CEIS: Centre for Economic & International Studies Working Paper Series最新文献_第2页

Assessing the Effects of Fiscal Policy News Under Imperfect Information: Evidence from Aggregate and Individual Data 评估不完全信息下财政政策新闻的影响:来自总体和个人数据的证据

CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2018-11-06 DOI: 10.2139/ssrn.3279581

L. Corrado, Edgar Silgado-Gómez

引用次数: 0

Estimating Models with Dynamic Network Interactions and Unobserved Heterogeneity 估计模型与动态网络相互作用和未观察到的异质性

CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2018-08-09 DOI: 10.2139/ssrn.3229159

L. Corrado, Salvatore Di Novo

{"title":"Estimating Models with Dynamic Network Interactions and Unobserved Heterogeneity","authors":"L. Corrado, Salvatore Di Novo","doi":"10.2139/ssrn.3229159","DOIUrl":"https://doi.org/10.2139/ssrn.3229159","url":null,"abstract":"In this paper, we propose an approach to estimate models with network interactions in the presence of individual unobserved heterogeneity. The latter may impact the formation of ties and/or exogenous effects, thereby undermining identification of the associated parameters. In a panel setting, we devise a way to cope with these sources of endogeneity by relying on observable variations. When exogenous effects are involved, one can control for unobserved heterogeneity by including time-averages of the endogenous variables. When unobserved individual traits affect the process of network formation, it is possible to explore the role of network statistics. We derive a 2SLS estimator in order to address simultaneity bias, relying on sources of variation provided by the product between successive powers of the network matrix and the matrix of exogenous covariates; we assess the performances of the method via a Monte Carlo exercise, considering various combination of models and different ranges of parameters for both network interactions and the social multiplier. We also separately assess the cases in which unobserved sources hit the network structure only or act on exogenous effects as well. Focusing on the former case, our approach may be also applied when a simple cross-section is available. More generally, it does not require full knowledge of the spectrum of agents' interactions.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134340773","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

Protection for Sale with Price Interactions and Incomplete Pass-Through 具有价格相互作用和不完全传递的销售保护

CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2018-06-08 DOI: 10.2139/ssrn.3192935

Barbara Annicchiarico, E. Marvasi

引用次数: 0

Equilibrium Effort in Games with Homogeneous Production Functions and Homogeneous Valuation 具有齐次生产函数和齐次估值的博弈中的均衡努力

CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2018-04-26 DOI: 10.2139/ssrn.3169177

Walter Ferrarese

引用次数: 2

Against All Odds: The Contribution of the Healthcare Sector to Productivity. Evidence from Italy and UK from 2004 to 2011 排除万难:医疗保健部门对生产力的贡献。来自意大利和英国2004年至2011年的证据

CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2017-12-11 DOI: 10.2139/ssrn.3085946

V. Atella, F. Belotti, C. Bojke, Adriana Castelli, Katja Grašič, Joanna Kopinska, Andrea Piano Mortari, A. Street

引用次数: 0

Spikes and Memory in (Nord Pool) Electricity Price Spot Prices (北池)电力价格的峰值和内存现货价格

CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2017-11-13 DOI: 10.2139/ssrn.3088704

Tommaso Proietti, N. Haldrup, O. Knapik

{"title":"Spikes and Memory in (Nord Pool) Electricity Price Spot Prices","authors":"Tommaso Proietti, N. Haldrup, O. Knapik","doi":"10.2139/ssrn.3088704","DOIUrl":"https://doi.org/10.2139/ssrn.3088704","url":null,"abstract":"Electricity spot prices are subject to transitory sharp movements commonly referred to as spikes. The paper aims at assessing their effects on model based inferences and predictions, with reference to the Nord Pool power exchange. We identify a spike as a price value which deviates substantially from the normal price, where the latter is defined as the expectation arising from a model accounting for long memory at the zero and at the weekly seasonal frequencies, given the knowledge of the past realizations. Hence, a spike is associated to a time series innovation with size larger than a specified threshold. The latter regulates the robustness of the estimates of the underlying price level and it is chosen by a data driven procedure that focuses on the ability to predict future prices. The normal price is computed by a modified Kalman filter, which robustifies the inferences by cleaning the spikes, i.e. shrinking an observation deviating substantially from the normal price towards the one-step-ahead prediction. Our empirical application illustrates the effects of the spikes on the estimates of the parameters governing the persistence of the series; moreover, a real time rolling forecasting exercise is used to establish the amount of cleaning for optimizing the predicting accuracy at different horizons.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117198000","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: 9

