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The Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis, Wenshwo Fang, Stephen M. Miller, Chunshen Lee
The Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis, Wenshwo Fang, Stephen M. Miller, Chunshen Lee
Economics Working Papers
Recently, Fagiolo et al. (2008) find fat tails of economic growth rates after adjusting outliers, autocorrelation and heteroskedasticity. This paper employs US quarterly real output growth, showing that this finding of fat tails may reflect the Great Moderation. That is, leptokurtosis disappears after GARCH adjustment once we incorporate the break in the variance equation.
Modeling The Volatility Of Real Gdp Growth: The Case Of Japan Revisited, Wenshwo Fang, Stephen M. Miller
Modeling The Volatility Of Real Gdp Growth: The Case Of Japan Revisited, Wenshwo Fang, Stephen M. Miller
Economics Working Papers
Previous studies (e.g., Hamori, 2000; Ho and Tsui, 2003; Fountas et al., 2004) find high volatility persistence of economic growth rates using generalized autoregressive conditional heteroskedasticity (GARCH) specifications. This paper reexamines the Japanese case, using the same approach and showing that this finding of high volatility persistence reflects the Great Moderation, which features a sharp decline in the variance as well as two falls in the mean of the growth rates identified by Bai and Perronâs (1998, 2003) multiple structural change test. Our empirical results provide new evidence. First, excess kurtosis drops substantially or disappears in the GARCH or exponential …
Efficient Production Of Wins In Major League Baseball, Brian Volz
Efficient Production Of Wins In Major League Baseball, Brian Volz
Economics Working Papers
Data Envelopment Analysis (DEA) is applied to Major League Baseball salary and performance data from 1985 to 2006 in order to identify those teams which produced wins most efficiently and the characteristics which lead to efficient production. It is shown that on average both National and American League teams over allocate the most resources to first basemen. Additionally, it is found that National League teams should allocate significantly more resources towards starting pitching while American League teams should allocate significantly more resources toward second base. It is also observed that efficient teams use younger less experienced players and employ rosters …
Dynamic Stock Market Interactions Between The Canadian, Mexican, And The United States Markets: The Nafta Experience, Giorgio Canarella, Stephen M. Miller, Stephen K. Pollard
Dynamic Stock Market Interactions Between The Canadian, Mexican, And The United States Markets: The Nafta Experience, Giorgio Canarella, Stephen M. Miller, Stephen K. Pollard
Economics Working Papers
This paper explores the dynamic linkages that portray different facets of the joint probability distribution of stock market returns in NAFTA (i.e., Canada, Mexico, and the US). Our examination of interactions of the NAFTA stock markets considers three issues. First, we examine the long-run relationship between the three markets, using cointegration techniques. Second, we evaluate the dynamic relationships between the three markets, using impulse-response analysis. Finally, we explore the volatility transmission process between the three markets, using a variety of multivariate GARCH models. Our results also exhibit significant volatility transmission between the second moments of the NAFTA stock markets, albeit …
Measuring Unemployment Insurance Generosity, Stephane Pallage, Lyle Scruggs, Christian Zimmermann
Measuring Unemployment Insurance Generosity, Stephane Pallage, Lyle Scruggs, Christian Zimmermann
Economics Working Papers
In this paper, we develop a methodology to summarize the various policy parameters of an unemployment insurance scheme into a single generosity parameter. Unemployment insurance policies are multdimensional objects. They are typically defined by waiting periods, eligibility duration, benefit levels and asset tests when eligible, which makes intertemporal or international comparisons difficult. To make things worse, labor market conditions, such as the likelihood and duration of unemployment matter when assessing the generosity of different policies. We build a first model with such complex characteristics. Our model features heterogeneous agents that are liquidity constrained but can self-insure. We then build a …
Unemployment Insurance Generosity: A Trans-Atlantic Comparison, Stephane Pallage, Lyle Scruggs, Christian Zimmermann
Unemployment Insurance Generosity: A Trans-Atlantic Comparison, Stephane Pallage, Lyle Scruggs, Christian Zimmermann
Economics Working Papers
The goal of this paper is to establish if unemployment insurance policies are more generous in Europe than in the United States, and by how much. We take the examples of France and one particular American state, Ohio, and use the methodology of Pallage, Scruggs and Zimmermann (2008) to find a unique parameter value for each region that fully characterizes the generosity of the system. These two values can then be used in structural models that compare the regions, for example to explain the differences in unemployment rates.
