Econometrics Commons^™

Volatility Spillovers And Linkages In Asian Stock Markets, Hwee Kwan Chow-Tan

Research Collection School Of Economics

Diebold-Yilmaz spilloverindexes are computed for weekly return volatilities based on daily benchmarkstock indexes of US, UK and ten Asian countries. We found (i) the strengthening ofoverall volatility spillovers is not a temporary surge but persisted after thecrisis; (ii) the susceptibility ofindividual Asian stock markets to inward volatility transfers is linked to itsdegree of openness; and (iii) the Asian bourses are becoming more importantemitters of financial shocks since the crisis. Rolling regressions on volatilitylinkages reveal the relative dominance of the US over the Japanese and Chinesebourses, and the level of influence on Asian stock markets from the Chinesebourse has risen to …

Estimating Finite-Horizon Life-Cycle Models: A Quasi-Bayesian Approach, Xiaobin Liu

Research Collection School Of Economics

This paper proposes a quasi-Bayesian approach for structural parameters in finite-horizon life-cycle models. This approach circumvents the numerical evaluation of the gradient of the objective function and alleviates the local optimum problem. The asymptotic normality of the estimators with and without approximation errors is derived. The proposed estimators reach the semiparametric eciency bound in the general methods of moment (GMM) framework. Both the estimators and the corresponding asymptotic covariance are readily computable. The estimation procedure is easy to parallel so that the graphic processing unit (GPU) can be used to enhance the computational speed. The estimation procedure is illustrated using …

Cross-Jurisdictional Sharing Of Public Health Services In West Virginia, Eric Bowen

Bureau of Business & Economic Research

No abstract provided.

Rhode Island Current Conditions Index -- October 2017, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

The Political Cost? Religious Segregation, Peace Walls, And House Prices, John A. Mccord, Michael J. Mccord, Peadar T. Davis, Martin E. Haran, Sean Macintyre

Peace and Conflict Studies

The longstanding issue of discrimination and segregation in housing markets has enveloped housing market analysis and particularly the understanding of house price determination. Whilst the relationship of segregation in residential space is diverse and encompasses numerous taxonomies, in Northern Ireland, the high level of market segregation is compounded by the addition of tactile barriers such as Peace walls. The existence of these tactile barriers serves to physically segregate communities and have the capacity to prevent the restoration of normal community interactions and market processes. This paper attempts to quantify and measure the disamenity implications and costs of these hard structures …

Strong Consistency Of Spectral Clustering For Stochastic Block Models, Liangjun Su, Wuyi Wang, Yichong Zhang

Research Collection School Of Economics

In this paper we prove the strong consistency of several methods based on thespectral clustering techniques that are widely used to study the communitydetection problem in stochastic block models (SBMs). We show that under someweak conditions on the minimal degree, the number of communities, and theeigenvalues of the probability block matrix, the K-means algorithm applied tothe Eigenvectors of the graph Laplacian associated with its first few largesteigenvalues can classify all individuals into the true community uniformlycorrectly almost surely. Extensions to both regularized spectral clustering anddegree-corrected SBMs are also considered. We illustrate the performance ofdifferent methods on simulated networks.

Specification Test For Spatial Autoregressive Models, Liangjun Su, Xi Qu

Research Collection School Of Economics

This article considers a simple test for the correct specification of linear spatial autoregressive models, assuming that the choice of the weight matrix Wn is true. We derive the limiting distributions of the test under the null hypothesis of correct specification and a sequence of local alternatives. We show that the test is free of nuisance parameters asymptotically under the null and prove the consistency of our test. To improve the finite sample performance of our test, we also propose a residual-based wild bootstrap and justify its asymptotic validity. We conduct a small set of Monte Carlo simulations to investigate …

Information (Non)Aggregation In Markets With Costly Signal Acquisition, Brice Corgnet, Cary Deck, Mark Desantis, David Porter

