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- Author:
- Mumtaz, Haroon
- Source:
- Economics letters 2018 v.173 pp. 10-14
- ISSN:
- 0165-1765
- Subject:
- algorithms; economics; equations; uncertainty; United States
- Abstract:
- ... This note introduces a VAR with stochastic volatility in mean where the shocks of the volatility equations and the observation equations are allowed to be correlated. We provide a Gibbs algorithm to approximate the posterior distribution and demonstrate the proposed methods by estimating the impact of financial uncertainty shocks on the US economy. ...
- DOI:
- 10.1016/j.econlet.2018.08.044
-
https://dx.doi.org/10.1016/j.econlet.2018.08.044
- Author:
- Moscoso Boedo, Hernan
- Source:
- Economics letters 2018 v.173 pp. 6-9
- ISSN:
- 0165-1765
- Subject:
- economic investment; human capital; models; taxes; United States
- Abstract:
- ... This paper analyzes the effects of the US tax reform of 2017 using a model of endogenous technological adoption. The lower tax levels induce large human capital investments that are augmented by the endogenous transition towards skill biased technologies. ...
- DOI:
- 10.1016/j.econlet.2018.09.009
-
https://dx.doi.org/10.1016/j.econlet.2018.09.009
- Author:
- Kim, Geofferey Jiyun; Kim, Jerim; Kim, Bara
- Source:
- Economics letters 2018 v.173 pp. 1-5
- ISSN:
- 0165-1765
- Subject:
- economics
- Abstract:
- ... We develop a multi-player lottery Blotto game in which each contested item can be valuated differently by involved agents and in which each contested item can be differently valuated from other contested items. We prove that the Blotto game with a finite number of agents has a Nash equilibrium. We characterize all Nash equilibria for the case of two agents. ...
- DOI:
- 10.1016/j.econlet.2018.09.001
-
https://dx.doi.org/10.1016/j.econlet.2018.09.001
- Author:
- Wiesen, Thomas F.P.; Beaumont, Paul M.; Norrbin, Stefan C.; Srivastava, Anuj
- Source:
- Economics letters 2018 v.173 pp. 131-134
- ISSN:
- 0165-1765
- Subject:
- economics; models; variance
- Abstract:
- ... Spillover indices computed from VAR models are intended to measure the connectedness between the variables in the system. The generalized spillover index (gSOI) computed using the generalized forecast error variance decomposition is often considerably larger than the conventional spillover index computed from specific Cholesky decompositions leading to the speculation that the gSOI produces an unr ...
- DOI:
- 10.1016/j.econlet.2018.10.007
-
https://dx.doi.org/10.1016/j.econlet.2018.10.007
- Author:
- Baur, Dirk G.; Dimpfl, Thomas
- Source:
- Economics letters 2018 v.173 pp. 148-151
- ISSN:
- 0165-1765
- Subject:
- asymmetry; financial assets; markets
- Abstract:
- ... This article analyzes asymmetric volatility effects for the 20 largest cryptocurrencies and reports a very different asymmetry compared to equity markets: positive shocks increase the volatility by more than negative shocks. We explain this atypical effect for financial assets with trading activity of uninformed noise traders for positive shocks and trading activity of informed traders for negativ ...
- DOI:
- 10.1016/j.econlet.2018.10.008
-
https://dx.doi.org/10.1016/j.econlet.2018.10.008
- Author:
- Akcora, Cuneyt Gurcan; Dixon, Matthew F.; Gel, Yulia R.; Kantarcioglu, Murat
- Source:
- Economics letters 2018 v.173 pp. 138-142
- ISSN:
- 0165-1765
- Subject:
- graphs; models; prices; risk
- Abstract:
- ... A key challenge for Bitcoin cryptocurrency holders is managing FX risk. We identify certain sub-graphs (‘chainlets’) which exhibit predictive influence on Bitcoin price and volatility and characterize the types of chainlets that signify extreme losses. ...
- DOI:
- 10.1016/j.econlet.2018.07.039
-
https://dx.doi.org/10.1016/j.econlet.2018.07.039
- Author:
- Samy Soliman, Felix; Schymik, Jan
- Source:
- Economics letters 2018 v.173 pp. 73-77
- ISSN:
- 0165-1765
- Subject:
- exports
- Abstract:
- ... We study how the international spread of democracy shaped the comparative advantage of countries. Using data on the “Third Wave of Democratization” between 1976 and 2000 we find that democratizing countries shifted their exports towards more contract intensive goods that require a larger portion of relationship-specific inputs. This shift is observed on the intensive margin (volumes of industry-le ...
