发布求助
文献互助 智能选刊 最新文献

ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)最新文献

筛选
英文 中文
An Application of a Johansen Cointegration Test and a Vector Error Correction, (VEC) Model to Test the Granger Causality between General Government Revenues and General Government Total Expenditures in Greece 运用Johansen协整检验和向量误差修正(VEC)模型检验希腊一般政府收入与一般政府总支出之间的Granger因果关系
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2018-09-22 DOI: 10.2139/ssrn.3253642
Michel Guirguis
{"title":"An Application of a Johansen Cointegration Test and a Vector Error Correction, (VEC) Model to Test the Granger Causality between General Government Revenues and General Government Total Expenditures in Greece","authors":"Michel Guirguis","doi":"10.2139/ssrn.3253642","DOIUrl":"https://doi.org/10.2139/ssrn.3253642","url":null,"abstract":"In this article, we are investigating the effects of macroeconomic variables in terms of natural logarithmic yearly returns of general government revenues and general government total expenditures of Greece. We have applied a Vector Error Correction model, (VEC) a Granger causality and Johansen cointegration test to check for long – term relationship between general government revenues and general government total expenditures. By using a (VEC), model we have found that 62% of the disequilibrium or error term or speed of adjustment towards long-run equilibrium is corrected each year by changes in general government revenues. Error term accounted as 56% of the disequilibrium or speed of adjustment towards long – run equilibrium is corrected each year by changes in general total government expenditures. The speed of adjustment is not too fast for both variables. Moreover, we have found statistically significant long – run relationship between the general government revenues and general government total expenditures by using Johansen cointegration test. Finally, at the 5% significance level, we have found significant causality that the natural logarithmic yearly returns of the general government expenditures is a Granger causality of the natural logarithmic yearly returns of the general government total revenues and not vice versa. The data that we have used are natural logarithmic yearly returns starting from 01/01/1980 to 01/01/2018, which total to 39 observations. The data was obtained from the Statistical Department of the International Monetary Fund.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126758795","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
Quantitative Sovereign Default Models and the European Debt Crisis 量化主权违约模型与欧洲债务危机
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2018-08-01 DOI: 10.3386/W24981
Luigi Bocola, Gideon Bornstein, Alessandro Dovis
{"title":"Quantitative Sovereign Default Models and the European Debt Crisis","authors":"Luigi Bocola, Gideon Bornstein, Alessandro Dovis","doi":"10.3386/W24981","DOIUrl":"https://doi.org/10.3386/W24981","url":null,"abstract":"A large literature has developed quantitative versions of the Eaton and Gersovitz (1981) model to analyze default episodes on external debt. In this paper, we study whether the same framework can be applied to the analysis of debt crises in which domestic public debt plays a prominent role. We consider a model where a government can issue debt to both domestic and foreign investors, and we derive conditions under which their sum is the relevant state variable for default incentives. We then apply our framework to the European debt crisis. We show that matching the cyclicality of public debt ---rather than that of external debt--- allows the model to better capture the empirical distribution of interest rate spreads and gives rise to more realistic crises dynamics.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128054140","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: 34
Long‐Term Care and Pay‐For‐Performance Programs 长期护理和绩效薪酬计划
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2018-08-01 DOI: 10.1111/rode.12359
E. Norton
{"title":"Long‐Term Care and Pay‐For‐Performance Programs","authors":"E. Norton","doi":"10.1111/rode.12359","DOIUrl":"https://doi.org/10.1111/rode.12359","url":null,"abstract":"Pay‐for‐performance programs are gradually spreading across Asia. This paper builds on the longer experience in the United States to offer lessons for Asia. The Center for Medicare and Medicaid Services has introduced several pay‐for‐performance programs since 2012 to encourage hospitals to improve quality of care and reduce costs. Some state Medicaid programs have also introduced pay‐for‐performance for nursing homes. Long‐term care providers play an important role in hospital pay‐for‐performance programs because they can affect the readmission rate and also total episode payments. A good pay‐for‐performance program will focus on improving quality of care that affects health outcomes. In addition, that quality must vary across providers and be measurable. Furthermore, it is important that the measures be reported in a timely way, that both demand and supply respond to the measures, and that the measures be risk adjusted. Empirical data from Medicare beneficiaries in the state of Michigan show that mean episode payments and readmission rates in skilled nursing facilities vary widely and are sensitive to the number of observations. These practical matters create challenges for implementing pay‐for‐performance in practice. There is an extensive literature review of pay‐for‐performance in long‐term care in the United States and in Asia.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"87 1-3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116765542","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: 6
