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Modelli non lineari per i tassi di cambio: un confronto previsivo
Get PDFIn recent years there has been a considerable development in time seriesanalysis, represented mainly by alternative linear models able to describe more adequately the short and long term dynamics and by the renewed interest in modelling nonlinearities and asymmetries in economic and financial variables. Given the relevance of such variables in devising economic and monetary policy, it is of theoretical, as well as practical, importance to propose statistical methods appropriate to represent their dynamic behaviour. The aim of this work is to compare the forecasting performance of different models for the returns of some of the most traded exchange rates, namely the French Franc (FF/) and the Japanese Yen (Y/$). We compare the relative performance of some nonlinear models and contrast them with their simpler linear counterparts. Although we find evidence of noticeable forecasting gains from nonlinear models, the results are sensitive to the metric adopted to measure the forecasting accuracy.e
The role of specialisation and diversity externalities in the agglomeration of innovative activities
Get PDFThis paper contributes to the analysis of the process of spatial agglomeration of innovative activities by investigating directly its determinants. Our main purpose is to identify the extent to which the degree of industrial specialisation (Marshall externalities) or diversity (Jacobs externalities) in the region may affect the innovative output in a particular local industry. Moreover, we test if any relevant difference arises with respect to the role of diversity in metropolitan areas and in high-tech sectors. The analysis is carried out thanks to an original databank on innovation and production across Italian local labour systems. According to the estimation results there are clear signs of the two types of externalities working simultaneously: Marshall externalities (or localisation economies), associated to industrial specialisation within the sector and also within the science base cluster; and Jacobs externalities (or urbanisation economies), associated to the degree of diversity of both the local districts and the science base cluster. With respect to the industrial diversity at the local district level, however, it is worth noting that it plays a different role depending on the dimension of the local district (whether it is a metropolitan area or not) and on the type of industry (high Vs low tech sectors)
The Information in the Term of Structure: further Results for Germany
Get PDFThis paper tests the Expectations Hypothesis (EH) of the term structure of interest rates using new data for Germany. The German term structure appears to forecast future short-term interest rates surprisingly well, compared with previous studies with US data, while it has lower predictive power for long-term interest rates. However, the direction suggested by the coefficient estimates is consistent with that implied by the EH, that is when the term spread widens, long rates increase. The use of instrumental variables to deal with possible measurement errors in the data significantly improves regressions for the long rates. Moreover, reestimation with proxy variables to account for the possibility of time-varying term premia confirms that the evolution of both short and long rates corresponds to the predictions of the EH and that most of the information is in the term spread. These results are important as they suggest that monetary policy in Germany could be guided by the slope of the term structure
L'evoluzione del sistema economico della Sardegna negli anni novanta
Get PDFThis paper analyses the evolution of the Sardinian economic system over the nineties, through a comparison of its performance with respect to other Italian regions. The paper examines the main aggregate variables (GDP, investment), the changes in the sectoral productive structure, the firms' dynamics, the labour market. All economic indicators point out that, although Sardinia still shows a large gap from the northern regions, it has succeeded to overcome the low phase of the business cycle reached in the mid-nineties and it is now proceeding along a path of product and employment growth
Detecting Technological Catch-Up in Economic Convergence
Get PDFOur aim is to address the problem of measuring how much of the convergence that we observe is due to convergence in technology versus convergence in capital-labour ratios, in the absence of data on the level of technology. To this aim, we first develop a growth model where technology accumulation in lagging economies depends on their propensity to innovate and on technological spillovers, and convergence is due both to capital deepening and to catch-up. We study the transitional dynamics of the model to show how to discriminate empirically among the following three hypotheses: (i) convergence due to capital deepening with technology levels uniform across economies, as in Mankiw, Romer and Weil (1992); (ii) convergence due to capital deepening with stationary differences in individual technologies, as in Islam (1995); (iii) convergence due to both catch-up and capital deepening (non-stationary differences in individual technologies. We show that, in the absence of TFP data, hypotheses (ii) and (iii) may be difficult to distinguish in cross-section or panel data. We suggest that discrimination can be nevertheless obtained by exploiting the fact that if heterogeneity is the source of catch-up, technology growth is not uniform across countries and the initial differences in technology levels may tend to decrease over time. Given this implication, one way to discriminate between (ii) and (iii) would be to test whether estimates of fixed-effects in sub-periods show the pattern implied by either hypothesis
Some Econometric Issues In Convergence Regressions
