Econometrics Commons^™

Dynamic Return Relationships In The Market For Cryptocurrency: A Var Approach, Julian Gouffray

James Madison Undergraduate Research Journal (JMURJ)

This paper examines how the Bitcoin-altcoin return relationship has evolved in periods between 2015 and 2020. To understand this relation, we observe data on the cryptocurrency Bitcoin and prominent altcoins Ethereum, Litecoin, Ripple, Stellar, and Monero, which collectively represent over 90% of the market throughout the observed period. We employ a vector autoregressive model (VAR) to produce forecast error variance decompositions, orthogonal impulse response functions, and Granger-causality tests. We find evidence that Bitcoin return variation has increasingly explained altcoin returns and that market inefficiency increased between 2017 and 2020, as shown by increased Granger causality between Bitcoin and altcoins. These …

Inequality As A Barrier To Economic Integration? An Experiment, Gabriele Camera, Lukas Hohl, Rolf Weder

ESI Working Papers

International economic theory suggests that people should embrace economic integration because it promises large gains. But policy reversals such as Brexit indicate a desire for economic disintegration. Here we report results of an experiment of how size and cross-country distribution of gains from integration influence individuals’ inclination to cooperate to reap its intended benefits and to embrace or reject integration. The design considers an indefinitely repeated helping game with multiple equilibria and strategic uncertainty. The data reveal that inequality of potential gains neither affected behavior nor reduced support for economic integration. However, integration may lead to disappointing, unequally distributed welfare …

Information Aggregation With Heterogeneous Traders, Cary Deck, Tae In Jun, Laura Razzolini, Tavoy Reid

ESI Working Papers

The efficient market hypothesis predicts that asset prices reflect all available information. A seminal experiment reported that contingent claim markets could yield market outcomes consistent with information aggregation when traders hold heterogeneous state-contingent values. However, a recent experiment found the rational expectation model outperformed the prior information and maxi-min models in contingent claim markets when traders hold homogeneous values despite the no trade equilibrium in that setting. But that same study failed to replicate the original result calling into question when, if ever, prices reliably reflect the aggregate information of traders with heterogeneous values. In this paper, we show contingent …

Essays On Spillover Effects Across U.S And China, Zhuo Xi

Dissertations, Theses, and Capstone Projects

Chapter1: With the rapid development and continuous advancement of economic globalization, the links between countries around the world have become increasingly tight. Among them, the United States, as the world's largest economy, its monetary policy is bound to cause significant spillover effects on other economies around the world. By constructing a Threshold SVAR model with monthly data from 1996 to 2019, this paper empirically investigates the spillover effects of US monetary policy on China's economy during different U.S policy regimes. The transmission mechanism of such effects has been tested through different channels including policy channel, trade channel, asset value channel …

Macroeconomic Adjustments Of Global Convergence: Real Exchange Rate Response Of Asia-Pacific Growth, Kumarappan Annamalai

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters.

Chapter 1 : PURCHASING POWER PARITY, REAL EXCHANGE RATE, PRICE LEVEL INDEX and HARROD-BALASSA-SAMUELSON EFFECT: LITERATURE SURVEY

In the light of the concepts explained in the introduction section, this chapter explores the seminal papers on the Purchasing Power Parity principle, the Real Exchange rate, and the Price Level Index, showing the evolution of PPP and the methodologies adopted in exploring the characteristics of PPP and the real exchange rates. Various characteristics might be stationarity or non-stationarity of the real exchange rates (RER), variance, correlation, half-life measures, linearity versus non-linearity, etc. Various methodologies adopted were …

Essays On Machine Learning Methods In Economics, Mani Bayani

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters on machine learning modeling in economics. Chapter 1 - Robust PCA Synthetic Control: In this chapter, I propose an algorithm for comparative studies called robust PCA synthetic control. My algorithm builds on the synthetic control model of Abadie et al., 2015 and the robust synthetic control model of Amjad et al., 2018. I apply all three methods (robust PCA synthetic control, synthetic control, and robust synthetic control) to answer the hypothetical question, what would have been the per capita GDP of West Germany if it had not reunified with East Germany in 1990? I …

United We Stand: On The Benefits Of Coordinated Punishment, Vicente Calabuig, Natalia Jiménez, Gonzalo Olcina, Ismael Rodriguez-Lara

ESI Working Papers

Coordinated punishment occurs when punishment decisions are complements; i.e., this punishment device requires a specific number of punishers to be effective; otherwise, no damage will be inflicted on the target. While societies often rely on this punishment device, its benefits are unclear compared with uncoordinated punishment, where punishment decisions are substitutes. We argue that coordinated punishment can prevent the free-riding of punishers and show, both theoretically and experimentally, that this may be beneficial for cooperation in a team investment game, compared with uncoordinated punishment.