ESI Working Papers

Markets are often viewed as a tool for aggregating disparate private knowledge, a stance supported by past laboratory experiments. However, traders’ acquisition cost of information has typically been ignored. Results from a laboratory experiment involving six treatments varying the cost of acquiring signals of an asset’s value suggest that when information is costly, markets do not succeed in aggregating it. At an individual level, having information improves trading performance, but not enough to offset the cost of obtaining the information. Although males earn more through trading than females, this differential is offset by the greater propensity of males to buy …

Essays On The Impact Of Exchange Rate Movements On Stock Return And Country Output, Junnan Zhao

Dissertations, Theses, and Capstone Projects

Exchange rate movements are widely believed to be a major source of uncertainty at both micro- and macro-economic levels. At the microeconomic level, corporate managers controlling risk and investors seeking to hedge their portfolios are both obviously interested in estimates of a firm’s exchange rate exposure ̶ i.e., how much of the value of a firm will be affected by exchange rate movements. At the macroeconomic level, a currency appreciation may have a contractionary effect on a country's output.

Chapter 1 tests whether the launch of the euro around 1999 significantly reduced stock market volatility and exchange rate risk exposure …

Essays On Inequality And Macroeconomic Stability, Thomas Hauner

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters. . .

Chapter 1: Aggregate Wealth and Its Distribution as Determinants of Financial Crises: Panel Evidence This essay investigates the relationship between wealth inequality and financial crises across a panel of nine advanced economies over the past 100 years. While substantiation of a role for income inequality is ambiguous in the literature, evidence is presented suggesting a unique capacity for the accumulation of assets to increase the likelihood of a future financial crisis episode. Testing long-run panel data with a reduced form, two-way fixed effects model, estimates suggest that increasing wealth inequality, in an …

Who Influences Your Outcomes? The Effect Of Culture And Ethnic Origin, Neighborhood And Peers On Personal Income: A Spatial Econometric Analysis Of New York City, Anna Arakelyan

Dissertations, Theses, and Capstone Projects

Being a “social animal”, each person is inherently embedded into a complex structure of social relations. He has role models to aspire to, conformity rules to follow, and expectations to meet. This paper explores the different social influences each person experiences in life. Specifically, I consider how a person’s ethnic community, age reference group, occupational and industry group peers, and residential area neighbors affect his total income. I introduce a novel model of multiple social networks and discuss various identification implications. I apply the model empirically to New York City, which naturally is a very favorable environment to test for …

No Mere Tautology: The Division Of Labor Is Limited By The Division Of Labor, Andrew Smyth, Bart J. Wilson

ESI Working Papers

We explore the intersection of growth theory and the theory of the firm with an experiment. Economic growth is possible in our experiment when agents specialize to exploit increasing returns. We find that low opportunity costs are sufficient for Marshallian internal economies, but that Marshallian external economies are slow to emerge in four probing treatment conditions. Transaction costs do not hamper external economies as we anticipated prior to collecting data. When external economies falter, it is because new ideas about the cost and value of more extensive specialization fail to emerge. Ideas are what make further divisions of the …

Rhode Island Current Conditions Index -- September 2017, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

School Resources And Student Outcomes: Evidence From The State Of Illinois, Alyssa Cooper

Student Research – Stevenson Center

Literature on the subject of school resources and student outcomes tends to find that there is a positive relationship between both variables. Most literature uses per-pupil spending (PPS) or teacher salaries as a measure of school resources. While I have modeled both in my paper, my focus in this paper is on per-pupil spending. Using data from the Illinois State Board of Education from 2006-2016 and measuring student outcomes through average ACT scores, operational PPS is found to be insignificant, whereas instructional PPS is found to be positive and significant at the 5% level. Estimates suggest that a 1 standard …

Determinants Of Firm-Level Domestic Sales And Exports With Spillovers: Evidence From China, Badi H. Baltagi, Peter H. Egger, Michaela Kesina

Center for Policy Research

This paper studies the determinants of firm-level revenues, as a measure of the performance of firms in China's domestic and export markets. The analysis of the determinants of the aforementioned outcomes calls for a mixed linear-nonlinear econometric approach. The paper proposes specifying a system of equations, which is inspired by Basmann's work and recent theoretical work in international economics and conducts comparative static analyses regarding the role of exogenous shocks to the system to flesh out the relative importance of transmissions across outcomes.

