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An Empirical Comparison of Alternative Credit Default Swap Pricing Models 信用违约互换定价模型的实证比较
Bank of Italy Research Paper Series Pub Date : 2012-09-21 DOI: 10.2139/ssrn.2165842
M. L. Bianchi
{"title":"An Empirical Comparison of Alternative Credit Default Swap Pricing Models","authors":"M. L. Bianchi","doi":"10.2139/ssrn.2165842","DOIUrl":"https://doi.org/10.2139/ssrn.2165842","url":null,"abstract":"Most of the important models in finance rest on the assumption that randomness is explained through a normal random variable because, in general, the use of alternative models is obstructed by the difficulty of calibrating and simulating them. In this paper, we empirically study models for pricing credit default swaps under a reduced-form framework, assuming different dynamics for the default intensity process. After reviewing the most recent results on this subject, we explore both pricing performance and parameter stability during the highly volatile period from 30 June 2008 to 31 December 2010 for different classes of processes: one driven by the Brownian motion, three driven by non-Gaussian Li?½vy processes, and the last one driven by a Sato process. The models are analysed from both a static and dynamic perspective.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"86 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114012480","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}
引用次数: 23
On Detecting End-of-Sample Instabilities 关于检测样品末端不稳定性
Bank of Italy Research Paper Series Pub Date : 2012-09-21 DOI: 10.2139/ssrn.2165806
F. Busetti
{"title":"On Detecting End-of-Sample Instabilities","authors":"F. Busetti","doi":"10.2139/ssrn.2165806","DOIUrl":"https://doi.org/10.2139/ssrn.2165806","url":null,"abstract":"Tests of parameter instabilities are likely to have low power when change-points occur towards the end of the sample. This paper considers various modifications of existing tests and introduces new statistics designed to have high power in such circumstances. The properties of both Wald-type tests of a one-time shift in the parameters and locally most powerful (LMP) tests against the hypothesis of random walk coefficients are examined. It is proposed to take functionals of the Wald and LMP statistics such that either the set of possible change-points is restricted to the last part of the sample or the occurrence of change-points is given increasing weight throughout the sample. For the case of an unknown end-of-sample change-point, the LMP-type tests appear to have, in general, better properties than Wald-type tests, even against the hypothesis of a one-time shift in the parameters. Empirical illustrations describe the use of the tests for detecting structural changes at the time of the 'Great Recession'.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116691384","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}
引用次数: 73
Crisis and Italian Households: A Microeconomic Analysis of Mortgage Contracts 危机与意大利家庭:抵押贷款契约的微观经济分析
Bank of Italy Research Paper Series Pub Date : 2012-07-19 DOI: 10.2139/SSRN.2159202
Roberto Felici, Elisabetta Manzoli, Raffaella Pico
{"title":"Crisis and Italian Households: A Microeconomic Analysis of Mortgage Contracts","authors":"Roberto Felici, Elisabetta Manzoli, Raffaella Pico","doi":"10.2139/SSRN.2159202","DOIUrl":"https://doi.org/10.2139/SSRN.2159202","url":null,"abstract":"Using information on about 2 million house purchase loans to households, this paper analyses the effects of the financial crisis on this portion of the credit market. From 2008 to 2011 the total number and value of new mortgages decreased sharply. The results show that young households and non-EU immigrants have been affected more by the decline of new mortgages. The worsening of the economic cycle and the tightening of the lending standards by banks seem to have had a stronger effect on these types of household. Interest rate increases for different groups of household have been fairly similar, albeit greater for smaller mortgages.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116422491","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}
引用次数: 2
House Price Cycles in Emerging Economies 新兴经济体的房价周期
Bank of Italy Research Paper Series Pub Date : 2012-04-27 DOI: 10.2139/ssrn.2057860
Alessio Ciarlone