A Review Of The Empirical Evidence On The Effects Of Fiscal Decentralization On Economic Efficiency: With Comments On Tax Devolution To Scotland, Paul Hallwood, Ronald Macdonald
A Review Of The Empirical Evidence On The Effects Of Fiscal Decentralization On Economic Efficiency: With Comments On Tax Devolution To Scotland, Paul Hallwood, Ronald Macdonald
Economics Working Papers
This paper reviews the existing empirical evidence on tax decentralization ("tax .devolution") from central government to sub-central government. Sub-central government is taken to be levels above the local level: such as within the UK at the level of Scottish government/executive in Edinburgh, and at the provincial government level in Canada or Spain. Our interpretation of the literature is that there is increasing empirical support for the proposition that tax decentralization helps in promoting economic efficiency and economic growth. It is noted that a distinction must be drawn between tax decentralization and spending decentralization. Where tax decentralization follows spending decentralization - …
Bankruptcy Costs, Liability Dollarization, And Vulnerability To Sudden Stops, Uluc Aysun, Adam Honig
Bankruptcy Costs, Liability Dollarization, And Vulnerability To Sudden Stops, Uluc Aysun, Adam Honig
Economics Working Papers
Emerging market countries that have improved institutions and attained intermediate levels of institutional quality have experienced severe financial crises following capital flow reversals. However, there is also evidence that countries with strong institutions and deep capital markets are less affected by external shocks. We reconcile these two observations using a calibrated DSGE model that extends the financial accelerator framework developed in Bernanke, Gertler, and Gilchrist (1999). The model captures financial market institutional quality with creditors. ability to recover assets from bankrupt firms. Bankruptcy costs affect vulnerability to sudden stops directly but also indirectly by affecting the degree of liability dollarization. …
Optimal Test For Parameter Instability When The Unstable Process And The Error Distribution Are Unknown, Dong Jin Lee
Optimal Test For Parameter Instability When The Unstable Process And The Error Distribution Are Unknown, Dong Jin Lee
Economics Working Papers
This paper proposes asymptotically optimal tests for unstable parameter process under the feasible circumstance that the researcher has little information about the unstable parameter process and the error distribution, and suggests conditions under which the knowledge of those processes does not provide asymptotic power gains. I first derive a test under known error distribution, which is asymptotically equivalent to LR tests for correctly identified unstable parameter processes under suitable conditions. The conditions are weak enough to cover a wide range of unstable processes such as various types of structural breaks and time varying parameter processes. The test is then extended …
Deterrence, Incapacitation, And Repeat Offenders, Thomas J. Miceli
Deterrence, Incapacitation, And Repeat Offenders, Thomas J. Miceli
Economics Working Papers
This paper develops an economic model of criminal enforcement that combines the goals of deterrence and incapacitation. Potential offenders commit an initial criminal act if the present value of net private gains is positive. A fraction of these offenders become habitual and commit further crimes immediately upon release from their initial prison term (if any). The optimal punishment scheme in this setting generally involves a finite prison term for first-time offenders (based on the goal of deterrence), and an infinite (life) sentence for repeat offenders (based on the goal of incapacitation).
Sequential Pre-Marital Investment Games: Implications For Unemployment, James W. Boudreau
Sequential Pre-Marital Investment Games: Implications For Unemployment, James W. Boudreau
Economics Working Papers
Agents on the same side of a two-sided matching market (such as the marriage or labor market) compete with each other by making self-enhancing investments to improve their worth in the eyes of potential partners. Because these expenditures generally occur prior to matching, this activity has come to be known in recent literature (Peters, 2007) as pre-marital investment. This paper builds on that literature by considering the case of sequential pre-marital investment, analyzing a matching game in which one side of the market invests first, followed by the other. Interpreting the first group of agents as workers and the other …
Gmm Based Inference With Standard Stratified Samples When The Aggregate Shares Are Known, Gautam Tripathi
Gmm Based Inference With Standard Stratified Samples When The Aggregate Shares Are Known, Gautam Tripathi
Economics Working Papers
We show how to do efficient moment based inference using the generalized method of moments (GMM) when data is collected by standard stratified sampling and the maintained assumption is that the aggregate shares are known.
