The value of imperfect sample separation information in mixtures of normal distributions

This paper conducts a Monte Carlo study in order to evaluate the value of information in a normal mixture model when an imperfect sample separation indicator is available. For a variety of cases, computations are done on the ratios of asymptotic variances of the parameter estimators when sample separation is known versus when only the indicator is available. This study is patterned closely on a paper by Schmidt (1981), and obtains similar results when parameters appearing in Schmidt's model are allowed to vary. The new results here focus on the importance of the probabilities that the regime indicator is correct, for each of the two possible regimes.     

International Evidence on the Determinants of Private Saving

A broad set of possible determinants of private saving behavioris examined using data for a large sample of industrial anddeveloping countries. Both time-series and crosssectional estimatesare obtained. Results suggest that there is a partial offseton private saving of changes in public saving and (for developingcountries) in foreign saving, that demographics and growth areimportant determinants of private saving rates, and that interestrates and terms of trade have positive, but less robust, effects.Increases in per capita gross domestic product seem to increasesaving at low income levels (relative to the United States)but decrease it at higher ones.     

Forecasting electricity spot prices using time-series models with a double temporal segmentation

The French wholesale market is set to expand in the next few years under European pressure and national decisions. In this article, we assess the forecasting ability of several classes of time-series models for electricity wholesale spot prices at a day-ahead horizon in France. Electricity spot prices display a strong seasonal pattern, particularly in France, given the high share of electric heating in housing during winter time. To deal with this pattern, we implement a double temporal segmentation of the data. For each trading period and season, we use a large number of specifications based on market fundamentals: linear regressions, Markov-switching (MS) models and threshold models with a smooth transition. An extensive evaluation on French data shows that modelling each season independently leads to better results. Among nonlinear models, MS models designed to capture the sudden and fast-reverting spikes in the price dynamics yield more accurate forecasts. Finally, pooling forecasts give more reliable results.     

On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting

This article documents the conditional and unconditional distributions of the realized volatility for the 2008 futures contract in the European climate exchange (ECX), which is valid under the EU emissions trading scheme (EU ETS). Realized volatility measures from naive, kernel-based and subsampling estimators are used to obtain inferences about the distributional and dynamic properties of the ECX emissions futures volatility. The distribution of the daily realized volatility in logarithmic form is shown to be close to normal. The mixture-of-normals hypothesis is strongly rejected, as the returns standardized using daily measures of volatility clearly departs from normality. A simplified HAR-RV model (Corsi in J Financ Econ 7:174–196, 2009) with only a weekly component, which reproduces long memory properties of the series, is then used to model the volatility dynamics. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts, which confirms the HAR-RV superior ability.     

The rate of learning‐by‐doing: estimates from a search‐matching model

We construct and estimate by maximum likelihood a job search model where wages are set by Nash bargaining and idiosyncratic productivity follows a geometric Brownian motion. The proposed framework enables us to endogenize job destruction and to estimate the rate of learning‐by‐doing. Although the range of the observations is not independent of the parameters, we establish that the estimators satisfy asymptotic normality. The structural model is estimated using Current Population Survey data on accepted wages and employment durations. We show that it accurately captures the joint distribution of wages and job spells. We find that the rate of learning‐by‐doing has an important positive effect on aggregate output and a small impact on employment. Copyright © 2009 John Wiley & Sons, Ltd.     

Properties of a Risk Measure Derived from Ruin Theory

This paper studies a risk measure inherited from ruin theory and investigates some of its properties. Specifically, we consider a value-at-risk (VaR)-type risk measure defined as the smallest initial capital needed to ensure that the ultimate ruin probability is less than a given level. This VaR-type risk measure turns out to be equivalent to the VaR of the maximal deficit of the ruin process in infinite time. A related Tail-VaR-type risk measure is also discussed.     

PV adoption: the role of distribution tariffs under net metering

Journal of Regulatory Economics - The deployment of decentralized productions units (DPU) like rooftop solar panels is a major challenge for a transition towards greener energy sources. Under a net...     

Bidding for money

We analyze monetary exchange in a model that allows for directed search and multilateral matches. We consider environments with divisible goods and indivisible money, and compare the results with those in models that use random matching and bilateral bargaining. Two different pricing mechanisms are used: ex ante price posting, and ex post bidding (auctions). Also, we consider settings both with and without lotteries. We find that the model generates very simple and intuitive equilibrium allocations that are similar to those with random matching and bargaining, but with different comparative static and welfare properties.     

Collateral,bank monitoring and firm performance: the case of newly established wine‐farmers

The present study aims to learn how collateral affects firm performance in the case of newly established wine producers. The issue is to identify the effects of collateral in situations of asymmetric information when the bank is the main financial partner of the entrepreneurs involved. On one hand, the use of collateral may reduce the risk of overinvestment by entrepreneurs and thereby reduce the risk of repayment default. On the other hand, collateral may induce bad performance linked to a reduced monitoring of the investments by the bank. We herein test both hypotheses in two different cases: when the bank monitors the investments and when the bank does not.