共查询到20条相似文献,搜索用时 343 毫秒
1.
Corrado Andini 《Portuguese Economic Journal》2009,8(1):15-22
In a seminal paper, Levine et al. (J Monet Econ 46:31–77, 2000) provide cross-sectional evidence showing that financial development has positive average impact on long-run growth, using
a sample of 71 countries. We argue that the evidence is sensitive to the presence of outliers.
相似文献
Corrado AndiniEmail: |
2.
Paresh Kumar Narayan 《International Advances in Economic Research》2008,14(3):280-290
In this paper we analyze per capita incomes of the G7 countries using the common cycles test developed by Vahid and Engle
(Journal of Applied Econometrics, 8:341–360, 1993) and extended by Hecq et al. (Oxford Bulletin of Economics and Statistics, 62:511–532, 2000; Econometric Reviews, 21:273–307, 2002) and the common trend test developed by Johansen (Journal of Economic Dynamics and Control, 12:231–254, 1988). Our main contribution is that we impose the common cycle and common trend restrictions in decomposing the innovations into
permanent and transitory components. Our main finding is permanent shocks explain the bulk of the variations in incomes for
the G7 countries over short time horizons, and is in sharp contrast to the bulk of the recent literature. We attribute this
to the greater forecasting accuracy achieved, which we later confirm through performing a post sample forecasting exercise,
from the variance decomposition analysis.
相似文献
Paresh Kumar NarayanEmail: |
3.
Friederike Mengel 《Journal of Evolutionary Economics》2009,19(3):397-415
We analyze a local interaction model where agents play a bilateral prisoner’s dilemma game with their neighbors. Agents learn
about behavior through payoff-biased imitation of their interaction neighbors (and possibly some agents beyond this set).
We find that the Eshel et al. (Am Econ Rev 88:157–179, 1998) result that polymorphic states are stochastically stable in such a setting is not robust. In particular, whenever agents
use information also of some agents beyond their interaction neighbors, the unique stable outcome is one where everyone chooses
defection. Introducing a sufficiently strong conformist bias into the imitation process, we find that full cooperation always
emerges. Conformism is thus identified as a new mechanism that can stabilize cooperation.
相似文献
Friederike MengelEmail: |
4.
Dimitris K. Christopoulos 《Empirica》2007,34(3):273-280
This short paper explores the relationship between investment and saving rates in a sample of 13 OECD countries over the period
1885–1992. To this end, I employ panel cointegration tests based on the maximum likelihood approach developed by Johansen
(J Economic Dynamics Control 12:231–254, 1988) instead of conventional panel cointegration residual based tests, in order to draw sharper conclusions. Using estimation
techniques appropriate for heterogeneous panels I find a low degree of capital mobility for the sub-periods 1921–1992 and
1950–1992. The findings overwhelmingly support the hypothesis of perfect capital mobility in the short run.
相似文献
Dimitris K. ChristopoulosEmail: |
5.
Schmitt-Grohé and Uribe (NBER wp 10724, 2004b) analyzes the optimal, simple and implementable monetary policy rules in a medium-scale macromodel, as the one proposed by
Christiano et al. (J Polit Econ 113:1–45, 2005). In doing so, they use a sensible, but somewhat arbitrary constraint to account for the lower bound condition on the nominal
interest rate. In this work, we check the robustness of their main results to such a criteria. We find that the optimal policies
are actually absolutely robust to the easing of this criterion for all the different cases considered.
相似文献
Guido AscariEmail: |
6.
We use the Markov regime-switching ARCH (SWARCH) model of Hamilton and Susmel (J Econometrics 64:307–333, 1994) to document the presence of high volatility regimes in six Latin American countries (Argentina, Brazil, Chile, Mexico, Peru,
and Venezuela). We found four high volatility episodes, each associated to either a local (the Mexican crisis of 1994, the
Brazilian crisis of 1998–1999, the Argentinean crisis of 2001–2002) or a worldwide financial crisis (the Asian financial crisis
of 1997). However, we found that the effects of each financial crisis are short-lived and that between 2 and 4 months after
each crisis, all markets return to low volatility regimes.
相似文献
Stephen K. PollardEmail: |
7.
George C. Bitros 《The Review of Austrian Economics》2008,21(4):301-328
This paper centers on the structure of capital and the useful lives of its components by considering an economy with two representative
firms, one producing a necessity and another producing a luxury. This difference determines their reinvestment opportunities.
Therefore, while the one applies replacement, the other adopts scrapping. However, as these capital policies lead to different
service lives, the analysis confronts the issues raised by Miller (Review of Income and Wealth 29:284–296, 1982, Review of Income and Wealth 36:67–82, 1990) and deals with them by drawing on Haavelmo’s (A study in the theory of investment, Chicago: The University of Chicago Press, 1960) suggestions regarding the aggregation of capital. Among other findings, it turns out that the simulation results are highly
robust, thus demonstrating that real-world implications may be even stronger than strictly suggested by the model.
