric model with time-varying higher moments is proposed. We, hereby, attempt to extend the time-varying conditional variance nature of traditional ARCH/GARCH-type models to include either time-varying skewness or kurtosis for it might improve our understanding of risks and risk premia seen in financial markets. To this end, we will explore the possible ill behavior of standardized residuals in many types of the time-varying conditional variance models and show that these residuals lead us to the modeling of time-varying skewness and kurtosis. We will fit the Pearson distribution directly to sample data by calculating the second, third and fourth central moments of the observed values and using the definitions of skewness and kurtosis. However, observed values of the third and fourth moments could be sensitive to outliers. This would question the validity of the equation, which takes advantage of the time-varying properties of kurtosis. Moreover, the sensitivity of higher moments’ estimates to a small number of extreme returns also means that ex-post returns may have quite different properties from ex-ante returns. We are also planning to incorporate the concepts of L-moments, introduced by Hosking (1990). L-moments are defined to be the expected values of linear expectations of the order statistics. They are less sensitive to outliers than ordinary moments, and often provide a better identification of the parent distribution that generates a particular dat","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"58 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79454992","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Predictability of Implied Volatility: Evidence from the Over-the-counter Currency Option Markets","authors":"Alfred H.S. Wong, R. Heaney, Amalia Di Iorio","doi":"10.2139/ssrn.1917062","DOIUrl":"https://doi.org/10.2139/ssrn.1917062","url":null,"abstract":"This paper provides an empirical study on the predictability of implied volatility using dataset collected from the London over-the-counter currency option market. The present work is motivated by the lack of empirical studies that address implied volatility characteristics across various maturities. We applied both in and out-of-sample tests that include the nonparametric variance ratio and interval forecasts methodologies. Contrary to the weak-form market efficiency theory, this study provides evidence of non-random movement in the implied volatility series and indicates predictability of implied volatility series. The result suggests that there is a need to account for the differences in data characteristics that exist across the volatility term structure.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"20 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81235326","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Has the CDS Market Influenced the Borrowing Cost of European Countries During the Sovereign Crisis?","authors":"Anne-Laure Delatte, M. Gex, Antonia López‐Villavicencio","doi":"10.2139/ssrn.1917219","DOIUrl":"https://doi.org/10.2139/ssrn.1917219","url":null,"abstract":"This paper assesses the potential influence of the growing CDS market on the borrowing cost of sovereign states during the European sovereign crisis. We analyze the sovereign debt market to ascertain the pattern of information transmission between the CDS and corresponding bond markets. Our methodological innovation is the use of a non-linear specification rather than the linear VECM specification customarily employed. Using a panel smooth transition model during the 2008-2010 period, we find that: 1) linearity tests clearly reject the null hypothesis of a linear transmission mechanisms between the bond and the CDS markets; 2) market distress alters the mutual influence and 3) the higher the distress the more the CDS market dominates the information transmission between CDS and bond markets.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"61 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82763819","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Geographic Concentration and Firm Survival","authors":"Dakshina G. De Silva, R. Mccomb","doi":"10.2139/ssrn.1912506","DOIUrl":"https://doi.org/10.2139/ssrn.1912506","url":null,"abstract":"If localization economies are present, firms within denser industry concentrations should exhibit higher levels of performance than more isolated firms. Nevertheless, research in industrial organization that has focused on the influences on firm survival has largely ignored the potential effects from agglomeration. Recent studies in urban and regional economics suggests that agglomeration effects may be very localized. Analyses of industry concentration at the MSA or county-level may fail to detect important elements of intra-industry firm interaction that occur at the sub-MSA level. Using a highly detailed dataset on firm locations and characteristics for Texas, this paper analyses agglomeration effects on firm survival over geographic areas as small as a single mile radius. We find that greater firm density within very close proximity (within 1 mile) of firms in the same industry increases mortality rates while greater concentration over larger distances reduces mortality rates.