A time series approach to study the dynamic effects of bilateral trade agreements

International Economics and Economic Policy - In this work, the effects of 103 bilateral regional trade agreements (RTAs: partial scope agreements — PSAs — and free trade agreements...     

Pandemic effects in the Solow growth model

We show how diseases can affect economic growth in a Solow growth model, with population growth and no technical progress, but modified to include a saving rate that depends on the individual health status. We successively insert this model into the SIS (susceptible–infected–susceptible) and SIR (susceptible–infected–recovered) models of disease spreading. In these two models, the spread of the infection proceeds according to the so-called basic reproductive number. This number determines in which of the two possible equilibria, the disease-free or the pandemic equilibrium, the economy ends. We show that output per capita is always lower in the pandemic steady state, which implies a contraction in the economy's production possibilities frontier.     

On measuring speculative and hedging activities in futures markets from volume and open interest data

This article provides a critical assessment of the line of research that measures speculative and hedging activities in futures markets from volume and open interest data. It makes several contributions. First, a detailed theoretical analysis of the measures proposed in the previous literature as proxies for speculative activity clarifies the circumstances in which they fail, as well as the assumptions that have to be made, when they are used as intended. Second, we propose a new way of combining the volume and the open interest figures, which provides additional information regarding the type of trading activity that takes place in the market on a given date. Finally, we analyse empirically the basic statistical properties of all the ratios when they are applied to real data for some of the stock index futures contracts most actively traded in the world. This empirical analysis shows the diverse behaviour of the ratios when they are applied to a common sample of real data, which confirms our previous theoretical findings. Our contributions should be taken into account when any of the measures is used as a proxy for the relative importance of speculative demand in empirical analyses.     

Sparse Partial Least Squares in Time Series for Macroeconomic Forecasting

Factor models have been applied extensively for forecasting when high‐dimensional datasets are available. In this case, the number of variables can be very large. For instance, usual dynamic factor models in central banks handle over 100 variables. However, there is a growing body of literature indicating that more variables do not necessarily lead to estimated factors with lower uncertainty or better forecasting results. This paper investigates the usefulness of partial least squares techniques that take into account the variable to be forecast when reducing the dimension of the problem from a large number of variables to a smaller number of factors. We propose different approaches of dynamic sparse partial least squares as a means of improving forecast efficiency by simultaneously taking into account the variable forecast while forming an informative subset of predictors, instead of using all the available ones to extract the factors. We use the well‐known Stock and Watson database to check the forecasting performance of our approach. The proposed dynamic sparse models show good performance in improving efficiency compared to widely used factor methods in macroeconomic forecasting. Copyright © 2014 John Wiley & Sons, Ltd.     

Distortions,factor proportions and efficiency losses: Argentina in the latin american scenario

Zusammenfassung Verzerrungen, Faktorproportionen und Effizienzverluste: Argentinien im lateinamerikanischen Szenario. - Dieser Aufsatz verfolgt einen doppelten Zweck. Erstens werden Faktormarktverzerrungen quantitativ gesch?tzt und ihre Auswirkungen auf die Besch?ftigung mit einer Simulation ermittelt, wobei eine einfache Verhaltensgleichung des partiellen Gleichgewichts benutzt wird. Zweitens wird eine aggregierte Sch?tzung des Effizienzverlustes vorgelegt, der auf Verzerrungen auf den Faktor- und Güterm?rkten zurückgeführt werden kann. Die Analyse bezieht sich auf den gewerblichen Sektor Argentiniens. Anschlie\end werden die Sch?tzungen mit ?hnlichen Sch?tzungen für andere lateinamerikanische Staaten verglichen. Die Ergebnisse deuten darauf hin, da\ von der Wirtschaftspolitik hervorgerufene Verzerrungen in signifikantem Ausma\ die Besch?ftigungsm?glichkeiten verringert und au\erdem zu beunruhigend hohen Effizienzverlusten geführt haben.

