Title:The multiscale causal dynamics of foreign exchange markets
Author(s):BEKIROS, Stelios; MARCELLINO, MassimilianoDate:2013Type of Publication:ArticleAbstract: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 ...
Title:The Pro-Competitive Effect of Campaign Limits in Non-Majoritarian Elections
Author(s):IARYCZOWER, Matias; MATTOZZI, AndreaDate:2012Type of Publication:ArticleAbstract:We study a model of elections in non-majoritarian systems that captures the link between competition in policies and competition in campaign spending. We argue that the overall competitiveness of the political arena depends ...
Title:Fiscal Expansions, Unemployment, and Labor Force Participation: Theory and evidence
Author(s):BRÜCKNER, Markus; PAPPA, EviDate:2012Type of Publication:ArticleAbstract:Structural VARs indicate that for many OECD countries labor force participation, employment, and the unemployment rate significantly increase following increases in government expenditures under a variety of specifications ...
Title:On the Predictability of Time-Varying VAR and DSGE Models
Author(s):BEKIROS, Stelios D.; PACCAGNINI, AlessiaDate:2012Type of Publication:ArticleAbstract: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 ...
Title:Incomplete Information about Social Preferences Explains Equal Division and Delay in Bargaining
Author(s):KOHLER, StefanDate:2012Type of Publication:ArticleAbstract:Two deviations of alternating-offer bargaining behavior from economic theory are observed together, yet have been studied separately. Players who could secure themselves a large surplus share if bargainers were purely ...
Title:Realized GARCH: A joint model for returns and realized measures of volatility
Author(s):HANSEN, Peter Reinhard; HUANG, Zhuo; SHEK, Howard HowanDate:2012Type of Publication:ArticleAbstract:We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized measure to the conditional variance of ...
Title:Economic Perspectives on Corporate Social Responsibility
Author(s):KITZMUELLER, Markus; SHIMSHACK, JayDate:2012Type of Publication:ArticleAbstract:This paper synthesizes the expanding corporate social responsibility (CSR) literature. We define CSR from an economic perspective and develop a CSR taxonomy that connects disparate approaches to the subject. We explore ...
Title:Bankruptcy, Finance Constraints, and the Value of the Firm
Author(s):GALE, Douglas; GOTTARDI, PieroDate:2011-01-01Type of Publication:ArticleAbstract:We study a competitive model in which market incompleteness implies that debt-financed firms may default in some states of nature, and default may lead to the sale of the firms' assets at fire sale prices when a finance ...
Title:Social Security and Risk Sharing
Author(s):GOTTARDI, Piero; KUBLER, FelixDate:2011-01-01Type of Publication:ArticleAbstract:In this paper we identify conditions under which the introduction of a pay-as-you-go social security system is ex ante Pareto-improving in a stochastic OLG economy with capital accumulation and land. We argue that these ...
Title:MIDAS vs. Mixed-Frequency VAR: Nowcasting GDP in the Euro Area
Author(s):KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2011Type of Publication:ArticleAbstract:This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model specification in the presence of mixed-frequency data, e.g. monthly and quarterly series. MIDAS leads to parsimonious ...
Title:Altruism and Fairness in Experimental Decisions
Author(s):KOHLER, StefanDate:2011Type of Publication:ArticleAbstract:Experimental evidence from dictator games and simple choice situations indicates concerns for fairness and social welfare in human decision making. At the same time, models of inequality averse agents fail to explain the ...
Title:Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models
Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2011Type of Publication:ArticleAbstract:The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...
Title:Markets and Contracts
Author(s):BISIN, Alberto; GEANAKOPOLS, John; GOTTARDI, Piero; MINELLI, Enrico; POLEMARCHAKIS, HeraklesDate:2011Type of Publication:ArticleAbstract:Economies with asymmetric information are encompassed by an extension of the model of general competitive equilibrium that does not require an explicit modeling of private information. Sellers have discretion over deliveries ...
Title:Sectoral Survey-based Confidence Indicators for Europe
Author(s):CARRIERO, Andrea; MARCELLINO, MassimilianoDate:2011Type of Publication:ArticleAbstract:We analyse a novel dataset of Business and Consumer Surveys, using dynamic factor techniques, to produce composite coincident indices (CCIs) at the sectoral level for the European countries and for Europe. Surveys are ...
Title:The Reliability of Real Time Estimates of the Euro Area Output Gap
Author(s):MARCELLINO, Massimiliano; MUSSO, AlbertoDate:2011Type of Publication:ArticleAbstract:This paper provides evidence on the reliability of euro area real-time output gap estimates. A genuine real-time data set for the euro area is used, including vintages of several sets of euro area output gap estimates ...
Title:LSM: A DSGE model for Luxembourg
Author(s):DEÁK, Szabolcs; FONTAGNÉ, Lionel; MAFFEZZOLI, Marco; MARCELLINO, MassimilianoDate:2011Type of Publication:ArticleAbstract:Luxembourg is a small open economy with a set of particular features, including rather limited competition in the domestic goods market, strong union power, and a segmented labor market for resident and non-resident workers. ...
Title:Complex Networks and Local Externalities: A strategic approach
Author(s):VEGA-REDONDO, Fernando; GALEOTTI, AndreaDate:2011Type of Publication:ArticleAbstract:In this paper, we illustrate a new approach to the study of how local externalities shape agents’ strategic behavior when the underlying network is volatile and complex. We consider a large population that interacts as ...
Title:Does Trade Foster Institutions? An Empirical Assessment
Author(s):NICOLINI, Marcella; PACCAGNINI, AlessiaDate:2011Type of Publication:ArticleAbstract:The relationship between trade and institutions has been extensively debated by trade economists and political scientists. The aim of the present paper is to provide some empirical evidence on the causal relationship between ...
Title:Vertex Centralities in Input-Output Networks Reveal the Structure of Modern Economies
Author(s):BLÖCHL, Florian; THEIS, Fabian J.; VEGA-REDONDO, Fernando; FISHER, Eric O’N.Date:2011Type of Publication:ArticleAbstract:Input-output tables describe the flows of goods and services between the sectors of an economy. These tables can be interpreted as weighted directed networks. At the usual level of aggregation, they contain nodes with ...
Title:Error Cascades in Observational Learning: An experiment on the Chinos game
Author(s):FERI, Francesco; MELÉNDEZ-JIMÉNEZ, Miguel A.; PONTI, Giovanni; VEGA-REDONDO, FernandoDate:2011Type of Publication:ArticleAbstract:The paper reports an experimental study based on a variant of the popular Chinos game, which is used as a simple but paradigmatic instance of observational learning. There are three players, arranged in sequence, each of ...
