Search results for "Econometric"
showing 10 items of 3780 documents
Effects of Grade Retention Policies: A Literature Review of Empirical Studies Applying Causal Inference
2021
The identification of the causal effects of grade retention policies is of enormous relevance for researchers and policymakers alike. Taking advantage of the availability of more detailed longitudinal datasets, researchers have been able to apply different identification strategies that address the classical problems of selection bias and unobserved heterogeneity that have plagued previous studies on the effect of retention. We present a systematic literature review of empirical studies aiming to unveil the causal effects of retention. This study underlines the need to consider and evaluate different kinds of grade retention polices as their effects vary depending on several dimensions (suc…
Am I riskier if I rescue my banks? Beyond the effects of bailouts
2021
Abstract We examine the relationship between bank bailouts and sovereign risk in 35 countries and 19 bailouts from 2005 to 2015. Bailouts negatively affect sovereign ratings, with rating agencies consistently perceiving higher risk when a country’s banking system has been rescued (risk-increasing effect). The increase in public debt as a result of the bank bailouts is the main mechanism through which the risk-increasing effect occurs. Moreover, financial soundness and banking market structure shape the impact of bailouts on sovereign risk. In particular, proactiveness in undertaking public bailouts for banking systems that are largely distressed – that is, risky and low profitable – and hig…
Estimating the non-market benefits of water quality improvement for a case study in Spain: A contingent valuation approach
2012
Abstract This article addresses an important topic related to the application of the European Water Framework Directive (WFD) in Spanish watersheds. Results on a contingent valuation study, aimed to assess the non-market benefits of water quality improvements in the Guadiana river basin (GRB), are shown. Special attention has been paid to the issue of zero willingness-to-pay (WTP) responses, while addressing the possible presence of self-selection caused by protest responses. The results (i) indicate that sample selection bias is not a problem in our application, (ii) allow us to identify some key determinants of voting behaviour, and (iii) through the use of different econometric models al…
Marginal contribution, reciprocity and equity in segregated groups: Bounded rationality and selforganization in social networks
2007
We study the formation of social networks that are based on local interaction and simple rule following. Agents evaluate the profitability of link formation on the basis of the Myerson-Shapley principle that payoffs come from the marginal contribution they make to coalitions. The NP-hard problem associated with the Myerson-Shapley value is replaced by a boundedly rational 'spatially' myopic process. Agents consider payoffs from direct links with their neighbours (level 1), which can include indirect payoffs from neighbours' neighbours (level 2) and up to M-levels that are far from global. Agents dynamically break away from the neighbour to whom they make the least marginal contribution. Com…
Self-organizing maps could improve the classification of Spanish mutual funds
2006
In this paper, we apply nonlinear techniques (Self-Organizing Maps, k-nearest neighbors and the k-means algorithm) to evaluate the official Spanish mutual funds classification. The methodology that we propose allows us to identify which mutual funds are misclassified in the sense that they have historical performances which do not conform to the investment objectives established in their official category. According to this, we conclude that, on average, over 40% of mutual funds could be misclassified. Then, we propose an alternative classification, based on a double-step methodology, and we find that it achieves a significantly lower rate of misclassifications. The portfolios obtained from…
On estimating contemporaneous quarterly regional GDP
2007
Subnational regional jurisdictions rarely have at their disposal a reasonable array of timely statistics to monitor their economic condition. In light of this, we develop a procedure that simultaneously estimates a quarterly time series for all regions of a country based upon quarterly national and annual regional data. While other such techniques exist, we suggest a temporal error structure that eliminates possible spurious jumps. Using our approach, regional analysts should now be able to distribute national growth among regions as soon as quarterly national figures are released. In a Spanish application, we detail some practicalities of the process and show that our proposal produces bet…
SINGLE FACTOR STOCHASTIC MODELS WITH SEASONALITY APPLIED TO UNDERLYING WEATHER DERIVATIVES VARIABLES
2003
This paper estimates single factor stochastic models describing daily air temperature behaviour. We modify classical financial models to reflect temperature seasonality and fit them to a time series representing temperatures in Spain. The estimated models are used in Montecarlo simulations to obtain heating and cooling degree-days, which are used as an underlying reference in weather derivatives. The final goal of this work is to obtain an insight into weather derivative valuation, and so making it easier to manage economic activity risks closely related to temperature (i.e. oil, gas and electricity prices and volumes). En este trabajo se estiman modelos estocásticos unifactoriales que desc…
Fluctuation patterns in high-frequency financial asset returns
2008
We introduce a new method for quantifying pattern-based complex short-time correlations of a time series. Our correlation measure is 1 for a perfectly correlated and 0 for a random walk time series. When we apply this method to high-frequency time series data of the German DAX future, we find clear correlations on short time scales. In order to subtract trivial autocorrelation parts from the pattern conformity, we introduce a simple model for reproducing the antipersistent regime and use alternatively level 1 quotes. When we remove the pattern conformity of this stochastic process from the original data, remaining pattern-based correlations can be observed.
The tradeoffs between retail service and exclusivity in distribution: Welfare and policy implications
2006
Abstract This paper examines the welfare tradeoffs between retail service and exclusivity in distribution in a successive duopoly with differentiated retailers. A simple two-stage game is developed to model quantity and retail service competition under two situations, one where retailers operate under exclusivity and one where retailers can sell both products. It is shown that welfare is higher under exclusivity in distribution when the transfer price without exclusivity exceeds that under exclusivity and intra-product and in-store competition are intense. Our findings call for a detailed analysis of the antitrust treatment of exclusive dealing when interrelated with the provision of retail…
An Economic Characterization of the Concept of «Merit Goods»: The Case of Higher Education Service
1997
La giustificazione dei finanziamenti pubblici per l’istruzione superiore ha dato luogo a molte discussioni. Gran parte degli studi di economia dell’istruzione ne ha messo in evidenza la giustificazione economica, basata sulla presenza di effetti esterni derivanti da una maggiore istruzione. Tuttavia, perchè queste argomentazioni possano valere, è necessario che ricorrano due condizioni: che i benefici esterni siano marginali e che non possano essere internalizzati. Peraltro, la spiegazione del massiccio ricorso al finanziamento pubblico dell’istruzione superiore richiede altre argomentazioni. Tra queste sembra interessante l’impostazione secondo cui l’istruzione superiore è soggetta a due t…