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Testing for rational bubbles.
No full textThis paper presents new results on the rational bubbles hypothesis for a
panel of 9 OECD countries using Campbell, Lo and MacKinsay (1997) model.
The contribution offered by this paper is an analysis of international data that
exploits increased power deriving from the panel unit root and cointegration
methodology, together with the flexibility of allowing explicitly for multiple
endogenous structural breaks in the individual series. Differently from the time
series methodology, the panel data approach allows for a global analysis of the
Financial crashes that are related to rational bubbles. Strong evidence in favor
of bubbles phenomena is found.
Classification-C12, C33, G15.
Keywords: Panel data, Co-integration, International Financial markets, Rational bubbles.
Length: 25 pages
Creation-Date: 2006-12-21
File-URL: http://www.unimol.it/progetti/repec/mol/ecsdps/ESDP06030.pdf
File-Format: Application/pdf
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[email protected]@dte.uniroma1.i
The Incidence of a Tax on Pure Rent in a Small Open Economy.
Get PDFThis paper analyzes the effects of a land rent tax on capital formation
and foreign investment in a life-cycle small open economy with
endogenous labor-leisure choices. The consequences of land taxation
critically depend on how the tax proceeds are used by the government.
A land tax depresses capital formation, crowds out foreign
investment and increases national wealth and consumption when the
land tax revenues are distributed as lump-sum payments. If the proceeds
from land taxation are used to finance unproductive government
expenditure, the land tax will be neutral in its effects on the capital
stock, nonhuman wealth and labor. When the tax revenues are used
to reduce labor taxes, the land rent tax spurs nonhuman wealth accumulation
and ambiguously affects the capital stock and [email protected]
Conflicts of Interest in Financial Markets - Evidence from Bond Underwriting in the Nineties.
No full textThis paper presents some new evidence on the conflict of interest that may arise
when banks underwrite corporate securities and sell them to their customers. Two
alternative views are confronted; a) that commercial banks possess private
information on the financial condition of their clients and so perform better screening
(the certification hypothesis); and b) that commercial banks might convert loans to
firms in financial difficulties into bonds marketed to unsuspecting clients (the naïve
investor hypothesis). The empirical analysis compares the default rates between
2000 and 2002 of a sample of more than 5,000 securities issued from 1991 to 1999.
Our results show that, on average, securities underwritten by investment houses and
by commercial banks had the same probability of default. However, investment-grade
issues underwritten by commercial banks had a lower probability of default than
those underwritten by investment houses, while the reverse was true for noninvestment-
grade issues. Based on this latter result, it is not possible to refute the
naïve investor hypothesis, as instead in Kroszner and Rajan (1994)[email protected]
Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes.
Get PDFThe aim of this paper is to provide a new perspective on the nonparametric
co-integration analysis for integrated processes of the second
order. Our analysis focus on a pair of random matrices related
to such integrated process. Such matrices are constructed by introducing
some weight functions. Under asymptotic conditions on such
weights, convergence results in distribution are obtained. Therefore,
a generalized eigenvalue problem is solved. Differential equations and
stochastic calculus theory are [email protected]
Generalization of a nonparametric co-integration analysis for multivariate integrated processes of an integer order.
No full textThis paper provides a further generalization of co-integration tests
in a nonparametric setting. We adopt Bierens' approach in order
to give an extension for processes I(d), with a fixed integer d. A generalized
eigenvalue problem is solved, and the test statistics involved
are obtained starting from two matrices that are independent on the
data generating process. The mathematical tools we adopt are related
to the asymptotic theory of the stochastic processes. The key point
of our work is linked to the distinguishing between the stationary and
non-stationary part of an integrated [email protected]
Inequality, redistribution and the allocation of public spending in education. A political-economy approach.
Get PDFThe incidence of public expenditure in education appears to be skewed in favour of the middle
and upper classes. This paper inquires into the determinants of this bias using a political economy approach.
We develop a model with two time periods with an election occurring between the two. In the first period,
agents differ in their initial wealth. In the second period, differences in wealth are combined with
differences in income. In the first period, the incumbent government issues debt to finance public spending
in education and decides how to allocate available resources between primary and tertiary education. Both
increase aggregate income, but while investment in primary education reduces income inequality, investment
in tertiary education increases it. At the beginning of the second period, a two-party electoral competition
is held and probabilistic voting decides the winner. By varying the parameters of the linear income tax, the
elected policy-maker can redistribute resources between low and high income individuals, while by choosing a
debt default rate she can renege on the promise to fully repay public obligations, redistributing resources
from bond-holders to tax-payers. We show that the investment in primary education might not be (politically)
viable. Intuitively, investment in primary education, by reducing income inequality with respect to wealth
inequality, might increase the desired debt default rate of future policy makers, making issuing debt to
finance primary education [email protected]
Endogenous Growth in Open Economies - A Survey of Major Results.
No full textEndogenous growth has set a new paradigm for macroeconomic analysis. This paper overviews
the most relevant theoretical contributions of this literature for the analysis of open economies,
highlighting their implications both for the effects of crosscountry integration on output
convergence and for the overall growth performance of
the integrated economy, as compared to that of an identical group of autarchic
countries. The literature is divided into three major classes, studying, respectively, the
effects of factor mobility, the role of international trade, and the consequences of
technology diffusion. The main conclusion is that knowledge spillovers can go a long
way in explaining the differences in growth performances across countries, but
additional research is needed to completely understand the mechanisms driving their
international [email protected]
Job Search Mechanism and Individual Behaviour.
Get PDFThis paper modelles job search mechanism at individual level by a
determinstic-stochastic approach in a economy with perfect competion
and rational agents. Each single unit, firm or worker, is analyzed over
time; aggregate dynamics comes directly from the micro-structure of
the economy. We show that the unemployment as well as vacancy
rate converge in the long run to an ergodic distribution whose average
value lies on the Beverdige curve. Transitional paths are not-monotone
and depending on initial conditions. The micro-model is exploited to
assess the relationship between job search and social networks (neighborhood
effects); results show that, when the network is endogenous,
such spillovers affect both transitional paths and steady state in several
way, not last in a negative [email protected]
A Reduced Rank Regression Approach to Coincident and Leading Indexes Building.
Get PDFThis paper proposes a reduced rank regression framework for constructing coincident
and leading indexes. Based on a formal definition that requires that the first differences of
the leading index are the best linear predictor of the first differences of the coincident index,
it is shown that the notion of polynomial serial correlation common features can be used
to build these composite variables. Concepts and methods are illustrated by an empirical
investigation of the US business cycle [email protected]
Wage expectations in northern and southern Italian regions. An interpretation based on psychological and social factors.
Get PDFIndividual wage expectations of the Italian unemployed are studied. The
analysis is carried out separately for the north-central and southern
Italian regions. Results show a marked difference in expectations formation,
with the northern unemployed using information more efficiently. A tentative
explanation based on psychological and social factors is [email protected]@[email protected] in International Review of Applied Economics, vol. 19, no. 3. pp. 343-358