Motivating Whistleblowers 激励告密者

CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2017-10-23 DOI: 10.2139/ssrn.3086671

Jeffrey V. Butler, Danila Serra, G. Spagnolo

{"title":"Motivating Whistleblowers","authors":"Jeffrey V. Butler, Danila Serra, G. Spagnolo","doi":"10.2139/ssrn.3086671","DOIUrl":"https://doi.org/10.2139/ssrn.3086671","url":null,"abstract":"Law-breaking activities within an organization benefiting the firm at the expense of the general public are widespread but difficult to uncover, making whistleblowing by employees desirable. We employ a novel laboratory experiment to investigate if and how monetary incentives and expectations of social approval or disapproval, and their interactions, affect the decision to blow the whistle. Experimental results show that: i) financial rewards significantly increase the likelihood of whistleblowing and do not substantially crowd out non-monetary motivations activated by expectations of social judgment; and ii) the possibility of social judgment decreases (increases) whistleblowing when the public is unaware (aware) of the negative externalities generated by fraud, suggesting that whistleblowers are at least partly motivated by a desire for social approval. Our findings suggest that whistleblowers on corporate fraud should be financially rewarded and should be shielded from public/media scrutiny when the social cost of the illegal activity is not visible or salient to the public. We also find evidence of an interesting relationship between political orientation and social judgment: while left-leaning subjects react to the possibility of receiving social approval or disapproval as expected, right-leaning people are unaffected by it.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125072443","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: 36

Synchronicity of Real and Financial Cycles and Structural Characteristics in EU Countries 欧盟国家实体和金融周期的同步性及其结构特征

CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2017-09-25 DOI: 10.2139/ssrn.3015890

Mariarosaria Comunale

{"title":"Synchronicity of Real and Financial Cycles and Structural Characteristics in EU Countries","authors":"Mariarosaria Comunale","doi":"10.2139/ssrn.3015890","DOIUrl":"https://doi.org/10.2139/ssrn.3015890","url":null,"abstract":"In this paper, we examine the relationships between real, credit and house price cycles, by using a synchronicity index, and structural characteristics and macroeconomic variables of 17 EU countries. We find that the cycles between credit variables and the real cycle with the property or equity prices cycles seem relatively well synchronised. Credit and GDP fluctuations seem to be less synchronised, mostly because credit volumes tend to lag the real cycle by several quarters. The high rates of private homeownership tend to be associated with larger cycles in GDP, credit, and house prices. Higher Loan-To-Value ratios, seen as a proxy of borrowing constraints, and a higher percentage of flexible-rate mortgages, could also indicate that a country is more sensitive to shocks and possibly increase pro-cyclicality and increase cycle volatility. Finally, the pro-cyclicality of the credit and housing market to the GDP cycle can be linked to the fluctuation in current accounts and their misalignments with respect to the theoretical equilibrium value. The synchronicity and the cycles of credit may also be considered for signaling recessions.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129295052","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

A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices 高维自协方差矩阵的Durbin-Levinson正则估计

CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2017-07-17 DOI: 10.2139/ssrn.3003884

Tommaso Proietti, A. Giovannelli

{"title":"A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices","authors":"Tommaso Proietti, A. Giovannelli","doi":"10.2139/ssrn.3003884","DOIUrl":"https://doi.org/10.2139/ssrn.3003884","url":null,"abstract":"We consider the problem of estimating the high-dimensional autocovariance matrix of a stationary random process, with the purpose of out of sample prediction and feature extraction. This problem has received several solutions. In the nonparametric framework, the literature has concentrated on banding and tapering the sample autocovariance matrix. This paper proposes and evaluates an alternative approach, based on regularizing the sample partial autocorrelation function, via a modified Durbin-Levinson algorithm that receives as input the banded and tapered partial autocorrelations and returns a sample autocovariance sequence which is positive definite. We show that the regularized estimator of the autocovariance matrix is consistent and its convergence rates is established. We then focus on constructing the optimal linear predictor and we assess its properties. The computational complexity of the estimator is of the order of the square of the banding parameter, which renders our method scalable for high-dimensional time series. The performance of the autocovariance estimator and the corresponding linear predictor is evaluated by simulation and empirical applications.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"43 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113938591","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

On the Role of Menus in Sequential Contracting: A Multiple Lending Example 论菜单在顺序合同中的作用：多重借贷实例

CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2017-04-10 DOI: 10.2139/ssrn.2999841

A. Attar, Catherine Casamatta, A. Chassagnon, Jean Dechamps

引用次数: 2