COINTEGRATION AND DYNAMIC TIME SERIES MODELS

ABSTRACT. This paper provides a survey of some of the recent developments in the field of econometric modelling with cointegrated time series. In particular, we describe the testing and estimation procedures which have become increasingly popular in the recent applied literature. In addition to the 'two-stage' procedure proposed by Engle and Granger, we consider extensions to the modelling of dynamic models with cointegrated variables, such as the estimation of models with multiple cointegration vectors, simultaneous systems, models with seasonally integrated and cointegrated variables. Furthermore, we illustrate the practical application of the techniques describes in the paper by means of a tutorial data set.     

Government spending,political cycles,and the cross section of stock returns

Using a novel measure of industry exposure to government spending, we show predictable variation in cash flows and stock returns over political cycles. During Democratic presidencies, firms with high government exposure experience higher cash flows and stock returns, while the opposite pattern holds true during Republican presidencies. Business cycles, firm characteristics, and standard risk factors do not account for the pattern in returns across presidencies. An investment strategy that exploits the presidential cycle predictability generates abnormal returns as large as 6.9% per annum. Our results suggest market underreaction to predictable variation in the effect of government spending policies.     

Information Disclosure and Stock Liquidity: Evidence from Borsa Italiana

This article examines the effect of increased corporate information disclosure on stock liquidity. Using the adoption of International Financial Reporting Standards (IFRS) in Italy as a natural experiment we extend previous work examining the effect on one measure of liquidity—bid‐ask spreads—to others, specifically depth and the price impact of transactions (or effective bid‐ask spreads). Consistent with previous research we find that bid‐ask spreads of stocks decline following the introduction of IFRS, which implies that stock liquidity increases for small traders. However, we also provide evidence that depth at the best quotes declines, which challenges the proposition that liquidity increases for large trades following an increase in disclosure. In additional tests, we find that effective bid‐ask spreads of block trades also decline following the introduction of IFRS. Overall, this evidence confirms that stock liquidity for both small and large trades increases following an increase in corporate information disclosure.     

GIBSON'S PARADOX AND POLICY REGIMES: A COMPARISON OF THE EXPERIENCE IN THE US, UK AND ITALY

This paper compares the behaviour of long-term interest rates and prices in Italy, the UK and the USA, and seeks to shed light into what has become known as the 'Gibson Paradox'. We compare the various theoretical explanations for the observed positive correlation of interest rates and prices in the USA and the UK. Using both regression and frequency domain techniques, we demonstrate that there is little evidence for the occurrence of the paradox in the case of Italy. The key conclusion of the paper is that the comparative evidence from these three countries supports a gold standard interpretation of the Paradox.     

Guglielmo Masci 1889–1941

Ohne Zusammenfassung     

Green Buildings and Organizational Changes in Italian Case Studies

International policies indicate the building sector as one of the most promising for sustainable development. According to the Intergovernmental Panel on Climate Change (IPCC), it has the greatest and cheapest potential for delivering significant greenhouse gas emission reduction. However, early experiences of sustainable construction have shown that both a social and a technical transition are required. Consequently, the changes in organizational aspects of firms involved in construction represent an urgent research theme. This paper investigates how inter‐firm relationships are changing as the sector moves towards green building. The organizational model between firms is described at the integration level with suppliers, the integration level between the general contractor and the design team, the degree of specialization of involved firms and their sustainability certifications. These features have been analyzed in case studies collecting data through interviews. This paper compares organizational aspects in traditional and green buildings. Results suggest that green buildings are associated with inter‐firm relationships of comakership with suppliers and with the design team, and with firms with a portfolio focused on sustainable projects. Finally, among the case studies, sustainability related certifications are scarcely related to the greenness level of the building. Copyright © 2012 John Wiley & Sons, Ltd and ERP Environment.     

全球化和发展中国家财政改革的必要

全球化为发展中国家带来压力，促使他们增加公共支出以改善国家的基础设施，改进制度，弥补为了纠正错误政策而支付的最终成本，补偿某些在迅速的全球化中受到最大影响的群体，对其中的一些人进行再培训，用最基本的现代保障网络去取代传统的简单无效的社会保障体系。各国应首先努力提高公共税收的使用效率，然后改革其税制，通过征收个人所得税和增值税，尤其是后者，来提高税收。     

Inflation,interest rate policy,and currency substitutions in developing economies: A discussion of some major issues

This paper deals with the management of interest rates in an open economy under rapid inflation and reviews the links between interest and exchange rate policies.To prevent current substitution the rate of interest paid to lenders must equal the equivalent rate after adjusting for differential taxation and intermediation costs. This would probably induce capital inflows and consequent monetary growth. Exchange risks are also considered in this context.The paper concludes that under inflationary conditions it is difficult to use only interest rates to achieve both proper resource allocation and prevention of currency substitution. Some policy measures to cope with this problem are discussed.