Browsing ECO Working Papers by Type "Working Paper"

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Browsing ECO Working Papers by Type "Working Paper"

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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: Cooperation hidden frontiers : the behavioral foundations of the Italian north-south divide  Author(s): BIGONI, Maria; BORTOLOTTI, Stefania; CASARI, Marco; GAMBETTA, Diego; PANCOTTO, Francesca Date: 2013 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Socio-economic performance differs not only across countries but within countries too and can persist even after religion, language, and formal institutions are long shared. One interpretation of these disparities is that ...
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    Title: Financial intermediation, house prices, and the distributive effects of the U.S. great recession  Author(s): MENNO, Dominik; OLIVIERO, Tommaso Date: 2013 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper quantifies the effects of credit spread and income shocks on aggregate house prices and households’ welfare. We address this issue within a stochastic dynamic general equilibrium model with heterogeneous households ...
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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: 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: 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: An Empirical Study of Credit Shock Transmission in a Small Open Economy  Author(s): BEDOCK, Nathan; STEVANOVIC, Dalibor Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: In this paper we identify and measure the effects of credit shocks in a small open economy. To incorporate information from a large number of economic and financial indicators we use the structural factor-augmented VARMA ...
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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: 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: Health Selection and the Effect of Smoking on Mortality  Author(s): ADDA, Jérôme; LECHENE, Valérie Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We show that individuals who are in poorer health, independently from smoking, are more likely to start smoking and to smoke more cigarettes than those with better non-smoking health. We present evidence of selection, ...
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    Title: Resolving the African Financial Development Gap: Cross-country comparisons and a within-country study of Kenya  Author(s): ALLEN, Franklin; CARLETTI, Elena; CULL, Robert; QIAN, Jun; SENBET, Lemma; VALENZUELA, Patricio Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: With extensive country- and firm-level data sets we first document that the financial sectors of most sub-Saharan African countries remain significantly underdeveloped by the standards of other developing countries. We ...
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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 ...
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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: Being Close to Grow Faster: A network-based empirical analysis of economic globalization  Author(s): DUERNECKER, Georg; MEYER, Moritz; VEGA-REDONDO, Fernando Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Globalization features one of the major global trends which shape economic outcomes in developing and developed countries. Standard results from the empirical growth literature suggest that participation in worldwide trade ...
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    Title: Peer Effects in Free School Meals: Information or stigma?  Author(s): JAMES, Jonathan Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: This paper investigates peer effects in the take up of a welfare programme, free school meals, using the Pupil Level Annual School Census (PLASC) which collects data on every child attending school in England. To explore ...
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    Title: Dynamic Competitive Economies with Complete Markets and Collateral Constraints  Author(s): GOTTARDI, Piero; KUBLER, Felix Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: In this paper we examine the competitive equilibria of a dynamic stochastic economy with complete markets and collateral constraints. We show that, provided both the set of asset payoffs and collateral levels are sufficiently ...
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    Title: Information Disclosure and the Equivalence of Prospective Payment and Cost Reimbursement  Author(s): MA, Ching-to Albert; MAK, Henry Y. Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: A health care provider chooses medical service quality and cost-reduction effort. Both choices are non-contractible. An insurer observes both quality and cost effort, and may credibly disclose them to consumers. In prospective ...
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    Title: I Prefer Not to Know! Analyzing the decision of getting information about your ability  Author(s): GRANADOS ZAMBRANO, Paulina Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The recognition that information is, most of the time, incomplete and imperfect is essential in understanding the nature of the formation of beliefs. To understand human behavior in the area of (academic) performance, the ...