- DOI:
- 10.1016/j.econlet.2018.09.006
-
https://dx.doi.org/10.1016/j.econlet.2018.09.006
- Author:
- Yi, Jianxin; Wang, Hefei; Li, Yong
- Source:
- Economics letters 2018 v.173 pp. 113-117
- ISSN:
- 0165-1765
- Subject:
- economics
- Abstract:
- ... In quasi-linear environments, classic theories state that it is possible to design efficient and incentive-compatible mechanisms, such as Vickrey, Clarke and Groves (VCG) mechanisms. However, once financial constraints are taken into account, we find that almost no financial constraint is compatible with efficiency and individual incentives over unrestricted domains and some restricted domains. Th ...
- DOI:
- 10.1016/j.econlet.2018.09.018
-
https://dx.doi.org/10.1016/j.econlet.2018.09.018
- Author:
- Börsch-Supan, Axel; Härtl, Klaus; Leite, Duarte N.
- Source:
- Economics letters 2018 v.173 pp. 78-83
- ISSN:
- 0165-1765
- Subject:
- labor; longevity; simulation models
- Abstract:
- ... In response to the challenges of increasing longevity, many countries have introduced “flexibility reforms” for their public pension systems. A key measure of these reforms is the abolishment of earnings tests. It is claimed that these reforms increase labor supply and therefore the financial sustainability of pension systems. We build a simulation model to show that abolishing an earnings test ma ...
- DOI:
- 10.1016/j.econlet.2018.09.020
-
https://dx.doi.org/10.1016/j.econlet.2018.09.020
- Author:
- Dowling, Michael; Hammami, Helmi; Zreik, Ousayna
- Source:
- Economics letters 2018 v.173 pp. 100-103
- ISSN:
- 0165-1765
- Subject:
- macroeconomics; quantitative analysis; readability
- Abstract:
- ... Ease of readability of Economics Letters abstracts, and number of works cited in an article, is positively related to future citations. Readability appears to particularly matter for mathematical and quantitative methods and macroeconomics papers, while number of works cited is generally important across all articles. ...
- DOI:
- 10.1016/j.econlet.2018.09.023
-
https://dx.doi.org/10.1016/j.econlet.2018.09.023
- Author:
- Irlacher, Michael; Unger, Florian
- Source:
- Economics letters 2018 v.173 pp. 51-54
- ISSN:
- 0165-1765
- Subject:
- models; prices; production costs; profits and margins; taxes; trade liberalization
- Abstract:
- ... We provide a new explanation why the effective tax rate is smaller for larger firms, even in the absence of common channels such as profit shifting and lobbying activities. This result emerges in a heterogeneous firms model with endogenous markups based on Melitz & Ottaviano (2008). Our framework features imperfect pass-through of corporate taxes into prices and partial deductibility of production ...
- DOI:
- 10.1016/j.econlet.2018.08.035
-
https://dx.doi.org/10.1016/j.econlet.2018.08.035
- Author:
- Kantur, Zeynep; Özcan, Gülserim
- Source:
- Economics letters 2018 v.173 pp. 65-68
- ISSN:
- 0165-1765
- Subject:
- assets; inflation; model uncertainty; models; monetary policy; prices
- Abstract:
- ... This paper studies how asset price model misspecification affects the conduct of monetary policy under commitment in a New Keynesian model using robust control techniques. We find that monetary policy reacts aggressively to both asset price and inflation shocks to guard herself against worst-case outcome. ...
- DOI:
- 10.1016/j.econlet.2018.09.019
-
https://dx.doi.org/10.1016/j.econlet.2018.09.019
- Author:
- Rüth, Sebastian K.
- Source:
- Economics letters 2018 v.173 pp. 92-96
- ISSN:
- 0165-1765
- Subject:
- fiscal policy; interest (finance); models; monetary policy; United States
- Abstract:
- ... I provide structural VAR evidence that U.S. fiscal stimulus programs induce a systematic loosening of interest rates outside of zero-lower-bound episodes. I characterize this policy easing by the Fed as an indirect reaction to disinflationary dynamics unleashed by fiscal stimulus—a finding I corroborate via Taylor-rule estimations. The supporting monetary policy stance amplifies the impact of the ...
