A two-step estimator for large approximate dynamic factor models based on Kalman filtering

This paper shows consistency of a two-step estimation of the factors in a dynamic approximate factor model when the panel of time series is large (n large). In the first step, the parameters of the model are estimated from an OLS on principal components. In the second step, the factors are estimated via the Kalman smoother. The analysis develops the theory for the estimator considered in Giannone et al. (2004) and Giannone et al. (2008) and for the many empirical papers using this framework for nowcasting.     

Information Revelation in Procurement Auctions with Two‐Sided Asymmetric Information

A buyer needs to procure a good from one of two suppliers offering differentiated products and with privately observed costs. The buyer privately observes the own valuations for the products and (ex ante) decides how much of this information should be revealed to suppliers before they play a first score auction. Our main result is that the more significant is each supplier's private information on the own cost, the less information the buyer should reveal. We also examine the buyer's incentives to make untruthful announces.     

FINANCIAL MARKET IMPERFECTIONS AND IRREGULAR GROWTH CYCLES

In this paper we analyze the generation of endogenous growth and irregular fluctuations in a simple New Keynesian model whose background assumptions are borrowed from a class of asymmetric information models popularized by Greenwald and Stiglitz. We extend the framework put forward by Greenwald and stiglitz taking explicitly into account technological progress as the engine of growth. We show how irregular endogenous fluctuations can arise around an endogenous trend: the traditional view of fluctuations as 'short run' phenomena must be abandoned in favour of models of fluctuating growth.     

Buchanan on monetary constitutions

Buchanan’s reflections on monetary issues have been mostly neglected, despite their great interest both per se and for a deeper understanding of his general constitutional endeavour. We will thus propose a comprehensive assessment of Buchanan’s writings on this topic, focusing in particular on the different political models that have been developed to argue in favour of constitutional constraints on the governmental power to create money and on the implications that one can draw from our author’s monetary papers for the structure and the objectives of his constitutional discourse more generally.

On the nature and causes of business fluctuations in Italy, 1861-2000

Since Unification (1861), Italy has experienced approximately 20 business cycles. In the same period, the country’s economic structure has changed dramatically. This essay analyses the nature and causes of business fluctuations in Italy over one and a half century emphasizing the role of structural change in shaping each cyclical episode. A mix of real and nominal factors, structural change, and the evolving financial conditions of firms and banks makes every cycle a ‘historical episode’ in and of itself.     

How to select the right public partner in smart city projects

Firms that want to exploit Smart City's opportunities need to cooperate with local governments. From a managerial point of view, there is scant research on how to select public partners in Smart City projects. In fact, while there are several cities claiming to be ‘smart’, not all cities fulfil the essential requirements for successful Smart City projects. This paper shows how to build successful public–private alliances in Smart Cities and, more specifically, how to select the right city to test, develop or sell smart technologies. This study uses a multiple-case research design and follows an exploratory and qualitative methodology. The results show that firms improve the success of their projects if they assess three main aspects of partner selection, these being partner complementarity, commitment and compatibility. The paper, therefore, provides several managerial implications regarding how firms may be more effective in selecting where to start their Smart City projects and how public organisations may become more attractive. Finally, academic implications, limitations and future lines of research are presented.     

The Benefits of Diverse Preferences in Library Consortia

We study the case in which a library consortium increases the aggregate payoff of the member libraries. We find that libraries with similar preferences are likely to lose from building a consortium and that those with diverse preferences are likely to gain by doing so. Combining libraries with diverse preferences implies that their valuation for different publishers' journals is more symmetric, which intensifies competition among publishers for scarce combined budgets. A tension between short term and long term considerations might generate a ‘library consortium trap.’ Our insight can be applied to other buyer groups as long as competition is generated by buyers' budget constraints.     

Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?

This paper considers Bayesian regression with normal and double-exponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range of prior choices. Moreover, we study conditions for consistency of the forecast based on Bayesian regression as the cross-section and the sample size become large. This analysis serves as a guide to establish a criterion for setting the amount of shrinkage in a large cross-section.