Minority Status And Managerial Survival In Major League Baseball, Brian Volz
Minority Status And Managerial Survival In Major League Baseball, Brian Volz
Economics Working Papers
The effect of minority status on managerial survival in Major League Baseball is analyzed using survival time analysis and data envelopment analysis. Efficiency scores based on team performance and player salary data from 1985 to 2006 are computed and included as covariates in a survival time analysis. It is shown that when controlling for performance and personal characteristics minorities are on average 9.6 percentage points more likely to return the following season. Additionally, it is shown that winning percentage has no impact on managerial survival when efficiency is controlled for.
Legal Change And The Social Value Of Lawsuits, Thomas J. Miceli
Legal Change And The Social Value Of Lawsuits, Thomas J. Miceli
Economics Working Papers
This paper integrates the literatures on the social value of lawsuits, the evolution of the law, and judicial preferences to evaluate the hypothesis that the law evolves toward efficiency. The setting is a simple accident model with costly litigation where the efficient law minimizes the sum of accident plus litigation costs. In the steady state equilibrium, the distribution of legal rules is not necessarily efficient but instead depends on a combination of selective litigation, judicial bias, and precedent.
Low-Wage Labor Markets And The Power Of Suggestion, Natalya Y. Shelkova
Low-Wage Labor Markets And The Power Of Suggestion, Natalya Y. Shelkova
Economics Working Papers
Low-wage labor markets are traditionally viewed as competitive, and the possibility of strategic behavior by employers is dismissed. However, such behavior is not impossible. This paper investigates the possibility of tacit collusion by low-wage employers while setting wages. A game-theoretic explanation along the lines of the Folk theorem is offered, suggesting that a non-binding minimum wage may serve as a focal point for tacit collusion, proposing a symmetric solution to an infinitely played game of wage-setting. Several empirical techniques were employed in testing the hypothesis, including hurdle models of collusion. CPS monthly data is used for the years 1990-2005, covering …
Comparing Input- And Output-Oriented Measures Of Technical Efficiency To Determine Local Returns To Scale In Dea Models, Subhash C. Ray
Comparing Input- And Output-Oriented Measures Of Technical Efficiency To Determine Local Returns To Scale In Dea Models, Subhash C. Ray
Economics Working Papers
This paper shows how one can infer the nature of local returns to scale at the input- or output-oriented efficient projection of a technically inefficient input-output bundle, when the input- and output-oriented measures of efficiency differ.
The Impact Of Property Condition Disclosure Laws On Housing Prices: Evidence From An Event Study Using Propensity Scores, Anupam Nanda, Stephen L. Ross
The Impact Of Property Condition Disclosure Laws On Housing Prices: Evidence From An Event Study Using Propensity Scores, Anupam Nanda, Stephen L. Ross
Economics Working Papers
We examine the impact of seller's Property Condition Disclosure Law on the residential real estate values. A disclosure law may address the information asymmetry in housing transactions shifting of risk from buyers and brokers to the sellers and raising housing prices as a result. We combine propensity score techniques from the treatment effects literature with a traditional event study approach. We assemble a unique set of economic and institutional attributes for a quarterly panel of 291 US Metropolitan Statistical Areas (MSAs) and 50 US States spanning 21 years from 1984 to 2004 is used to exploit the MSA level variation …
Identity, Grievances, And Economic Determinants Of Voting In The 2007 Kenyan Elections, Mwangi S. Kimenyi, Roxana Gutierrez Romero
Identity, Grievances, And Economic Determinants Of Voting In The 2007 Kenyan Elections, Mwangi S. Kimenyi, Roxana Gutierrez Romero
Economics Working Papers
What might have caused the post-2007 election violence in Kenya? Was it election irregularities as widely claimed or could it have been simmering ethnic-rivalries waiting to spill over? While not directly focusing on the post-election violence, we investigate a number of issues that divided Kenyans in the 2007 Presidential election. Following a rational choice framework and using survey data of voter opinions, we find that Kenyan voters are strategic, seeking to maximize their well-being and influenced by a number of factors that go beyond their ethnicity such as their absolute and relative living standards, access to public goods and also …
The Effect Of Classmate Characteristics On Individual Outcomes: Evidence From The Add Health, Robert Bifulco, Jason Fletcher, Stephen L. Ross
The Effect Of Classmate Characteristics On Individual Outcomes: Evidence From The Add Health, Robert Bifulco, Jason Fletcher, Stephen L. Ross
Economics Working Papers
