Title:A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions
Author(s):KAPETANIOS, George; MARCELLINO, MassimilianoDate:2009-01-01Type of Publication:ArticleAbstract:The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, because of the increased availability of large data sets. In this article we propose a new parametric ...
Title:Pareto Improving Financial Innovation in Incomplete Markets
Author(s):CASS, David; CITANNA, AlessandroDate:1998Type of Publication:ArticleAbstract:In this paper we develop a differential technique for investigating the welfare effects of financial innovation in incomplete markets. Utilizing this technique, and after parametrizing the standard competitive, pure-exchange ...
Title:Path Forecast Evaluation
Author(s):JORDÀ, Òscar; MARCELLINO, MassimilianoDate:2010Type of Publication:ArticleAbstract:A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given confidence level requires construction of simultaneous ...
Title:Peer Effects and Peer Avoidance: The Diffusion of Behavior in Coevolving Networks
Author(s):FOSCO, Constanza; MARSILI, Matteo; VEGA-REDONDO, FernandoDate:2010Type of Publication:ArticleAbstract:We study the long-run emergence of behavioral patterns in dynamic complex networks. Individuals can display two kinds of behavior: G(good) or B (bad). We assume that the exposure of a G agent to bad behavior on the part ...
Title:Performance Funding in Federal Agencies: A Case Study of a Federal Job Training Program
Author(s):COURTY, Pascal; MARSCHKE, GeraldDate:2003Type of Publication:ArticleAbstract:Our case study highlights important details that enter into developing performance contingent budgeting schemes—details that do not emerge in more general discussions of the subject—and shows how the handling of these ...
Title:The Performance of the European Central Bank
Author(s):ARTIS, Michael J.Date:2005Type of Publication:ArticleAbstract:The European Monetary Union has been in operation since 1 January 1999. The paper offers an interim assessment of the operations of the European Central Bank (ECB) during this period. It describes how the ECB defined its ...
Title:Personal Influence: Social context and political competition
Author(s):GALEOTTI, Andrea; MATTOZZI, AndreaDate:2011Type of Publication:ArticleAbstract:This paper studies the effect of social learning on political outcomes in a model of informative campaign advertising. Voters' communication network affects parties' incentives to disclose political information, voters' ...
Title:Policy Mix and Debt Sustainability: Evidence from Fiscal Policy Rules
Author(s):CLAEYS, PeterDate:2006Type of Publication:ArticleAbstract:This paper characterizes rules-based fiscal policy setting for G-3 and large
EMS countries. We set up a simple fiscal policy rule and then infer on the policymakers’
reaction coefficients by testing with GMM. Our results ...
Title:Political Instability and Economic Vulnerability
Author(s):BUSSIERE, Matthieu; MULDER, C.Date:2000Type of Publication:ArticleAbstract:This paper analyzes and tests the influence of political instability on economic vulnerability in the context of the 1994 and 1997 crisis episodes. It constructs four political variables that aim at quantifying political ...
Title:Post-Entry Behaviour and the Cycle: Evidence From Germany
Author(s):BOERI, Tito; BELLMANN, L.Date:1995Type of Publication:ArticleAbstract:Based on a rich database on establishments in western Germany, the paper aims at characterising the relationship between, on the one hand, growth and exit of entering cohorts and, on the other hand, aggregate business ...
Title:Poverty in Pre-Reform Uzbekistan - What Do Official Data Really Reveal
Author(s):MARNIE, Sheila; MICKLEWRIGHT, JohnDate:1994Type of Publication:ArticleAbstract:Using 1989 household survey data, we investigate large differences in poverty measured with a conventional all-Union per capita income line between Uzbekistan, the largest Central Asian republic of the former U.S.S.R., and ...
Title:Precautionary Motives and Portfolio Decisions
Author(s):HOCHGUERTEL, StefanDate:2003Type of Publication:ArticleAbstract:This paper studies the empirical relevance of precautionary and other motives for household portfolio behaviour using recent panel data from the Netherlands. Dutch households' portfolios exhibit low degrees of risk taking ...
Title:Preferred Point Geometry and Statistical Manifolds
Author(s):CRITCHLEY, Frank; MARRIOTT, Paul; SALMON, MarkDate:1993Type of Publication:ArticleAbstract:A new mathematical object called a preferred point geometry is introduced in order to (a) provide a natural geometric framework in which to do statistical inference and (b) reflect the distinction between homogeneous aspects ...
Title:Preferred Point Geometry and the Local Differential Geometry of the Kullback-Leibler Divergence
Author(s):CRITCHLEY, Frank; MARRIOTT, Paul; SALMON, MarkDate:1994Type of Publication:ArticleAbstract:A new preferred point geometric structure for statistical analysis, closely related to Amari's alpha-geometries, is introduced. The added preferred point structure is seen to resolve the problem that divergence measures ...
Title:Price Smoothing Policies - A Welfare Analysis
Author(s):CANOVA, FabioDate:1992Type of Publication:ArticleAbstract:In post-WWII experience U.S. monetary authorities have attempted to eliminate seasonal fluctuations in prices and nominal interest rates. Developments in financial markets and recently discovered empirical regularities ...