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Internal Geography and External Trade: regional disparities in Italy, 1861-2011

A'Hearn, Brian; Venables, Tony - Department of Economics, Oxford University - 2011

This paper explores the interactions between external trade and regional disparities in the Italian economy since unification. It argues that the advantage of the North was initially based on natural advantage (in particular the endowment of water, intensive in silk production). From 1880...

Persistent link: https://www.econbiz.de/10009364584

Global Integration in Primary Equity Markets: The Role of U.S. Banks and U.S. Investors

Jenkinson, Tim; Wilhelm, William - Department of Economics, Oxford University - 2001

We examine the costs and benefits of the global integration of primary equity markets associated with the parallel diffusion of U.S. underwriting methods. We analyze both direct and indirect costs (associated with underpricing) using a unique dataset of 2,143 IPOs by non-U.S. issuers from 65...

Persistent link: https://www.econbiz.de/10010661458

The evolution of markets in early modern Europe, 1350-1800: A study of grain prices

Bateman, Victoria N. - Department of Economics, Oxford University - 2007

This paper attempts to establish the trend of market development in Europe in the centuries before the industrial revolution, by applying three different measures of market integration to a compilation of monthly and annual price data. In contrast to much of the existing work, which suggests...

Persistent link: https://www.econbiz.de/10005047862

The Supermodular Stochastic Ordering

Meyer, Margaret; Strulovici, Bruno - Department of Economics, Oxford University - 2013

In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the supermodular stochastic...

Persistent link: https://www.econbiz.de/10011004334

Informed Principal with Correlation

Cella, Michela - Department of Economics, Oxford University - 2006

In this paper we analyze a simple two-sided adverse selection model with one principal and one agent. They are both risk neutral and have private information about their type. We also assume that the private information of the principal is correlated with the one of the agent. The main result of...

Persistent link: https://www.econbiz.de/10005047891

A wavelet approach to multiple cointegration testing

Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013

This paper introduces a class of cointegration tests based on estimated low-pass and high-pass regression coefficients … cointegration in a n + k multivariate system with n cointegrating relationships without the need of either detrending nor … cointegration under the null without the need of special tables. Small sample quantiles for these wavelet statistics are obtained …

Persistent link: https://www.econbiz.de/10011004134

A Test for the Null of Multiple Cointegrating Vectors

Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013

This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the … offering a simple way of testing for cointegration under the null without the need of special tables. Small sample critical … perform quite reasonably when compared to other tests of the null of cointegration. …

Persistent link: https://www.econbiz.de/10011004208

The role of income in money demand during hyper-inflation: the case of Yugoslavia

Nielsen, Bent; Mladenovic, Zorica - Department of Economics, Oxford University - 2009

During extreme hyper-inflations productivity tends to fall dramatically. Yet, in models of money demand in hyper-inflation variables such as real income has been given a somewhat passive role, either assuming it exogenous or to have a negligible role. In this paper we use an empirical...

Persistent link: https://www.econbiz.de/10011004302

Identification and forecasting in the Lee-Carter model

Nielsen, Bent; Nielsen, J.P. - Department of Economics, Oxford University - 2010

We consider the identification problem for the model of Lee and Carter (1992). The parameters of this model are known only to be identified up to certain transformations. Forecasts from the model may therefore depend on the arbitrarily chosen identification scheme. A condition for...

Persistent link: https://www.econbiz.de/10011004332

Testing for rational bubbles in a co-explosive vector autoregression

Nielsen, Bent; Engsted, Tom - Department of Economics, Oxford University - 2010

We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable,...

Persistent link: https://www.econbiz.de/10011004458