We use data from the National Longitudinal Study of Adolescent Health (Add Health) to examine the effects of classmate characteristics on economic and social outcomes of students. The unique structure of the Add Health allows us to estimate these effects using comparisons across cohorts within schools, and to examine a wider range of outcomes than other studies that have used this identification strategy. This strategy yields variation in cohort composition that is uncorrelated with student observables suggesting that our estimates are not biased by the selection of students into schools or grades based on classmate characteristics. We find that increases …
Measuring The Progressive Realization Of Human Rights Obligations: An Index Of Economic And Social Rights Fulfillment, Sakiko Fukuda-Parr, Terra Lawson-Remer, Susan Randolph
Measuring The Progressive Realization Of Human Rights Obligations: An Index Of Economic And Social Rights Fulfillment, Sakiko Fukuda-Parr, Terra Lawson-Remer, Susan Randolph
Economics Working Papers
In response to an increasing demand for rigorous monitoring of state accountability in meeting their human rights obligations, a growing literature on human rights measurement has emerged. Yet there are no widely used indicators or indices of human rights obligations fulfillment. This paper proposes a methodology for an index of economic and social rights fulfillment that: uses available survey-based objective, rather than subjective data; focuses on state obligations rather than solely on individual enjoyment of rights; and captures progressive realization of human rights subject to maximum available resources. Two calculation methods are proposed: the ratio approach and the achievement possibilities …
Minimizing The Price Of Tranquility: How To Discourage Scotland's Secession From The United Kingdom, Paul Hallwood
Minimizing The Price Of Tranquility: How To Discourage Scotland's Secession From The United Kingdom, Paul Hallwood
Economics Working Papers
What some view as overly-generous funding of the Scottish parliament results from Scotland.s credible threat to secede from the United Kingdom. Scotland is shown to benefit from a second mover advantage in a non-cooperative sequential game over the allocation of public funds. Various reform proposals are criticized for not recognizing that reform of Scottish government finances must be consistent with Scotland.s credible threat. Fiscal autonomy -- in which the Scottish parliament finances a much greater proportion of its spending from Scottish-sourced taxes, is demonstrated to be a viable reform within the existing political context and, in some circumstances, could remove …
Recognizing A Single-Issue Spatial Election, Vicki Knoblauch
Recognizing A Single-Issue Spatial Election, Vicki Knoblauch
Economics Working Papers
A single-issue spatial election is a voter preference profile derived from an arrangement of candidates and voters on a line, with each voter preferring the nearer of each pair of candidates. We provide a polynomial-time algorithm that determines whether a given preference profile is a single-issue spatial election and, if so, constructs such an election. This result also has preference representation and mechanism design applications.
Is The Great Moderation Ending? Uk And Us Evidence, Giorgio Canarella, Wenshwo Fang, Stephen M. Miller, Stephen K. Pollard
Is The Great Moderation Ending? Uk And Us Evidence, Giorgio Canarella, Wenshwo Fang, Stephen M. Miller, Stephen K. Pollard
Economics Working Papers
The Great Moderation, the significant decline in the variability of economic activity, provides a most remarkable feature of the macroeconomic landscape in the last twenty years. A number of papers document the beginning of the Great Moderation in the US and the UK. In this paper, we use the Markov regime-switching models of Hamilton (1989) and Hamilton and Susmel (1994) to document the end of the Great Moderation. The Great Moderation in the US and the UK begin at different point in time. The explanations for the Great Moderation fall into generally three different categories -- good monetary policy, improved …
Geographic Deregulation And Commercial Bank Performance In Us State Banking Markets, Yongdong Zou, Stephen M. Miller, Bernard Malamud
Geographic Deregulation And Commercial Bank Performance In Us State Banking Markets, Yongdong Zou, Stephen M. Miller, Bernard Malamud
Economics Working Papers
This paper examines the effects of geographical deregulation on commercial bank performance across states. We reach some general conclusions. First, the process of deregulation on an intrastate and interstate basis generally improves bank profitability and performance. Second, the macroeconomic variables -- the unemployment rate and real personal income per capita -- and the average interest rate affect bank performance as much, or more, than the process of deregulation. Finally, while deregulation toward full interstate banking and branching may produce more efficient banks and a healthier banking system, we find mixed results on this issue.
