Suchergebnisse

What are the sources of macroeconomic comovement among G-7 countries? Two main candidate explanations may be singled out: common shocks and common transmission mechanisms. In the paper it is shown that they are complementary, rather than alternative, explanations. By means of a large-scale factor vector autoregressive (FVAR) model, allowing for full economic and statistical identification of all global and idiosyncratic shocks, it is found that both common disturbances and common transmission mechanisms of global and country-specific shocks account for business cycle comovement in the G-7 countries. Moreover, spillover effects of foreign idiosyncratic disturbances seem to be a less important factor than the common transmission of global or domestic shocks in the determination of international macroeconomic comovements.

A time-varying quantile can be fitted by formulating a time series model for the corresponding population quantile and iteratively applying a suitably modified state space signal extraction algorithm. It is shown that such quantiles satisfy the defining property of fixed quantiles in having the appropriate number of observations above and below. Like quantiles, time-varying expectiles can be estimated by a state space signal extraction algorithm and they satisfy properties that generalize the moment conditions associated with fixed expectiles. Because the state space form can handle irregularly spaced observations, the proposed algorithms can be adapted to provide a viable means of computing spline-based non-parametric quantile and expectile regressions.

In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced,
as one of the listed products, options on its implied volatility index (VIX).
This created the challenge of developing a pricing framework that can simultaneously handle European options, forward-starts, options on the realized variance and options on the VIX. In this paper we propose a new approach to this problem using spectral methods. We use a regime switching model with jumps and local volatility defined in [1] and calibrate it to the European options on the S&P 500 for a broad range of strikes and maturities. The main idea of this paper is to "lift" (i.e. extend) the generator of the underlying process to keep track of the relevant path information, namely the realized variance. The lifted generator is too large a matrix to be diagonalized numerically. We overcome this difficulty by applying a new semi-analytic algorithm for block-diagonalization. This method enables us to
evaluate numerically the joint distribution between the underlying stock price and the realized variance, which in turn gives us a way of pricing consistently European options, general accrued variance payoffs and forward-starting and VIX options.

The aim of this paper is to provide new evidence on the factors affecting wine prices on both methodological and factual grounds. On the methodological ground, this study is the first to apply a general Box-Cox transformation within the context of hedonic models which exploit all the variables (objective and sensorial characteristics, reputation) pointed out by previous literature as relevant in driving market prices. On the factual ground, the paper fills the lack of empirical evidence on the issue for Italy, one of the leading wine producers, by using a large dataset on two premium quality wines (Barolo and Barbaresco) covering the 1995-1998 vintages. Our results support the evidence obtained using data from other countries, showing that sensorial traits, the reputation of wines and producers, as well as objective variables are all important factors influencing the consumers' willingness to pay. More importantly, by resorting to a non-nested statistical test (Vuong, 1989) we compare two alternative specifications (taste vs. reputation) and find that the reputation model significantly outperforms the taste one, whereby suggesting that a greater amount of information on how the wine price is formed is contained in the reputation specification.

In order to evaluate the efficiency of the monetary transmission mechanism, we develop the formulas for testing rational expectations theory in the term structure of interest rates with VAR models of stochastically switching regimes in which all the parameters are regime-dependent. These formulas are obtained for the strict version of rational expectations as well as for the case where measurement errors are assumed in the expectations relationship. They are extensible to other contexts that involve variables linked by rational-expectations behaviors. The testing procedure is implemented on interest rates of the Spanish inter-bank money market. Measurement errors must be assumed to find signs favourable to the theory.

In this paper we present a technique to obtain the time-varying covariance matrix for several time series for nearest neighbour predictors. To illustrate the use of this technique, we analyse the time-varying variances and correlations between the daily returns on two equity stock market indexes, the New York Stock Exchange (NYSE) and the Madrid Stock Exchange Index (MSEI).

