Passenger satisfaction: a multi-group analysis

To analyse the level of passenger satisfaction of a public local transport service, after an explorative factorial analysis, a Structural Equation Model was adopted. The main goal of this paper is to verify how much some service characteristics could influence the perceived quality of the service. The passengers are found very sensitive to the level of the service organization and to the way the service is delivered (punctuality and regularity, and short waiting time). The safety and reliability of buses, the level of comfort and cleanness and the professionalism and courtesy of staff had, also, a big weight to determinate of the customer satisfaction. Applying a further analysis on different sub-samples, based on individual characteristics, we found that the model above identified is full invariant for different residence area and frequency of use of the service, and partially invariant for age groups, employment status, time slot of use and reason of use. The test of invariance the structural coefficients failed considering gender or education level of the passengers.     

Monotonicity preserving regression techniques for interest rate term structure estimation: A note

Alternative methodologies are compared for measuring the term structure of interest rates via monotone approximations to the discount function. Some empirical comparisons using coupon bond data show that a simple linear methodology based on rational tension spline parametrizations turns out to yield the most efficient compromise between the conflicting goals of goodness of fit and smoothuess of the interpolaut Work supported by M.U.R.S.T. funds.     

Sul problema del reimpiego dei margini in operazioni finanziarie

Si considerano, in versione discreta, tre forme di operazioni finanziarie con reimpiego dei margini, e, con ipotesi non molto restrittive, si dà una valutazione analitica e diretta di parametri finanziari coinvolgenti i margini, senza bisogno di conoscerne le espressioni esplicite. Sul risultato economico attualizzato (r.e.a.) (v) per l'investitore dell'operazione finanziaria, valutato con fattore di sconto periodalev, si trovano poi formule che danno sue limitazioni inferiori e superiori, e, in un caso particolare, il suo valore esatto: ad illustrazione di ciò vengono dati alcuni semplici esempi numerici.

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Summary Three kinds of discrete financial operations involving reinvestment of net margins are considered.With no restrictions a direct analytical evaluation of financial parameters involving margins is then given. This needs not to know their explicit expressions.Formulas are then given for the discounted cash flow (d.c.f.) of the financial operation. This allows to obtain simple lower and upper bounds, and, at least in onc case, its exact value.Some simple numerical examples are shown.

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La ricerca à stata finanziata con fondi M.U.R.S.T.     

Bond market co-movements,expected inflation and the GBP-USD equilibrium real exchange rate

Since the end of the fixed rates in 1973 and after the European Monetary System (EMS) sterling dismissal in 1992, the value of the pound has undergone large cyclical fluctuations on average. Of particular interest to policy makers is the understanding of whether such movements are consistent with the lack or not of a correction mechanism to some long-run equilibrium. The purpose of the present study is to understand those dynamics, how the external value of the British sterling (GBP) relative to the US dollar (USD) evolved during the recent floating experiences, and what have been the driving forces. In this paper we assume the real exchange rate to be determined by forces relating to the goods and capital market in a general equilibrium framework. This entails testing the purchasing power parity (PPP) and the uncovered interest parity (UIP) together. In doing so, we model inflation expectations explicitly. Our findings have two important implications, both for monetary policy. First, we show that some of the observed changes in the bilateral real exchange rate cannot be solely attributed to changes in inflation rates, but, also to capital markets. Secondly, we find a weaker behavior of the US bond rate on international markets, possibly explained by the special US dollar status of World reserve currency.     

SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES

The Black-Scholes (1973) model frequently misprices deep-in-the-money and deep-out-of-the-money options. Practitioners popularly refer to these strike price biases as volatility smiles. In this paper we examine a method to extend the Black-Scholes model to account for biases induced by nonnormal skewness and kurtosis in stock return distributions. The method adapts a Gram-Charlier series expansion of the normal density function to provide skewness and kurtosis adjustment terms for the Black-Scholes formula. Using this method, we estimate option-implied coefficients of skewness and kurtosis in S&P 500 stock index returns. We find significant nonnormal skewness and kurtosis implied by option prices.     

Climate Policy with Tied Hands: Optimal Resource Taxation Under Implementation Lags

In this paper we present a Stackelberg differential game to study the dynamic interaction between a polluting firm and a regulator who sets pollution limits overtime. At each time, the firm settles emissions taking into account the fine for non-compliance with the pollution limit, and balances current costs of investments in a capital stock which allows for future emission reductions. We derive two main results. First, we show that the optimal pollution limit decreases as the capital stock increases, while both emissions and the level of non-compliance decrease. Second, we find that offering fine discounts in exchange for firm’s capital investment is socially desirable. We numerically obtain the optimal value of such discount, which crucially depends on the severity of the fine. In the limiting scenario with a very large severity of the fine, the optimal discount implies that no penalties are levied, since the firm shows adequate adaptation progress through capital investment.     

Financial intermediation and growth: causality and causes without outliers

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.

Market power under income polarization

We study the reaction of a monopolistic firm to distributive shocks which lead to income polarization. We show that the movements in the set price and in the sold quantity depend on the served market share. In particular, we identify a region of parameters where the optimal markup moves in the opposite direction of market demand: in this respect, distributive shocks can provide an explanation for countercyclical movements of the markup.