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Modelling Cycles in Climate Series: The Fractional Sinusoidal Waveform Process 气候序列的模拟周期:分数正弦波形过程
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2021-10-19 DOI: 10.2139/ssrn.3945978
Tommaso Proietti, Federico Maddanu
{"title":"Modelling Cycles in Climate Series: The Fractional Sinusoidal Waveform Process","authors":"Tommaso Proietti, Federico Maddanu","doi":"10.2139/ssrn.3945978","DOIUrl":"https://doi.org/10.2139/ssrn.3945978","url":null,"abstract":"The paper proposes a novel model for time series displaying persistent stationary cycles, the fractional sinusoidal waveform process. The underlying idea is to allow the parameters that regulate the amplitude and phase to evolve according to fractional noise processes. Its advantages with respect to popular alternative specifications, such as the Gegenbauer process, are twofold: the autocovariance function is available in closed form, which opens the way to exact maximum likelihood estimation; secondly the model encompasses deterministic cycles, so that discrete spectra arise as a limiting case. A generalization of the process, featuring multiple components, an additive `red noise' component and exogenous variables, provides a model for climate time series with mixed spectra. Our illustrations deal with the change in amplitude and phase of the intra-annual component of carbon dioxide concentrations in Mauna Loa, and with the estimation and the quantification of the contribution of orbital cycles to the variability of paleoclimate time series.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121973694","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: 5
Three Liquid Assets 三种流动资产
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2021-10-14 DOI: 10.2139/ssrn.3942882
N. Amendola, L. Carbonari, L. Ferraris
{"title":"Three Liquid Assets","authors":"N. Amendola, L. Carbonari, L. Ferraris","doi":"10.2139/ssrn.3942882","DOIUrl":"https://doi.org/10.2139/ssrn.3942882","url":null,"abstract":"\u0000 We examine a theoretical model of liquidity with three assets—money, government bonds, and equity—that are used for transaction purposes. Money and bonds complement each other in the payment system. The liquidity of equity is derived as an equilibrium outcome. Liquidity cycles arise from the loss of confidence of the traders in the liquidity of the system. Both open market operations and credit easing play a beneficial role for different purposes.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116015389","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
Efficient Nonparametric Estimation of Generalized Autocovariances 广义自协方差的有效非参数估计
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2021-10-14 DOI: 10.2139/ssrn.3942857
A. Luati, Francesca Papagni, Tommaso Proietti
{"title":"Efficient Nonparametric Estimation of Generalized Autocovariances","authors":"A. Luati, Francesca Papagni, Tommaso Proietti","doi":"10.2139/ssrn.3942857","DOIUrl":"https://doi.org/10.2139/ssrn.3942857","url":null,"abstract":"This paper provides a necessary and sufficient condition for asymptotic efficiency of a nonparametric estimator of the generalized autocovariance function of a stationary random process. The generalized autocovariance function is the inverse Fourier transform of a power transformation of the spectral density and encompasses the traditional and inverse autocovariance functions as particular cases. A nonparametric estimator is based on the inverse discrete Fourier transform of the power transformation of the pooled periodogram. The general result on the asymptotic efficiency is then applied to the class of Gaussian stationary ARMA processes and its implications are discussed. Finally, we illustrate that for a class of contrast functionals and spectral densities, the minimum contrast estimator of the spectral density satisfies a Yule-Walker system of equations in the generalized autocovariance estimator.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116925944","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
Partnership Dissolution with Cash-Constrained Agents 与现金拮据的代理人合伙解散
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2021-10-10 DOI: 10.2139/ssrn.3939829
Guillaume Pommey
{"title":"Partnership Dissolution with Cash-Constrained Agents","authors":"Guillaume Pommey","doi":"10.2139/ssrn.3939829","DOIUrl":"https://doi.org/10.2139/ssrn.3939829","url":null,"abstract":"When partnerships come to an end, partners must find a way to efficiently reallocate the commonly owned assets to those who value them the most. This requires that the aforementioned members possess enough financial resources to buy out the others’ shares. I investigate ex post efficient partnership dissolution when agents are ex post cash constrained. I derive necessary and sufficient conditions for ex post efficient partnership dissolution with Bayesian (resp. dominant strategy) incentive compatible, interim individually rational, ex post (resp. ex ante) budget balanced and ex post cash-constrained mechanisms. Ex post efficient dissolution is more likely to be feasible when agents with low (resp. large) cash resources own more (resp. less) initial ownership rights. Furthermore, I propose a simple auction to implement the optimal mechanism. Finally, I investigate second-best mechanisms when cash constraints are such that ex post efficient dissolution is not attainable.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123621072","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