An Output Gap Measure for the Euro Area: Exploiting Country-Level and Cross-Sectional Data Heterogeneity 欧元区产出缺口测量:利用国家层面和横断面数据异质性
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2018-06-01 DOI: 10.17016/FEDS.2018.040
Manuel González-Astudillo
{"title":"An Output Gap Measure for the Euro Area: Exploiting Country-Level and Cross-Sectional Data Heterogeneity","authors":"Manuel González-Astudillo","doi":"10.17016/FEDS.2018.040","DOIUrl":"https://doi.org/10.17016/FEDS.2018.040","url":null,"abstract":"This paper proposes a methodology to estimate the euro-area output gap by taking advantage of two types of data heterogeneity. On the one hand, the method uses information on real GDP, inflation, and the unemployment rate for each member state; on the other hand, it jointly considers this information for all the euro-area countries to extract an area-wide output gap measure. The setup is an unobserved components model that theorizes a common cycle across euro-area economies in addition to country-specific cyclical components. I estimate the model with Bayesian methods using data for the 19 countries of the euro area from 2000:Q1 through 2017:Q2 and perform model comparisons across different specifications of the output trend. The estimation of the model preferred by the data indicates that, because of negative shocks to trend output during global the financial crisis, output remained slightly above potential in that period, but an output gap of about negative 3 percent emerged during the European debt crisis. At the end of the sample period, output is estimated to be about 1 percent above potential.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"13 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128958479","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
Machine Learning Macroeconometrics: A Primer 机器学习宏观计量经济学:入门
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2018-03-21 DOI: 10.2139/ssrn.3246473
Dimitris Korobilis
{"title":"Machine Learning Macroeconometrics: A Primer","authors":"Dimitris Korobilis","doi":"10.2139/ssrn.3246473","DOIUrl":"https://doi.org/10.2139/ssrn.3246473","url":null,"abstract":"This Chapter reviews econometric methods that can be used in order to deal with the challenges of inference in high-dimensional empirical macro models with possibly 'more parameters than observations'.These methods broadly include machine learning algorithms for Big Data, but also more traditional estimation algorithms for data with a short span of observations relative to the number of explanatory variables. While building mainly on a univariate linear regression setting, I show how machine learning ideas can be generalized to classes of models that are interesting to applied macroeconomists, such as time-varying parameter models and vector autoregressions.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130591357","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
Offshoring, Sourcing Substitution Bias, and the Measurement of Growth in U.S. Gross Domestic Product and Productivity 离岸外包，采购替代偏差，以及美国国内生产总值和生产率增长的测量
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2018-03-01 DOI: 10.1111/roiw.12263
Marshall B. Reinsdorf, R. Yuskavage
{"title":"Offshoring, Sourcing Substitution Bias, and the Measurement of Growth in U.S. Gross Domestic Product and Productivity","authors":"Marshall B. Reinsdorf, R. Yuskavage","doi":"10.1111/roiw.12263","DOIUrl":"https://doi.org/10.1111/roiw.12263","url":null,"abstract":"The decade before the financial crisis of 2008 was a time of large changes in sourcing patterns for manufactured goods, particularly after China's entry into the WTO in 2001. Sourcing substitution reduced the prices paid by wholesale level buyers of these goods, but these price reductions were mostly not captured in the U.S. import price indexes and the U.S. GDP deflator. To find plausible values for sourcing bias we first use data on changes in sourcing patterns over 1997–2007 to predict the effect of the reported price discount from the new emerging market suppliers. Next, we compare adjusted import price indexes for products used for household consumption with consumer price indexes. In the GDP deflator for apparel imports, sourcing bias is found to average 0.6 percent per year, and for durable goods it averages 1 percent per year. During the decade of rapidly changing sourcing patterns, a tenth of the reported speedup in multifactor productivity growth of the U.S. private business sector may have come from sourcing bias in the deflators for imports.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129478158","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
Is the Shadow Economy a Bane or Boon for Economic Growth? 影子经济对经济增长是弊还是利?