Historical Political Economy: What Is It?, Jeffrey Jenkins, Jared Rubin

ESI Working Papers

In this chapter, we define what historical political economy (HPE) is and is not, classify the major themes in the literature, assess the relative strengths and weaknesses of the literature, and point to future directions. We view HPE as social scientific inquiry which highlights political causes or consequences of historical issues. HPE is different from conventional political economy in the emphasis placed on historical processes and context. While we view HPE in the most inclusive manner reasonable, we define it to exclude works that are either solely of contemporary importance or use historical data without any historical context (e.g., long-run …

Essays On Futures Market And Machine Learning, Jonathan J. Lopez Camara

Dissertations, Theses, and Capstone Projects

Chapter 1 - Big Data And Machine Learning To Predict Overnight Interest Rates. This paper is a brief introduction to the two main pieces I have elaborated as part of the dissertation. Here, I explain the reasons why I have done my research about predicting the overnight interest rates for Mexico and the United States using big data and machine learning models. I explain the connection between the two research papers, I define some basic concepts such as future contracts and the overnight funding rate for Mexico. There is a summary about the data I use, and the machine learning …

Essays On Impacts Of Women Empowerment On The Health Outcomes Of Children, Sagnik Das

Dissertations, Theses, and Capstone Projects

Chapter 1: Taking cognizance of the lack of representation of women in politics, the Indian government in 1993, enacted the 73rd constitutional amendment which led to a sudden increase in the representation of women in the local governments. Exploiting the exogenous variation in the timing of implementation of the 73rd amendment across the states, I study the spillover effects of this mandated empowerment of women on the health outcomes of children by using nationally representative survey data and employing a difference-in-difference estimation strategy. In this study, I find evidence of a positive impact of mandated women empowerment on the survival …

Improved Marginal Likelihood Estimation Via Power Posteriors And Importance Sampling, Yong Li, Nianling Wang, Jun Yu

Research Collection School Of Economics

Power posteriors have become popular in estimating the marginal likelihood of a Bayesian model. A power posterior is referred to as the posterior distribution that is proportional to the likelihood raised to a power b∈[0,1]. Important power-posterior-based algorithms include thermodynamic integration (TI) of Friel and Pettitt (2008) and steppingstone sampling (SS) of Xie et al. (2011). In this paper, it is shown that the Bernstein–von Mises (BvM) theorem holds for power posteriors under regularity conditions. Due to the BvM theorem, power posteriors, when adjusted by the square root of the auxiliary constant, have the same limit distribution as the original …

Bayesian Methods In Economics And Finance: Editor's Introduction, Jun Yu

Research Collection School Of Economics

Modern days, Bayesian methods have gained prominence in theoretical work and applications in economics and finance due to the rapid development of computational technologies and their ability to learn. The special issue intends to examine central aspects in Bayesian analysis and applications, including prior choices, model selection with massive data and latent variables, hypothesis testing, Bayesian learning. In total, this special issue contains ten papers, all subject to the Journal of Econometrics (JOE)’s normal refereeing process. Most of these papers came from a conference held at the ESSEC Singapore campus on 10 December 2018.

Posterior-Based Wald-Type Statistic For Hypothesis Testing, Xiaobin Liu, Yong Li, Jun Yu, Tao Zeng

Research Collection School Of Economics

A new Wald-type statistic is proposed for hypothesis testing based on Bayesian posterior distributions under the correct model specification. The new statistic can be explained as a posterior version of the Wald statistic and has several nice properties. First, it is well-defined under improper prior distributions. Second, it avoids Jeffreys–Lindley–Bartlett’s paradox. Third, under the null hypothesis and repeated sampling, it follows a distribution asymptotically, offering an asymptotically pivotal test. Fourth, it only requires inverting the posterior covariance for parameters of interest. Fifth and perhaps most importantly, when a random sample from the posterior distribution (such as MCMC output) is available, …

“High Spending, Poor Productivity Gains!” Assessing Public Health System (In)Efficiency And Hospital Performance In The State Of Kuwait: Would More Private Delivery Improve Healthcare?, Aljawhara Alsabah

