Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data

Recently various exchange rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. Technically, these stochastic equilibrium models are diffusion processes which have to be estimated by discretely sampled observations. Using daily exchange rate data prior to the Greek EMU-entrance on 1 January 2001, we develop a rigorous estimation procedure. Our estimates point to an increasing interventionist economic policy in the run-up to the Greek EMU entrance. A comparison of this econometric indication with policy information provided (ex-post) by the Bank of Greece (BoG) in its Annual Report 2000 reveals that the BoG indeed pursued such an active policy stance (so-called institutional frontloading strategies).      

Cross-country alcohol consumption comparison: an application of the Rotterdam demand system

This paper analyses the consumption patterns of the three beverages beer, wine and spirits in nine countries, Australia, Canada, Finland, Japan, New Zealand, Norway, Sweden, the UK and the US, using the Rotterdam demand system. A cross-country comparison of the results shows that in most countries (i)wine consumption has grown at a fasteer rate than beer and spirits; (ii) the proportion of consumers' expenditure on alcohol is declining; (iii)beer is a necessity and spirits is a luxury; (iv)the demand for the three beverages is price inelastic; and (iv)all three beverages are pair-wise substitutes. We also investigated the hypothesis of identical parameters for all countries by pooling the data across countries and found that the data do not support the hypothesis.     

Welfare analysis in a two-stage inverse demand model: an application to harvest changes in the Chesapeake Bay

Like many agricultural commodities, fish and shellfish are highly perishable and producers cannot easily adjust supply in the short run to respond to changes in demand. In these cases it is more appropriate to conduct welfare analysis using inverse demand models that take quantities as given and allow prices to adjust to clear the market. One challenge faced by economists conducting demand analysis is how to limit the number of commodities in the analysis while accounting for the relevant substitutability and complementarity among goods. A common approach in direct demand modeling is to assume weak separability of the utility function and apply a multi-stage budgeting approach. This approach has not, however, been applied to an inverse demand system or the associated welfare analysis. This paper develops a two-stage inverse demand model and derives the total quantity flexibilities which describe how market clearing prices respond to supply changes in other commodity groups. The model provides the means to estimate consumer welfare impacts of an increase in finfish and shellfish harvest from the Chesapeake Bay while recognizing that harvests from other regions are potential substitutes. Comparing the two-stage results with single-stage analysis of the same data shows that ignoring differentiation of harvests from different regions, or the availability of substitutes not affected by a supply shock, can bias welfare estimates.     

Estimation of an effectively globally regular demand system: An application to United States meat consumption

A combination of Cooper and McLaren's modified almost ideal demand system (AIDS) and Moschini's semiflexible AIDS specification gives an effective globally regular demand system. Using the United States meat price and consumption data, the effectively globally regular demand system was estimated and compared to Cooper and McLaren's modified AIDS. The Likelihood Dominance Criterion showed that Cooper and McLaren's modified AIDS was actually better model than the effectively globally regular demand system proposed. The reason may be due to the fact that the violation of the curvature conditions is not significant for the given data. First Version Received: September 1998/Final Version Received: April 2001     

Dynamic demand,consumers' expectations and monopolistic resource extraction: An application to OPEC pricing policies

This paper introduces intertemporal decision making of the consumers, including different price expectations (myopic, rational), into the framework of monopolistic resource depletion. This adds another dynamic feature which has been neglected by and large by the literature. In particular a differential game of the von Stackelberg type between consumers and an oil extracting monopoly is considered. Analytical solutions are obtained when demand is linear. This framework is then empirically applied to derive and reconcile rational OPEC strategies and past behaviour.This paper has been presented at the Third Annual Conference of the European Economic Association in Bologna. I like to thank an anonymous referee and Dr. Ohogu for valuable comments.     

Goodness-of-fit techniques for count data models: an application to the demand for dental care in Spain

This paper compares the practical performance of alternative goodness-of-fit techniques for count data models in the context of a study of the determinants of demand for dental care in Spain. We apply alternative goodness-of-fit techniques to different specifications. In particular, we implement recently proposed specification tests which are consistent in the direction of general nonparametric alternatives. The analysis suggests that a negative binomial model is an appropriate specification for dental care demand. Dental health and income are identified as important predictors of individuals' behavior. First version received: April 2000/Final version received: March 2001     

Bayesian cost-effectiveness analysis for censored data: an application to antiplatelet therapy

Abstract

Objective:

Cost-effectiveness analysis (CEA) on trial-based data has played an important role in pharmacoeconomics. A regression model can be used to account for patient-level heterogeneity throughout covariates adjustment in CEA. However, the estimates from CEA could be biased if ignoring the censoring issue on effectiveness and costs. This study is to propose a regression model to account for both time-to-event effectiveness and cost.

Methods:

A bivariate regression model was proposed to analyze both effectiveness and cost simultaneously, while censored observations were also taken into account. The regression coefficients were estimated using a Bayesian approach by drawing a random sample from their posterior distribution derived from the Markov chain Monte Carlo (MCMC) method. The proposed method was illustrated using empirical data of anti-platelet therapies to the management of cardiovascular diseases for those patients with high risk of gastrointestinal (GI) bleeding, where cost-effectiveness between different therapies was analyzed under both censored and non-censored circumstances, where the effectiveness was defined as the time to re-hospitalization due to GI complications, and the cost was measured by the total drug expenditure.

