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Articles 1 - 5 of 5
Full-Text Articles in Physical Sciences and Mathematics
Hunting The Living Dead: A 'Peso Problem' In Corporate Liabilities Data, Umberto Cherubini, Matteo Manera
Hunting The Living Dead: A 'Peso Problem' In Corporate Liabilities Data, Umberto Cherubini, Matteo Manera
Matteo Manera
Recent literature has pointed out that information asymmetries may be the reason for the poor performance of structural credit risk models to fit corporate bond data. It is well known in fact that these models lead to a strong understatement of the credit spread terms structure, particularly on the short maturity end. Possible explanations stem from strategic debt service behavior and, as discovered more recently, the problem of accounting transparency. This raises the possibility that some of these flaws could be reconducted to a sort of “peso problem”, i.e. that the market may ask for a premium in order to …
Modeling Factor Demand Systems With Sem And Var: An Empirical Comparison, Matteo Manera
Modeling Factor Demand Systems With Sem And Var: An Empirical Comparison, Matteo Manera
Matteo Manera
The empirical analysis of the economic interactions between factors of production, output and corresponding prices has received much attention over the last two decades. Most contributions in this area have agreed on the neoclassical principle of a representative optimizing firm and typically use theory-based structural equation models (SEM). A popular alternative to SEM is given by the vector autoregression (VAR) methodology. The most recent attempts to link the SEM approach with VAR analysis in the area of factor demands concentrate on single-equation models, whereas no effort has been devoted to compare these alternative approaches when a firm is assumed to …
Asymmetric Error Correction Models For The Oil-Gasoline Price Relationship, Margherita Grasso, Matteo Manera
Asymmetric Error Correction Models For The Oil-Gasoline Price Relationship, Margherita Grasso, Matteo Manera
Matteo Manera
The existing literature on price asymmetries does not systematically investigate the sensitivity of the empirical results to the choice of a particular econometric specification. This paper fills this gap by providing a detailed comparison of the three most popular models designed to describe asymmetric price behaviour, namely asymmetric ECM, autoregressive threshold ECM and ECM with threshold cointegration. Each model is estimated on a common monthly dataset for the gasoline markets of France, Germany, Italy, Spain and UK over the period 1985-2003. All models are able to capture the temporal delay in the reaction of retail prices to changes in spot …
Econometric Models Of Asymmetric Price Transmission, Giliola Frey, Matteo Manera
Econometric Models Of Asymmetric Price Transmission, Giliola Frey, Matteo Manera
Matteo Manera
In this paper we review the existing empirical literature on price asymmetries in commodities, providing a way to classify and compare different studies which are highly heterogeneous in terms of econometric models, type of asymmetries and empirical findings. Relative to the previous literature, this paper is novel in several respects. First, it presents a detailed and updated survey of the existing empirical contributions on the existence of price asymmetries in the transmission mechanism linking input prices to output prices. Second, this paper presents an extension of the traditional distinction between long-run and short-run asymmetries to new categories of asymmetries, such …
Oil Prices, Inflation And Interest Rates In A Sstructural Cointegrated Var Model For The G-7 Countries, Alessandro Cologni, Matteo Manera
Oil Prices, Inflation And Interest Rates In A Sstructural Cointegrated Var Model For The G-7 Countries, Alessandro Cologni, Matteo Manera
Matteo Manera
Sharp increases in the price of oil are generally seen as a major contributor to business cycle asymmetries. Moreover, the very recent highs registered in the world oil market are causing concern about possible slowdowns in the economic performance of the most developed countries. While several authors have considered the direct channels of transmission of energy price increases, other authors have argued that the economic downturns arose from the monetary policy response to the inflation presumably caused by oil price increases. In this paper a structural cointegrated VAR model has been considered for the G-7 countries in order to study …