Pre-selection in Cointegration-based Pairs Trading 基于协整的配对交易中的预选
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2020-06-24 DOI: 10.2139/ssrn.3634797
Marianna Brunetti, Roberta De Luca
{"title":"Pre-selection in Cointegration-based Pairs Trading","authors":"Marianna Brunetti, Roberta De Luca","doi":"10.2139/ssrn.3634797","DOIUrl":"https://doi.org/10.2139/ssrn.3634797","url":null,"abstract":"The paper compares the final profitability of a cointegration-based pairs trading strategy when pairs of stocks are pre-selected by means of seven different measures. Some of the measures considered have been extensively used in the pairs trading literature, while others represent a novelty in this type of application. We find that pre-selection matters, since the excess returns remarkably vary, in terms of both average and variability, depending on the metrics used. Differences in profitability by pre-selection metrics are retrieved even after considering commissions and cut rules, market impact, a stricter definition of the Spread reversion to the equilibrium and alternative cointegration tests. Besides, the pairs trading profitability is found to be heterogeneous across the different pre-selection metrics also in terms of exposure to the systematic stock-market risk factors.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"2020 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125464659","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
Microdata for Macro Models: The Distributional Effects of Monetary Policy 宏观模型的微观数据:货币政策的分配效应
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2020-06-03 DOI: 10.2139/ssrn.3618700
L. Corrado, Daniela Fantozzi
{"title":"Microdata for Macro Models: The Distributional Effects of Monetary Policy","authors":"L. Corrado, Daniela Fantozzi","doi":"10.2139/ssrn.3618700","DOIUrl":"https://doi.org/10.2139/ssrn.3618700","url":null,"abstract":"In this paper we investigate the effect of standard and non-standard monetary policy implemented by the ECB on income inequality in Italy. We use for the first time the survey microdata on Income and Living Conditions (EU-SILC, Istat) in a repeated cross-section experiment to build measures of inequality and the distribution over time for incomes and subgroups of individuals. The identification strategy is based on surprises estimated in the EA-MPD database for the Euro Area. Using a battery of Local Projections, we evaluate the impact of monetary policy by comparing the performance of the impulse response functions of our inequality measures in different policy scenarios (pre and post-QE). The main findings show that an expansionary unconventional monetary policy shock compressed inequality of disposable and labor income more persistently than a conventional monetary shock. The financial channel has an equalizing effect favoring the less wealthy households mainly in the long-run. Overall, our evidence suggests that QE is associated with a decrease in Italian households inequality.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123474492","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
Suboptimality of Probability Matching − a Formal Proof, a Graphical Analysis and an Impulse Balance Interpretation 概率匹配的次优性——一个形式证明、图形分析和脉冲平衡解释
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2020-06-03 DOI: 10.2139/ssrn.3618688
Vittorio Larocca, L. Panaccione
{"title":"Suboptimality of Probability Matching − a Formal Proof, a Graphical Analysis and an Impulse Balance Interpretation","authors":"Vittorio Larocca, L. Panaccione","doi":"10.2139/ssrn.3618688","DOIUrl":"https://doi.org/10.2139/ssrn.3618688","url":null,"abstract":"The objective of the paper is to study how the tax burden arising from an exogenWe prove suboptimality of probability matching in prediction tasks with an arbitrary (finite) number of outcomes and repetitions. For the popular case of binary prediction tasks, we also provide a graphical representation of the result. Finally, we relate probability matching to impulse balance equilibrium theory and show when probability matching is consistent with its predictions.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132592999","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
Complexity and Growth 复杂性和增长
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2020-05-12 DOI: 10.2139/ssrn.3599143
