发布求助
文献互助 智能选刊 最新文献

CEIS: Centre for Economic & International Studies Working Paper Series最新文献

筛选
英文 中文
A Dynamic Model for Binary Panel Data With Unobserved Heterogeneity Admitting a Root-N Consistent Conditional Estimator 具有不可观测异质性的二元面板数据的动态模型承认根n一致条件估计
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2007-03-01 DOI: 10.2139/ssrn.967389
F. Bartolucci, V. Nigro
{"title":"A Dynamic Model for Binary Panel Data With Unobserved Heterogeneity Admitting a Root-N Consistent Conditional Estimator","authors":"F. Bartolucci, V. Nigro","doi":"10.2139/ssrn.967389","DOIUrl":"https://doi.org/10.2139/ssrn.967389","url":null,"abstract":"A model for binary panel data is introduced which allows for state dependence and unobserved heterogeneity beyond the effect of available covariates. The model is of quadratic exponential type and its structure closely resembles that of the dynamic logit model. However, it has the advantage of being easily estimable via conditional likelihood with at least two observations (further to an initial observation) and even in the presence of time dummies among the regressors. Copyright 2010 The Econometric Society.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116414323","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: 49
Welfare Implications of Capital Account Liberalization 资本账户自由化对福利的影响
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2007-03-01 DOI: 10.2139/ssrn.962668
Ester Faia
{"title":"Welfare Implications of Capital Account Liberalization","authors":"Ester Faia","doi":"10.2139/ssrn.962668","DOIUrl":"https://doi.org/10.2139/ssrn.962668","url":null,"abstract":"In recent decades, capital account liberalization in emerging economies has often been followed by a surge in capital inflows, despite the presence of severe informational asymmetries for foreign lenders. Empirical studies have shown that in emerging economies financial liberalization has led to an increase in consumption volatility (also relative to output). I use a small open economy model where foreign lending to households is constrained by an endogenous borrowing limit. Borrowing is secured by collateral in the form of durable investment whose accumulation is subject to adjustment costs. This economy is able to replicate the aforementioned stylized fact in response to various shocks (productivity, foreign demand and government expenditure). I find that financial liberalization reduces welfare since it increases the volatility of consumption and employment.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"48 24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131246503","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
Maximum Likelihood Estimation of an Extended Latent Markov Model for Clustered Binary Panel Data 聚类二值面板数据的扩展潜马尔可夫模型的极大似然估计
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2007-03-01 DOI: 10.2139/ssrn.967378
F. Bartolucci, V. Nigro
{"title":"Maximum Likelihood Estimation of an Extended Latent Markov Model for Clustered Binary Panel Data","authors":"F. Bartolucci, V. Nigro","doi":"10.2139/ssrn.967378","DOIUrl":"https://doi.org/10.2139/ssrn.967378","url":null,"abstract":"Computational aspects concerning a model for clustered binary panel data are analyzed. The model is based on the representation of the behavior of a subject (individual panel member) in a given cluster by means of a latent process. This latent process is decomposed into a cluster-specific component and an individual-specific component. The first component follows a first-order Markov chain, whereas the second is time-invariant and is represented by a discrete random variable. An algorithm for computing the joint distribution of the response variables is introduced. The algorithm may be used even in the presence of a large number of subjects in the same cluster. An Expectation-Maximization (EM) scheme for the maximum likelihood estimation of the model is also described together with the estimation of the Fisher information matrix on the basis of the numerical derivative of the score vector. The estimate of this matrix is used to obtain standard errors for the parameter estimates and to check the identifiability of the model and the convergence of the EM algorithm. The approach is illustrated by means of an application to a data set concerning Italian employees' illness benefits.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"46 Suppl 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132393420","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: 10
Global Monetary Policy Shocks in the G5: A Svar Approach G5的全球货币政策冲击:Svar方法
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2007-02-01 DOI: 10.2139/ssrn.962490
Joao Miguel Sousa, Andrea Zaghini
{"title":"Global Monetary Policy Shocks in the G5: A Svar Approach","authors":"Joao Miguel Sousa, Andrea Zaghini","doi":"10.2139/ssrn.962490","DOIUrl":"https://doi.org/10.2139/ssrn.962490","url":null,"abstract":"The paper constructs a global monetary aggregate, namely the sum of the key monetary aggregates of the G5 economies (US, Euro area, Japan, UK, and Canada), and analyses its indicator properties for global output and inflation. Using a structural VAR approach we find that after a monetary policy shock output declines temporarily, with the downward effect reaching a peak within the second year, and the global monetary aggregate drops significantly. In addition, the price level rises permanently in response to a positive shock to the global liquidity aggregate. The similarity of our results with those found in country studies might supports the use of a global monetary aggregate as a summary measure of worldwide monetary trends.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129416530","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: 83
Inflation Shocks and Interest Rate Rules 通货膨胀冲击和利率规则
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2006-07-01 DOI: 10.2139/ssrn.921589
Barbara Annicchiarico, A. Piergallini
{"title":"Inflation Shocks and Interest Rate Rules","authors":"Barbara Annicchiarico, A. Piergallini","doi":"10.2139/ssrn.921589","DOIUrl":"https://doi.org/10.2139/ssrn.921589","url":null,"abstract":"Recent empirical evidence by Fair (2002, 2005) and Giordani (2003) shows that a positive inflation shock with the nominal interest rate held constant has contractionary effects. These results cannot be reconciled with the standard ‘New Synthesis' literature. This paper reconsiders the effects of inflation shocks in a simple New Keynesian framework extended to include wealth effects. It is shown that, following an inflation shock, the decline of output coupled with passive interest rate rules is not puzzling.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127651242","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: 3
