University of Milan Bicocca Department of Economics最新文献

{"title":"Still Crazy after All These Years: The Returns on Carry Trade","authors":"E. Colombo, Gianfranco Forte, Roberto Rossignoli","doi":"10.2139/ssrn.2728990","DOIUrl":"https://doi.org/10.2139/ssrn.2728990","url":null,"abstract":"This paper proposes a novel approach to provide directional forecasts for carry trade strategies; this approach is based on Support VectorMachines (SVM), a learning algorithm which delivers extremely promising results. Building on recent findings of the literature on carry trade we condition the SVM on indicators of uncertainty and risk; we show that this provides a dramatic improvement of the performance of the strategy, in particular during periods of financial distress such as the recent financial crises. Disentangling between measures of risk we show that the best performances are obtained by conditioning the SVM on measures of liquidity risk rather than on market volatility.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115823627","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 Cobweb Model with Alternating Demand and Supply Functions","authors":"F. Cavalli","doi":"10.2139/ssrn.2728986","DOIUrl":"https://doi.org/10.2139/ssrn.2728986","url":null,"abstract":"In this work I present a cobweb model for markets characterized by two couples of demand and supply functions which cyclically alternate with period two, in a succession of peak and off-peak market phases. Starting from classical adaptive expectations, a new expectation formation mechanism is presented, to take into account such markets’ peculiarity. In particular, to adapt the previous in-phase expected price, agents use both in-phase and out-of-phase expectation errors, suitably weighted through a phase weight. It is shown that the resulting model is described by a non-autonomous difference equation. The local asymptotic stability of the steady state equilibrium is studied, showing that it depends on the expectation weight, the phase weight and on both the relative slopes, at the equilibrium, of the supply functions with respect to the demand functions. Several crucial differences with respect to the classical cobweb model are highlighted, showing the potentially ambiguous role of expectation weight and of relative slopes. It is shown that destabilization can occur both through a flip and a Neimark-Sacker bifurcation, which can occur for the same market conditions and different expectation weights.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128433534","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":"In Search of the Euro Area Fiscal Stance","authors":"Alice Albonico, Alessia Paccagnini, P. Tirelli","doi":"10.2139/ssrn.2724453","DOIUrl":"https://doi.org/10.2139/ssrn.2724453","url":null,"abstract":"This paper investigates the role of fiscal policies over the aggregate EMU business cycle. Previous studies, based on the assumption of non-separability between public and private consumptions, obtain a large public consumption multiplier, a small fraction of non-Ricardian households and, consequently, a relatively small multiplier for public transfers. We provide motivations for assuming separability and, on these grounds, we estimate a relatively large share of non-Ricardian households. As a result, we obtain that both multipliers are large. We also find that, in spite of their potentially strong effects, fiscal policies were substantially muted during the EMU years. This result is confirmed even for the post 2007 period. In fact fiscal policies did not complement the monetary policy stimulus in response to the financial crisis. Further, we cannot detect any substantial aggregate effect of austerity measures. Finally, the post-2007 surge in expenditure-to-GDP ratios was apparently determined by non-policy shocks that reduced output growth.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114634072","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 Cost of Default: Private vs. Official Sovereign Debt Restructurings","authors":"S. Marchesi","doi":"10.2139/ssrn.2708440","DOIUrl":"https://doi.org/10.2139/ssrn.2708440","url":null,"abstract":"This paper studies the relationship between sovereign debt default and (short term) GDP growth taking into account the depth of a debt restructuring and distinguishing between commercial and official sovereign debt restructurings. Analyzing default episodes in 117 countries over the period 1975-2013, I find that, in the short term, defaults are correlated with significant contraction of output growth. Moreover, by controlling for both the occurrence and the magnitude of private and official defaults, I am able to detect a more lasting and negative link between default and growth (which eventually turns out to be positive but only for haircuts). In both cases I find evidence of a trade-off concerning the restructuring's size. Higher haircuts, however, may have some benefits in the short-run, but in turn imply a negative stigma which lower growth over a longer period. Conversely, higher amount of official restructuring may have some costs in the short-run, but are associated to an increase in growth in the long run. Adopting an alternative specification, in which the dependent variable is a country's credit rating, I investigate whether variation in the borrowing costs (highly correlated with credit ratings) may be one of the channels behind the link between restructuring and growth. I find that, in the case of haircuts, an improvement in the borrowing conditions a few years after the restructuring may explain a growth recovery. For official restructurings the evidence is more mixed.