相似文献
George C. BitrosEmail: |
8.
Jean-Pierre Lévy Mangin Jaime de Pablo Valenciano Tamás Michal Koplyay 《International Advances in Economic Research》2009,15(2):186-206
Relations between manufacturers and distributors have been the center point of the distribution channel’s management. This
study covers the effects of coercive, as well as non-coercive power on intermediary variables such as cooperation and conflict.
It will also analyze the effects of cooperation and conflict on American car dealers’ satisfaction and performance in Spain.
Due to the small sample size (46 dealers), the model based on causal modeling compelled us to use the optimization method
based on the partial least squares (PLS) regression techniques coupled with a bootstrapping to enable some generalization
of the results.
相似文献
Jean-Pierre Lévy ManginEmail: |
9.
A simple note on herd behaviour 总被引:4,自引:0,他引:4
In his ‘Simple model of herd behaviour’, (Banerjee A (1992) A simple model of herd behaviour. Q J Econ CVII:797–817) shows
that—in a sequential game—if the first two players have chosen the same action, player 3 and all subsequent players will ignore
his/her own information and start a herd, an irreversible one. In this paper, we analyse the role played by the tie-breaking
assumptions in reaching the equilibrium. We show that: players’ strategies are parameter dependent—an incorrect herd may be
reversed; a correct herd is irreversible.
相似文献
Andrea MoroneEmail: |
10.
We analyse forecasts of professional forecasters for Germany regarding the time span from 1970 to 2004. This novel panel data set renders it possible to assess the accuracy and efficiency of growth and inflation forecasts more efficiently than in previous studies. We argue that the forecasts are, on average, unbiased and weakly—but not strongly—efficient. Using model confidence sets suggested by Hansen et al. (2004), we find that, besides the effect of diverging forecasting dates, no other substantial differences in forecasting quality among forecasters exist. Nevertheless, on the basis of a direction-of-change analysis we argue that it is not always advisable to listen to the majority of forecasters.
相似文献
Ulrich Fritsche (Corresponding author)Email: |
11.
In this paper, we propose a new benchmarking procedure lying on cumulants for computing the factor loadings in financial models
of returns. We apply this technique to the well-known augmented Fama and French (J Fin Econ 43(2):153–193, 1997) model and compare it with another technique of ours based on higher moments. Our new procedure confirms the fact that the
alpha is supposed to decrease when we disaggregate HFR indices to the level of individual funds while correcting for specification
errors. Our new technique is therefore useful for hedge funds selection or ranking based on the alpha of Jensen corrected
for specification errors. This technique will also be useful for calibrating other financial models of returns like the simple
market model or the conditional alpha and beta models.
相似文献
Raymond ThéoretEmail: |
12.
Antonio Ribba 《Empirical Economics》2006,31(2):497-511
In this paper, by using a combination of long-run and short-run restrictions, we identify a small structural VECM which includes inflation, unemployment and the federal funds rate and study the dynamic interactions at different frequencies among these variables. Our results show that: (a) in accordance with the traditional view of economic fluctuations, aggregate demand shocks and monetary policy shocks push inflation and unemployment in opposite directions in the short run; (b) the permanent supply shock explains the long-run movement of inflation and unemployment. These conclusions are at odds with the prediction of “natural-rate” models but are consistent with the idea of a propagation mechanism which links productivity shocks to inflation and unemployment at medium and low frequencies. Thus, with respect to some recent studies (e.g. Beyer and Farmer, ECB Working Paper 121, 2002, and Ireland, J Monet Econ 44:279–291, 1999), we offer a different interpretation of the low-frequency comovements between inflation and unemployment characterizing the US economy in the last decades.
相似文献
Antonio RibbaEmail: |
13.
This study measures cost inefficiency of Kansas public school districts and applied both mathematical programming and stochastic
frontier approach. The empirical study uses two-stage data envelopment analysis model and the cost inefficiency effects model
proposed by Battese and Coelli (Empirical Economics 24:325–332, 1995) and applied to a panel data. The results found mean inefficiencies from these two models are very close. The results indicate
that Kansas school districts, on average, exhibit cost inefficiency in their operations, however, there is a tendency for
inefficiencies to decline over time. The study does not find any strong evidence for lower efficiency due to lower expenditure
per-pupil. Instead, we found inconclusive evidences where lower efficiency for certain school districts could be assigned
to unfavorable environmental cost conditions.
相似文献
John PoggioEmail: |
14.
