Economics Commons^™

Self-Exciting Jumps, Learning, And Asset Pricing Implications, Andras Fulop, Junye Li, Jun Yu

Research Collection School Of Economics

The paper proposes a self-exciting asset pricing model that takes into account cojumps between prices and volatility and self-exciting jump clustering. We employ a dence of self-exciting jump clustering since the 1987 market crash, and its importance Bayesian learning approach to implement real time sequential analysis. We find evidence of self-exciting jump clustering since the 1987 market crash, and its importance becomes more obvious at the onset of the 2008 global financial crisis. It is found that learning affects the tail behaviors of the return distributions and has important implications for risk management, volatility forecasting and option pricing.

Specification Sensitivity In Right‐Tailed Unit Root Testing For Explosive Behaviour, Peter C. B. Phillips, Shuping Shi, Jun Yu

Research Collection School Of Economics

This article aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focusing on the recursive right-tailed ADF test of Phillips et al. (2011b). We analyze and compare the limit theory of the recursive test under different hypotheses and model specifications. The size and power properties of the test under various scenarios are examined and some recommendations for empirical practice are given. Some new results on the consistent estimation of localizing drift exponents are obtained, which are useful in assessing model specification. Empirical applications to stock markets illustrate these specification issues and reveal their practical …

A Bayesian Chi-Squared Test For Hypothesis Testing, Yong Li, Xiao-Bin Liu, Jun Yu

Research Collection School Of Economics

A new Bayesian test statistic is proposed to test a point null hypothesis based on of regular conditions and follows a chi-squared distribution when the null hypothesis is correct. The new statistic has several important advantages that make it appeal in practical applications. First, it is well-defined under improper prior distributions. Second, it avoids Jeffrey-Lindley’s paradox. Third, it is relatively easy to compute, even for models with latent variables. Finally, it is pivotal and its threshold value can be easily obtained from the asymptotic chi-squared distribution. The method is illustrated using some real examples in economics and finance.

Extremal Quantile Regressions For Selection Models And The Black White Wage Gap, Xavier D'Haultfoeuille, Arnaud Maurel, Yichong Zhang

Research Collection School Of Economics

We consider the estimation of a semiparametric location-scale model subject to endogenous selection, in the absence of an instrument or a large support regressor. Identification relies on the independence between the covariates and selection, for arbitrarily large values of the outcome. In this context, we propose a simple estimator, which combines extremal quantile regressions with minimum distance. We establish the asymptotic normality of this estimator by extending previous results on extremal quantile regressions to allow for selection. Finally, we apply our method to estimate the black-white wage gap among males from the NLSY79 and NLSY97. We find that premarket factors …

Market Frictions And The Efficiency Of Capital Allocation, William J. Hippler Iii

LSU New Orleans Theses and Dissertations

The following dissertation contains two unique empirical studies that contribute to the overall literature in the field of Financial Economics in the areas of mutual fund investing and financial intermediation and regulation. The first Chapter, entitled “The Impact of Macroeconomic Stress on the U.S. Financial Sector”, examines the relative impact of macroeconomic stress on financial and non-financial U.S. firms. Empirical results show that macroeconomic shocks appear to have a larger impact on financial firms. Additionally, the sensitivity of financial firms to macroeconomic events can be traced to the influence of non-depository institutions, or “shadow banks”, like finance and investment companies, …

Matrilineal Asset Inheritance, Female Bargaining Power, And Household Welfare In Malawi, Nicholas T. Garcia

Master's Theses

Matrilineal inheritance practices in Malawi exogenously determine female land holdings at the time of marriage, allowing for the identification of the effect of increased female bargaining power on household consumption decisions. I use the matrilineal ethnicity of the head of household as an instrument for the share of total household land inherited by the female head or male head’s wife. I find that child’s height-for-age decreases with female assets, and evidence suggesting increased consumption from households’ own production. Since the food basket from own consumption is high in carbs but not nutritious, long-term child health suffers despite receiving more resources …

Can Community Water Projects Combat Child Diarrhea? Results From The Solomon Islands, Thomas G. Sackman

Master's Theses

There is a vast amount of existing literature that has empirically scrutinized whether or not community water projects have the ability to mitigate diarrheal disease. A strong and persistent belief thinks that community water projects do have the means, however, over the decades empirical work commonly finds this to simply not be true. This study expands the research question to the Solomon Islands. The research tests the hypothesis using a differences-in-differences identification strategy by utilizing the government’s staggered timing rollout of community water subprojects with whether or not a village received a community water subproject to test for a program …

Rhode Island Current Conditions Index -- May 2014, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Endogenous Network Production Functions With Selectivity, William C. Horrace, Xiaodong Liu, Eleonora Patacchini

