Realized volatility forecasting: Robustness to measurement errors

In this paper, we suggest how to handle the issue of the heteroskedasticity of measurement errors when specifying dynamic models for the conditional expectation of realized variance. We show that either adding a GARCH correction within an asymmetric extension of the $\mathsf{HAR}$  class ($\mathsf{AHAR}$-$\mathsf{GARCH}$), or working within the class of asymmetric multiplicative error models ($\mathsf{AMEM}$) greatly reduces the need for quarticity/quadratic terms to capture attenuation bias. This feature in $\mathsf{AMEM}$ can be strengthened by considering regime specific dynamics. Model Confidence Sets confirm this robustness both in- and out-of-sample for a panel of 28 big caps and the S&P500 index.     

Large time‐varying parameter VARs: A nonparametric approach

In this paper we introduce a nonparametric estimation method for a large Vector Autoregression (VAR) with time‐varying parameters. The estimators and their asymptotic distributions are available in closed form. This makes the method computationally efficient and capable of handling information sets as large as those typically handled by factor models and Factor Augmented VARs. When applied to the problem of forecasting key macroeconomic variables, the method outperforms constant parameter benchmarks and compares well with large (parametric) Bayesian VARs with time‐varying parameters. The tool can also be used for structural analysis. As an example, we study the time‐varying effects of oil price shocks on sectoral U.S. industrial output. According to our results, the increased role of global demand in shaping oil price fluctuations largely explains the diminished recessionary effects of global energy price increases.     

Employability as a compass for career success: development and initial validation of a new multidimensional measure

This article reports the development and initial validation of a multidimensional measure of employability based on the theoretical model of Lo Presti and Pluviano (2016). Four different studies were designed and implemented. Study 1 was a qualitative study that involved a group of 15 labour market experts and aimed at developing the items pool. In Study 2, an exploratory factor analysis of 526 employees was carried out to examine the structure of the employability measure as previously obtained. Study 3 aimed at verifying the employability measure that had emerged from Study 2 through confirmatory factor analysis of 699 employees, resulting in a 28‐item shortened version encompassing the original four employability dimensions. Finally, in Study 4, concurrent and predictive validity of the definitive version of the employability measure were tested on a sample of 712 employees. Implications for vocational guidance and human resource management, as well as future employability research, are discussed.     

The Geographical Dimension of the Development Effects of Natural Resources

We study the contribution of natural resource intensity to long-term development along different dimensions: per-capita income, institutional quality, and education. We allow natural resources to affect these dimensions differently in different regions of the world. The evidence suggests that natural resources are generally a positive driver of development, but in Sub-Saharan Africa (SSA) their contribution is almost negligible, if not even negative. We explain these cross-regional differences with the fact that in SSA more than anywhere else large resource endowments are combined with a particularly bad disease environment. Some historical evidence and formal econometric results support this hypothesis.     

When does leverage hurt productivity growth? A firm-level analysis

In the wake of the global financial crisis, several macroeconomic contributions have highlighted the risks of excessive credit expansion. In particular, too much finance can have a negative impact on growth. We examine the microeconomic foundations of this argument, positing a non-monotonic relationship between leverage and firm-level productivity growth in the spirit of the trade-off theory of capital structure. A threshold regression model estimated on a sample of Central and Eastern European countries confirms that TFP growth increases with leverage until the latter reaches a critical threshold beyond which leverage lowers TFP growth. This estimate can provide guidance to firms and policy makers on identifying “excessive” leverage. We find similar non-monotonic relationships between leverage and proxies for firm value. Our results are a first step in bridging the gap between the literature on optimal capital structure and the wider macro literature on the finance-growth nexus.     

A Dismal Reality: Behavioural Analysis and Consumer Policy

Before the behavioural turn, the economic account of consumer policy concerns was too optimistic and reductive. After the turn, we, the consumers, are more likely to need from an economic perspective a more intrusive consumer policy. This is the dismality thesis defended in this article. The dismality thesis is a theoretical, comparative, and argumentative thesis, albeit normatively incomplete. It follows from two premises. First, pre-behavioural economics elaborated a restricted theory of consumer harm in unregulated markets (“consumer harm premise”) and, second, it overstated the effectiveness of information disclosure as a means of consumer policy (“institutional premise”). The dismality thesis is further supported by a comparison of the discussion of attributes control in the pre- and post-behavioural turn literature and by commenting on the main source of controversy about attributes control in the post-turn literature, the so-called “artificial truncation” of behavioural analysis.     

Competition and the signaling role of prices

In a market where sellers are heterogeneous with respect to the quality of their good and are more informed than buyers, high quality sellers' chances to trade might depend on their ability to inform buyers about the quality of the goods they offer. We study how the strength of competition among sellers affects the ability of sellers of high quality goods to achieve communication by means of appropriate pricing decisions in the context of a market populated by a large number of strategic price-setting sellers and a large number of buyers. When competition among sellers is weak high quality sellers are able to use prices as a signaling device and this enables them to trade. By contrast, strong competition among sellers inhibits the role of prices as signals of high quality, and high quality sellers are driven out of the market.