Get PDFDespite the abundance of different econometric techniques introduced in the empirical literature on convergence, it is usually assumed that shocks are uncorrelated across countries. This is surely unlikely for most of the datasets considered and we investigate a possibility so far ignored, namely the annual panel estimator where shocks are allowed to be correlated across countries. Our analysis is restricted to the case of more time periods than countries (T>N) which allows us to estimate by Maximum Likelihood with an unrestricted variance-covariance matrix of cross-country shocks. The paper examines by Monte Carlo robustness against certain possible mis-specifications, namely measurement error and heterogeneity of the convergence coefficients. Our analysis indicates that ML estimators are robust to plausible measurement error and variation of convergence rates across countries and are more efficient than conventional estimators for plausible values of cross-country error correlation. We consider in detail the relationship between the distribution of the ML estimator and the initial conditions. Applying our findings to a panel of OECD countries for the post-war period, we show that ML is effectively unbiased and more efficient than or conventional panel estimators OLS on a cross-section of countries. We argue the reason this estimators is so well behaved is that many OECD countries were far from their equilibrium values at the beginning of the period
Un indicatore sintetico sulla qualità della vita (ISG) di soggetti anziani non istituzionalizzati
Get PDFCrescita virtuosa e crescita neodualistica nell'ambito regionale: tendenze recenti per le aree europee in ritardo di sviluppo
Get PDFThe evidence of persistent differentials in the growth and in the labour market performance among "regions" of Europe calls for a comprehensive analysis of the recent evolution of the position of the more "backward" area within the European Union. Evolution of regional differentials in GDP per head cannot be understood, according to the point of view expressed in this paper, without a joint analysis of the tendencies at the level of of the two complementary factors in the determination of total product of an area: productivity of the employed population, and the employment rate (employed to total population). Dispersion of income, productivity, and employment rates among the regions belonging to the "Objective I" area of European regional policies are investigated; an analysis of the evolution of measures of a "development gap" of these regions with respect to average European standards is considered. In general, it appears that "convergence" of income and a "catch up" process, for the regions within the "Objective I" area, has been taken place, nothwithstanding the evidence of "convergence" of productivity, by stagnant or declining employment rates reflecting inability ot match labour supply through additional flows of jobs. We have tentatively called this situation of locally improving productivity performance and lack of sufficient capacity of absorption of labour, as one of a "neodualistic" growth
A Sample Selection Model for Protest Non-Response Votes in Contingent Valuation Analyses
Get PDFPay some money for a public good, for reasons that differ from a genuine indifference to the good. For example, some people may dislike the idea of placing monetary values to public goods like the environment or a historical monument. Some may protest against the inefficiency of the public administration in managing public funds, and refuse to pay a tax. Others may behave strategically, if they think that their answer could influence the actual level of taxation. A good survey design can effectively reduce them, but protest votes can hardly be completely removed from the dataset. The question is how to deal with them. Sometimes they are considered as true zero values, or, if the dichotomous choice method is used, as if they were below the minimum bid. Obviously, if the unwillingness to pay reflects only a protest and not a low or null valuation of the good, this procedure results in downward biased estimates of the wtp measure. It is of paramount importance that the questionnaire contains a follow up question for individuals that refuse payment, to investigate about their motivations, and interpret the responses. Alternatively, observations with protest votes are simply cut off the sample, and only the subsample with positive reservation prices is considered in the analysis. This procedure will not have any effect for the validity of the estimates only if there is no sample selection bias. Otherwise, it leads to incorrect estimates for the willingness to pay. In this paper we present a sample selection model that allows to take into account, and correct, the possible bias due to protest votes. It is shown that selection bias can sensibly affect the estimates for the willingness to pay for the public good. It will be seen that the model may present estimation problems because of flatness of the likelihood function. In some cases confidence intervals around the sample selection coefficient are too wide to give evidence of presence or absence of sample selection bias. It is argued that even in these circumstances the sample selection model with the protest votes should be preferred to the model without protest votes, since it takes into account the uncertainty about the estimates of the willingness to pay
Struttura socio-economica dei comuni della Sardegna. Suggerimenti da un’analisi cluster
Get PDFThis paper aims at contributing to a better understanding of the territorial diversities and proximities which are currently taking place in Sardinia. Such an understanding is based on a cluster analysis, applied to socio-economic data at the smallest territorial level (comuni), which is able to identify homogenous groups. The cluster methodology is implemented by using different indicators which should provide a good representation of the socio-economic development of the area. These indicators are per capita income, value added per employee, unemployment rate and activity rate. Once the clusters are identified we look for a better characterisation by examining other phenomena which describe the production structure, the demographic situation and the environment. In conclusion the picture obtained in this way is analysed more deeply by means of some indicators on the economic and demographic dynamics in the early ninities