NYMC Student Theses and Dissertations

The healthcare sector in the State of Kuwait has been nurtured for many decades by the government, where the majority of health services in the country are controlled by the Ministry of Health (MoH). Although healthcare services in public sector hospitals are at highly subsidized rates, causing private sector involvement in healthcare to be considerably low, the growing demands for private delivery of care burgeoned participation of private hospitals in Kuwait, and improving hospital efficiency and productivity is more critical and timelier than ever. This dissertation aims to analyze public health system efficiency and hospital performance in the State of …

Child Cognitive Achievement Gaps: The Role Of Family Structure And Maternal Locus Of Control In Parental Investment, Nalinda K. Murray

Undergraduate Student Research Internships Conference

Little exploration has been done to determine the impact of family structure on parental investment decisions and how gaps in children’s cognitive achievement are affected in turn. To examine the role of family structure, this paper estimates the production function for children’s cognitive achievement using a value-added specification with instrumental variables estimation. A novel feature of this research is that variation in family structure and maternal locus of control are exploited in an effort to account for the endogeneity of parental investment and children’s cognitive performance. Applying my methodology to data from the National Longitudinal Survey of Youth 1979 and …

The Effect Of Leverage On Credit Default Swaps, Xiling Lai

Undergraduate Student Research Internships Conference

The research investigates the effect of leverage on the pricing of Credit Default Swaps (CDS) and focuses on key sectors of the economy: Technology, Financials, Consumer Staples and Industrials. CDS are financial instruments that were developed a few decades ago and have become more widely used in financial markets for hedging credit exposures. Given their prevalence in financial markets, it is important to understand how CDS spreads change when reference entities modify their capital structure.

In the regression analysis, the level of CDS spread is used as dependent variable, and the standardized relative leverage is used as independent variable. My …

A Study Of Canadian Bankruptcies, 2014-2022, Luis Guilherme Mazzali De Almeida

Undergraduate Student Research Internships Conference

This paper studies Canadian monthly bankruptcy data from January 2014 to February 2022 with an aim towards identifying the existence of underlying heterogeneity in the decision-making of firms across different industry sectors during periods of economic adversity. The data used include provincial two-digit NAICS bankruptcy level data, provincial pandemic-related data concerning the evolution of cases and stringency of adopted policies, and external factors pertaining to the domestic and foreign economies such as industry GDP, the overnight rate target, exchange rates, imports and exports, prices, and bond liquidity premium. The method is two-fold. First, we identify changes in bankruptcy trends caused …

Nobel And Novice: Author Prominence Affects Peer Review, Jürgen Huber, Sabiou M. Inoua, Rudolf Kerschbamer, Christian König-Kersting, Stefan Palan, Vernon L. Smith

ESI Working Papers

Peer-review is a well-established cornerstone of the scientific process, yet it is not immune to status bias. Merton identified the problem as one in which prominent researchers get disproportionately great credit for their contribution while relatively unknown researchers get disproportionately little credit.¹ We measure the extent of this effect in the peer-review process through a pre-registered field experiment. We invite more than 3,300 researchers to review a paper jointly written by a prominent author – a Nobel laureate – and by a relatively unknown author – an early-career research associate –, varying whether reviewers see the prominent author’s name, …

Introducing New Forms Of Digital Money: Evidence From The Laboratory, Gabriele Camera

ESI Working Papers

Central banks may soon issue currencies that are entirely digital (CBDCs) and possibly interest-bearing. A strategic analytical framework is used to investigate this innovation in the laboratory, contrasting a traditional “plain” tokens baseline to treatments with “sophisticated” interest-bearing tokens. In the experiment, this theoretically beneficial innovation precluded the emergence of a stable monetary system, reducing trade and welfare. Similar problems emerged when sophisticated tokens complemented or replaced plain tokens. This evidence underscores the advantages of combining theoretical with experimental investigation to provide insights for payments systems innovation and policy design.

The Doors Of Perception: Theory And Evidence Of Frame-Dependent Rationalizability, Gary Charness, Alessandro Sontuoso

ESI Working Papers

We investigate how strategic behavior is affected by the set of notions (frames) used when thinking about the game. In our games, the action set consists of visual objects: each player must privately choose one, trying to match the counterpart’s choice. We propose a model where different player-types are aware of different attributes of the action set (hence, different frames). One of the novelties is an epistemic structure that allows players to think about new frames, after initial unawareness of some attributes. To test the model, our experimental design brings about multiple frames by varying subjects’ awareness of several attributes.