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"84 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126421784","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":"Semiparametric Estimation of Multivariate GARCH Models","authors":"C. Morana","doi":"10.2139/ssrn.2701700","DOIUrl":"https://doi.org/10.2139/ssrn.2701700","url":null,"abstract":"The paper introduces a new simple semiparametric estimator of the conditional variance covariance and correlation matrix (SP-DCC). While sharing a similar sequential approach to existing dynamic conditional correlation (DCC) methods, SP-DCC has the advantage of not requiring the direct parameterization of the conditional covariance or correlation processes, therefore also avoiding any assumption on their long-run target. In the proposed framework, conditional variances are estimated by univariate GARCH models, for actual and suitably transformed series, in the first step; the latter are then nonlinearly combined in the second step, according to basic properties of the covariance and correlation operator, to yield nonparametric estimates of the various conditional covariances and correlations. Moreover, in contrast to available DCC methods, SP-DCC allows for straightforward estimation also for the non-symultaneous case, i.e., for the estimation of conditional cross-covariances and correlations, displaced at any time horizon of interest. A simple ex-post procedure, to ensure well behaved conditional covariance and correlation matrices, grounded on nonlinear shrinkage, is finally proposed. Due to its sequential implementation and scant computational burden, SP-DCC is very simple to apply and suitable for the modeling of vast sets of conditionally heteroskedastic time series.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130613881","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":"Communication and Performance in Bank-Fund Joint Participation","authors":"S. Marchesi","doi":"10.2139/ssrn.2708456","DOIUrl":"https://doi.org/10.2139/ssrn.2708456","url":null,"abstract":"In this paper I relate Bank-Funds performance to their willingness (or ability) to communicate. I find evidence that a Bank-Fund simultaneous loan is associated to an increase in economic growth and that such effect is diminished by factors preventing full communication, such as the degree of Bank-Fund competition and the salience of asymmetric information. Politically motivated loans seem - at least to some extent - stimulate more IMF-WB interaction which turns out to be associated to higher economic growth.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129747010","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":"Trend e stagionalità delle presenze turistiche russe in Italia (Trends and Seasonality in the Case of Russian Tourism in Italy)","authors":"Giovanni Tonini","doi":"10.2139/SSRN.2691501","DOIUrl":"https://doi.org/10.2139/SSRN.2691501","url":null,"abstract":"Italian Abstract: Il turismo russo in Italia sta assumendo un peso, anche in termini economici, sempre piu rilevante che, al di la di eventi sfavorevoli contingenti, tendera a consolidarsi e a svilupparsi anche nel futuro. Tuttavia, nonostante l'importanza di questo segmento turistico, mancano studi sistematici che ne analizzino, con opportuni modelli statistici, le componenti temporali di breve e medio-lungo periodo. Il presente contributo intende colmare tale lacuna sviluppando un'analisi del trend e della stagionalita delle presenze turistiche russe in Italia dal gennaio 2001 al dicembre 2012. Tale analisi sara condotta con due approcci diversi, il primo dei quali fa ricorso a un metodo di scomposizione fondato su opportune medie mobili, mentre il secondo si basa su modelli dinamici di regressione multipla. Cosi facendo sara possibile cogliere il fenomeno da piu punti di vista e procedere poi ad un confronto sistematico dei risultati ottenuti. Tali approcci saranno applicati non solo all'insieme delle presenze russe in Italia, ma anche a suoi opportuni sottoinsiemi, distinti per settore ricettivo (alberghiero e complementare) e per intervallo temporale (2001-2006 e 2007-2012); in questo modo, mediante opportuni confronti intersettoriali e intertemporali, si potranno evidenziare meglio le caratteristiche dei flussi turistici russi che interessano l'Italia. Queste caratteristiche saranno poi ulteriormente approfondite ponendole a confronto con quelle sia delle presenze turistiche di altre nazionalita (tedesca e italiana), sia delle presenze straniere totali. English Abstract: In