Bond pricing in a hidden Markov model of the short rate

Abstract. We consider a diffusion type model for the short rate, where the drift and diffusion parameters are modulated by an underlying Markov process. The underlying Markov process is assumed to have a stochastic differential driven by Wiener processes and a marked point process. The model for the short rate thus falls within the category of hidden Markov models.     

Extending the SAM with Social and Environmental Indicators: An Application to Bolivia

Extending economic accounts with sets of social and environmental indicators is a first step towards a more integrated analysis of aspects of sustainability problems. In this article, therefore, a proposal is made to nest social and environmental indicators into an existing economic accounting framework. The Social Accounting Matrix (SAM) is taken as a basis, because of its flexibility regarding extensions with non-monetary data addressing social and environmental concerns. The main thrust of the paper is methodological. From the discussion of methodological issues and the application to the SAM for Bolivia for the year 1989, it is concluded that it is, in principle, feasible and relatively simple to extend the SAM with the two sets of indicators. However, additional data will have to be collected to be able to address, more adequately, the problems of sustainability.     

An Evaluation of Inertia Models of Unemployment

Two approaches have been used to model unemployment. The first, conventional, approach involves linking the unemployment outcome to observed indices of productivity, structural factors and discrimination such as educational attainment, location and birthplace. The second approach, the inertia model, involves using a person's labour market history as a way of including in unemployment models information on the 'unobservables' that influence employability. This paper evaluates the performance of both models of unemployment. The results provide unambiguous support for the inertia model when modelling unemployment. The inertia model has higher explanatory power, higher within-sample prediction rate success and fewer out-of-sample forecasting errors than the conventional model. The estimates from the inertia model can be used to provide quite accurate predictions of the risk of becoming unemployed. This is important if individuals at high risk of becoming unemployed are to be targeted for labour market assistance.     

Is there a Laffer curve between aggregate output and public sector employment?

This paper develops a model of the relationship between public sector employment, total output and aggregate real demand in market prices, where public employment has a positive productivity effect on private output. Public employment crowds out private employment and output because its increase induces higher wages and taxes. The valuation of government output is also taken into account. While public employment affects total output and aggregate real demand in an a priori ambiguous way, numerical simulations suggest that the relationship may be nonlinear; positive, when public sector is “small” and negative, when it is “large”. Using the annual data from 22 OECD countries over the period 1960–1996 and estimating and testing for threshold models and more commonly used specifications with multiplicative interaction terms give support to this nonlinearity hypothesis between public employment and private sector output. First version received: October 1996/Final version received: April 2000     

The quarterly national accounts trend–cycle filter versus model–based filters

Abstract. In this paper, we first review the Spanish Quarterly National Accounts (Sqna) trend–cycle filter and give a formula to compute the first component of the filter that corrects an error in the expression that has been used in the Sqna System so far. Then, the results obtained with this last filter are compared to the ones obtained using the Tramo andSeats programs, which apply a model–based methodology. It is concluded that the {\sc Sqna} filter presents some problems, such us the generation of spurious cycles, a phase delay, non–efficient initial conditions and larger estimation errors, which can be avoided if model–based filters are used. A Hodrick–Prescott filter with a suitable smoothing parameter is proposed to smooth trend–cycle series that are somewhat volatile and have been obtained with model–based filters. In this way, smooth signals can be obtained that are free of spurious cycles.     

市场竞争加强背景下农业保险公司的双重经营困境

我国农业保险市场在规模快速发展的同时,竞争也不断加强.由于农业保险的政策属性和特殊业务性质,市场竞争加强可能会影响保险公司的运行成本及赔付支出,从而对其产生经营压力.本文采用全国31 个省、直辖市、自治区2010～2018 年的面板数据,利用随机效应模型检验了市场竞争等因素对农业保险公司经营成本的影响.研究发现:市场竞...     

Technological spillovers from multinational firms

This paper aims to identify genuine technological spillovers from multinational firms (MNEs). To this end, we use data on R&D from MNEs to measure spillovers, while most of the existing literature uses output to measure the foreign presence in an industry (what we call output-based spillovers). In line with the existing literature, we distinguish between horizontal spillovers (i.e., intra-industry linkages) and vertical spillovers (i.e., backward—or downstream—and forward—or upstream—inter-industry linkages). Our results show that the three types of technological spillovers from MNEs are positive, with the horizontal spillovers the larger ones, followed by backward spillovers. The effect of forward spillovers is much smaller in magnitude. Moreover, we find that not controlling for industry size (i.e., technological spillovers from all firms in an industry) leads to underestimating both horizontal and backward spillovers from MNEs, and to overestimating forward spillovers from MNEs. Finally, we find that the distinction between technological and output-based spillovers is of great relevance. The size of backward technological spillovers is approximately 44% of the size of output-based backward spillovers, while for horizontal spillovers both types of spillovers are quite similar. Importantly, output-based forward spillovers are negative while technological forward spillovers are positive.     

Relationship between entrepreneurial orientation and social performance in Spanish sports clubs. The effect of the type of funding and the level of competition

The entrepreneurial orientation and social role of sports clubs have recently become topics of great interest to academics and professionals. The aim of this study is to analyse the relationship between entrepreneurial orientation (EO) in sports clubs and their social performance (SP) and the effect that management variables such as the type of funding (public vs private) and the competition level (national vs regional) may have on this relationship. To compare the results, two complementary methodologies have been used to compare the results: linear models with moderation analysis and models based on qualitative comparative analysis (QCA). The study was carried out with a sample of 407 Spanish sports clubs. The instrument used to measure EO was an adaptation of the original Covin and Slevin (1989) approach, while the instrument used to measure SP is a validated scale of our own elaboration presenting good psychometric properties. The results found show a direct effect of the EO dimensions on the SP. In all cases, clubs with major public funding showed higher levels of prediction in SP. On the other hand, as far as QCA is concerned, no necessary condition was found, while the most important condition sufficient to obtain high levels of SP would be high levels of innovation, a high level of risk-taking, and low levels of proactivity in national sports clubs. In general, models based on qualitative comparative analysis (QCA) provide higher predictive values than linear regression models and include variables not considered in linear models.