Home About us Contact
|
Home About us Contact | ||
|
|
||
Econometric Methods (econometric + methods)
Selected AbstractsInternational dynamic risk sharingJOURNAL OF APPLIED ECONOMETRICS, Issue 1 2008Giuseppe Cavaliere In this paper we examine the implications of international risk sharing among a set of countries in the presence of market frictions which complicate the instantaneous adjustment to the first-order conditions. We suggest approximating the consumption streams of countries belonging to the risk sharing coalition in terms of a disequilibrium dynamic model embodying forward-looking adjustment. Econometric methods for estimating and testing the model are discussed. Empirical analysis of a set of core European countries suggests that once preference parameters are allowed to vary across countries, we are able to identify a group of nations that share risks against idiosyncratic permanent income shocks. The equilibrium position, however, is reached after a long adjustment period. Copyright © 2008 John Wiley & Sons, Ltd. [source] Operational Risk Measurement in Banking Institutions and Investment Firms: New European EvidencesFINANCIAL MARKETS, INSTITUTIONS & INSTRUMENTS, Issue 4 2008Enrique Bonsón The banking/investment sector must deal with a new variable, Operational Risk, for explaining various recent crises and bankruptcies. Operational Risk, which can be defined briefly as the risk generated by possible failures of a entity's Information Systems (IS), must be measured, covered, mitigated and managed by applying a series of methodologies, each of which assumes that the IS of the bank operates at a certain Stage of Sophistication. The present study proposes a scheme of evolution that details the stages of enhancement in the sophistication of their IS that banking entities may implement, so as to be capable of capturing, mitigating and managing Operational Risk. Using econometric methods, we create a proxy variable to capture the IS Sophistication of each entity. Then, the factor of entity size has been analyzed, and the country effect is explored. Additionally, the importance of intangible assets is weighted, among others entity aspects. The entity size has been revealed as the variable with most influence on the plans formulated in this respect by European entities, against other variables also considered in the present study, such as the country effect or the importance of intangible assets. The work shows how IS decisions referring to Operational Risk management are very influenced by size. It could introduce competition differences in the European banking system. [source] Geographic Concentration and Increasing ReturnsJOURNAL OF ECONOMIC SURVEYS, Issue 5 2003Paolo Surico Abstract., Economic activities are highly clustered. Why is geographic concentration becoming a predominant feature of industrialized economies? On the basis of the empirical models developed by the new theories of international trade, our answer is that increasing returns are the driving force of economic geography in the US as well as in Europe. In so doing, we review several econometric methods proposed in the literature to separate and to test alternative theoretical paradigms. [source] A sociological view of costs of price adjustment: contributions from grounded theory methodsMANAGERIAL AND DECISION ECONOMICS, Issue 6 2007Mark J. ZbarackiArticle first published online: 20 JUN 200 Economic theory and data sometimes pose problems that cannot be addressed with existing econometric methods. For example, theories of price adjustment costs rely on variables that cannot or have not been observed. In principle, such costs can be measured, but there is little reason to expect they can be measured with existing econometric methods. I argue that the grounded theory methods developed by sociologists can be used to demonstrate the validity of price adjustment costs and to address deeper questions about how firms adjust prices. Properly matched to economic problems, grounded theory may help economists to develop better theory and better test existing theory. Copyright © 2007 John Wiley & Sons, Ltd. [source] Critical Realism and Econometrics: Constructive Dialogue with Post Keynesian EconomicsMETROECONOMICA, Issue 4 2002Paul Downward The philosophy of science known as critical realism, as developed in economics, offers both a methodological critique of mainstream economics and a methodological foundation for alternative economic perspectives. Post Keynesian economics is a school of thought that has often been defined in terms of its opposition to the mainstream and has, to varying degrees, become allied to critical realism. Post Keynesians have not fully developed the detailed epistemological consequences of a commitment to critical realism. One such consequence is a possible tension over the use of econometric methods. This arises because, on the one hand, many of the epistemological pronouncements of critical realism imply the suspicion of econometric methods. On the other hand, many Post Keynesians regularly employ these methods in their desire to apply economic analysis. This paper examines these tensions and shows that drawing upon Post Keynesian economics a useful symbiosis of