Center for Policy Research

We consider a production function model that transforms worker inputs into outputs through peer effect networks. The distinguishing features of this production model are that the network is formal and observable through worker scheduling, and selection into the network is done by a manager. We discuss identification and suggest a variety of estimation techniques. In particular, we tackle endogeneity issues arising from selection into groups and exposure to common group factors by employing a polychotomous Heckman-type selection correction. We illustrate our method using data from the Syracuse University Men’s Basketball team, where at any point in time the coach selects …

Maximum Likelihood Estimation Of Partially Observed Diffusion Models, Tore Selland Kleppe, Jun Yu, Hans J. Skaug

Research Collection School Of Economics

This paper develops a maximum likelihood (ML) method to estimate partially observed diffusion models based on data sampled at discrete times. The method combines two techniques recently proposed in the literature in two separate steps. In the first step, the closed form approach of Aït-Sahalia (2008) is used to obtain a highly accurate approximation to the joint transition probability density of the latent and the observed states. In the second step, the efficient importance sampling technique of Richard and Zhang (2007) is used to integrate out the latent states, thereby yielding the likelihood function. Using both simulated and real data, …

On Confidence Intervals For Autoregressive Roots And Predictive Regression, Peter C. B. Phillips

Research Collection School Of Economics

Local to unity limit theory is used in applications to construct confidence intervals (CIs) for autoregressive roots through inversion of a unit root test (Stock (1991)). Such CIs are asymptotically valid when the true model has an autoregressive root that is local to unity (rho = 1 + c/n), but are shown here to be invalid at the limits of the domain of definition of the localizing coefficient c because of a failure in tightness and the escape of probability mass. Failure at the boundary implies that these CIs have zero asymptotic coverage probability in the stationary case and vicinities …

New York Camp Econometrics Ix Program, Center For Policy Research

Camp Econometrics-Programs

No abstract provided.

Rhode Island Current Conditions Index -- April 2014, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Review Of Morten Jerven, Poor Numbers: How We Are Misled By African Development Statistics And What To Do About It, Marja Hinfelaar, Caesar Cheelo

Southern African Journal of Policy and Development

No abstract provided.

Forecasting Short-Term Stock Returns Using Irregular Pricing Behavior In The Options Market, Thomas W. Sampson

Master's Theses

This paper uses regression analysis to examine the relationship between today's implied volatility on AMD stock options with tomorrow's return on the underlying. An economic analyis of the options markets' micro-structure is discussed to establish the intuition and the basis behind the relationship. Four seperate models are developed to examine its statistical significance and the ability of options' prices to accurately forecast returns on the underlying security.

The hypothesis of the paper is that daily changes in implied volatility can be used to earn higher than expected returns on the underlying stock. I find that implied volatility can be used …

Rhode Island Current Conditions Index -- March 2014, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Rhode Island Current Conditions Index -- February 2014, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

X-Differencing And Dynamic Panel Model Estimation, Chirok Han, Peter C. B. Phillips, Donggyu Sul

Research Collection School Of Economics

This paper introduces a new estimation method for dynamic panel models with fixed effects and AR(p) idiosyncratic errors. The proposed estimator uses a novel form of systematic differencing, called X-differencing, that eliminates fixed effects and retains information and signal strength in cases where there is a root at or near unity. The resulting "panel fully aggregated" estimator (PFAE) is obtained by pooled least squares on the system of X-differenced equations. The method is simple to implement, consistent for all parameter values, including unit root cases, and has strong asymptotic and finite sample performance characteristics that dominate other procedures, such as …

An Analysis Of A High School Dropout In The United States, Matthew Walsh

Empirical Economic Bulletin, An Undergraduate Journal

The study explores the socioeconomic factors that lead to a student dropping out of high school. Unlike other papers this study focuses on the whole United States and the three primary ethnic groups within the country. Data from the National Center for Education Statistics, is used to investigate the crisis facing the future of the American economy across all fifty states. The results show that socioeconomic differences are predictive in the probability of a high school student dropping out prior to graduation

Demographics On Crime: A Look At The U.S.A., Nicolas Eceizabarrena

Empirical Economic Bulletin, An Undergraduate Journal

This study aims to identify how change in social indicators and demographics affect crime, more specifically, the number of aggravated assaults. As policy makers attempt to reduce crime to improve social conditions, changes to social indicator and demographic variables would allow quantifying these changes. This study uses a cross-sectional data set for the fifty states in the United States of America for the 2005 period.

