Search results for "Econometrics"
showing 10 items of 3730 documents
Stochastic sensitivity of bull and bear states
2021
We study the price dynamics generated by a stochastic version of a Day–Huang type asset market model with heterogenous, interacting market participants. To facilitate the analysis, we introduce a methodology that allows us to assess the consequences of changes in uncertainty on the dynamics of an asset price process close to stable equilibria. In particular, we focus on noise-induced transitions between bull and bear states of the market under additive as well as parametric noise. Our results are obtained by combining the stochastic sensitivity function (SSF) approach, a mixture of analytical and numerical techniques, due to Mil’shtein and Ryashko (1995) with concepts and techniques from th…
Wages, prices, and technology in early Catalan industrialization
2015
Catalonia was the only Mediterranean region among the early followers of the British industrial revolution. The roots of this process can be traced back to the seventeenth and eighteenth centuries when the Catalan economy became integrated into international trade, and a successful printed calico industry concentrated in the city of Barcelona. Although the factory system was largely adopted by the cotton industry in the 1840s, the diffusion of the spinning jenny in Catalonia had occurred earlier, in the 1790s. In line with Allen, this article explores whether relative factor prices played a role in the widespread adoption of the spinning jenny in Catalonia. First, series of real wages in Ba…
Elucidating the constructs happiness and wellbeing: A mixed-methods approach
2015
International audience; In this study we examine the constructs "happiness" and "wellbeing" in a sample of Canadian women and men in mid-adulthood. Through a sequential mixed-methods approach, we utilize Sen and Nussbaum's conceptualizations of capabilities to inform the themes generated from semi-structured interviews. We find that participants understand happiness and wellbeing as two distinct constructs that are illuminated in the metaphors happiness as balance and the gears of wellbeing. Second, we corroborate these constructs through a principal component analysis of questionnaire data. We conclude that happiness and wellbeing are not static entities, but rather iterative processes tha…
Structural change in a Ricardian world economy: The role of extensive rent
2019
Abstract We study an implication of the Ricardian theory of differential extensive rent in a free trade regime. To this effect we develop a Ricardian two country two commodity open economy model. We assume that, unlike labour, land is heterogeneous both within and across countries and that the ratio of high to low quality land is different among the trading countries. By means of a numerical example we show that as the process of worldwide capital accumulation (and population growth) proceeds an industrial country may find it convenient to increase its domestic corn production and even reverse completely the pattern of its imports and exports.
A Simulation Analysis of the Microstructure of an Order Driven Financial Market with Multiple Securities and Portfolio Choices
2005
In this paper we propose an artificial market where multiple risky assets are exchanged. Agents are constrained by the availability of resources and trade to adjust their portfolio according to an exogenously given target portfolio. We model the trading mechanism as a continuous auction order-driven market. Agents are heterogeneous in terms of desired target portfolio allocations, but they are homogeneous in terms of trading strategies. We investigate the role played by the trading mechanism in affecting the dynamics of prices, trading volume and volatility. We show that the institutional setting of a double auction market is sufficient to generate a non-normal distribution of price changes…
Discrimination in the sharing economy: evidence from a Hungarian field experiment
2018
Findings from our pilot research project which focused on providing car sharing services to young people with different ethnic/racial background showed discrimination against certain ethnic groups. The research was based on a controlled field experimental design to examine the chances of rides being offered to racially different testers. The experimental variables were both race and gender. Creating altogether 8 profiles enabled us to test the interaction between these two experimental stimulus. The small-scale research (total N=160) was implemented in Hungary, in summer 2017 by interns of TARKI, Hungarian Social Research Centre. The forthcoming article shows evidence of ethnic/racial dispr…
Measuring the CO2 shadow price for wastewater treatment: A directional distance function approach
2015
Abstract The estimation of the value of carbon emissions has become a major research and policy topic since the establishment of the Kyoto Protocol. The shadow price of CO2 provides information about the marginal abatement cost of this pollutant. It is an essential element in guiding environmental policy issues, since the CO2 shadow price can be used when fixing carbon tax rates, in environmental cost-benefit analysis and in ascertaining an initial market price for a trading system. The water industry could play an important role in the reduction of greenhouse gas (GHG) emissions. This paper estimates the shadow price of CO2 for a sample of wastewater treatment plants (WWTPs), using a param…
Assessing complexity and causality in heart period variability through a model-free data-driven multivariate approach
2017
The aim of this study is to emphasize the importance of model-free data-driven mul- tivariate approaches in describing HP variability and cardiovascular control mechanisms responsible for inducing HP changes via modifications of different cardiovascular vari- ables such as SAP and RESP. The goal was achieved through the application, a previously proposed model-free data-driven multivariate framework devised to assess complexity and causality over a multivariate set composed by several, simultaneously recorded, car- diovascular variability series (Porta et al., 2014). The approach was applied to assess the complexity of the cardiac control, through the evaluation of the amount of irregularit…
Assessing connectivity in the presence of instantaneous causality
2014
This chapter is devoted to a discussion of the impact of instantaneous causality on the computation of frequency domain connectivity measures. Instantaneous causality (IC) refers to interactions between two observed time series which occur within the same time lag.