ideas is produced which has positive implications for the practice of critical,realist empirical work including econometrics. [source] A cross-sectional analysis of residential property prices: the effects of income, commuting, schooling, the housing stock and spatial interaction in the English regions,PAPERS IN REGIONAL SCIENCE, Issue 3 2006Bernard Fingleton Housing supply and markets; cross-sectional models; spatial econometric models Abstract., This article examines the distribution of residential property prices in 2001 across local areas in England using spatial econometric methods, showing that spatial variations in local income, income within commuting distance, the stock of residential properties and the quality of local schooling have significant effects. The residual spatial variation due to unknown factors is modelled by a proxy variable, but this does not rule out a significant spatial lag. The article argues that this represents endogenous interaction of property price levels between neighbouring areas, which is interpreted as the outcome of local market knowledge and preference, which produces greater price similarity between an area and its neighbours than one would anticipate from the levels of the exogenous price determinants. [source] Annotation: Economic evaluations of child and adolescent mental health interventions: a systematic reviewTHE JOURNAL OF CHILD PSYCHOLOGY AND PSYCHIATRY AND ALLIED DISCIPLINES, Issue 9 2005Renée Romeo Background:, Recognition has grown over recent years of the need for economic information on the impacts of child and adolescent mental health problems and the cost-effectiveness of interventions. Methods:, A range of electronic databases were examined using a predefined search strategy to identify economic studies which focused on services, pharmacological interventions and other treatments for children and adolescents with a diagnosed mental health problem or identified as at risk of mental illness. Published studies were included in the review if they assessed both costs and outcomes, with cost-effectiveness being the primary interest. Studies meeting the criteria for inclusion were assessed for quality. Results:, There are still relatively few economic evaluations in this field. Behavioural disorders have been given relatively greater attention in economic evaluations of child and adolescent mental health. These studies tentatively suggest child behavioural gains and parent satisfaction from parent and child training programmes, although the cost-effectiveness of the location of delivery for behavioural therapies is less clear. In general, the quality of economic evaluations was limited by small sample sizes, constrained measurement of costs, narrow perspectives and over-simple statistical and econometric methods. Conclusion:, Economic evaluations in the field of child and adolescent mental health interventions are few in number and generally poor in quality, although the number of studies being undertaken now appears to be rising. [source] Secondary Trading Costs in the Municipal Bond MarketTHE JOURNAL OF FINANCE, Issue 3 2006LAWRENCE E. HARRIS ABSTRACT Using new econometric methods, we separately estimate average transaction costs for over 167,000 bonds from a 1-year sample of all U.S. municipal bond trades. Municipal bond transaction costs decrease with trade size and do not depend significantly on trade frequency. Also, municipal bond trades are substantially more expensive than similar-sized equity trades. We attribute these results to the lack of bond market price transparency. Additional cross-sectional analyses show that bond trading costs increase with credit risk, instrument complexity, time to maturity, and time since issuance. Investors, and perhaps ultimately issuers, might benefit if issuers issued simpler bonds. [source] Birds as tourism flagship species: a case study of tropical islandsANIMAL CONSERVATION, Issue 6 2009D. Veríssimo Abstract Species selected as flagships to promote conservation activities around the world are typically well known and charismatic mega-fauna. Unfortunately this limits the scope for applying the concept as some critical areas for biodiversity conservation, such as tropical islands, lack such species. In this study, we explore the potential to apply the concept of ,tourism flagship species' to tropical island birds of the Seychelles, an archipelago of considerable importance for conservation that is highly dependent on international tourism. In particular we wish to identify which species attributes are most influential with regard to their potential for fundraising among international tourists. Using a choice experiment approach and using state-of-the-art econometric methods, we found that conservation attributes and physical appearance of the bird species are both important in terms of raising funds for conservation. Nevertheless, conservation attributes ranked higher in the respondents preferences. Our results suggest that there is considerable potential for a variety of species to effectively act as flagships in developing nations that are dependent on international tourism and rich in biodiversity but lack charismatic fauna. [source] | |||||||||||||||||||