A. Bucci, L. Carbonari, P. Gil, G. Trovato
{"title":"Complexity and Growth","authors":"A. Bucci, L. Carbonari, P. Gil, G. Trovato","doi":"10.2139/ssrn.3599143","DOIUrl":"https://doi.org/10.2139/ssrn.3599143","url":null,"abstract":"Over the past decades, research effort in high income countries has substantially increased. Meanwhile, the growth rates of per capita output have been rather stable. The first goal of this paper is to investigate the reasons for such trends. The second goal of the paper is to show that the occurrence of different phases in the economic growth dynamics traces back to the interplay between complexity and specialization in production. To do this we use data from a sample of OECD countries and estimate a Hidden Markov Model, through which we identify four distinct growth regimes.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128735174","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
Who Did It? A European Detective Story Was it Real, Financial, Monetary and/or Institutional: Tracking Growth in the Euro Area with an Atheoretical Tool 谁干的?欧洲的侦探故事是真实的、金融的、货币的和/或制度的:用一个理论工具跟踪欧元区的增长
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2020-01-30 DOI: 10.2139/ssrn.3527822
Mariarosaria Comunale, F. Mongelli
{"title":"Who Did It? A European Detective Story Was it Real, Financial, Monetary and/or Institutional: Tracking Growth in the Euro Area with an Atheoretical Tool","authors":"Mariarosaria Comunale, F. Mongelli","doi":"10.2139/ssrn.3527822","DOIUrl":"https://doi.org/10.2139/ssrn.3527822","url":null,"abstract":"During the past thirty years, euro area countries have undergone significant changes and experienced diverse shocks. We aim to investigate which variables have consistently supported growth in this tumultuous period. The paper unfolds in three parts. First, we assemble a set of 35 real, financial, monetary and institutional variables for all euro area countries covering the period between 1990Q1 and 2016Q4. Second, using the Weighted-Average Least Squares (WALS) method, as well as other techniques, we gather clues about which variables to select. Third, we quantify the impact of various determinants of growth in the short and long runs. Our main finding is the positive and robust role of institutional reforms on long-term growth for all countries in the sample. An improvement in competitiveness matters for growth in the overall euro area in the long run as well as a decline in sovereign and systemic stress. The debt over GDP negatively influences growth for the periphery, but only in the short run. Property and equity prices have a significant impact only in the short run, whereas the loans to NFCs positively affect the core euro area. An increase in global GDP also supports growth.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123112587","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: 4
Likelihood Induced by Moment Functions using Particle Filter: A Comparison of Particle GMM and Standard MCMC Methods 使用粒子滤波的矩函数诱导似然:粒子GMM和标准MCMC方法的比较
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2019-12-04 DOI: 10.2139/ssrn.3498244
Fabio Franco
{"title":"Likelihood Induced by Moment Functions using Particle Filter: A Comparison of Particle GMM and Standard MCMC Methods","authors":"Fabio Franco","doi":"10.2139/ssrn.3498244","DOIUrl":"https://doi.org/10.2139/ssrn.3498244","url":null,"abstract":"Particle filtering is a useful statistical tool which can be used to make inference on the latent variables and the structural parameters of state space models by employing it inside MCMC algorithms (Flury and Shephard, 2011). It only relies on two assumptions (Gordon et al, 1993): a: The ability to simulate from the dynamic of the model; b: The predictive measurement density can be computed. In practice the second assumption may not be obvious and implementations of particle filter can become difficult to conduct. Gallant, Giacomini and Ragusa (2016) have recently developed a particle filter which does not rely on the structural form of the measurement equation. This method uses a set of moment conditions to induce the likelihood function of a structural model under a GMM criteria. The semiparametric structure allows to use particle filtering where the standard techniques are not applicable or difficult to implement. On the other hand, the GMM representation is less efficient than the standard technique and in some cases it can affect the proper functioning of particle filter and in turn deliver poor estimates. The contribution of this paper is to provide a comparison between the standard techniques, as Kalman filter and standard bootstrap particle filter, and the method proposed by Gallant et al (2016) in order to measure the performance of particle filter with GMM representation.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125831184","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
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