{"title":"House Price Cycles in Emerging Economies","authors":"Alessio Ciarlone","doi":"10.2139/ssrn.2057860","DOIUrl":"https://doi.org/10.2139/ssrn.2057860","url":null,"abstract":"In this paper, I investigate the characteristics of house price dynamics for a sample of 16 emerging economies from Asia and Central and Eastern Europe, over the period 1995-2011. Linking housing valuations to a set of conventional fundamental determinants i?½ relative to both the supply and the demand side of the market, institutional factors and other asset prices i?½ and modeling short-term price dynamics i?½ which reflect gradual adjustment to underlying fundamentals i?½ I draw conclusions about the existence, and the basic nature, of house price overvaluation (undervaluation). Overall, I find that actual house prices in the sample of emerging economies are not overly disconnected from fundamentals. Rather, they tend to reflect a somewhat slow adjustment to shocks to the latter. Moreover, the evidence that housing valuations may be driven by overly optimistic (or pessimistic) expectations is in general weak, even if this feature may have played a more prominent role up to the end of 2007, before the onset of the recent global real and financial crisis.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132421040","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}
引用次数: 236
Europe 2020 and National Reforms: Economic Governance and Structural Reforms 欧洲2020和国家改革:经济治理和结构改革
Bank of Italy Research Paper Series Pub Date : 2012-04-27 DOI: 10.2139/SSRN.2064687
P. Sestito, R. Torrini
{"title":"Europe 2020 and National Reforms: Economic Governance and Structural Reforms","authors":"P. Sestito, R. Torrini","doi":"10.2139/SSRN.2064687","DOIUrl":"https://doi.org/10.2139/SSRN.2064687","url":null,"abstract":"Structural reforms are stressed in Europe 2020 as a tool for boosting economic growth and improving social cohesion. Yet tensions often arises between country specificities and goals, on one side, and pressures by partners and EU wide goals on the other side. The paper discusses the European economic governance issues building upon a sketchy historical account of the so called Open Method of Coordination. It is argued that the structural reformsi?½ success depends upon aspects like the variety, ex ante identifiability and easiness to organize of their potential supporters as well as the presence of institutional mechanisms through which it is possible to compensate the potential losers and/or distributing on wider and fairer basis their benefits; furthermore mechanisms capable to contrast the shortsightedness of many political decisions, also favouring the political participation of all often silent stakeholders, are argued as essential. The most important contribution from EU wide pressures and rules is identified in the capacity building of national institution, to be based also upon stringent rules, aiming at fostering national governmentsi?½ accountability and the policy evaluation tools.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"99 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115675704","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}
引用次数: 0
Human Capital for Growth: Possible Steps Towards an Upgrade of the Italian Education System 人力资本促进增长:意大利教育体系升级的可能步骤
Bank of Italy Research Paper Series Pub Date : 2012-04-27 DOI: 10.2139/SSRN.2064717
P. Cipollone, P. Montanaro, P. Sestito
{"title":"Human Capital for Growth: Possible Steps Towards an Upgrade of the Italian Education System","authors":"P. Cipollone, P. Montanaro, P. Sestito","doi":"10.2139/SSRN.2064717","DOIUrl":"https://doi.org/10.2139/SSRN.2064717","url":null,"abstract":"The problems of Italyi?½s education system mostly stem from its modus operandi and interactions with the expectations of families and students. The recent signs of improvement in Italian studentsi?½ proficiency, plausibly reflecting greater emphasis on rigour, could be reinforced by making schools more autonomous and accountable, including in matters of staff management, and with a nationwide programme of support for the schools in greatest difficulty. The cost savings obtained over the years should mostly be reinvested into the system, enhancing teachersi?½ professionalism. In higher education, the increasing supply of degree courses has not affected the typical problems of Italyi?½s public universities, which: still attract few researchers and students from abroad; are too undifferentiated and unspecialized; have a predominantly local teacher and student base. The renewal begun with the recent university reform, which has challenged the historically self-referential governance of the system, must stimulate more internal competition within the Italian university system with well-defined and stable rules to foster quality and reward merit, and it must also allow individual universities more autonomy so that a more differentiated supply structure can emerge.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129752095","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}
引用次数: 0
