Search results for "Econometric"
showing 10 items of 3780 documents
Evolution of worldwide stock markets, correlation structure and correlation based graphs
2011
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow dynamics. The slow dynamics reflects the development and consolidation of globalization. The fast dynamics is associated with critical events that originate in a specific country or region of the world and rapidly affect the global system. We provide evidence that the short term timescale of correlation among market indices is less than 3 trading months (about 60 trading days). The average values of the non diagonal elements of the correlation matrix, corre…
Forecasting container transshipment in Germany
2009
International audience; In this paper, we examine container transshipment at German ports using the seasonal ARIMA (SARIMA) model and the Holt-Winters exponential smoothing approach. Our models are designed especially to take account of the seasonal behavior of the quarterly data used. We consider the dynamic development in this sector for the whole container throughput and also the destinations Asia, Europe and North America, which are the world's three main economic regions. Our data runs from the first quarter of 1989 to the fourth quarter of 2006. We provide detailed quarterly forecasts for the year 2007 and 2008. According to forecasting error measures such as Mean Square Error and The…
Cooperation and cultural transmission in a coordination game
2009
Abstract The aim of this paper is to analyze if cooperation can be the product of cultural evolution in a two-stage coordination game, consisting of a production stage followed by a negotiation phase. We present an overlapping generations model with cultural transmission of preferences where the distribution of preferences in the population and the strategies are determined endogenously and simultaneously. There are several groups in the society; some of them play cooperatively and others do not. Socialization takes place inside the group, but there is a positive rate of migration among groups which parents anticipate. Our main result shows that all groups converge to the cooperative equili…
On the performance of the Chow-Lin procedure for quarterly interpolation of annual data: Some Monte-Carlo analysis
2003
Most of the countries of the OECD offer quarterly estimates of their national growth or of their Gross National Product. Official Statistical Agencies in western countries have to deal with the problem of estimating Quarterly National Accounts series congruently with Annual National Accounts. In Spain, the Instituto Nacional de Estadistica uses the Chow-Lin disaggregation method, which is based on information provided by a group of high-frequency related variables, to estimate the quarterly components of National Accounts from annual components. In this paper, we analyse the relative quality of the estimates obtained through the Chow-Lin procedure, under different sets of hypotheses.
PERMANENT INCOME, CONVERGENCE AND INEQUALITY AMONG COUNTRIES
2008
The literature on inequality has generally focused on the analysis of annual per capita income. This paper adopts a different approach by considering the life-cycle dimension of inequality and convergence between economies from 1960 to 2000. We analyze the present value of the set of incomes individuals obtain throughout their whole life (permanent income). On the basis of this approach, various simulations are made to determine the effect on inequality in permanent income of variables such as survival rates and the long-run growth rates in current income. The results indicate that survival rates are an important source of inequality. Inequality in permanent income is about one third higher…
What determines the duration of a fiscal consolidation program?
2013
This paper assesses the determinants of the length of fiscal consolidation using annual data for 17 industrial countries over the period 1978-2009. Relying on a narrative approach to identify fiscal consolidation episodes, we show that fiscal variables (such as the budget deficit and the level of public debt) and economic factors (such as the degree of openness, the inflation rate, the interest rate and per capita GDP) are crucial for the fiscal consolidation process. Additionally, we employ duration analysis over a set of consolidation spells and find that, as time goes by, the likelihood of a fiscal consolidation ending is higher. However, the hazard function is not monotonic: indeed, it …
Utilization of Facebook by school children in the apprenticeship seeking process
2016
The search for a practical apprenticeship place can be the first step in the business world for German students. The students have to apply for this placement, as Companies require applicants. Facebook is one of the most often used social networks among the younger generation in Germany, which can provide a direct communication channel between businesses and candidates. The research evaluates the reasons to use Facebook to identify a solid apprenticeship training platform for German students. Research methods applied: scientific publication analysis, survey (by paper-based questionnaire) of German students of the ninth and tenth grade. Analysis of survey data by main indicators of descripti…
Langevin Approach to Understand the Noise of Microwave Transistors
2004
A Langevin approach to understand the noise of microwave devices is presented. The device is represented by its equivalent circuit with the internal noise sources included as stochastic processes. From the circuit network analysis, a stochastic integral equation for the output voltage is derived and from its power spectrum the noise figure as a function of the operating frequency is obtained. The theoretical results have been compared with experimental data obtained by the characterization of an HEMT transistor series (NE20283A, by NEC) from 6 to 18 GHz at a low noise bias point. The reported procedure exhibits good accuracy, within the typical uncertainty range of any experimental determin…
Intertemporal substitution and the liquidity effect in a sticky price model
2002
Abstract The liquidity effect, defined as a decrease in nominal interest rates in response to a monetary expansion, is a major stylized fact of the business cycle. This paper first confirms that, with separable preferences, a low degree of intertemporal substitution in consumption is a necessary condition for the existence of the liquidity effect. In contrast to this result, in a model with non-separable preferences and capital accumulation it takes an implausibly high elasticity of intertemporal substitution to produce a liquidity effect. The robustness of these results to alternative degrees of nominal rigidities, capital adjustment costs and stochastic monetary processes is also analysed…
Is the Fisher effect non-linear? some evidence for Spain, 1963–2002
2005
In this paper the role of non-linearities in the relationship between nominal interest rates and inflation is examined, in order to shed some additional light on the mostly unfavourable evidence on the presence of a full Fisher effect. The analysis is applied to the case of Spain for the period 1963–2002, which allows previous results on the subject to be re-examined and extended. The empirical methodology makes use of recent developments on threshold cointegration, so that cointegration between a pair of variables should be expected only once a certain threshold was reached.