The demographic database of Istat (www.istat.it)is explored and the main facts are extracted and described, both at the aggregate national level as well as at the regional one. This paper is completely self-standing but, at the same time, poses the basis for a more general analysis that will be...

Complex interactions between fundamentals and liquidity during unstable periods in financial markets are succinctly modeled with coordination games. We propose a flexible framework to estimate such a model and use the efficient method of moments as estimation procedure. We illustrate the model...

The exponential growth of hedge funds, their role in financial crises in the 1990s, and examples of fraudulent behaviour have precipitated a heated debate over their regulatory status. The existing approaches of greater disclosure and activity restrictions appear too blunt to be effective and...

Order flow has been found to carry information to the market. When assessing how informative order flow is, the VAR methodology is typically employed, using impulse response functions. However, in such analyses, the direction of causality runs explicitly from order flow to asset return. If data...

This paper explores the potential for violations of VaR subadditivity both theoretically and by simulations, and finds that for most practical applications VaR is subadditive. Hence, there is no reason to choose a more complicated risk measure than VaR, solely for reasons of coherence.

The Ecofin-Oecd methodology is applied to reconstruct the health care expenditure evolution in Italy and in the Region Emilia Romagna. The reconstructed series can be compared to the historical series, highlighting the different capabilities of the Italian average and of the Region Emilia...

Data from Stability Programs (European Countries) and from Us Congress Budget Office and Us Bureau of Census are collected to investigate the burden each worker will have to bear in the future in order to finance pension and health care provisions. If the private side of the system is based,...

The demographic database of Eurostat and of Us Census of Bureau are explored and the main facts are extracted and described. This paper is completely self-standing but is also part of a more general analysis dedicated to the functioning and sustainability of pay-as-you-go to finance the welfare...

We use the same methodology, that Ecofin-Oecd apply for projecting expenditure in the medium-long term, to reconstruct expenditure in the medium-long past. It is possible to compare the effective expenditure with the reconstructed one. The effective expenditure is of course influenced by policy...

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with and caused by market uncertainty. During calm periods, the underlying risk...