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: A survey of econometric methods for mixed-frequency data  Author(s): FORONI, Claudia; MARCELLINO, Massimiliano Date: 2013 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The development of models for variables sampled at different frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including ...
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    Title: Three essays on frictional labour markets  Author(s): POTHIER, David Date: 2013 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: This thesis contributes to the understanding of how socio-economic factors affect the functioning of modern labour markets. It belongs to the strand of academic literature that departs from the standard Walrasian model of ...
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    Title: Structural vector autoregressions with Markov switching : identification via heteroskedasticity  Author(s): NETŠUNAJEV, Aleksei Date: 2013 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: Structural vector autoregressions are of great importance in applied macroeconometric work. The main di culty associated with structural analysis is to identify unique shocks of interest. In a conventional approach this ...
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    Title: Risk-sharing and contagion in networks  Author(s): CABRALES, Antonio; GOTTARDI, Piero; VEGA-REDONDO, Fernando Date: 2013 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The aim of this paper is to investigate how the capacity of an economic system to absorb shocks depends on the specific pattern of interconnections established among financial firms. The key trade-off at work is between ...
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    Title: The multiscale causal dynamics of foreign exchange markets  Author(s): BEKIROS, Stelios; MARCELLINO, Massimiliano Date: 2013 Type of Publication: Article Abstract: This paper relies on wavelet multiresolution analysis to investigate the dependence structure and predictability of currency markets across different timescales. It explores the nature and direction of causality among the ...
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    Title: Deposits and bank capital structure  Author(s): ALLEN, Franklin; CARLETTI, Elena Date: 2013 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: In a model with bankruptcy costs and segmented deposit and equity markets, we endogenize the choice of bank and firm capital structure and the cost of equity and deposit finance. Despite risk neutrality, equity capital is ...
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    Title: Essays on wage inequality from a macroeconomic perspective  Author(s): FORSTNER, Susanne Date: 2013 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: This thesis contains two chapters on the sources of residual wage inequality. The first chapter contributes to attempts to explain the increase in wage inequality in the U.S. labor market over the past few decades. I address ...
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    Title: A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables  Author(s): FORONI, Claudia; MARCELLINO, Massimiliano Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Forecast models that take into account unbalanced datasets have recently attracted substantial attention. In this paper, we focus on different methods pro- posed so far in the literature to deal with mixed-frequency and ...
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    Title: Common Drifting Volatility in Large Bayesian VARs  Author(s): CARRIERO, Andrea; CLARK, Todd E.; MARCELLINO, Massimiliano Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common ...
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    Title: Exit from a Monetary Union through Euroization: Discipline without chaos  Author(s): COOPER, Russell Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper studies the role of exit from a monetary union during a debt crisis. A monetary union, such as the European Monetary Union, needs to establish a procedure for exit as a tool to cope with debt default. The paper ...
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    Title: Bayesian Testing of Granger Causality in Markov-Switching VARs  Author(s): DROUMAGUET, Matthieu; 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 as well as in macroeconomic reality. Such effects are not limited to relations between the levels of variables ...
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    Title: Single Equation Instrumental Variable Models: Identification under discrete variation  Author(s): SMOLINSKI, Konrad Date: 2012 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: Over the last decade, substantial interest in theoretical econometrics and microeconometrics has been directed towards nonparametric models. Much work has been devoted to the development of novel identification and estimation ...
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    Title: The Economic Impact of Merger Control Legislation  Author(s): CARLETTI, Elena; HARTMANN, Philipp; ONGENA, Steven Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We construct a unique dataset of legislative reforms in merger control legislation that occurred in nineteen industrial countries in the period 1987-2004, and investigate the economic impact of these changes on stock prices. ...
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    Title: Credit Market Competition and Liquidity Crises  Author(s): CARLETTI, Elena; LEONELLO, Agnese Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We develop a two-period model where banks invest in reserves and loans, and are subject to aggregate liquidity shocks. When banks face a a shortage of liquidity, they can sell loans on the interbank market. Two types of ...
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    Title: Risk-Sharing and Retrading in Incomplete Markets  Author(s): GOTTARDI, Piero; RAHI, Rohit Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: At a competitive equilibrium of an incomplete-markets economy agents’ marginal valuations for the tradable assets are equalized ex-ante. We characterize the finest partition of the state space conditional on which this ...
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    Title: Essays on Innovation, R&D Policy and Industrial Clusters  Author(s): HORAN, David Date: 2012 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: The first chapter studies how government should allocate R&D subsidies when firms interact through their R&D decisions. In practice, public agencies often distribute funding on a case-by-case (CbC) basis ignoring indirect ...
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    Title: A Model for Ordinal Responses with an Application to Policy Interest Rate  Author(s): SIRCHENKO, Andrei Date: 2012 Type of Publication: Working Paper Series/Report no.: Economics Education and Research Consortium (EERC) Working Papers Abstract: The decisions to reduce, leave unchanged, or increase (the price, rating, policy interest rate, etc.) are often characterized by abundant no-change outcomes that are generated by different processes. Moreover, the positive ...
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    Title: Essays on the Cost of Debt Capital for Private Firms  Author(s): VALENZUELA, Patricio Date: 2012 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: Since corporate investment is a key driver for economic growth, it is very important to find out what are the drivers of the cost of financing for private firms. In particular, this thesis studies the determinants of spreads ...
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    Title: On the Measurement of Welfare, Happiness and Inequality  Author(s): RYNKO, Maja Date: 2012 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: This thesis addresses welfare measurement issues, with an emphasis on the measurement of happiness and inequality. It contributes to the economic literature in both methodological and empirical terms, with the empirical ...
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    Title: Money, Financial Stability and Efficiency  Author(s): ALLEN, Franklin; CARLETTI, Elena; GALE, Douglas Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Most analyses of banking crises assume that banks use real contracts. However, in practice contracts are nominal and this is what is assumed here. We consider a standard banking model with aggregate return risk, aggregate ...