Three Essays On The European Sovereign Debt Crisis With A Special Focus On Greece, Flora Leventi

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters where I examine several aspects of the European sovereign debt crisis. The first chapter focuses on systemic risk. Following the financial crisis of 2007-08, both in academic as well as policy circles, much of the research has focused toward the systemic importance of financial institutions. Parallel to that research, but to somewhat lesser extent, there have been improvements in our understanding of how risk is transmitted from the financial system to the real economy. This chapter investigates a related yet distinct manifestation of systemic risk, namely systemic sovereign risk. Using data on sovereign credit …

Robust Linear Static Panel Data Models Using Ε-Contamination, Badi H. Baltagi, Georges Bresson, Anoop Chaturvedi, Guy Lacroix

Center for Policy Research

The paper develops a general Bayesian framework for robust linear static panel data models using ε-contamination. A two-step approach is employed to derive the conditional type-II maximum likelihood (ML-II) posterior distribution of the coefficients and individual effects. The ML-II posterior means are weighted averages of the Bayes estimator under a base prior and the data-dependent empirical Bayes estimator. Two-stage and three stage hierarchy estimators are developed and their finite sample performance is investigated through a series of Monte Carlo experiments. These include standard random effects as well as Mundlak-type, Chamberlain-type and Hausman-Taylor-type models. The simulation results underscore the relatively good …

Bubble Testing Under Deterministic Trends, Xiaohu Wang, Jun Yu

Research Collection School Of Economics

This paper develops the asymptotic theory of the ordinary least squares estimator of the autoregressive (AR) coefficient in various AR models, when data is generated from trend-stationary models in different forms. It is shown that, depending on how the autoregression is specified, the commonly used right-tailed unit root tests may tend to reject the null hypothesis of unit root in favor of the explosive alternative. A new procedure to implement the right-tailed unit root tests is proposed. It is shown that when the data generating process is trend-stationary, the test statistics based on the proposed procedure cannot find evidence of …

Non-Separable Models With High-Dimensional Data, Liangjun Su, Takuya Ura, Yichong Zhang

Research Collection School Of Economics

This paper studies non-separable models with a continuous treatment when the dimension of the control variables is high and potentially larger than the effective sample size. We propose a three-step estimation procedure to estimate the average, quantile, and marginal treatment effects. In the first stage we estimate the conditional mean, distribution, and density objects by penalized local least squares, penalized local maximum likelihood estimation, and penalized conditional density estimation, respectively, where control variables are selected via a localized method of L1-penalization at each value of the continuous treatment. In the second stage we estimate the average and the marginal distribution …

Domestic Liquidity Conditions And Monetary Policy In Singapore, Hwee Kwan Chow-Tan

Research Collection School Of Economics

Singapore has an unusual exchange rate-centered monetary policy framework that has served the economy well over the past decades. Monetary policy operations are carried out by the central bank through the management of the Singapore dollar against a currency basket. As is well recognized, such foreign exchange interventions do have an impact on domestic liquidity conditions. However, in the case of Singapore, this tends to be counteracted by the liquidity impact of public sector operations related to the fiscal position and the national pension scheme. The central bank takes into account the net liquidity impact these and other autonomous money …

Adaptive Estimation Of Continuous-Time Regression Models Using High-Frequency Data, Jia Li, Viktor Todorov, George Tauchen

Research Collection School Of Economics

We derive the asymptotic efficiency bound for regular estimates of the slope coefficient in a linear continuous-time regression model for the continuous martingale parts of two Itô semimartingales observed on a fixed time interval with asymptotically shrinking mesh of the observation grid. We further construct an estimator from high-frequency data that achieves this efficiency bound and, indeed, is adaptive to the presence of infinite-dimensional nuisance components. The estimator is formed by taking optimal weighted average of local nonparametric volatility estimates that are constructed over blocks of high-frequency observations. The asymptotic efficiency bound is derived under a Markov assumption for the …

The Attack And Defense Of Weakest Link Networks, Dan Kovenock, Brian Roberson, Roman M. Sheremeta

