288 research outputs found
Stochastic Convergence or Divergence of Total Factor Productivity and GDP of Italian Regions. Re-examing the Evidence.
No full textIn this paper, we apply the non-parametric method proposed by Quah to
examine convergence hypothesis for Italian regions using GDP and total
factor productivity measured by the Malmquist index. Using the stochastic
kernel approach, this study suggests that the measure of total factor
productivity is a crucial precondition for the estimation of a region’s
growth. Our results applied to the 20 Italian regions show no convergence
for both GDP and TFP variables. For the GDP case, it confirms the Italian
divide but for the TFP variable, it reveals the creation of three clubs.
However, looking at the long-run density, it reveals that the shape of the
ergodic density distribution, for the TFP, is clearly unimodal and it could
imply a long-run convergence of regional productivity in Italy.
Submitted: Jun
Stochastic Ordering of Stationary Distributions of Linear Recurrences: Further Results and Economic Applications
No full textWe investigate pairwise stochastic comparisons of stationary solutions to the linear recurrence Xt+1=AtXt+Bt, where At and Bt are non-negative random variables. We establish novel order-preserving properties, which enable us to obtain comparison theorems about well-known measures of conditional size, tail variability and skewness across probability distributions. While useful in studies of ergodic wealth accumulation processes and the persistence of inequality, our results can fruitfully be exploited to conduct comparative statics exercises in structural models entailing Kesten-type reduced-form representations. An application of our analysis to a dynamic asset accumulation model uncovers the qualitatively similar effects of capital income and earnings taxation on expected wealth concentration over higher quantiles as well as on conditional upper tail dispersion of wealth holdings, qualifying previous results that solely rely on the determination of Pareto exponents
Numerical methods for the time of ruin
No full textIn this paper we study the distribution of the time to ruin in the classical risk model. We employ the Gram-Charlier and Edgeworth series to approximate this distribution. We prove, by using numerical calculation methods, that the Edgeworth approximation gives better results. We also examine asymptotic behaviour of the moments of the time to ruin
Good Co(o)p or Bad Co(o)p? Redistribution Concerns and Competition in Credit Markets with Imperfect Information
No full textNon-profit organizations (NPOs), such as financial cooperatives, have a
longstanding tradition in advanced market economies. We develop a model of
‘mixed creditmarkets’where pure for-profit institutions (e.g. commercial banks) can
coexist with financial NPOs which feature a concern for inter-member surplus
redistribution (e.g. credit cooperatives) and enjoy privileged borrower-specific information
vis-à-vis their for-profit peers, while facing higher funding costs. We
formally investigate market competition between the two alternative financial organizations
both offering contractswhose terms entail cross subsidization.We argue
that heterogeneity in organizational models can explain stable coexistence under
competitive conditions, and also help us interpret the variety ofmarket outcomes—
in terms of e.g. overall coverage and market shares — as documented in modern
financial systems. Importantly, the viability of redistribution-oriented NPOs is
shown not to rest on under-investment issues or concerns about market power, for
they can successfully operate in markets where credit rationing never arises
On equilibrium efficiency in non-life insurance market.
No full textThe paper investigates the dynamics of equilibrium efficiency in the non-life insurance market, emphasizing the role of cooperation in shaping premium formation. The premium is influenced by two key factors: the external effect of competitors premium and policyholders’ behavior: latter can react to a change in premium by choosing another insurance contract. Regulators can analyze insurers’ behavior – whether it is competitive or collusive– by observing their adjustments to premiums in response to regulatory constraints. This behavior reveals the underlying strategies insurers adopt to balance profitability and market dynamics. In details, the study adopts the standard model, in which insurers choose the premium price in order to maximize the expected profit. The competition case is analysis by Taylor (1986) and (1987), Polborn (1998), and Dutang et al. (2013), here we propose a concept of collusive solution, which is a refinement of Pareto optimal allocation
On matrix exponential distribution in risk theory
No full textIn this paper, a particular class of matrix-exponential distributions is described, also with respect to its use in risk theory, namely phase-type distributions. Phase-type distributions have the important advantage of being suitable for approximating most of other distributions as well as being mathematically tractable.
After a review on phase-type distributions and their properties, a possible use in risk theory is illustrated. Modelling both interarrival claim times and individual claim sizes with this class of distributions an explicit formula for the probability of ultimate ruin is given
Economic Resilience and Regional disparities: the contribution of spatial analysis
No full textThe recent economic debate on the long run growth has emphasized that the social and economic evolution of a given geographical area can be influenced also by the occurrence of sudden and unpredictable shocks. In this regard, the ability to recover from or adjust to the negative impacts of external economic shocks, defined as the “Economic Resilience”, can be conditioned by the pre- shock conditions. Characteristics such as the economic structure, dynamism, market and political conditions, resources endowment and the ability to innovate of a given region may contribute to shape its resistance and exacerbate, or on the contrary mitigate, economic disparities driving to either a convergence or a divergence process of income or employment across regions. Nevertheless, studies investigating the impact of economic resilience on regional disparities are still limited. The economic debated, instead, focused mainly on the research of the characteristics that would make each region most resilient in order to drive policymakers in building appropriate measures and strategies reducing the vulnerability of spatial systems to shocks and enhance their ability to better respond to and recover from a shock. It becomes crucial to account for the presence of spatial linkages, in particular when looking at policies’ implications that may spread beyond the geographical boundaries and generate beneficial or harmful externalities on neighbouring regions. The use of spatial analytical tools, such as those provided by spatial econometric methodologies (Anselin, 1988; LeSage and Pace, 2009), enable to account for the presence of spatial effects that otherwise would lead to an incorrect representation and understanding of the true causal processes at work
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