Roberta Patalano 《Constitutional Political Economy》2007,18(4):223-241
Since the contributions by D. North [(1990). Institutions, institutional change, and economic performance. New York: CUP] and his Nobel Prize lecture [(1994). Economic performance through time, Nobel Prize Lecture. The American Economic Review, 84(3), 359–368], the relationship between mind and institutions has been increasingly investigated by economists. Mantzavinos,
North, and Shariq [(2004). Learning, institutions, and economic performance. Perspectives on Politics, 2(1), 75–84] introduced the expression cognitive institutionalism in order to define this stream of research. In the first part of the paper we discuss some recent findings of the cognitive
approach to institutions and its roots in the history of economic ideas. We also claim that in such an approach, no place
has yet been found for a crucial faculty of the human mind, imagination. We then explore the concept of radical imaginary developed by Cornelius Castoriadis in his book The Imaginary Institution of Society (1975; 1987). From the perspective of cognitive economics, and on the grounds of Castoriadis’ legacy, we aim at highlighting
some basic mechanisms of interaction between imagination, affectivity and institutions.
相似文献
Roberta PatalanoEmail: |
15.
The behavior of the exchange rate in the genetic algorithm with agents having long memory 总被引:1,自引:1,他引:0
Yiping Xu 《Journal of Evolutionary Economics》2006,16(3):279-297
This paper studies the behavior of the exchange rate in Kareken and Wallace (1981)'s model under the genetic algorithm adaptation with agents having long memory. The simulation results show that, if agents have full memory, the average portfolio fraction will converge, and the initial equilibrium that it converges to is history dependent. Under the lasting evolutionary pressure of the noise trader, the market will eventually drift from one equilibrium to another, and asymptotically will converge to the neighborhood of an equilibrium with agents putting their savings equally into two currencies. If the agents do not have full memory, the foreign exchange market will show periodic crisis. Before and after a market crises, the average portfolio fraction will converge to different stationary equilibria. A mean difference equation of the average portfolio fraction is also given to describe the dynamics of the model.
相似文献
Yiping XuEmail: |
16.
In many differentiated product industries, both traditional and “new economy” activities, vertically integrated firms also
supply inputs to apparent rivals in the downstream business. This generates heterogeneity between low- and high-sunk cost
suppliers with implications for entry and competitive conduct. The web hosting market is typical with primary suppliers operating
alongside resellers who rent server space from them. We explore the impact of competition in US hosting using a unique dataset
covering 15,000 packages offered by 3,500 firms. The results suggest price is sensitive to competitor clustering in quality
space; an outcome consistent with easy entry for resellers with ultra-low fixed costs.
相似文献
Steve ThompsonEmail: |
17.
A note on parental and child risk valuation 总被引:1,自引:1,他引:0
The paper develops a model that allows the estimation of parent’s valuation of own and child health, in an endogenous risk
framework, where parents can employ multiple activities to protect themselves and their children from a health risk. These
risk-reducing activities may differ in their effectiveness and their intensity of use. We suggest how to estimate the parent’s
ex ante marginal willingness-to-pay for a reduction in the ambient level of health risk, unencumbered by expected utility
terms.
相似文献
Thomas D. CrockerEmail: |
18.
This study examines the impact of a stamp tax rate increase on market behavior, using data from two stock exchanges in China. We find that when the tax rate increases from 0.3 to 0.5% (which implies that the transaction cost increases by about 1/3) trading volume decreases by 1/3. This implies an elasticity of turnover with respect to a stamp tax of −50% and an elasticity of turnover with respect to transaction cost of −100%. The markets’ volatility significantly increases after the increase in the tax rate. Furthermore, the change in the volatility structure indicates that the markets become less efficient in the sense that shocks are less quickly assimilated in the markets.
相似文献
Badi H. Baltagi (Corresponding author)Email: |
Dong LiEmail: |
Qi LiEmail: |
19.
Elena Goldman 《Empirical Economics》2006,31(2):449-477
This paper tests an efficient market hypothesis for the Russian ruble–UK sterling exchange rates in the gold standard period 1897–1913. Using Bayesian Markov Chain Monte Carlo methods it is shown how to test a weak-form market efficiency in a doubly truncated regression model with ARMA-GARCH error. The suggested model accounts for time series characteristics of the data and bounds of exchange rates caused by the gold points and government intervention. We find that the weak-form efficiency hypothesis can not be rejected for the gold standard ruble exchange rates in both St.Petersburg and London markets.
相似文献
Elena GoldmanEmail: |
20.
The application of the rational choice postulate to a political context invariably leads to the conclusion that most voters
are ill informed when making the decision on whom to vote for. In this paper, the authors conduct an empirical evaluation
of the rational ignorance theory, based on the model developed by (Rogoff and Sibert Rev Econ Stud LV:1–16, (1988) and by considering that better informed voters reward political candidates who show better performances. The levels of performance
are established through the construction of an empirical frontier using the Data Envelopment Analysis (DEA) methodology. According
to our results, based on the 1997 Portuguese local elections, even though swing voters do not necessarily behave as rationally
ignorant voters, a large majority of voters are rationally ignorant.
相似文献
José da Silva CostaEmail: |