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2018-02-01 DOI: 10.1111/rode.12332
James W. Saunoris
{"title":"Is the Shadow Economy a Bane or Boon for Economic Growth?","authors":"James W. Saunoris","doi":"10.1111/rode.12332","DOIUrl":"https://doi.org/10.1111/rode.12332","url":null,"abstract":"This paper uses the theoretical framework developed by Feder (1983) and Ram (1986) to examine interactions (i.e. externalities and intersectoral factor productivity differentials) between the official and unofficial sectors of the economy. Results from the empirical analysis, using data on over 100 countries from 1970 to 2008, suggest that the marginal externality effect of growth in the unofficial sector on the official sector is positive. Further, input productivities are higher in the unofficial sector relative to the official sector. These results are robust using alternate measures of the (unobserved) unofficial economy and across level of development.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132840933","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: 13
Improving the SNA Treatment of Multinational Enterprises 改善跨国企业SNA待遇
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2017-11-03 DOI: 10.1111/roiw.12323
Dylan G. Rassier
{"title":"Improving the SNA Treatment of Multinational Enterprises","authors":"Dylan G. Rassier","doi":"10.1111/roiw.12323","DOIUrl":"https://doi.org/10.1111/roiw.12323","url":null,"abstract":"Core measures in the System of National Accounts (SNA) may reflect distortions based on the treatment of multinational enterprises (MNEs) under the residence concept, which is effectively a legal concept rather than an economic concept for special purpose entities that lack production. This paper suggests an improvement to the SNA treatment of MNEs by proposing an SNA framework that offers a dual presentation of measures on operating entities and measures on special purpose entities. A dual presentation adds information to better understand the role of MNEs and special purpose entities in national accounts. Nevertheless, the proposal also yields a meaningful departure from current SNA recommendations and current practice by statistical compilers, which requires careful consideration of practical matters before implementation is feasible.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"127 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122001581","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
Do Employers' Responses to Crises Impact Men and Women Differently? Firm‐Level Evidence from Indonesia 雇主对危机的反应对男性和女性的影响不同吗?来自印度尼西亚的确凿证据
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2017-11-01 DOI: 10.1111/rode.12230
Mary C. Hallward-Driemeier, Bob Rijkers, A. Waxman
{"title":"Do Employers' Responses to Crises Impact Men and Women Differently? Firm‐Level Evidence from Indonesia","authors":"Mary C. Hallward-Driemeier, Bob Rijkers, A. Waxman","doi":"10.1111/rode.12230","DOIUrl":"https://doi.org/10.1111/rode.12230","url":null,"abstract":"Do employers' responses to crises impact men and women differently? Using manufacturing census data from Indonesia this paper assesses gender differences in the impact of the East Asian crisis and to what extent these were due to differential treatment of men and women within firms and gender sorting across firms that varied in their exposure to the crisis. On average, women experienced higher job losses than their male colleagues within the same firm. However, the aggregate adverse effect of such differential treatment was more than offset by women being disproportionately employed in firms hit relatively less hard by the crisis. The null hypothesis that there were no gender differences in wage adjustment is not rejected.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"5 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120909643","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
The Role of Market Expectations in Commodity Price Dynamics: Evidence from Oil Data 市场预期在商品价格动态中的作用:来自石油数据的证据
ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2017-09-12 DOI: 10.2139/ssrn.3039722
Xin Jin
{"title":"The Role of Market Expectations in Commodity Price Dynamics: Evidence from Oil Data","authors":"Xin Jin","doi":"10.2139/ssrn.3039722","DOIUrl":"https://doi.org/10.2139/ssrn.3039722","url":null,"abstract":"This paper examines the contribution of market expectations to commodity price dynamics. It proposes a dynamic competitive storage framework with an explicit expectations shock along with concurrent shocks to study the commodity price movements. This allows for a refined analysis of the expectations’ effect on price and inventory and the estimation of the expectations. Applied to the world crude oil market, it finds that the contribution of market expectations to the crude oil spot price movements is limited from 1987 to 2014.","PeriodicalId":443911,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)","volume":"240 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133401673","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: 8
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：604180095
Book学术官方微信