- DOI:
- 10.1016/j.econlet.2018.09.015
-
https://dx.doi.org/10.1016/j.econlet.2018.09.015
- Author:
- Demirer, Riza; Omay, Tolga; Yuksel, Asli; Yuksel, Aydin
- Source:
- Economics letters 2018 v.173 pp. 118-121
- ISSN:
- 0165-1765
- Subject:
- markets; models; risk; South Africa; Turkey (country)
- Abstract:
- ... Utilizing the recently developed measure of global risk aversion by Xu (2017), we show that global risk aversion is a significant determinant of international equity correlations, consistently across all emerging markets examined. The positive effect of risk aversion on emerging market comovements is particularly strong for South Africa and Turkey and is consistent with contagion effects. The resu ...
- DOI:
- 10.1016/j.econlet.2018.09.027
-
http://dx.doi.org/10.1016/j.econlet.2018.09.027
- Author:
- Deb, Partha; Gregory, Christian A.
- Source:
- Economics letters 2018 v.173 pp. 55-60
- ISSN:
- 0165-1765
- Subject:
- Supplemental Nutrition Assistance Program; food security; households; models; probability
- Abstract:
- ... We study the effects of SNAP participation on food insecurity allowing for a priori unspecified heterogeneous treatment effects. Using finite mixture models, we identify a low food security class comprising almost 60% of the samples for whom SNAP participation increases the probability of no food insecurity by 14–37 percentage points across specifications and decreases the probability of very high ...
- DOI:
- 10.1016/j.econlet.2018.09.011
-
https://dx.doi.org/10.1016/j.econlet.2018.09.011
- Author:
- Luo, Yao
- Source:
- Economics letters 2018 v.173 pp. 84-87
- ISSN:
- 0165-1765
- Subject:
- markets; models; utility functions
- Abstract:
- ... In a contractual relationship, the agent forgoes outside opportunities to engage in a transaction with the principal. This paper studies the nonparametric identification of contract models with participation constraints. We employ a cost shifter as an exclusion restriction, which changes marginal cost but not the agent type distribution. First, the distribution of agent heterogeneity is identified ...
- DOI:
- 10.1016/j.econlet.2018.09.024
-
https://dx.doi.org/10.1016/j.econlet.2018.09.024
- Author:
- Eika, Lasse
- Source:
- Economics letters 2018 v.173 pp. 27-29
- ISSN:
- 0165-1765
- Subject:
- income; variance
- Abstract:
- ... This paper suggests a persistent income process specification where income flows may shift during the year. The variance of persistent shocks is shown to be consistently estimated also with traditional specifications restricting shocks to occur only between years. ...
- DOI:
- 10.1016/j.econlet.2018.09.013
-
https://dx.doi.org/10.1016/j.econlet.2018.09.013
- Author:
- Huang, Chao
- Source:
- Economics letters 2018 v.173 pp. 135-137
- ISSN:
- 0165-1765
- Subject:
- economics
- Abstract:
- ... Objects may exhibit substitutabilities, complementarities as well as independencies for agents. In this paper we show that under the Kelso–Crawfordgross substitutes condition, the sets of mutual independent objects form a matroid. Hence the structure of independent objects under the gross substitutes condition has much in common with the independence system of a graph or a vector space. ...
- DOI:
- 10.1016/j.econlet.2018.10.001
-
https://dx.doi.org/10.1016/j.econlet.2018.10.001
- Author:
- Suhonen, Niko; Saastamoinen, Jani; Kainulainen, Tuomo; Forrest, David
- Source:
- Economics letters 2018 v.173 pp. 97-99
- ISSN:
- 0165-1765
- Subject:
- data collection; markets; models; monopoly; profits and margins
- Abstract:
- ... Noise trader models suggest that ‘smart money’ profits from uninformed speculators. This paper investigates how rates of return are associated with the timing of a bet and the amount staked in a pari-mutuel horse betting market. We employ a novel data set measured at the level of individual bettors on the Finnish monopoly operator’s online platform. Our findings suggest that, relative to other bet ...
- DOI:
- 10.1016/j.econlet.2018.09.021
-
https://dx.doi.org/10.1016/j.econlet.2018.09.021
- Author:
- Fricke, Hans; Kalogrides, Demetra; Loeb, Susanna
- Source:
- Economics letters 2018 v.173 pp. 39-43
- ISSN:
- 0165-1765
- Subject:
- children; economics; education; parents
- Abstract:
- ... Text-message programs are increasingly popular as low-cost interventions aimed at improving a variety of health and education outcomes. This study analyzes participant opt out decisions from a set of text messaging programs aimed at fostering parent–child interactions and improving school readiness. Exploiting random assignment of parents of young children to programs and rich data on text message ...
- DOI:
- 10.1016/j.econlet.2018.08.029
-
https://dx.doi.org/10.1016/j.econlet.2018.08.029