This paper is concerned with the discrete time stochastic volatility model Yi=exp(Xi/2)ηi, Xi+1=b(Xi)+σ(Xi)ξi+1, where only (Yi) is observed. The model is re-written as a particular hidden model: Zi=Xi+εi, Xi+1=b(Xi)+σ(Xi)ξi+1, where (ξi) and (εi) are independent sequences of i.i.d. noise. Moreover, the sequences (Xi) and (εi) are independent and the distribution of ε is known. Then, our aim is to estimate the functions b and σ2 when only observations Z1,…,Zn are available. We propose to estimate bf and (b2+σ2)f and study the integrated mean square error of projection estimators of these functions on automatically selected projection spaces. By ratio strategy, estimators of b and σ2 are then deduced. The mean square risk of the resulting estimators are studied and their rates are discussed. Lastly, simulation experiments are provided: constants in the penalty functions defining the estimators are calibrated and the quality of the estimators is checked on several examples.

Finite sample distributions of studentized inequality measures differ substantially from their asymptotic normal distribution in terms of location and skewness. We study these aspects formally by deriving the second order expansion of the first and third cumulant of the studentized inequality measure. We state distribution-free expressions for the bias and skewness coefficients. In the second part we improve over first-order theory by deriving Edgeworth expansions and normalizing transforms. These normalizing transforms are designed to eliminate the second order term in the distributional expansion of the studentized transform and converge to the Gaussian limit at rate O(n−1). This leads to improved confidence intervals and applying a subsequent bootstrap leads to a further improvement to order O(n−3/2). We illustrate our procedure with an application to regional inequality measurement in Côte d'Ivoire.

Der wirtschaftliche Entwicklungsstand von Regionen hängt nicht nur von ihrer eigenen Leistungsfähigkeit ab, sondern aufgrund räumlicher Überschwappeffekte auch von jener angrenzender Wirtschaftsräume. Positive Spillovers (Lieferverflechtungen, Nutzung der Infrastruktur in Nachbarregionen u. ä.) und negative Spillovers (z. B. Umwelteffekte) begründen eine wechselseitige Beeinflussung des Entwicklungsstands von Wirtschaftsräumen. Die räumlich-ökonometrische Analyse erlaubt eine Simulation von ökonomischen Größen mit und ohne Effekte angrenzender Gebiete. Hier sei die Arbeitsproduktivität betrachtet, die als Indikator für die Leistungsfähigkeit von Wirtschaftsräumen steht. Mit Hilfe von Eigenvektoren, die die Nachbarschaftseffekte wiedergeben, wird ein erheblicher Varianzanteil der Arbeitsproduktivität erklärt. Eine die Grenzen von Wirtschaftsräumen überschreitende netzwerkbasierte Regionalpolitik erscheint damit ökonomisch sinnvoll zu sein. Insbesondere Metropolen beeinflussen in hohem Maße die Arbeitsproduktivität im Umland. Einige ostdeutsche Regionen in Brandenburg und Sachsen würden ohne das schlechte wirtschaftliche Umfeld eine deutlich überdurchschnittliche Arbeitsproduktivität aufweisen. Andere Regionen, beispielsweise im Harz und in Mecklenburg-Vorpommern, sind aufgrund der dünnen Besiedlung sowohl mit als auch ohne Berücksichtigung von Nachbarschaftseffekten unattraktiv. ; The development state of regions depends not only on the own efficiency, but also on spatial spillovers. Positive (backward linkages, use of the infrastructure in neighbouring economic areas etc.) and negative (e. g. environmental effects) spillovers give reasons for a mutual economic influence between regions. The spatial econometric analysis makes a simulation of the labour efficiency with and without spillovers possible. The eigenvectors, which represent the spatial effects from neighbouring regions, explain a high proportion of the labour efficiency variation. Thus a cross-border network-based regional policy makes sense. Especially metropolitan areas are influencing the labour efficiency in surrounding regions. Some East-German regions in Brandenburg and Saxony would have above-average labour efficiency without the bad economic environment. Other sparsely populated regions, for example in the Harz or in Mecklenburg- Western Pomerania, are very unattractive with and without taking into consideration neighbouring effects.