ESI Working Papers

We experimentally test the qualitatively different equilibrium predictions of two theoretical models of attack and defense of a weakest-link network of targets. In such a network, the attacker’s objective is to successfully attack at least one target and the defender’s objective is to defend all targets. The models differ in how the conflict at each target is modeled — specifically, the lottery and auction contest success functions (CSFs). Consistent with equilibrium in the auction CSF model, attackers utilize a stochastic “guerrilla-warfare” strategy, which involves randomly attacking at most one target with a random level of force. Inconsistent with equilibrium in …

Loss Aversion And The Quantity-Quality Tradeoff, Jared Rubin, Anya Samek, Roman M. Sheremeta

ESI Working Papers

Firms face an optimization problem that requires a maximal quantity output given a quality constraint. But how do firms incentivize quantity and quality to meet these dual goals, and what role do behavioral factors, such as loss aversion, play in the tradeoffs workers face? We address these questions with a theoretical model and an experiment in which participants are paid for both quantity and quality of a real effort task. Consistent with basic economic theory, higher quality incentives encourage participants to shift their attention from quantity to quality. However, we also find that loss averse participants shift their attention from …

Do Weapons Make Warfare? An Instrumental Variables Approach Towards Investigating The Relationship Between Small Arms Abundance, Civil Conflict Onset, And Civil Conflict Intensity, Gabriel S. Barrett

Political Science Honors Projects

Scholars, journalists, and policymakers frequently attribute the intensity and onset of civil conflict to the abundance of small arms. However, the direction of causality has been difficult to assess due to a lack of data on the illicit small arms market and the plausibly endogenous relationship between the abundance of weapons and civil conflict. Using a new dataset of estimated small arms prices, I determine that a decrease in the price of small arms is significantly and negatively correlated with an increase in the intensity of conflict in the following year. I also determine that small arms prices increase in …

Direct Effects Of Bundled Payments For Care Improvement Initiative: A County-Level Approach, Konstantinos Panitsas Mr

Theses and Dissertations

Implementing a nonlinear, Difference-in-Differences estimation method, I quantify the positive impact bundled payment reforms have on vulnerable population groups living in U.S. counties where this cost reducing initiative was implemented. I find statistically significant effects of this health-care initiative on the elderly and the economically disadvantaged individuals.

The Effect Of Paid Sick Leave On Physician Office-Based Visits, Korvin Vicente

Theses and Dissertations

This paper uses a balanced sample of workers from cross-sections of the National Health Interview Survey to estimate the causal effects of paid sick leave on the medical care seeking behavior of individuals, as measured by physician office-based visits.

Exchange In The Absence Of Legal Enforcement: Reputation And Multilateral Punishment Under Uncertainty, Aidin Hajikhameneh, Jared Rubin

ESI Working Papers

Prinicpal-agent problems can reduce gains from exchange available in long distance trade. One solution to mitigate this problem is multilateral punishment, whereby groups of principals jointly punish cheating agents by giving them bad reputations. But how does such punishment work when there is uncertainty regarding whether an agent actually cheated or was just the victim of bad luck? And how might such uncertainty be mitigated—or exacerbated—by nonobservable, pro-social behavioral characteristics? We address these questions by designing a simple modified trust game with uncertainty and the capacity for principals to employ multilateral punishment. We find that a modest amount of uncertainty …

How Product Innovation Can Affect Price Collusion, Andrew Smyth

ESI Working Papers

Price conspiracies appear endemic in many markets. This paper conjectures that low expected returns from product innovation can affect price collusion in certain markets. This conjecture is tested—and supported—by both archival and experimental data. In particular, average market prices in low innovation experiments are significantly greater than those in high innovation, but otherwise identical experiments, because price collusion is more successful in the low innovation experiments.

Rhode Island Current Conditions Index -- August 2017, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Building Research Skills In The Macalester Economics Major, J. Peter Ferderer, Gary Krueger

Faculty Publications

Economics majors at Macalester College have won numerous awards for their research papers, and this success has helped them land jobs in finance, consulting, and the nonprofit sector, as well as gain admission to top graduate programs. This article describes how the Economics Department at Macalester promotes economic research among its students.