1,720,958 research outputs found
Identifying High-Frequency Shocks with Bayesian Mixed-Frequency VARs
Full text linkWe contribute to research on mixed-frequency regressions by introducing an innovative Bayesian approach. We impose a Normal-inverse Wishart prior by adding a set of auxiliary dummies in estimating a Mixed-Frequency VAR. We identify a high frequency shock in a Monte Carlo experiment and in an illustrative example with uncertainty shock for the U.S. economy. As the main findings, we document a "temporal aggregation bias" when we adopt a common low-frequency model instead of estimating a mixed-frequency framework. The bias is amplified in case of a large mismatching between the high-frequency shock and low-frequency business cycle variables
Financial Conditions for the US: Aggregate Supply or Aggregate Demand Shocks?
Full text linkIt depends. We reply to this question by providing novel empirical evidence about the US economy. We identify the impact of financial high-frequency shocks on macroeconomic variables by estimating mixed- and common frequency VARs. The results from the mixed-frequency VAR show that economic output and inflation move in opposite directions in response to detrimental financial conditions, mimicking negative aggregate supply shocks. Oppositely, the results from the common-frequency VAR show that worsening financial conditions lead to a drop in output and inflation (and in the monetary policy rate), resembling negative aggregate demand shocks
Climate risk and investment in equities in Europe: a Panel SVAR approach
No full textIn this study, we use data on European stocks to construct a green-minus-brown portfolio hedging climate risk and to evaluate its performance in terms of cumulative expected and unexpected returns. More specifically, we estimate a Structural Panel VAR fitted to one month return and realized volatility computed for 40 constituents of a green portfolio (i.e., the low carbon emission portfolio monitored by Refinitiv) and for 41 constituents of a brown portfolio (underlying the Oil&Gas and Utilities industry sectors of the STOXX Europe 600). The common shocks underlying the cross-sectional averages, interpreted as portfolio shocks, are retrieved in a first stage of the analysis and they are used to control for cross-sectional dependence. We compute the historical decomposition (for cumulative returns) in a second stage of the analysis and we find, in line with Pástor, L., Stambaugh, R. F., & Taylor, L. A. (2022). Dissecting green returns. Journal of Financial Economics, 146 (2), 403-424, an out-performance of the expected component of the brown portfolio relative to the one for the green portfolio, and an out-performance of the green portfolio when we turn our focus on the unexpected component. We also extend the analysis of Pástor et al. (2022), assessing, for the top 5 constituents of the green portfolio (e.g., those which are found to have the worst performance in terms of expected return), the role played by idiosyncratic shocks in shaping their out-performance in terms of unexpected component. Finally, after exploiting the non-gaussian time series properties of the financial time series considered for the purpose of statistical identification, we are able to interpret ex post the idiosyncratic shocks in terms of financial leverage and risk aversion
Credit demand and supply shocks in Italy during the Great Recession
No full textIn this article, we use Structural VAR analysis to disentangle credit demand and supply shocks and their effect on real economic activity in Italy during the 2008 to 2014 crisis period. The three endogenous variables considered are the loan interest rate, the loans growth rate and the employment to population ratio. The data are observed at annual frequency for each of 103 Italian provinces. The empirical evidence suggests that the variance of the shocks varies across four Italian macro-regions: North, Centre, South and Islands, and hece heteroscedasticity is used to identify (ex ante) the structural shocks. Sign restrictions are used to interpret shocks ex post. The empirical findings suggest a prominent role of credit supply shock in shaping real activity dynamics and also that credit crunch hits the North of Italy less than the remaining macro-regions, especially the South of Italy
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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