Search results for "Econometric"
showing 10 items of 3780 documents
Technology spillover and TFP growth: A spatial Durbin model
2016
Beginning with a model in which technological progress is reflected by product variety, we provide a structural approach to estimate technology spillovers allowing for spatial interdependencies. To this end, we first present a theoretical model of TFP growth by decomposing TFP into quality and variety components. We address the quality component by introducing a country׳s distance to the technological frontier. Quality is assumed to be a negative function of the technological gap of country i with respect to its own technological frontier. This technological threshold is defined as the geometric means of knowledge levels in all countries. We deal with the variety component by using R&D expe…
Can an unglamorous non-event affect prices? The role of newspapers
2016
AbstractOur paper offers evidence that the print media can affect stock prices by covering public information. After price-to-book value figures of Italian listed shares were first published on the major national financial newspaper, the prices of value stocks did, on average, show a positive reaction. The price reaction was limited to small caps stocks and disappeared within three weeks. Over the period of analysis, we could not find any abnormal behaviour of the returns of small and value stocks on other European markets. These findings support the view that newspapers play a role in disseminating information to small investors and grabbing their attention, even if news are continuously r…
Can fiscal decentralization alleviate government consumption volatility?
2016
We analyse how fiscal decentralization affects the volatility of government consumption extending the existing literature that mainly deals with the effects of the former on government size. Using data for 97 developed and developing countries from 1971 to 2010, we find that a higher degree of fiscal decentralization leads to lower government consumption volatility. This result holds for the sub-sample of advanced economies, while it is not confirmed for those less-developed. This mechanism seems to work mainly through a lower volatility of the non-discretionary spending, which typically belongs to the central government’s policy. We also confirm existing findings according to which country…
Political, Institutional, and Economic Factors Underlying Deficit Volatility
2013
It is well known that fiscal policy can counter-cyclically smooth out the effect of unexpected shocks and public deficit volatility may reflect the (optimal) policy response to them. However, the welfare losses associated to fiscal instability are also an important challenge for many countries, as it typically implies an inefficient allocation of resources, higher sovereign risk premium and an inadequate provision of public services. In this paper, we empirically analyze the political, institutional, and economic sources of public deficit volatility. Using the system-generalized method-of-moments (GMM) estimator for linear dynamic panel data models and a sample of 125 countries analyzed fro…
The Role of Risk and Information for International Capital Flows: New Evidence from the SDDS
2012
In this paper, we investigate whether better information about the macroeconomic environment of an economy has a positive impact on its capital inflows, namely portfolio and foreign direct investment (FDI). The purpose of our study is to explicitly quantify information asymmetries by compliance with the IMF's Special Data Dissemination Standard (SDDS). For FDI, we fi nd statistically signi cant and robust support for this hypothesis: SDDS subscription increased inflows by an economically relevant magnitude of about 60 percent. We also find evidence of aversion against political and macroeconomic risk as determinants of portfolio and FDI flows and use a non-parametric test for spatial correl…
Rich regions, poor regions and bank branch deregulation in Spain
2016
Rich regions, poor regions and bank branch deregulation in Spain. Regional Studies. The links between financial deregulation and economic performance are evaluated in a European context. Specifically, the study analyses the relaxation of bank branching restrictions in Spain, which triggered a remarkable interregional expansion of savings banks that coincided with an unprecedented period of sustained economic expansion. Although related questions have been widely investigated for the United States, experiences in Europe have received far less research attention. An additional contribution of the paper lies in its use of quantile regression, which enables the investigation of the possibility …
Bubbles in China
2010
This study examines rational bubbles in Chinese stock markets and China-related share indices in Hong Kong. A duration dependence test is employed for both monthly and weekly abnormal market returns of the Shanghai and Shenzhen A- and B-markets, as well as for the Hong Kong China Enterprises and China Affiliated Corporations indices. The test results are mixed, as weekly data demonstrate bubbles for all of the Mainland Chinese stock markets, but monthly data do not show bubbles for any of the examined markets. Neither of the datasets indicates bubbles in the Hong Kong markets. Results indicate that, in terms of bubbles, segmentation does not play a significant role in bubble existence and t…
Returns to Schooling in Spain: How Reliable are Instrumental Variable Estimates?
2002
This paper studies the ordinary least–squares (OLS) and instrumental variable (IV) estimates of the returns to schooling for male workers in Spain. OLS estimates are often biased due to the endogeneity of schooling, measurement errors or omitted variables. Proper IV estimates correct this bias. The reliability of family background, natural experiments (based on changes in the education system and season of birth) and the availability of a college in the province is checked using Spanish data. The results suggest that background and college availability are valid instruments and that the IV estimates of the returns to schooling are higher than OLS estimates. These results are in line with th…
Returns to Schooling in Spain. How Reliable Are IV Estimates?
2001
This paper studies the Ordinary Least-Squared (OLS) and Instrumental Variables (IV) estimates of the returns to schooling for male workers in Spain. OLS estimates are often biased due to the endogeneity of schooling, measurement errors or omitted variables. Proper IV estimates correct this bias. The reliability of family background, natural experiments (based on changes in the education system and season of birth) and the availability of a college in the province is checked using Spanish data. The results suggest that background and college availability are valid instruments and that the IV estimates of the returns to schooling are higher than OLS estimates. These results are in line with t…
Cognitive resource allocation determines the organization of personal networks
2018
Significance The way we organize our social relationships is key to understanding the structure of our society. We propose a quantitative theory to tackle this issue, assuming that our capacity to maintain relationships is limited and that different types of relationships require different investments. The theory accounts for well-documented empirical evidence on personal networks, such that connections are typically arranged in layers of increasing size and decreasing emotional content. More interestingly, it predicts that when the number of available relationships is small, this structure is inverted, having more close relationships than acquaintances. We provide evidence of the existence…