Search results for "Econometric"
showing 10 items of 3780 documents
“Piero Sraffa: economic reality, the economist and economic theory. An interpretation”.
2007
We carry out a textual analysis of Sraffa's main published contributions to pure economics in order to elaborate a rational reconstruction of an aspect of Sraffa's implicit methodology which has not yet been duly investigated. We refer to the threefold relationship between ‘economic reality’, ‘the economist/observer’ and ‘economic theory’. We elucidate the constraints which, for Sraffa, should bind the economists' arbitrariness and we trace the elements of continuity and evolution from the 1925–6 critique of Marshallian economics to Production of Commodities.
Method and analysis in Piero Sraffa's 1925 critique of Marshallian economics
2000
This paper provides an analysis of the logical structure and analytical content of Piero Sraffa's 1925 Italian paper, ‘Sulle relazioni fra costo e quantita prodotta’. It shows that Sraffa's criticism of the supply side of Marshall's theory of value in a competitive partial equilibrium model involves analytical and methodological issues. Endorsing an agressive methodology Sraffa logically reconstructs Marshall's model on variable returns to determine its empirical domain. He demonstrates that the latter encompasses only the empirically irrelevant cases of specific factor industries and specific external economies industries and that it cannot be generalized to non-specific factor industries …
Toeholds and takeover probability: implications for investment strategies
2009
PurposeThe purpose of this paper is to propose various toehold indicators and analyse whether the models incorporating these indicators can be used to establish investment strategies.Design/methodology/approachLogistic regression is used to test toehold indicator significance.FindingsThe results reflect that the designed measures are positively correlated to the likelihood of launching a takeover, although the power of the models to predict out‐sample takeovers is moderate, between 60.71 percent and 71.59 percent. The indicators allow us to design strategies which offer positive abnormal returns. In particular, abnormal return over the Fama‐French factors is 0.5 percent.Originality/valueToe…
Statistical Dependence and Independence
2005
Statistical dependence is a type of relation between different characteristics measured on the same units. At one extreme is deterministic dependence; at the other is statistical independence, where the distribution of one variable is the same for all levels of the other. With more than two variables, an important distinction is between marginal and conditional dependence. In many contexts, the degree of dependence may be summarized by a suitable measure of association, perhaps as part of a general model. Reference is made to graphical models. Keywords: association; correlation; marginal; conditional; exponential family; graphical Markov models
Nowcasting Global Economic Growth: A Factor-Augmented Mixed-Frequency Approach
2014
Facing several economic and financial uncertainties, assessing accurately global economic conditions is a great challenge for economists. The International Monetary Fund proposes within its periodic World Economic Outlook report a measure of the global GDP annual growth, that is often considered as the benchmark nowcast by macroeconomists. In this paper, we put forward an alternative approach to provide monthly nowcasts of the annual global growth rate. Our approach builds on a Factor-Augmented MIxed DAta Sampling (FA-MIDAS) model that enables (i) to account for a large monthly database including various countries and sectors of the global economy and (ii) to nowcast a low-frequency macroec…
The European sovereign debt market: from integration to segmentation
2013
This paper investigates the impact of European Monetary Union (EMU) and of the recent financial and fiscal crisis on the integration of the European sovereign debt market using annual data 1992–2010. The panel regression dependent variable is time-varying market linkages computed from daily realised correlations between sovereign bond returns for 13 European economies and Germany. The results indicate that the elimination of currency risk following the implementation of EMU led to a fundamental and significant one-off increase in integration. The net impact of fiscal fundamentals was negligible up until 2009 as the markets seemed to be pricing in a potential bailout for member states in cri…
A Spatial Difference-in-Differences Estimator to Evaluate the Effect of Change in Public Mass Transit Systems on House Prices
2014
Evaluating the impact of public mass transit systems on real-estate values is an important application of the hedonic price model (HPM). Recently, a mathematical transformation of this approach has been proposed to account for the potential omission of latent spatial variables that may overestimate the impact of accessibility to mass transit systems on values. The development of a Difference-in-Differences (DID) estimator, based on the repeat-sales approach, is a move in the right direction. However, such an estimator neglects the possibility that specification of the price equation may follow a spatial autoregressive process with respect to the dependent variable. The objective of this pap…
Risk aversion connectedness in five European countries
2018
Abstract In this paper we compute an aggregate index of risk aversion and indices of vulnerability and the contribution to systemic risk aversion for five European countries. The variance risk premium proxies risk aversion. The contribution to the literature is twofold. First, this is the first study estimating not only the common component, but also indices of directional connectedness among variance risk premia. Second, it is the first to estimate the interconnections by means of a FIVAR model, in order to account for long memory. Our analysis indicates measures of total and directional connectedness unlike those that would be obtained with the use of a short memory VAR. These differences…
THE CARMA INTEREST RATE MODEL
2014
In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure model and provides closed-form solutions to bond prices, yields, bond option prices, and the term structure of forward rate volatility. We demonstrate the capabilities of our model by calibrating it to a panel of spot rates and the empirical volatility of forward rates simultaneously, making the model consistent with both the spot rate dynamics and forward rate volatility structure.
What to show on the wine labels: a hedonic analysis of price drivers of Sicilian wines
2013
Unlike previous literature, we construct a hedonic model of wine price that incorporates all the main categories of variables simultaneously to enable a better evaluation of their importance on wine price formation. A comprehensive model has the advantage of providing more reliable estimates of the attributes' implicit prices thereby facilitating firms' pricing and improving effectiveness of wine production and marketing decisions. We utilize two different datasets of Sicilian wines collecting data from influential wine guides. Our results suggest that wine price strongly depends on objective features such as vintage, alcoholic content, geographical origin, grape variety, producer size and …