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"38 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85034353","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Evaluating Density Forecasts: A Comment","authors":"A. Tsyplakov","doi":"10.2139/ssrn.1907799","DOIUrl":"https://doi.org/10.2139/ssrn.1907799","url":null,"abstract":"This is a comment on Mitchell and Wallis (2011) which in turn is a critical reaction to Gneiting et al. (2007). The comment discusses the notion of forecast calibration, the advantage of using scoring rules, the “sharpness” principle and a general approach to testing calibration. The aim is to show how a more general and explicitly stated framework can provide further insights into the theory and practice of of probabilistic forecasting.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85432978","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Effect of Interaction Terms on Recursive Partitioning Techniques (Recursive Partitioning, Unbiased Conditional Inference Trees, Random Forest): Some Experiments with the Icreater Functions","authors":"Dhruv Sharma","doi":"10.2139/ssrn.1906005","DOIUrl":"https://doi.org/10.2139/ssrn.1906005","url":null,"abstract":"The idea of generating and searching for interactions and transformations is implemented in R. The icreater function adds log, sqrt, and negative reciprocal transformations suggested by Tukey and then the data set with these transformation is used to generate NXN interactions and this final data set is fed into recursive partitioning, conditional inference trees and random forests. This approach is tested for 3 credit data sets: German, Brazillian credit card data set and home equity data set. Adding transformed interaction terms improves predictive accuracy in 2 out of the 3 data sets. So it is shown to work sometimes.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"79 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89541581","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Impact of Unconventional Monetary Policy on the Market for Collateral: The Case of the French Bond Market","authors":"","doi":"10.2139/ssrn.1911879","DOIUrl":"https://doi.org/10.2139/ssrn.1911879","url":null,"abstract":"We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used as collateral both in the open market operations of the ECB and on the interbank market. In our time-varying transition probability Markov-switching (TVTP-MS) model, we highlight the existence of two regimes. In one of them, which we refer to as the conventional regime, monetary policy neutrality is verified; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia on the collateral market. The existence of these conventional and unconventional regimes highlights some asymmetries in the conduct of monetary policy.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"18 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90197304","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Comparative Effectiveness Research, Courage, and Technological Abandonment","authors":"D. Howard, Yu‐Chu Shen","doi":"10.3386/W17371","DOIUrl":"https://doi.org/10.3386/W17371","url":null,"abstract":"When a major study finds that a widely used medical treatment is no better than a less expensive alternative, do physicians stop using it? Policymakers hope that comparative effectiveness research will identify less expensive substitutes for widely-used treatments, but physicians may be reluctant to abandon profitable therapies. We examine the impact of the COURAGE trial, which found that medical therapy is as effective as percutaneous coronary intervention (PCI) for patients with stable angina, on practice patterns. Using hospital discharge data from US community, Veterans Administration, and English hospitals, we detect a moderate decline in PCI volume post-COURAGE. However, many patients with stable angina continue to receive PCI. We do not find differences in PCI volume trends by reimbursement scheme or hospitals' teaching status, ownership, or degree of vertical integration.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"50 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90528715","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Financial Deepening, Property Rights and Poverty: Evidence from Sub-Saharan Africa","authors":"Yifei Huang, R. Singh","doi":"10.7172/2353-6845.JBFE.2015.1.6","DOIUrl":"https://doi.org/10.7172/2353-6845.JBFE.2015.1.6","url":null,"abstract":"The recent financial crisis has brought to the forefront renewed concerns about the merit of financial development, especially for the most vulnerable segments of our population. Studies on the relationship between financial development and poverty have been inconclusive. Some claim that, by allowing more entrepreneurs to obtain financing, financial development improves the allocation of capital, which has a particularly large impact on the poor. Others argue that it is primarily the rich and politically connected who benefit from improvements in the financial system. This paper looks at a sample of 37 countries in sub-Saharan Africa from 1992 through 2006. Its results suggest that financial deepening could narrow income inequality and reduce poverty, and that stronger property rights reinforce these effects. Interest rate and lending liberalization alone could, however, be detrimental to the poor if not accompanied by institutional reforms, in particular stronger property rights and wider access to creditor information.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"36 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2011-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79172059","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}