A Simulation Approach to Nonparametric Empirical Bayes Analysis

We deal with general mixture of hierarchical models of the form m(x) = f_øf(x |θ) g (θ)dθ , where g(θ) and m(x) are called mixing and mixed or compound densities respectively, and θ is called the mixing parameter. The usual statistical application of these models emerges when we have data x_i, i = 1,…,n with densities f(x_i|θ_i) for given θ_i, and the θ₁ are independent with common density g(θ) . For a certain well known class of densities f(x |θ) , we present a sample-based approach to reconstruct g(θ) . We first provide theoretical results and then we use, in an empirical Bayes spirit, the first four moments of the data to estimate the first four moments of g(θ) . By using sampling techniques we proceed in a fully Bayesian fashion to obtain any posterior summaries of interest. Simulations which investigate the operating characteristics of our proposed methodology are presented. We illustrate our approach using data from mixed Poisson and mixed exponential densities.     

Cointegration modeling of interrelated factor demands: With an application to labor–import substitution in the European Union

In this paper we present techniques for cointegration modeling of interrelated factor demands. These techniques respect the non-stationary character of the price and quantity data, and permit specification of general, dynamic factor demand models based on error correction forms derived from cointegration. Therefore, we do not have to assume ad hoc dynamic forms. Moreover, we ensure that estimated relations are structural, and not spurious. Cointegrating vectors are estimated subject to all standard economic theory restrictions by using a procedure, which we call dynamic SUR. We show how consistent error correction models can be specified and estimated. In addition, we test the neoclassical restrictions both in the short- and the long run. The new methods are used to shed light on the major problem of the European Union (unemployment) and its relationship with imports. The empirical analysis is conducted for five countries of the European Union with an emphasis to the south: The UK, France, Greece, Italy, and Spain.     

STORABLE GOOD MARKET WITH INTERTEMPORAL COST VARIATIONS

We investigate a firm's dynamic pricing policy in a storable good market where the cost of production varies over time. In anticipation of a cost increase, the firm selects its prices to affect consumer storage. Price dynamics hinge upon the curvature of demand and the magnitude of the consumer storage cost. When demand is not too convex, the consumers' reluctance to store leads the firm to reduce prices to stimulate consumer storage. This shapes the firm's cost pass-through and the price commitment effects. Our analysis provides a novel explanation for the well-documented puzzling patterns of incomplete and negative cost pass-through.     

The option to expand to a next generation access network infrastructure and the role of regulation in a discrete time setting: A real options approach

Serious concerns have been raised, especially across Europe, about the role of regulation in network infrastructure investments. More specifically, the installation of optical fiber closer to customer premises, the so-called next generation access networks, requires massive investments in the face of demand and regulatory uncertainty. The purpose of this paper is to assess whether specific regulatory scenarios (permanent regulation, regulatory forbearance, regulatory holidays and sunset clauses) alter the timing of the investment decision of an incumbent to expand to a new network infrastructure exploiting the binomial lattice approach from real options analysis.     

Assessing the Transmission of Monetary Policy Using Time‐varying Parameter Dynamic Factor Models*

This article extends the current literature which questions the stability of the monetary transmission mechanism, by proposing a factor‐augmented vector autoregressive (VAR) model with time‐varying coefficients and stochastic volatility. The VAR coefficients and error covariances may change gradually in every period or be subject to abrupt breaks. The model is applied to 143 post‐World War II quarterly variables fully describing the US economy. I show that both endogenous and exogenous shocks to the US economy resulted in the high inflation volatility during the 1970s and early 1980s. The time‐varying factor augmented VAR produces impulse responses of inflation which significantly reduce the price puzzle. Impulse responses of other indicators of the economy show that the most notable changes in the transmission of unanticipated monetary policy shocks occurred for gross domestic product, investment, exchange rates and money.     

ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY

In a unified framework, we examine four sources of uncertainty in exchange rate forecasting models: (i) random variations in the data, (ii) estimation uncertainty, (iii) uncertainty about the degree of time variation in coefficients, and (iv) uncertainty regarding the choice of the predictor. We find that models that embed a high degree of coefficient variability yield forecast improvements at horizons beyond one month. At the one‐month horizon, and apart from the standard variance implied by unpredictable fluctuations in the data, the second and third sources of uncertainty listed above are key obstructions to predictive ability. The uncertainty regarding the choice of the predictors is negligible.     

Inflation,Monetary Policy and Reserve Requirement Ratio Adjustments in China

This study examines the relationship between inflation rate and reserve requirement ratio in China. Our findings show that there is a long-term relationship between reserve requirement ratio and inflation rate. In the short-run, the central bank adjusts the reserve requirement ratio upwards faster than they adjust them downwards. The asymmetric adjustment reflects the fact the Chinese economy was overheating over the past few years as a result of the stimulus package implemented after the onset of the global financial crisis and inflation was threatening the stability of the society.     

Techno-economic evaluation of 3G and beyond mobile business alternatives

Three business case scenarios in the context of emerging mobile access network technologies and business players have been studied and the economical results are presented. The aim is to cover some of the most interesting business alternatives in providing the new 3G and beyond services including cases where the operator may have an existing second-generation cellular network or not, and a license for the 3G UMTS network or not. The scenarios have been analyzed in different Western European country groups that are not exactly representative of any defined country, but rather share typical demographic characteristics. Investments and operational expenditures are identified and the results show how diverse business models and technologies lead to different revenue, cost, and profitability profiles. The business case scenarios include incumbent’s 3G evolution with UMTS compared to an alternative 3G technology deployment with mobile WiMAX, new entrant’s UMTS deployment business case, and a greenfield CDMA450 deployment business case.     

Importance and Need for Rural Development Instruments Under the CAP: A Survey of Farmers' Attitudes in Marginal Areas of Greece

The present work assesses the attitudes towards importance and need for providing agricultural development instruments other than traditional grant aid mechanisms in rural areas. Assistance in marketing farm produce, provision of extension services on new agricultural technology, agricultural training and provision of quality standards are four of the instruments examined. The importance and need for providing these instruments depends upon producers' human capital accumulation and farm characteristics. The analysis indicates that different instruments may apply to different parts of the rural population and thus a flexible, multi-instrument and selective rural development policy may be required.