Rhode Island Current Conditions Index -- January 2014, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Socioeconomic Determinants Of Violent Crime Rates In The U.S., Jacob Gesin

Empirical Economic Bulletin, An Undergraduate Journal

This paper looks into socioeconomic factors affecting three racial groups within the United States, and the possibility of their effects on rates of violent crime. This study incorporates US census data in conjunction with FBI crime statistics in order to identify a correlation between select sociological variables experienced by different racial groups, and the rates of violent crime committed within those groups. Based on metropolitan areas by state for the year of 2012, the results of this study show that socioeconomic and family factors have a significant effect on violent crime rates regardless of race. Furthermore, violent crime rate gaps …

Remittances And Economic Growth In Mexico: Long Term Implications, Sean Lambert

Empirical Economic Bulletin, An Undergraduate Journal

This paper examines the impact of remittances on economic growth by looking at time series data from 1960 to 2012 from the country of Mexico. Using the OLS method, these data will be analyzed to see what the long term impact of remittances have been on the growth rate of Mexico. Drawing from the heavily established literature in the field of growth economics, this paper attempts to show the relevance of such theory in the case of the well documented phenomenon of remittances. Mexico is the world’s fourth largest net recipient of remittance inflows and the third largest trading partner …

The Effects Of The First Round Of Quantitative Easing On Stock Prices In The United States, William Manak

Empirical Economic Bulletin, An Undergraduate Journal

This paper examines the effects that the first round of the large-scale assert purchases known as Quantitative Easing (QE1) had on US stock prices. The paper focuses on the time period starting from the announcement of QE1 to before the second round of Quantitative Easing had been announced. This paper hopes to find a significant effect of stock prices in China as well as the exchange rate between the two countries, as the US and China are major trade partners. The effects of Chinese stocks and the exchange rate will be compared to the lower interest rates that had resulted …

The Effect Of Extending Unemployment Insurance Benefits On Northeast State Unemployment Rates, Guillaume Sabourin

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the effect of changes in the length of unemployment benefits on the unemployment rates of 10 northeast US states. This study includes the most likely variables that would influence the unemployment rate during the time span preceding and following the recent recession. The study observes various contributing factors to unemployment including median income, state GDP, demographics, education, and the construction, manufacturing, and financial services rate for each state. Using state-level data from government sources and a fixed effects empirical model, results suggest that unemployment benefit extensions result in a small but statistically significant increase in the unemployment …

Socioeconomic Determinants Of Obesity In The United States, Jonathan Skaza

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates the socioeconomic determinants of obesity (as measured by BMI) in the United States. Logistic regression is employed on cross-sectional data from the 2011-2012 National Health and Nutrition Examination Survey (NHANES). The results show that, in general, holding other factors constant, individuals with a college diploma are less likely to be obese than those with a lesser education (except in extreme cases), married individuals are more likely to be obese than those that are not married, and females are more likely to be obese than males. Additionally, compared to white persons, Black and Hispanic persons have a greater …

Determinants Of Foreign Direct Investment In Brazil, Matthew J. Duguay

Empirical Economic Bulletin, An Undergraduate Journal

This paper is a time series analysis of the determinants of foreign direct investment inflows regarding the country of Brazil over the past 34 years. Brazil has seen rapid change throughout their country over the past few decades, and it now is one of the most popular hosts for foreign investors. GDP growth, trade openness, taxes, political instability, energy imports, and inflation are all as possible significant determinants of FDI inflows in Brazil that this model analyzes. The results show that inflation, trade openness, and political instability are the most significant variables when it comes to understanding FDI inflows.

The Effect Of Income Inequality On Happiness Levels, Spencer Carlin

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates and presents the impact of income inequality upon general levels of happiness. The study will examine the influence of the income gap upon life satisfaction. Incorporating information from OECD databanks and the World Bank into a standard model in happiness studies, we will examine the effect on nations measured Happy Life Years (HLY). After careful examination this study provides a conclusion that reinforces past studies. Income inequality has a consistent significant and negative impact on subjective well-being and happiness levels. The study contributes to the inequality happiness literature, by examining the effects of inequality on happiness amongst …

Learning By Exporting In India, Stephanie Lizardi

Empirical Economic Bulletin, An Undergraduate Journal

This paper examines learning by exporting, in which a firm experiences growth in productivity after entering export markets. The results of existing studies show conflicting evidence regarding whether productivity gains result from learning by exporting or whether productivity gains lead to exporting. This paper discusses the relationship between entering exporting markets and subsequent product innovation. Using data from nearly 6,000 firms in India, the results suggest that learning by exporting occurs when firms enter export markets, but only during the first year.

Determinants Of Health In South American Countries, Andres Pernia

Empirical Economic Bulletin, An Undergraduate Journal

This paper investigates, analyzes, and expands the relationship between under-five mortality and socioeconomic and health system factors. The study utilizes fixed effect panel data to estimate the determinants of under-five mortality in 12 counties across South America. As expected, the results show that GDP per capita is statistically significant and is robust in all of the estimated models. In addition, improved sanitation, gender equality, access to improved sanitation facilities, provision of primary education, and governance are also statistically significant and have positive effect on child mortality.