Marriage Matching And Intercorrelation Of Preferences, James W. Boudreau, Vicki Knoblauch
Marriage Matching And Intercorrelation Of Preferences, James W. Boudreau, Vicki Knoblauch
Economics Working Papers
Men's and women's preferences are intercorrelated to the extent that men rank highly those women who rank them highly. Intercorrelation plays an important but overlooked role in determining outcomes of matching mechanisms. We study via simulation the effect of intercorrelated preferences on men's and women's aggregate satisfaction with the outcome of the Gale-Shapley matching mechanism. We conclude with an application of our results to the student admission matching problem.
Three-Agent Peer Evaluation, Vicki Knoblauch
Three-Agent Peer Evaluation, Vicki Knoblauch
Economics Working Papers
I show that every rule for dividing a dollar among three agents impartially (so that each agent's share depends only on her evaluation by her associates) underpays some agent by at least one-third of a dollar for some consistent profile of evaluations. I then produce an impartial division rule that never underpays or overpays any agent by more than one-third of a dollar, and for most consistent evaluation profiles does much better.
Preference Structure And Random Paths To Stability In Matching Markets, James W. Boudreau
Preference Structure And Random Paths To Stability In Matching Markets, James W. Boudreau
Economics Working Papers
This paper examines how preference correlation and intercorrelation combine to influence the length of a decentralized matching market's path to stability. In simulated experiments, marriage markets with various preference specifications begin at an arbitrary matching of couples and proceed toward stability via the random mechanism proposed by Roth and Vande Vate (1990). The results of these experiments reveal that fundamental preference characteristics are critical in predicting how long the market will take to reach a stable matching. In particular, intercorrelation and correlation are shown to have an exponential impact on the number of blocking pairs that must be randomly satisfied …
A Question Of Title: Property Rights And Asset Values, Thomas J. Miceli, Henry J. Munneke, C. F. Sirmans, Geoffrey K. Turnbull
A Question Of Title: Property Rights And Asset Values, Thomas J. Miceli, Henry J. Munneke, C. F. Sirmans, Geoffrey K. Turnbull
Economics Working Papers
This paper examines the impact of land title systems on property values. The predominant system in the U.S., the recording system, awards title to claimants over current possessors, whereas the Torrens registration system awards title to the current owner. In theory, the registration system maximizes property value, all else equal, but in practice, the systems differ depending on the risk of a claim and administrative costs. A natural experiment in Cook County, Illinois, where both systems have existed since 1897, allows a test of the theory. The results, based on commercial and industrial properties, reveal that parcels tend to self-select …
Do Structural Oil-Market Shocks Affect Stock Prices?, Nicholas Apergis, Stephen M. Miller
Do Structural Oil-Market Shocks Affect Stock Prices?, Nicholas Apergis, Stephen M. Miller
Economics Working Papers
This paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock-market returns in a sample of eight countries --- Australia, Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. For each country, the analysis proceeds in two steps. First, modifying the procedure of Kilian (2008a), we employ a vector error-correction or vector autoregressive model to decompose oil-price changes into three components: oil-supply shocks, global aggregate-demand shocks, and global oil-demand shocks. The last component relates to specific idiosyncratic features of the oil market, such as changes in the precautionary demand concerning …
For Sale: Trade Policy In Majoritarian Systems, Per G. Fredriksson, Xenia Matschke, Jenny Minier
For Sale: Trade Policy In Majoritarian Systems, Per G. Fredriksson, Xenia Matschke, Jenny Minier
Economics Working Papers
We provide a theory of trade policy determination that incorporates the protectionist bias inherent in majoritarian systems, suggested by Grossman and Helpman (2005). The prediction that emerges is that in majoritarian systems, the majority party favors industries located disproportionately in majority districts. We test this prediction using U.S. tariff data from 1993, and House campaign contribution data from two electoral cycles. We find evidence of a protectionist bias due to majoritarian system politics that is comparable in magnitude to the payoff from being an organized industry.