Disinflation Effects in a Medium-Scale New Keynesian Model: Money Supply Rule Versus Interest Rate Rule 中等规模新凯恩斯模型中的反通货膨胀效应:货币供给规则与利率规则
Bank of Italy Research Paper Series Pub Date : 2012-04-27 DOI: 10.2139/ssrn.2057976
G. Ascari, Tiziano Ropele
{"title":"Disinflation Effects in a Medium-Scale New Keynesian Model: Money Supply Rule Versus Interest Rate Rule","authors":"G. Ascari, Tiziano Ropele","doi":"10.2139/ssrn.2057976","DOIUrl":"https://doi.org/10.2139/ssrn.2057976","url":null,"abstract":"Empirical studies show that successful disinflations entail a period of output contraction. Using a medium-scale New Keynesian model, we compare the effects of disinflations of different speed and timing, implemented through either a money supply or an interest rate rule. In terms of transitional output loss, cold-turkey disinflations under an interest rate rule are less costly than those under a money supply rule and are accomplished more rapidly. Furthermore, gradual or anticipated disinflations deliver lower sacrifice ratios. From a welfare perspective, despite the transitional economic contraction, disinflations are overall welfare-improving. Interestingly, the overall welfare gain is not affected by how the disinflation is actually implemented: what really matters is the achievement of a permanently lower inflation rate.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124121279","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}
引用次数: 141
Inequalities in Life Expectancy 预期寿命的不平等
Bank of Italy Research Paper Series Pub Date : 2012-02-15 DOI: 10.2139/SSRN.2045588
A. Rosolia
{"title":"Inequalities in Life Expectancy","authors":"A. Rosolia","doi":"10.2139/SSRN.2045588","DOIUrl":"https://doi.org/10.2139/SSRN.2045588","url":null,"abstract":"Broad differences in life expectancy are observed across countries and socio-demographic groups. This paper reviews the evidence for Italy on the level and development of these inequalities and discusses the strength and possible determinants of the relationship between life expectancy and education.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132116633","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}
引用次数: 12
The Change in Job Opportunities 工作机会的变化
Bank of Italy Research Paper Series Pub Date : 2012-02-15 DOI: 10.2139/ssrn.2045587
E. Olivieri
{"title":"The Change in Job Opportunities","authors":"E. Olivieri","doi":"10.2139/ssrn.2045587","DOIUrl":"https://doi.org/10.2139/ssrn.2045587","url":null,"abstract":"In the last 15 years the Italian employment structure has undergone some radical changes. As a result, the proportion of high-skilled jobs (managers and professionals) has increased at the expense of medium-skilled jobs (clerks). Differently from the US, in Italy (and in many other European countries) there has been no increase in the share of low-skilled employment. Thus, we do not observe a polarization pattern in the employment structure, but a massive occupational upgrading towards high-skilled jobs. Furthermore, there is a positive correlation between changes in the employment and wage structures. This evidence is a signal of a demand-side shock which has hit the labour market in recent decades. In particular, according to the recent literature, technological change and outsourcing may have deeply affected labour demand in terms of skill level.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129893699","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}
引用次数: 0
Social Capital and Inequality in Italy 意大利的社会资本与不平等
Bank of Italy Research Paper Series Pub Date : 2012-02-15 DOI: 10.2139/ssrn.2045581
G. de Blasio, Giorgio Nuzzo
{"title":"Social Capital and Inequality in Italy","authors":"G. de Blasio, Giorgio Nuzzo","doi":"10.2139/ssrn.2045581","DOIUrl":"https://doi.org/10.2139/ssrn.2045581","url":null,"abstract":"In the last two decades the socio-economic literature has highlighted the importance of social capital (an ample set of social relations and cultural attitudes) for economic growth and the wellbeing of citizens. The literature broadly suggests a negative correlation between social capital and inequality. This chapter provides some empirical findings on Italy that confirm this.. It also argues that the negative correlation might reflect, on the one hand, the effect of local endowments of social capital on individuals’ lives (such as educational opportunities or female participation in labour markets); it could also reflect the contrary i.e. the effect of greater equality on the social behaviour of residents.","PeriodicalId":389704,"journal":{"name":"Bank of Italy Research Paper Series","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122395274","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}
引用次数: 1
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