Browsing ECO Articles by Type "Article"

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Browsing ECO Articles by Type "Article"

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    Title: The Reliability of Real Time Estimates of the Euro Area Output Gap  Author(s): MARCELLINO, Massimiliano; MUSSO, Alberto Date: 2011 Type of Publication: Article Abstract: 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 ...
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    Title: Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models  Author(s): CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2011 Type of Publication: Article Abstract: 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 ...
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    Title: Markets and Contracts  Author(s): BISIN, Alberto; GEANAKOPOLS, John; GOTTARDI, Piero; MINELLI, Enrico; POLEMARCHAKIS, Herakles Date: 2011 Type of Publication: Article Abstract: 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 ...
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    Title: MIDAS vs. Mixed-Frequency VAR: Nowcasting GDP in the Euro Area  Author(s): KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, Christian Date: 2011 Type of Publication: Article Abstract: 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 ...
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    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: 2011 Type of Publication: Article Abstract: 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 ...
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    Title: Sign Prediction and Volatility Dynamics with Hybrid Neurofuzzy Approaches  Author(s): BEKIROS, Stelios D. Date: 2011 Type of Publication: Article Abstract: Reliable forecasting techniques for financial applications are important for investors either to make profit by trading or hedge against potential market risks. In this paper the efficiency of a trading strategy based on ...
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    Title: Does Trade Foster Institutions? An Empirical Assessment  Author(s): NICOLINI, Marcella; PACCAGNINI, Alessia Date: 2011 Type of Publication: Article Abstract: 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 ...
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    Title: Threshold Learning Dynamics in Social Networks  Author(s): GONZÁLEZ-AVELLA, Juan Carlos; EGUÍLUZ, Victor M.; MARSILI, Matteo; VEGA-REDONDO, Fernando; SAN MIGUEL, Maxi Date: 2011 Type of Publication: Article Abstract: Social learning is defined as the ability of a population to aggregate information, a process which must crucially depend on the mechanisms of social interaction. Consumers choosing which product to buy, or voters deciding ...
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    Title: Excessive Pricing: Towards clarity and economic coherence  Author(s): CALCAGNO, Claudio A.; WALKER, Mike Date: 2010-01-01 Type of Publication: Article Abstract: One of the thorniest areas of antitrust enforcement is whether, and how, to deal with excessive pricing allegations. Even in jurisdictions that have laws against excessive pricing, there has been little case law on the ...
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    Title: Exchange Rate Volatility and Export Performance: A cointegrated VAR approach  Author(s): BOUG, Pål; FAGERENG, Andreas Date: 2010-01-01 Type of Publication: Article Abstract: During the last decades Norwegian exporters have-despite various forms of exchange rate targeting-faced a rather volatile exchange rate which may have influenced their behaviour. Recently, the shift to inflation targeting ...
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    Title: Survey Data as Coincident or Leading Indicators  Author(s): FRALE, Cecilia; MARCELLINO, Massimiliano; MAZZI, Gian Luigi; PROIETTI, Tommaso Date: 2010-01-01 Type of Publication: Article Abstract: In this paper we propose a monthly measure for the euro area gross domestic product (GDP) based on a small-scale factor model for mixed-frequency data, featuring two factors: the first is driven by hard data, whereas the ...
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    Title: Factor-GMM Estimation with Large Sets of Possibly Weak Instruments  Author(s): KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2010-01-01 Type of Publication: Article Abstract: The use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity is analysed. In particular, the focus is on situations where many weak instruments exist and/or the factor ...
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    Title: The Effect of Taxes and Bans on Passive Smoking  Author(s): ADDA, Jérôme; CORNAGLIA, Francesca Date: 2010-01-01 Type of Publication: Article Abstract: We evaluate the effect of smoking bans and excise taxes on the exposure to tobacco smoke of nonsmokers, and we show their unintended consequences on children. Smoking bans perversely increase nonsmokers' exposure by ...
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    Title: Factor-MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP  Author(s): MARCELLINO, Massimiliano; SCHUMACHER, Christian Date: 2010-01-01 Type of Publication: Article Abstract: In this article, we merge two strands from the recent econometric literature. First, factor models based on large sets of macroeconomic variables for forecasting, which have generally proven useful for forecasting. However, ...
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    Title: Institutional Design and Conflict: An introduction  Author(s): MORELLI, Massimo Date: 2010 Type of Publication: Article
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    Title: Heterogeneous Trading Strategies with Adaptive Fuzzy Actor-Critic Reinforcement Learning: A behavioral approach  Author(s): BEKIROS, Stelios D. Date: 2010 Type of Publication: Article Abstract: The present study addresses the learning mechanism of boundedly rational agents in the dynamic and noisy environment of financial markets. The main objective is the development of a system that “decodes” the knowledge-acquisition ...
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    Title: Structural Vector Autoregressions with Nonnormal Residuals  Author(s): LANNE, Markku; LUETKEPOHL, Helmut Date: 2010 Type of Publication: Article Abstract: In structural vector autoregressive (SVAR) modeling, sometimes the identifying restrictions are insufficient for a unique specification of all shocks. In this paper it is pointed out that specific distributional assumptions ...
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    Title: Endogenous Trading Constraints with Incomplete Asset Markets  Author(s): ABRAHAM, Arpad; CARCELES-POVEDA, Eva Date: 2010 Type of Publication: Article Abstract: This paper endogenizes the borrowing constraints on capital in a production economy with incomplete markets. We find that these limits get looser with income, a property that is consistent with US data on credit limits. ...
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    Title: Labor-Market Volatility in the Search-And-Matching Model: The Role of Investment-Specific Technology Shocks  Author(s): FACCINI, Renato; ORTIGUEIRA, Salvador Date: 2010 Type of Publication: Article Abstract: Shocks to investment-specific technology have been identified as a main source of U.S. aggregate output volatility. In this paper, we present a model with frictions in the labor market and explore the contribution of these ...
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    Title: Banking Panics and Policy Responses  Author(s): ENNIS, Huberto M.; KEISTER, Todd Date: 2010 Type of Publication: Article Abstract: When policy makers have limited commitment power, self-fulfilling bank runs can arise as an equilibrium phenomenon. We study how such banking panics unfold in a version of the Diamond and Dybvig (1983) model. A run in this ...