1,721,033 research outputs found
The IGARCH e®ect: Consequences on volatility forecasting and option trading
Full text linkThis paper studies the integrated Garch (IGARCH) e®ect, a phenomenon often encountered when estimating conditional auto-regressive models on ¯nancial time series. The analysis of twelve indexes of major ¯nancial markets provides empirical evidence of its well-spread presence especially in periods of market turbulence. We examine its impact on volatility forecasting and on trading and hedging options. We show that a strong IGARCH e®ect may have relevant consequences on trading and on risk management.stock returns, volatility forecasting, GARCH(1,1), IGARCH effect, option hedging
Factor decomposition of cross-country income inequality with interaction effects
Full text linkIn this paper we propose a decomposition of the Theil measures of per capita income inequality which accounts for interaction effects between its multiplicative factors. Our theoretical findings, supported by an empirical application referring to EU-25 countries, suggest that neglecting these effects may strongly bias the relative importance of some factors, with consequent misleading policy implications.Inequality, Decomposition, Interaction Effects
The Youth Experience Gap: Explaining Differences across EU Countries
Full text linkThis note aims to provide a theoretical framework to think of the youthunemployment problem and a classification of EU countries according to the way they address it.The key factor to explain youth unemployment is what we call the youth experience gap. To helpyoung people fill it in and ease school-to-work transitions, every EU country provides a mix ofpolicy instruments, including different degrees and types of labour market flexibility, of educationaland training systems, of passive income support schemes and fiscal incentives. Five differentcountry groups are detected whose outcomes in terms of youth unemployment are dramaticallydifferent: a) the North-European; b) the Continental European; c) the Anglo-Saxon; d) the South-European; e) New Member States. The Lisbon strategy provides guidelines in line with thetheoretical framework discussed here, but it is costly and hard to implement.Youth Unemployment Problem, Youth Experience gap, Youth Employment Policy, Lisbon Strategy
Subset selection in dimension reduction methods
Full text linkDimension reduction methods play an important role in multivariate statistical analysis, in particular with high-dimensional data. Linear methods can be seen as a linear mapping from the original feature space to a dimension reduction subspace. The aim is to transform the data so that the essential structure is more easily understood. However, highly correlated variables provide redundant information, whereas some other feature may be irrelevant, and we would like to identify and then discard both of them while pursuing dimension reduction. Here we propose a greedy search algorithm, which avoids the search over all possible subsets, for ranking subsets of variables based on their ability to explain variation in the dimension reduction variates.Dimension reduction methods, Linear mapping, Subset selection, Greedy search
Mediterranean models of Welfare towards families and women
Full text linkAfter tracing a Malta’s short historical excursus with its effects on female condition, family’s structure and concept, organizational model of non profit sector, the paper gives a survey of the most recent economic and demographic trends with special attention to families’ well-being and women’s working and social conditions, based not only on statistical data of Malta’s National Institute of Statistics and of Eurostat, but also on the results of some empirical studies based on some surveys carried out into the archipelago. The main islands’ social problems are outlined with the indication of the principal sources of aid to face peoples’ different needs (first of all family, followed by the State, while the Third Sector, with its strong component of foundations, heritage of English culture, is not pre-eminent yet). The paper also shows that the same citizens’ expectations of satisfaction of social needs are still mainly placed in the State, according to the collective image. After drawing this scenario, the paper makes a short history of Malta’s Welfare State specially considering legislation concerning families and women. In addition to the description of the legislative measures, a deeper investigation is also devoted to other programs realized at european and national level: Equal Program (2004-2006) and Malta’s latest “Action Plan”, alias the National Social Plan in its general lines of policy towards families and women. Besides the illustration of the services provided to families by the Ministry of Family and Social Solidarity in the context of the National Action Plan, three other articulations of the Plan are briefly examined: Gender Equity National Action Plan (2003-2004), National Action Plan on Poverty and Social Exclusion (2004-2006), National Action Plan for Employment (2004). The correlative institutional framework is also reviewed: the National Family Commission established in 2001 and the National Commission for the Promotion of Equality for Men and Women considered by the “Equality for Men and Women Act” of 2003. Finally the paper classifies Malta’s Welfare State among the Mediterranean models of social assistance for its specific characteristics though, differently from the evolutive tendencies of these last ones, the passage from Welfare State to Welfare Mix is still problematic and slow in Malta. In spite of the increasing forms of collaboration between public and non profit organizations, Malta’s Third Sector has still a too weak role, in comparison with family and State, in supporting people’s life on both factual and symbolic dimension. In this missing transition, specially as regards elderly care, Malta can not see yet the growth, inside Welfare Mix, of the more informal components formed by immigrated women to detriment of the services offered by private or non profit organizations (“care drain” phenomenon), which is very strongly in course in other Mediterranean countries (Italy, Spain, Greece).Family and Social Policy, Social Segregation, Poverty
The willingness to pay for Renewable Energy Sources (RES): the case of Italy with different survey approaches and under different EU “climate vision”. First results.