Results:

Under censored circumstances, aspirin plus proton-pump inhibitors (PPIs) was considered more cost-effective than clopidogrel with/without PPIs, as shown in the cost-effectiveness acceptability curve, and clopidogrel was preferred to aspirin for a willingness-to-pay of 89 NTD for delaying 1 day to hospitalization due to GI complications.

Conclusions:

Ignoring censoring problems could possibly bias the results in CEA. This study has provided an appropriate method to conduct regression-based CEA to improve the estimation which serves its purpose for CEA concerns.

Limitations:

The normality assumption for the cost and effectiveness in the bivariate normal regression needs to be examined, and the conclusions may be biased if this assumption is violated. However, when sample size is sufficiently large, a slight deviation from normality would not be a serious problem.     

Spatial shift-share analysis versus spatial filtering: an application to Spanish employment data

The aim of this work is to analyse the influence of spatial effects in the evolution of regional employment, thus improving the explanation of the existing differences. With this aim, two non-parametric techniques are proposed: spatial shift-share analysis and spatial filtering. Spatial shift-share models based on previously defined spatial weights matrix allow the identification and estimation of the spatial effects. Furthermore, spatial filtering techniques can be used in order to remove the effects of spatial correlation, thus allowing the decomposition of the employment variation into two components, respectively related to the spatial and structural effects. The application of both techniques to the spatial analysis of regional employment in Spain leads to some interesting findings and shows the main advantages and limitations of each of the considered procedures, together with the quantification of their sensitivity with regard to the considered weights matrix.     

Divisia moments of Greek consumption

Greek consumption data, 1951–1984, are used to compute Divisia moments. Quantity variances tend to exceed price variances and the price-quantity covariance is mostly negative. In periods of high inflation the price variance increases, while both the price–quantity correlation and the income flexibility decrease.     

Linear SAM models for inequality changes analysis: an application to the Extremadurian economy

Social accounting matrices are adequate databases for the economic modelling. These matrices emphasize the role of households in the economy, and so, they usually disaggregate the household sector into several groups. This disaggregation allows social accounting matrices to be used for diverse income distribution analysis. The objective of this work is to use the linear SAM models to study how inequality is modified by several exogenous injections of income. The set of multipliers and indicators presented is applied to the economy of Extremadura – a region situated in the southwest of Spain. In particular, together with the accounting multipliers, two redistributed income matrices are presented to show how changes in final demand and in income transfers cause opposite effects in inequality. For contrasting these results, Gini and Theil indices are also used. Finally, a major reduction in both would result from an appropriate re-allocation of transfers.     

Stochastic generalizations of demand systems with an application to telecommunications

Systems of demand equations are considered for at least two reasons. First, they offer a theoretical completeness, and second, they embody a number of restrictions which lead to a more parsimonious specification concerning the number of parameters. As it turns out, the quantity and quality of the data are often such that the demand systems considered are not restrictive enough in the sense that large numbers of parameters still remain which cannot be estimated with ‘great precision’. Paradoxically, the restrictions that are considered are often rejected by the data.In this paper we propose a system of random coefficient telecommunications demand equations in a panel data framework. These equations correspond to alternative ways (which have different costs) of placing a call. The system is formulated in such a way that it incorporates the homogeneity condition, as well as stochastic versions of the symmetry and weak separability restrictions. The stochastic versions are given in terms of moments and so they do not have to hold in each individual case. Under certain conditions they reduce to their deterministic counterparts. Finally, we empirically implement the model and compare the results to what they would be in a corresponding deterministic framework.     

中国城镇居民消费变化的实证分析

近年来我国宏观经济形势发生了重大变化,持续多年的“短缺”局面已基本结束,社会产品基本上由卖方市场向买方市场转变。然而伴随着买方市场格局的形成,有效需求不足以及由此而来的生产能力闲置、下岗失业增加、经济增长乏力等问题日益突出,尽管政府采取了一些启动需求的措施,但问题并没有从根本上得到解决,问题何在,举国关注。本文从考察城镇居民收入和支出变化状况入手,对城镇居民消费结构的边际预算份额、基本消费支出及需求总支出弹性进行实证考察,分析问题的症结和提出解决问题的对策。一、我国城镇居民收入支出状况消费支出的变化不仅取决于收入的绝对水平,而且还取决于收入分配的结构状况。     

Spatial random utility model with an application to recreation demand

The paper examines the relevance of unobserved spatial dependence between individual decision-makers in the analysis of discrete choices. To incorporate spatial interdependencies in the behavioral analysis, we propose a spatial random utility model of recreation demand. The model combines the set-theoretic concept of spatial neighborhood, endogeneity of spatial interdependencies, and unobservable individual preferences. Our estimation procedure uses an efficient pseudo maximum likelihood estimator. We apply the model to the study of recreational travel demand in Iowa and evaluate the significance of unobserved spatial interdependencies between individual households in recreational travel choices.     

