Browsing Department of Economics (ECO) by Issue Date

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Browsing Department of Economics (ECO) by Issue Date

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    Title: Granger-Causal Analysis of VARMA-GARCH Models  Author(s): WOŹNIAK, Tomasz Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Recent economic developments have shown the importance of spillover and contagion effects in financial markets. Such effects are not limited to relations between the levels of financial variables but also impact on their ...
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    Title: Governance for the Eurozone. Integration or disintegration?  Author(s): ALLEN, Franklin; CARLETTI, Elena; SIMONELLI, Saverio Date: 2012 Type of Publication: Book
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    Title: Network Structure Matters: Applications to R&D collaboration, collusion, and online communication networks  Author(s): KORKMAZ, Gizem Date: 2012 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: This thesis studies the interplay between network structure and strategic decision making given the backdrop of economic and social networks. The first two chapters study how firms’ incentives to invest in costly R&D are ...
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    Title: Markov-Switching Vector Autoregressive Models: Monte Carlo experiment, impulse response analysis, and Granger-Causal analysis  Author(s): DROUMAGUET, Matthieu Date: 2012 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: This dissertation has for prime theme the exploration of nonlinear econometric models featuring a hidden Markov chain. Occasional and discrete shifts in regimes generate convenient nonlinear dynamics to econometric models, ...
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    Title: Market regulation and firm performance : the case of smoking bans in the United Kingdom  Author(s): ADDA, Jérôme; BERLINSKI, Samuel; MACHIN, Stephen Date: 2012 Type of Publication: Article Abstract: This paper analyzes the effects on firms of a ban on smoking in public places. Our empirical strategy relies on comparing outcomes in Scotland before and after the Scottish smoking ban (introduced in March 2006) with those ...
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    Title: On the Predictability of Time-Varying VAR and DSGE Models  Author(s): BEKIROS, Stelios D.; PACCAGNINI, Alessia Date: 2012 Type of Publication: Article Abstract: Over the last few years, there has been a growing interest in DSGE modelling for predicting macroeconomic fluctuations and conducting quantitative policy analysis. Hybrid DSGE models have become popular for dealing with ...
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    Title: Financial Markets as a Commitment Device for the Government  Author(s): SIMON, Jenny Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: How does the presence of financial markets shape the government's ability to implement social redistribution? Individuals do not typically constrain consumption to equal their net-of-tax income every period. Instead, access ...
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    Title: Strategic Campaigning with Vote and Turnout Buying: Theory and evidence  Author(s): CASAS, Agustin Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: In this paper, I model the relationship between potential voters and a politician, who can pay citizens to vote for him – vote buying – or to show up to vote – turnout buying. This model is used to explore the optimal ...
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    Title: Reaction to Technology Shocks in Markov-Switchings Structural VARs: Identification via heteroskedasticity  Author(s): NETŠUNAJEV, Aleksei Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The paper reconsiders the conflicting results in the debate connected to the effects of technology shocks on hours worked in the bivariate system. Given major dissatisfaction with the just-identifying long-run restrictions, ...
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    Title: Financial Constraints, Financial Shocks, and Business Cycle Accounting  Author(s): RIMARCHI, Massimiliano Date: 2012 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: This thesis features three closely related chapters investigating the role of the investment wedge in affecting macroeconomic fluctuations. The first chapter shows that the Business Cycle Accounting (BCA) methodology is ...
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    Title: Banking across Borders: Evidence and implications  Author(s): NIEPMANN, Friederike Date: 2012 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: This thesis sheds light on the motives, the nature and the implications of banking across borders. In Chapter 1, co-authored with Tim Schmidt-Eisenlohr, I examine the challenges that increased financial integration presents ...
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    Title: The Impacts of Housing Derivatives Trading on the Housing Market  Author(s): ULUC, Arzu Date: 2012 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: Housing is the largest asset class in the world. However, in contrast to other major asset classes, including stocks and bonds, it does not have a well-developed derivatives market. In fact, housing derivatives can provide ...
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    Title: Essays on Sovereign Default and the Link with the Domestic Economy  Author(s): ANDREASEN, Eugenia Date: 2012 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: This thesis studies the causes and consequences of sovereign defaults focusing on non traditional links between sovereign default and the domestic economy: the impact of sovereign defaults on the external financial conditions ...
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    Title: Referral Networks and the Allocation of Talent  Author(s): POTHIER, David Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We study a model of occupational choice where workers must rely on their social contacts to acquire job vacancy information. Contrary to the existing literature, we allow for worker heterogeneity in terms of their idiosyncratic ...
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    Title: Financial Intermediation, Markets, and Alternative Financial Sectors  Author(s): ALLEN, Franklin; CARLETTI, Elena; QIAN, Jun 'QJ'; VALENZUELA, Patricio Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We provide a comprehensive review of firms’ financing channels (internal and external, domestic and international) around the globe, with the focus on alternative finance—financing from all the nonmarket, non-bank external ...
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    Title: The Career Costs of Children  Author(s): ADDA, Jérôme; DUSTMANN, Christian; STEVENS, Katrien Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper analyzes the life-cycle career costs associated with child rearing and decomposes their effects into unearned wages (as women drop out of the labor market), loss of human capital, and selection into more ...
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    Title: La crisis del euro. De Atenas a Madrid  Author(s): BORRELL, José; MISSÉ, Andreu Date: 2012 Type of Publication: Book Abstract: Tres años después de la quiebra de Lehman Brothers el panorama económico internacional parece desolador. Las primas de riesgo de España e Italia han llegado a superar los 400 puntos básicos, las perspectivas de crecimiento ...
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    Title: Granger-Causal Analysis of Conditional Mean and Volatility Models  Author(s): WOŹNIAK, Tomasz Date: 2012 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: Recent economic developments have shown the importance of spillover and contagion effects in financial markets as well as in macroeconomic reality. Such effects are not limited to relations between the levels of variables ...
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    Title: Financial Crisis Resolution  Author(s): SCHROTH, Josef Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: This paper studies a dynamic version of the Holmstrom-Tirole model of intermediated finance. I show that competitive equilibria are not constrained efficient when the economy experiences a financial crises. A pecuniary ...
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    Title: Optimal Debt Bias in Corporate Income Taxation  Author(s): SIMON, Jenny Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: I present a rationale for a government to discriminate between debt and equity financing when taxing corporate income. For risk-averse entrepreneurs, equity generates more surplus than debt, because it provides financing ...