economic terms and otherwise, Russian tourism in Italy is becoming increasingly important; despite various historically contingent and adverse events, it will tend to consolidate and develop further in the future. However, despite the importance of this tourism segment, systematic studies that analyse, with appropriate statistical models, its short- and long-term temporal components are missing. This paper aims to fill this gap by developing a trend and seasonality analysis of Russian overnight stays in Italy from January 2001 to December 2012. Two different approaches will be followed: the first will use a decomposition method based on appropriate moving averages, while the second will be based on dynamic multiple regression models. This approach will enable the study to examine the phenomenon from different perspectives and then to proceed to a systematic comparison of the results obtained. These approaches will be applied not only to the total number of Russian tourists coming to Italy but also to its appropriate subsets, distinguished by hospitality sector (hotels and other tourist accommodations) and time interval (2001-2006 and 2007-2012). In this way, through appropriate intersectoral and intertemporal comparisons, the characteristics of Russian tourist flows to Italy can be better highlighted. These characteristics will be further analysed, comparing them with th","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128917251","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":"Model Averaging by Stacking","authors":"C. Morana","doi":"10.2139/ssrn.2665704","DOIUrl":"https://doi.org/10.2139/ssrn.2665704","url":null,"abstract":"The paper introduces a new Frequentist model averaging estimation procedure, based on a stacked OLS estimator across models, implementable on cross-sectional, panel, as well as time series data. The proposed estimator shows the same optimal properties of the OLS estimator under the usual set of assumptions concerning the population regression model. Relatively to available alternative approaches, it has the advantage of performing model averaging exante in a single step, optimally selecting models’ weight according to the MSE metric, i.e. by minimizing the squared Euclidean distance between actual and predicted value vectors. Moreover, it is straightforward to implement, only requiring the estimation of a single OLS augmented regression. By exploiting exante a broader information set and benefiting of more degrees of freedom, the proposed approach yields more accurate and (relatively) more efficient estimation than available expost methods.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124422345","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":"Can a DSGE Model Explain a Costly Disinflation?","authors":"M. Ferrara, P. Tirelli","doi":"10.2139/ssrn.2640114","DOIUrl":"https://doi.org/10.2139/ssrn.2640114","url":null,"abstract":"This paper shows that a medium-scale DSGE model is able to explain a contemporaneous reduction of output and consumption during a disinflation policy, as it is in the empirical evidence. To this aim, we introduce Rotemberg (1982) adjustment costs and the limited asset market participation assumption.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116942668","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":"Longevity's Factors in Small-Scale Business System: An Italian Case Study During the 20th Century","authors":"I. Suffia","doi":"10.2139/SSRN.2594640","DOIUrl":"https://doi.org/10.2139/SSRN.2594640","url":null,"abstract":"Firms’ survival and longevity have recently emerged as a new intriguing theme of business history, spreading from the initial studies on family business to all forms of business. In family business the transition to the next generation can represent a strong limit to survival, as it depends on three different longevity factors: the family members’ involvement and commitment, the preparation of an adequate succession planning and the presence of a competitive advantage. Temporal continuity has become an independent topic involving all types of business, with respect to size, ownership and sectorial diversity. The goal of the analysis was to identify the determinants of longevity. The present research moves along this second line of investigation, focusing on small-scale businesses and taking into consideration a case study. The small and medium-scale (SME) system examined is that of Sesto San Giovanni, one of the most important Italian Company-town during the 20th century, considered the ‘industrial district’ of Milan. The study first verifies the evolution of the local SMEs system, highlighting its development during the century. Having defined the context, the attention shifts to the temporal survival of local businesses and its determinants. Finally, the research includes the history of several enterprise experiences to illustrate the analysis’ results.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"54 57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123649866","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}