Search results for "Econometric"
showing 10 items of 3780 documents
Estimating the substitutability between private and public consumption: the case of Spain, 1960–2003
2005
This paper examines the relationship between private and public consumption using Spanish data over the period 1960–2003, using a two-good permanent-income model. We extend previous analysis addressing the question of whether this relationship is stable over time, or exhibits a structural break allowing the instability to occur at an unknown point in time. Our empirical results indicated the existence of a long-run relationship between private and public consumption. We also detect a structural change of regime shift in the cointegration regression around the time of 1973–74. Finally, the estimated intratemporal and intertemporal elasticities of substitution between the two types of expendi…
Cost and profit efficiency in the Spanish banking sector (1985–1996): a non-parametric approach
2003
The aim of this article is to analyse the efficiency in costs and in profits of the Spanish banking sector (SBS) in the period 1985–1996 using a non-parametric approach. The results obtained show the existence of profit efficiency levels well below those corresponding to cost efficiency, alternative profit efficiency being below standard profit efficiency. These results imply the existence of market power in the setting of prices and/or the existence of differences in the quality of bank output reflected in the differences in prices. With regard to the immediate future, of full economic and monetary integration, the reduction of profit levels associated with higher competitive pressure may …
Revealed preference and portfolio choice
1993
Abstract We show that the necessary and sufficient conditions for expected utility rationalizability of a single observed portfolio choice are identical to the necessary and sufficient conditions for non-expected utility rationalizability.
Sharing R&D investments in cleaner technologies to mitigate climate change
2014
This paper examines international cooperation on technological development as an alternative to international cooperation on GHG emission reductions. It is assumed that when countries cooperate they coordinate their investments so as to minimize the agreement costs of controlling emissions and that they also pool their R&D efforts so as to fully internalize the spillover effects of their investments in R&D. In order to analyze the scope of cooperation, an agreement formation game is solved in three stages. First, countries decide whether or not to sign the agreement. Then, in the second stage, signatories (playing together) and non-signatories (playing individually) select their investment …
Equilibrium open interest
2010
Abstract This paper analyses what determines an individual investor's risk-sharing demand for options and, aggregating across investors, what the equilibrium demand for options. We find that agents trade options to achieve their desired skewness; specifically, we find that portfolio holdings boil down to a three-fund separation theorem that includes a so-called skewness portfolio that agents like to attain. Our analysis indicates also, however, that the common risk-sharing setup used for option demand and pricing is incompatible with a stylized fact about open interest across strikes.
Deterministic versus probabilistic consequences of trust and trustworthiness: An experimental investigation
2014
Abstract There is overwhelming evidence of reciprocal behavior, driven by intentions. However, the role of consequences is less clear cut. Experimentally manipulating how efficient trust and reciprocity can be in deterministic and uncertain environments allows us to study how payoff consequences of trust and trustworthiness affect reciprocity. According to the results for our modified Investment Game, trustees reward trust more when trust is more efficient but do not adjust rewards when the efficiency of rewarding is varied. Furthermore, higher deterministic benefits result in higher levels of reciprocity for all trust levels, whereas an uncertain environment diminishes reciprocity.
Scoring rules: A cooperative game-theoretic approach
1999
In this work we define the game of the alternatives for each preference profile, and establish relations between scoring rules and cooperative solution concepts for that game, such as the family of semivalues and the family of least square values.
Most-favored-customer pricing, product variety, and welfare
2013
Abstract Most-favored-customer (MFC) clauses are usually seen as anticompetitive co-ordination devices that firms adopt for the purpose of higher prices. Here, I examine the welfare impact of MFC clauses under endogenous product variety. Product variety is relevant because prospective higher prices from MFC clauses can be anticipated by multi-product firms in their provision of product lines. Under such circumstances, I find that these clauses can be socially harmful, but this is not always the case: they tend to be socially neutral for relatively large fixed costs of product-line assortment, harmful for intermediate costs, and beneficial for relatively small costs.
The uniqueness of the subscription equilibrium with endogenous labor supply
1993
Abstract This paper presents a proof of the uniqueness of the Nash equilibrium if public goods are financed through private donations and distortionary income taxation.
A complete system of Engel curves in the Spanish economy
2003
The main goal of this article is the estimation of the consumption–income relationship along with socio–economic factors using cross section data from the Spanish Household Expenditure Survey 1991. The data has been grouped according to exogenous criteria to avoid the problem of null expenditure. First, a non–linear system of equation is estimated, from which the linear form that best fits the used data is tested. Finally, income elasticities are calculated considering three alternative formulations depending on how an initial income increment is distributed among consumers. Income elasticities are shown for the whole income distribution