Un teorema limite locale per somme di numeri aleatori scambiabili

In questa nota viene presentata una condizione affinché valga la convergenza locale verso la gaussiana nel caso di numeri aleatori scambiabili.     

Can evidence of pricing power help market power assessment? Broadband Internet in Ireland and the Netherlands

This article proposes a simple hedonic price test to assess whether firms may have pricing power. The test allows NRAs to compare prices of providers of differentiated products on a like-for-like basis. Testing for pricing power could be a useful complement to market share analysis. This is especially the case in market reviews periodically undertaken by European communications regulators. As an illustration the test was applied to broadband Internet access services in Ireland and the Netherlands. Results appear encouraging as they are broadly aligned to the decisions of the regulatory authorities in both countries that the incumbent DSL operators had market power at the time.     

Labor Income and Predictable Stock Returns

We propose a novel economic mechanism that generates stock returnpredictability in both the time series and the cross-section.Investors’ income has two sources, wages and dividendsthat grow stochastically over time. As a consequence the fractionof total income produced by wages fluctuates depending on economicconditions. We show that the risk premium that investors requireto hold stocks varies with these fluctuations. A regressionof stock returns on lagged values of the labor income to consumptionratio produces statistically significant coefficients and largeadjusted R²s. Tests of the model’s cross-sectional predictionson the set of 25 Fama–French portfolios sorted on sizeand book-to-market are also met with considerable support.     

Scale effects in endogenous growth theory: an error of aggregation not specification

Modern Schumpeterian growth theory focuses on the product line as the main locus of innovation and exploits endogenous product proliferation to sterilize the scale effect. The empirical core of this theory consists of two claims: (i) growth depends on average employment (i.e., employment per product line); (ii) average employment is scale invariant. We show that data on employment, R&D personnel, and the number of establishments in the US for the period 1964–2001 provide strong support for these claims. While employment and the total number of R&D workers increase with no apparent matching change in the long-run trend of productivity growth, employment and R&D employment per establishment exhibit no long-run trend. We also document that the number of establishments, employment and population exhibit a positive trend, while the ratio employment/establishment does not. Finally, we provide results of time series tests consistent with the predictions of these models.     

Do larger severance payments increase individual job duration?

This paper analyzes the effect of severance payments on the probability of separation at given tenure, wages and other individual and firm characteristics. It studies a mandatory deferred wage scheme of the Italian labour market (Trattamento di Fine Rapporto, TFR). Deferred wages increase job duration if two conditions hold: wages are rigidly set outside the employer-employee relationship, and past provisions are accumulated at interest rates that are below market rates. Under such circumstances, workers who withdraw from their accumulated stock of unpaid wages should experience, at given tenure, a subsequent increase in the probability of separation. This prediction appears empirically robust and quantitatively sizeable. A withdrawal of 60% of the TFR stock (the median observed withdrawal) increases the instantaneous hazard rate by almost 20%. In other words, an individual with at least ten years of tenure that experiences an early withdrawal increases his/her hazard rate from 10% to about 12%. The empirical result takes into account the existence of unobserved heterogeneity and a variety of further robustness tests.