Video game demand in Japan: a household data analysis

Various economic studies of the video game industry have focused on intra-industry details. This article complements the approach by highlighting broader budget allocation by households. Using the ‘total households’ data of the Family Income and Expenditure Survey, this article estimates the demand model for video games. Estimation results show the effects of household income and demographic factors and prices of goods on the expenditure share of video games. These results indicate the importance of explicitly considering a households' budget allocation, or at least, including information on households.     

Spatial analysis of municipal water demand: a panel data approach

While the municipal water demand literature is well developed, one area that is understudied is the impact of spatial effects. After controlling for factors shown to impact demand, this study applies spatial econometric methods via a spatial weights matrix to a panel municipal water consumption data set. While diagnostics suggest the presence of spatial lag and spatial error, thus indicating the potential usefulness of spatial empirical methods, several important pitfalls must be acknowledged. First, the application of spatial weights in a panel setting is computationally intensive, especially when the number of time periods or observations is large, and perhaps necessitates aggregation. Second, because most users in a municipality are likely to be subject to similar utility action, climate, etc., a spatial lag signal may be spurious. Third, because premises served by the utility may enter or exit the data set through time, the requirement of balanced panels requires careful consideration. Fourth, if the option to use premises-level (or similar) data or aggregated data is available, it is typically advisable to use premises-level data despite the possible presence of spatial effects.     

Measuring the efficiency of search engines: an application of data envelopment analysis

This paper adopted the data envelopment analysis (DEA) method to investigate the efficiency of several search engines. A query search on a search engine is modelled as a production process. The input and output vectors are defined and measured accordingly. We studied seven engines, Alta Vista, Excite, Hotbot, Lycos, Infoseek, Open Text, and WebCrawler and found that Alta Vista, Excite, Infoseek, and WebCrawler are efficient but the other three are not. Possible efficiency improvements are calculated.     

Inflation persistence during periods of structural change: an assessment using Greek data

The paper estimates inflation persistence in Greece from 1975 to 2003, a period of high variation in inflation and changes in policy regimes. Two empirical methodologies, univariate autoregressive (AR) modelling and second-generation random coefficient (RC) modelling, are employed to estimate inflation persistence. The empirical results from all the procedures suggest that inflation persistence was high till 1996, while it started to decline after 1997, when inflationary expectations seem to have been stabilised, and thus, monetary policy was effective at reducing inflation. Empirical findings also detect a sluggish response of inflation to changes in monetary policy. This observed delay seems to have changed little over time.

Environmental taxes with heterogeneous consumers: an application to energy consumption in France

This paper constructs a model with four groups of households who have preferences over labor supply, consumption of polluting (energy related) and non-polluting (non-energy) goods, and emissions. It quantifies the model for the French economy and computes its optimal tax equilibria under nine second-best tax regimes. We find that the redistributive role of environmental taxes requires the polluting goods to be taxed at a rate much below their marginal social damage. These goods may even require an outright subsidy if the society values equality ‘a lot’. Secondly, if environmental taxes that have an exclusively externality-correcting role, they benefit all types—although the gains are rather modest. The gains and losses become more substantial when environmental taxes have a redistributive role as well. Third, setting the environmental tax at its Pigouvian level, rather than its optimal externality-correcting-cum-redistributive level, benefits the high-income group at the expense of the low-income groups. Fourth, nonlinear taxation of polluting goods, and nonlinear commodity taxation in general, is a powerful redistributive mechanism. Fifth, introducing environmental taxes in the current French tax system, with its suboptimal income taxes, results in substantial welfare gains for the highest income group and a sizable loss for the least well-off persons.     

An analysis of asymmetric demand response to price changes: The case of local telephone calls

Asymmetric demand responses to price changes are not an observable implication of classical demand theory, which predicts that consumers will react to a small price increase in much the same way as they do to a small price decrease. Yet applied researchers have long speculated that consumers are more sensitive to price increases than they are to price decreases. In addition, recent empirical studies generally support the theory of asymmetric demand responses. We construct a dynamic model based on data gathered from monthly telephone bills for 128 New York Telephone customers over a five-year period. Our results support the conclusion that customers react more quickly and strongly when prices go up than they do when prices go down.We would like to thank Manny Haas and Bernie Reddy for their comments and suggestions.     

The US retail demand for fish products: an application of the almost ideal demand system

The main objective is to address the limitations of past US fish demand research through the development of a variation of the almost ideal demand system model for disaggregate fish products at the retail level. Price and expenditure elasticities, as well as elasticities of substitution between fish products and other protein commodities, determined from this work may be used in the context of fisheries management and market development and promotion. Results indicate that with the exception of shellfish, demand for the various fish products is relatively inelastic. Cross-price elasticities are generally moderate while expenditure elasticities are large and positive for fresh fish and shellfish. Demographic effects, especially geographical division, season, race, occupation, age–sex household composition, and price–income interaction, as a proxy for quality, are highly significant variables.