Search results for "Econometric"
showing 10 items of 3780 documents
Hysteresis vs. natural rate of unemployment: new evidence for OECD countries
2004
Abstract The paper tests hysteresis effects in unemployment using panel data for 19 OECD countries. We apply a sequential procedure based in two multivariate augmented Dickey-Fuller test (ADF)-type panel unit root tests in a SURE framework. We strongly reject the joint null of hysteresis and find that only seven countries present evidence of hysteresis.
Renewable electricity producing technologies and metal depletion: A sensitivity analysis using the EROI
2015
International audience; More and more attention is being paid to renewable technologies because they are seen as a great opportunity to disengage our society from its dependence on fossil fuels. Such flow-based energy resources that rely on solarenergy are supposed to lead us toward a sustainable energy future. However, because of their high capitalintensity, renewable technologies require large amounts of matter, including both common and rare metals.These metals require energy for their production, and more specifically for their extraction. The energy costassociated with metal extraction is linked to mineral ore grade, meaning that as depletion progresses, energycost increases. In additi…
Current research issues in production economics
2020
This Special Issue includes a selection of papers originally presented and discussed at the Twentieth International Working Seminar on Pro- duction and Operations Management, Innsbruck, February 19–23, 2018, and subsequently extended and improved. Production and Operations Management was established in the1970s as an academic discipline focusing on scientific topics treating the interface between engineering, management, and economics with a special emphasis on financial consequences of decisions in the produc- tion domain. The subject is interdisciplinary in nature and it therefore contains a wide range of topics. The Working Seminar included sessions such as supply chain management, innov…
Cross-listing, price discovery and the informativeness of the trading process
2003
This paper analyzes the price discovery process of securities that trade at multiple markets with trading sessions that totally or partially overlap. Building on Hasbrouck (1995) information share approach, we introduce a methodology that distinguishes two sources of information asymmetries between markets: trade-related and trade-unrelated informative shocks. This approach determines how much of each market?s relative contribution to the price discovery process during the overlapping period is attributable to its own trading activity. We provide empirical evidence on the contribution of the NYSE in the price discovery process of the Spanish cross-listed stocks during the daily two-hour ove…
The determinants of net interest income in the Mexican banking system: An integrated model
2009
This paper analyzes net interest income in the Mexican banking system over the period 1993-2005. Taking as reference the seminal work by Ho and Saunders (1981) and subsequent extensions by other authors, our study models the net interest margin simultaneously including operating costs and diversification and specialization as determinants of the margin. The results referring to the Mexican case show that its high margins can be explained mainly by average operating costs and by market power. Although non-interest income has increased in recent years, its economic impact is low. El trabajo analiza el margen de intermediación de la banca Mexicana en el periodo 1996-2005. Tomando como referenc…
Threshold cointegration and nonlinear adjustment between stock prices and dividends
2008
According to several empirical studies, the linear present-value model fails to explain the behaviour of stock prices in the long run. We analyse the possible presence of threshold cointegration between real stock prices and dividends for the US market during the period from 1871:1 to 2004:6. According to our results, the null hypothesis of linear cointegration between stock prices and dividends is rejected in favour of a two-regime threshold cointegration model. We find also that stock prices do not respond to equilibrium error, and dividends respond to the past divergence only if the deviation from the equilibrium error does not exceed the estimated threshold parameter. This in turn would…
A note on nonlinear dynamics in the Spanish term structure of interest rates
2006
Abstract This note applies the methodology to test for threshold cointegration recently proposed by Hansen and Seo (2002) [Hansen, B. E. & Seo, B., (2002). Testing for two-regime threshold cointegration in vector error-correction models. Journal of Econometrics, 110, 293–318] to the Spanish term structure of interest rates during the period 1980:1–2002:12. The evidence suggests that nonlinear cointegration between long and short interest rates is clearly rejected, so that a linear cointegration model would provide an adequate empirical description for the Spanish term structure of interest rate.
The closed-form solution for a family of four-dimension nonlinear MHDS
2008
In this article we propose a method for solving a general class of four-dimension nonlinear modified Hamiltonian dynamic systems in closed form. This method may be used to study several intertemporal optimization problems sharing a common structure, which involves unbounded technological constraints as well as multiple controls and state variables. The method is developed by solving the first-order conditions associated with the planner's problem corresponding to the Lucas [1988. On the mechanics of economic development. Journal of Monetary Economics 22, 3-42] two-sector model of endogenous growth, and allows for explicitly showing the transitional dynamics of the model. Despite the externa…
A PROOF OF THE POWER OF KIM'S TEST AGAINST STATIONARY PROCESSES WITH STRUCTURAL BREAKS
2005
Recently, Kim (2000)1 and Busetti and Taylor (2004) have proposed different ratio-based procedures to test the hypothesis of stationarity against the alternative of changing persistence.2 This includes the alternative of a process changing from 1(0) to I(1) and vice versa, although Busetti and Taylor (2004) show that Kim's original test (2000) is inconsistent against fixed I(1) I(0) alternatives. In this note we show that, similarly to other stationarity tests (e.g., Kwiatkowski, Phillips, Schmidt, and Shin [KPSS]), Kim's test (2000) rejects the null of stationarity asymptotically with probability one, whenever the true data generating process is a stationary one around a constant term with…
The shortened Corporate Ethical Virtues scale
2018
So far, the field of business ethics lacks validated measures for assessing virtues at the organizational level. The aim of this study is to investigate the measurement invariance of a shortened Corporate Ethical Virtues scale. In this manner, we contribute to validating an instrument that is both psychometrically sound and efficient to use. We conducted two survey studies of two independent groups (managers and school psychologists). Confirmatory factor analysis supported the eight‐factor model of the scale, and we found it to be invariant in two different occupational groups. The managers gave higher appraisals of ethical culture than the psychologists did in seven out of the eight dimens…