Common Shocks, Common Dynamics and the International Business Cycle 共同冲击、共同动力与国际经济周期
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2006-07-01 DOI: 10.2139/ssrn.921582
M. Centoni, G. Cubadda, Alain Hecq
{"title":"Common Shocks, Common Dynamics and the International Business Cycle","authors":"M. Centoni, G. Cubadda, Alain Hecq","doi":"10.2139/ssrn.921582","DOIUrl":"https://doi.org/10.2139/ssrn.921582","url":null,"abstract":"This paper proposes an econometric framework to assess the importance of common shocks and common transmission mechanisms ingenerating international business cycles. Then we show how to decompose the cyclical effects of permanent-transitory shocks into those due to their domestic and those due to foreign components. Our empirical analysis reveals that the business cycles of the US,Japan,Canada are clearly dominated by their domestic components. The Euro area is more sensitive to foreign shocks compared to the other three countries of our analysis.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"88 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131195906","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
Interest Rate Pegs, Wealth Effects and Price Level Determinacy 利率挂钩、财富效应和价格水平的确定性
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2004-12-01 DOI: 10.2139/ssrn.661144
Barbara Annicchiarico, G. Marini
{"title":"Interest Rate Pegs, Wealth Effects and Price Level Determinacy","authors":"Barbara Annicchiarico, G. Marini","doi":"10.2139/ssrn.661144","DOIUrl":"https://doi.org/10.2139/ssrn.661144","url":null,"abstract":"This paper analyses the issue of price level determinacy in an optimising general equilibrium model with overlapping generations. It is shown that under a pure interest rate peg, wealth effects rule out nominal indeterminacy but give rise to multiple equilibria.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128639152","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
Survey Response and Survey Characteristics: Micro-Level Evidence from the European Commission Household Panel 调查反应和调查特征:来自欧盟委员会家庭小组的微观证据
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2004-12-01 DOI: 10.2139/ssrn.661122
C. Nicoletti, Franco Peracchi
{"title":"Survey Response and Survey Characteristics: Micro-Level Evidence from the European Commission Household Panel","authors":"C. Nicoletti, Franco Peracchi","doi":"10.2139/ssrn.661122","DOIUrl":"https://doi.org/10.2139/ssrn.661122","url":null,"abstract":"This paper presents micro-level evidence on the role of the socio-demographic characteristics of the population and the characteristics of the data collection process as predictors of survey response. Our evidence is based on the public use files of the European Community Household Panel (ECHP), a longitudinal household survey covering the countries of the European Union, whose attractive feature is the high level of comparability across countries and overtime. We model the response process as the outcome of two sequential events: (i) contact between the interviewer and an eligible interviewee, and (ii) cooperation of the interviewee. Our model allows for dependence between the ease of contact and the propensity to cooperate, taking into account the censoring problem caused by the fact that we observe whether a person is a respondent only if she has been contacted.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117159140","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: 3
Bringing Social Standards into Project Evaluation Under Dynamic Uncertainity 动态不确定性下社会标准对项目评价的影响
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2004-11-01 DOI: 10.2139/ssrn.631047
O. Knudsen, P. Scandizzo
{"title":"Bringing Social Standards into Project Evaluation Under Dynamic Uncertainity","authors":"O. Knudsen, P. Scandizzo","doi":"10.2139/ssrn.631047","DOIUrl":"https://doi.org/10.2139/ssrn.631047","url":null,"abstract":"Society often sets social standards that define thresholds of damage to society or the environment above which compensation must be paid to the state or other parties. In this paper, we analyze the interdependence between the use of social standards and investment evaluation under dynamic uncertainty where a negative externality above a threshold established by society requires an assessment and payment of damages. Under uncertainty, the party considering implementing a project or new technology must not only assess when the project is economically efficient to implement but when to abandon a project that could potentially exceed the social standard. Using real option theory and simple models, we demonstrate how such a social standard can be integrated into cost-benefit analysis through the use of a development option and a liability option coupled with a damage function. Uncertainty, in fact, implies that both parties interpret the social standard as a target for safety rather than an inflexible barrier that cannot be overcome. The larger is the uncertainty, in fact, the greater will be the tolerance for damages in excess of the social standard from both parties.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134279434","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
Convergence in Pre-Capita GDP Across European Regions: A Reappraisal 欧洲地区人均GDP趋同:重新评估
CEIS: Centre for Economic & International Studies Working Paper Series Pub Date : 2004-10-01 DOI: 10.2139/ssrn.601663
V. Meliciani, Franco Peracchi
{"title":"Convergence in Pre-Capita GDP Across European Regions: A Reappraisal","authors":"V. Meliciani, Franco Peracchi","doi":"10.2139/ssrn.601663","DOIUrl":"https://doi.org/10.2139/ssrn.601663","url":null,"abstract":"This paper studies convergence in per-capita GDP across European regions over the period 1980-2000. We use median unbiased estimators of the rate of convergence to the steady-state growth path, while allowing for unrestricted patterns of heterogeneity and spatial correlation across regions. By permitting the model parameters to be completely different across regions, not only we avoid imposing strong a priori assumptions but we are also able to analyze the spatial patterns in the estimated coefficients. Our results differ from those found using conventional estimators. The main differences are: i) the mean rate of convergence is much lower; ii) for most regions this rate is zero; iii) the number of regions for which we reject equality in trend growth rates is substantially lower. We also find significant evidence of correlation of growth rates across neighbor regions and across regions belonging to the same country.","PeriodicalId":416571,"journal":{"name":"CEIS: Centre for Economic & International Studies Working Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122834947","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
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信