Full text linkIn reference to the “Renewable Sources” EU Directive 2001/77/CE the Italian goal, for 2010, is to attain the share of 22% in RES electricity production. In such context it becomes crucial to explore the existence of consumer’s Willingness to Pay (WTP) in order to use green energy in the electricity production. This study is founded on a national survey with 1601 phone interviews made, in Italy, at the end of November 2006. This paper focus much on three issues. First one, how the different elicitation affects respondents choices, second one on the relationship between a “single point value” and “a valuation distribution” and finally on the gaps between different formats as: bidding game and dichotomous referendum (single bounded) contingent valuation method. In all the elicitations formats we make a “certainty correction” proposing five degree of acceptance: definitely yes and no (DY, DN), probably yes and no (PY, PN) and don’t know (DK). In order to apply the quantitative analysis, the original dataset has been appropriately treated, recoding DK, PN and PY responses. With regard to the results we found a significant path dependences in respondents answers due to the elicitation formats. Another important result is that also in “conservative” way we found a substantial willingness of consumers to partially cover the cost of Italian RES goal.bidding game, contingent valuation, renewable energy sources, descending and ascending elicitation format
The Maastricht convergence criteria and economic growth in the EMU
Full text linkThe Maastricht convergence criteria are partially based on the theory of optimum currency areas and costs-benefits analysis of the creation of a single currency area as the EMU foundation. Fulfillment of convergence criteria should be durable, but it requires a certain degree of real convergence between member countries of the monetary union. The analysis of the economic role of the convergence criteria which has been carried out in this paper indicates that its implementation has been an important factor of macroeconomic stabilization for the EMU countries as well as for the countries planning accession to the Union. On the basis of the theory of economics and results of empirical studies we cannot state univocally that the convergence criteria are a barrier to economic growth. Naturally, this problem is controversial, but we can formulate a hypothesis that implementation of convergence criteria is an important factor of macroeconomic stabilization and sustainable economic growth.monetary union, monetary policy, fiscal policy, costs-benefits analysis, single currency, inflation, economic growth, budget deficit, public debt, coveregence criteria
THE CONCEPT OF NEUTRAL INFLATION AND ITS APPLICATION TO THE EU ECONOMIC GROWTH ANALYSES
Full text linkInterest rate policy is one of the oldest and at the same time most controversial tools with which central bank affects the economy. In fact, it comes down to the central bank initiated changes in the levels of the so-called official interest rates (discount rate, rediscount rate, lombard rate, and others) or influencing the market interest rates through open market operations. A frequent paradox which appears in the historical approach to interest rates is questioning of the causative role of interest rate changes introduced by central banks with reference to dynamics of the so-called real sphere as well as frequent use of this stabilization instrument. In the last few decades, several turnabouts occurred in economic policies (especially, monetary policies) of the industrialized countries. Each time, a new interpretation of interest rate policy was responsible for that. One of the trends which appeared in the discussion was an attempt to return to classical roots of the interest rate theory. The concept of the natural rate of interest became the focus of attention. This paper refers to this concept and is an attempt to present the author’s own interpretation of it. The final part of the paper presents a study case of the natural interest rate policy of the National Bank of Poland (NBP) in the years 1999-2003. It shows that finding an optimum rate of interest in the transforming economy can be even more difficult than it appears from purely theoretical discussions.
Labour regulation, corporate governance and varieties of capitalism
Full text linkThe literature aimed at exploring labor regulation and cross-country comparisons has left partly unexplored two major points: the first is the influence of employees within managerial processes, through the channel of employee representation at firm level. The second point concerns potential complementarities or substitutions between patterns of ownership or shareholder protection and labour regulation. The paper offers a critical overview of some selected studies that have started at filling these gaps by considering labour institutions for their influence on the ‘balance’ of power inside the firm, between owners, management, and employees. Firstly, it examines the literature which gives a central importance to the effects of legal origins on labour regulation and labour market outcomes. Secondly, it reviews the studies which focus on informal rules and de-facto practices and favour a stakeholder approach. A particular concern is paid to the overall consequences of the different institutional setups in the perspective of the “varieties of capitalism”, in which systems of labour regulation exert their function by strategical interactions with other institutions. Finally, it presents recent theoretical and empirical studies centring on employee investments in firm-specific human capital and on institutional devices which have the effect of tying the fortunes of the employee together with those of the firm. In the varieties of capitalism characterised by general skills and patterns of radical innovation, it is emphasized the internal governance exerted by ‘critical employees’. In economies with firm and industry specific skills, cooperation of employees with management in more shareholder value oriented firm (‘negotiated shareholder system’) are the more successful roads.Stakeholders, Corporate Governance, Varieties of Capitalism.
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