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Résumé Distorsions, proportions de facteur et pertes d’efficacité: L’Argentine en scénario latinoamericain. - Le but de cet article est de deux sortes. D’abord, l’auteur présente des estimations quantitatives des distorsions au marché de facteur et il simule leurs effets sur l’emploi en applicant une simple équation de comportement de l’équilibre partiel. Puis, l’auteur donne une estimation agrégée de la dimension de la perte d’efficacité qu’on peut attribuer aux distorsions aux marchés de bien et de facteur. L’analyse est faite pour le secteur manufacturier argentin, et les estimations sont comparées avec des similaires analyses faites pour d’ autres pays latinoamericains. Les résultats suggèrent que les distorsions induites par la politique ont réduit des possibilités d’emploi d’une manière significative et de même causé des pertes d’efficacité aux dimensions alarmantes.

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Resumen Distorsiones, proportión de factures y pérdida de eficiencia: Argentina en el contexte latinoamericano. - El objetivo de este trabajo es doble. Primero se presentan estimaciónes cuantitativas de distorsiones en los mercados de factures y se simula su impacto sobre el empleo, utilizando una simple ecuaci?n de comportamiento de equilibrio parcial. En segundo lugar se provee una estimation agregada de la magnitud de la pérdida de eficiencia atribuída a distorsiones en el mercado de factores y en el de bienes. El analisis comprende el sector manufacturera argentino; las estimaciónes son comparadas con estimaci?nes similares para otros pafses latinoamericanos. Los resultados obtenidos sugieren que las distorsiones inducidas por la politica econ?mica redujeron las oportunidades de empleo de manera significativa, y que también dieron lugar a pérdidas de eficiencia alarmantes.

     

The new Spanish system of intergovernmental transfers

This article analyses the workings of the new Spanish system of intergovernmental transfers, which has been in operation since 2009, and compares its expected effects with those of the model that was in force until 2008. The paper considers the effects of the new model at the base year of application and the growth over time of these effects. On the positive side, the reform has significantly reduced the dispersion of the distribution of regional resources per capita. On the negative side, the system has become very complex and obscure regarding the distribution criteria it uses; also, of the five (1987, 1992, 1997, 2002, 2009) major revisions of the system, this is the most expensive.     

Contraste de la ley de Gibrat en la banca comercial brasileña

In recent years Brazil has been one of the countries with major changes in the banking sector. The deregulation process that has taken place since 2002 has brought an increased presence of foreign banks and higher competition, among other aspects. In this context, the objective of this study is to analyze Gibrat's law on Brazilian commercial banks over the period 2002-2013 with the aim of providing evidence for the construction of a banking growth model which guide the country's financial policy. To that end, we employ a methodology based on quartile regressions as a contribution to previous literature. Our overall results reveal the existence of a non-lineal relationship between growth and banks size with an inverted U-shape. These findings allow us to affirm that the relative dispersion of banks size, as well as the sector's concentration, will be reduce in the future years.     

A note on the “size” of determinacy and indeterminacy

Summary. It is shown in this note that in an incomplete markets economy with uncountably many states of the world there may be uncountably many isolated equilibria as well as uncountably many non-isolated equilibria. Moreover, both subsets can be simultaneously of second category. Therefore, none of the subsets can be considered negligible with respect to the other, neither from a cardinality point of view nor from a topological one. Unfortunately, this fact prevents from claiming that these economies may have “typically” determinate equilibria – even though uncountably many of them – as would have been desirable for comparative statics exercises. Received: May 19, 1995; revised version: March 24, 1997     

External Financial Fragility and Capital Flight in Mexico

Mexico suffered capital flight from 1973 up to 1988 practically without interruption. This paper attempts to evaluate the real cost to Mexico of capital flight. A simple macro-economic model is specified on whose basis an estimate of this cost is attempted. It is found that the cost of this capital flight has been enormous. It gave rise to over-indebtedness when financing was still available from external sources, and it entailed short- and long-term losses of output which the country might have generated. The loss of output was estimated at between 1.5% and 2.5% of the total GDP for the period 1973–1991, between 0.9% and 2% for the 1982–1991 period, and between 3.1% and 5.7% for the 1982–1988 adjustment period.