311 research outputs found
Sort by
Political support to public debt repudiation in a Monetary Union - the role of the geographical allocation of debt.
No full textThe main arguments for the Stability and Growth Pact turn on the need to protect the European Central Bank against
inflationary pressures from the fiscally prodigal countries (repudiation through inflation). Taking a political economy
approach, in this paper we inquire into the conditions under which national governments may reach the decision for a partial
or total repudiation of their debt. The main result produced by our model is that a debt management policy of lowering
effective yields might be the dominant option for a self-interested government whose creditors consist in part of
non-residents. On the basis of such result we argue that the impact of the fiscal position of the various member
countries on the stability of EMU does not depend on the stock of debt but on the proportion of it that is held [email protected]
The Role of Guarantees in Bank Lending.
Get PDFGuarantees play an important role in debt contracts. They alter the risk for the
lender, transform borrowers' incentives and, possibly, modify the equilibrium
allocation of financial resources. This paper studies the role of guarantees on bank
loans, using a sample of over 50,000 individual lines of credit granted by Italian
banks. Two empirical models are used. The first directly verifies the relationship
between ex-ante publicly available information on borrowers' default riskiness and
the presence of guarantees on their bank loans; the second compares the interest rates
charged on secured and unsecured loans made by different banks to the same
borrower, thus perfectly controlling for idiosyncratic riskiness and singling out the
direct effect of the presence of guarantees on credit risk. The empirical results show
that real guarantees (physical assets or equities that the lender can sell if the borrower
defaults), which are often internal, are mainly used to provide a priority to some
creditors. Personal guarantees (contractual obligations of third parties to make
payments in case of default, e.g. suretyships), which can only be external, are used
instead as incentive devices against moral hazard problems. Controlling for
borrowers' characteristics, both real and personal guarantees reduce ex-ante credit
[email protected]
Money, Growth and Finite Horizons.
No full textThe implications of endogenous labor supply for money superneutrality
in OLG economies are analyzed. Inflation increases capital and output, while it affects
labor ambiguously in a closed economy. Inflation reduces capital and output, but stimulates
wealth in an open [email protected]
Survey response and survey characteristics: Micro-level evidence from the ECHP
No full textThis paper presents some micro-level evidence on the role of the socio-demographic characteristics
of the population and the characteristics of the data collection process as predictors
of survey response. Our evidence is based on the public use files of the European Community
Household Panel (ECHP), a longitudinal household survey covering the countries of the European
Union, whose attractive feature is the high level of comparability across countries and over
time. We use individual-level information to predict response in the next wave given response in
the current wave, focusing on how the probabilities of contact failure and refusal to cooperate
vary with the socio-demographic composition of the national populations and the characteristics
of the data collection process. We model the response process as the outcome of two sequential
events; (i) the contact between the interviewer and an eligible interviewee, and (ii) the cooperation
of the interviewee. Our model allows for dependence between the ease of contact and the
propensity to cooperate, taking into account the censoring problem caused by the fact that we
observe whether a person is a respondent only if she has been [email protected]
Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems
No full textThis paper proposes new iterative reduced-rank regression procedures for seasonal cointegration analysis. The suggested methods are motivated by the idea that modelling the
cointegration restrictions jointly at different frequencies may increase efficiency in finite samples. Monte Carlo simulations indicate that the new tests and estimators perform well
with respect to already existing statistical [email protected]
The limits of statistical information: How important are GDP revisions in Italy?
No full textThe use of Gross Domestic Product (GDP) as a summary measure of the level of
economic activity is pervasive in empirical economics, policy analysis and forecasting.
This pervasive role of GDP and its nature of "public good" raises obvious problems of
timeliness and accuracy of the data.
A striking feature of GDP data (and, more generally, of all national accounts figures)
is the presence of "data vintages". That is, the GDP estimate for a specific year or
quarter is subject to several revisions after its first release. As a result, both the level
and the profile of GDP over a given period may change, sometimes substantially, through
time.
This paper presents some evidence on the extent of GDP revisions in Italy, with
particular emphasis on revisions of the quarterly national accounts series, and compares
the Italian evidence with the available evidence from other countries. After discussing
some areas in which data revisions can have potentially important consequences, the
paper concludes with some policy [email protected]
The Political Power of the Owners of Public Debt
No full textWe develop a two period model to investigate what makes the promise to repay public debt credible. We explor a political solution excluding any role for long-run reputational arguments. There are two sources of heterogeneity among individuals: wealth and income. Differences in asset holdings determine individuals preferences over monetary policy; differences in incomes determine individuals preferences over fiscal policy. The bi-dimensionality of the political choice plays a fundamental role. We show, in fact, that political outcomes on the dimension perceived as less relevant might be decided by minority groups. In this sense, the very fact of issuing public debt creates a constituency in favour of repaying it and, under certain conditions, this constituency might be winning even though it is a minority [email protected]
Research and Development, Regional Spillovers and the Location of Economic Activities
No full textI present an endogenous growth model that studies the effects of local inter-industry and
intra-industry knowledge spillovers in R&D on the allocation of economic activities between
two regions. The equilibrium is the result of a tension between a centripetal force, the cost of
transporting goods from one region to the other, and a centrifugal force, the cost increase
associated with life in a more crowded area. The presence of local knowledge spillovers,
which determines the concentration of the R&D activities within one region, also introduces
a further centripetal force that makes impossible a symmetric allocation of the economic
activities. The concentration of R&D fosters the equilibrium rate of growth of the economy
with respect to the case of no-integration, by increasing the positive effect of local
knowledge spillovers. Contrary to the findings of the majority of models in the new economic
geography literature, within this framework a reduction in the transport costs may be
associated with a more even spatial location of economic [email protected]
The Pricing Effect of Certification on Bank Loans: Evidence from the Syndicated Credit Market
No full textThis paper provides a direct test of banks' ability to mitigate informational
asymmetries. In syndicated loans, lenders' incentive to screen ex ante and monitor ex
post borrowers increases with the share they retain; consequently, the higher this
share, the less risky the loan is considered by investors, and the lower is the interest
rate they require. We analyze a large sample of syndicated loans arranged in over 80
countries during the nineties. We find that interest rates decrease in the share of the
facility retained by the arranger. This certification effect is greater for smaller, more
opaque loans where screening and monitoring are more [email protected]
A least squares approach to Principal Component Analysis for interval valued data
No full textPrincipal Component Analysis (PCA) is a well known technique the aim of which is to synthesize huge amounts of numerical data by means of a low number of unobserved variables, called components. In this paper, an extension of PCA to deal with interval valued data is proposed. The method, called Midpoint Radius Principal Component Analysis (MR-PCA) recovers the underlying structure of interval valued data by using both the midpoints (or centers) and the radii (a measure of the interval width) information. In order to analyze how MR-PCA works, the results of a simulation study and two applications on chemical data are [email protected]