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Sales and Markup Dispersion : Theory and Empirics
Mrazova, Monika - 2019
We derive exact conditions relating the distributions of firm productivity, sales, output, and markups to the form of demand in monopolistic competition. Applications include a new “CREMR” demand function (Constant Revenue Elasticity of Marginal Revenue): it is necessary and sufficient for...
Persistent link: https://www.econbiz.de/10012892151
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Spurious Weather Effects
Lind, Jo Thori - 2015
Rainfall is a truly exogeneous variable and hence popular as an instrument for many outcomes. But by its very nature, rainfall in nearby areas tends to be correlated. I show theoretically that if there are also spatial trends in outcomes of interest, this may create spurious correlation. In...
Persistent link: https://www.econbiz.de/10010531836
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Sequential estimation of structural models with a fixed point constraint
Kasahara, Hiroyuki; Shimotsu, Katsumi - 2008
This paper considers the estimation problem of structural models for which empirical restrictions are characterized by …. To address the issue of non-convergence, we propose alternative sequential estimation procedures that can achieve … convergence even when the NPL algorithm does not. Upon convergence, some of our proposed estimation algorithms produce more …
Persistent link: https://www.econbiz.de/10010264523
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Government Spending Efficiency in Latin America
Afonso, António; Baquero Fraga, Gabriela - 2022
We assess the public spending efficiency of 20 Latin American countries over the period of 2000-2019, computing Data Envelopment Analysis efficiency scores. For the Public Sector Performance composite indicator, we use the annual data of socio-economic indicators, and for the input measure we...
Persistent link: https://www.econbiz.de/10013470354
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Government Spending Efficiency in Latin America
Fraga, Gabriel Baquero; Afonso, António - 2022
We assess the public spending efficiency of 20 Latin American countries over the period of 2000-2019, computing Data Envelopment Analysis efficiency scores. For the Public Sector Performance composite indicator, we use the annual data of socio-economic indicators, and for the input measure we...
Persistent link: https://www.econbiz.de/10014241608
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Time-Varying Parameters in Monetary Policy Rules : A GMM Approach
Anderl, Christina; Caporale, Guglielmo Maria - 2023
This paper assesses time variation in monetary policy rules by applying a Time-Varying Parameter Generalised Methods of Moments (TVP-GMM) framework. Using monthly data until December 2022 for five inflation targeting countries (the UK, Canada, Australia, New Zealand, Sweden) and five countries...
Persistent link: https://www.econbiz.de/10014348141
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Nonparametric Identification of Production Function, Total Factor Productivity, and Markup from Revenue Data
Kasahara, Hiroyuki; Sugita, Yoichi - 2021
Commonly used methods of production function estimation assume that a firm’s output quantity can be observed as data …
Persistent link: https://www.econbiz.de/10013315013
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Market Efficiency in the Age of Big Data
Martin, Ian - 2020
Modern investors face a high-dimensional prediction problem: thousands of observable variables are potentially relevant for forecasting. We reassess the conventional wisdom on market efficiency in light of this fact. In our model economy, which resembles a typical machine learning setting, N...
Persistent link: https://www.econbiz.de/10012844214
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Volatility Forecasts for the RTS Stock Index : Option-Implied Volatility Versus Alternative Methods
Caporale, Guglielmo Maria - 2019
This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model forecasts, and forecasts combining those two using a...
Persistent link: https://www.econbiz.de/10012871648
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Missing Events in Event Studies : Identifying the Effects of Partially-Measured News Surprises
Gürkaynak, Refet S. - 2018
Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...
Persistent link: https://www.econbiz.de/10012908673