This paper documents the existence of a slowly evolving trend in the dividend-price ratio, dpt, determined by a demographic variable, MY: the middle-aged to young ratio. Deviations of dpt from this long-run component explain transitory but persistent fluctuations in stock market returns. The...

In this Paper we study identification in dynamic factor models and argue that factor models are better suited than VARs to provide a structural representation of the macroeconomy. Factor models distinguish measurement errors and other idiosyncratic disturbances from structural macroeconomic...

The theoretical literature on endogenous growth and international trade suggests that comparative advantage is endogenous. Sector-specific learning by doing and technology transfer respectively provide reasons why initial patterns of international specialization may persist or exhibit mobility...

An important question in international finance is to what extent stock return volatility is influenced by country location, industry affiliation, and global factors. This Paper develops a new methodology to measure these effects, in which portfolios mimicking ‘pure’ country and industry...

In this study we derive a structural econometric model of learning by doing with multiproduct competition from a dynamic oligopoly game. We show the importance to account for multiproduction effects through product differentiation when measuring learning by doing. Using quarterly firm-level data...

This paper proposes a measure of dynamic comovement between (possibly many) time series and names it cohesion. The measure is defined in the frequency domain and is appropriate for processes that are costationary, possibly after suitable transformations. In the bivariate case, the measure...

This Paper presents a two-stage bargaining framework which reproduces the key features of the Italian bargaining system, where wage negotiations occur first at the industry and then at the firm level. The framework we propose takes into account the presence of different degrees of union...

We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables that optimizes parameter identification; the second the vector that minimizes the informational discrepancy between the...

Are optimism shocks an important source of business cycle fluctuations? Are deficit-financed tax cuts better than deficit-financed spending to increase output? These questions have been previously studied using SVARs identified with sign and zero restrictions and the answers have been positive...

This paper evaluates, in the context of economic geography estimates, the magnitude of the distortions arising from the choice of zoning system, which is also known as the Modifiable Areal Unit Problem (MAUP). We consider three standard economic geography exercises (the analysis of spatial...