Search

We propose a model for interval-valued time series that specifies the conditional joint distribution of the upper and lower bounds as a mixture of truncated bivariate normal distributions. It preserves the interval natural order and provides great flexibility on capturing potential conditional heteroscedasticity and non-Gaussian features. The standard expectation maximization (EM) algorithm applied to truncated mixtures does not provide a closed-form solution in the M step. A new EM algorithm solves this problem. The model applied to the interval-valued IBM daily stock returns exhibits superior performance over competing models in-sample and out-of-sample evaluation. A trading strategy showcases the usefulness of our approach. [ABSTRACT FROM AUTHOR]

AbstractThis article investigated the economic impact of adopting organic soil fertility measures (OSFM) on millet farming outcomes in rainfed regions of rural India. Using survey data from 900 millet farmers, the analysis applied an endogenous switching regression model to correct for selection bias arising from both observable and unobservable factors. The results indicated that factors such as soil type, use of farmyard manure, crop diversification, gender of the household head, access to agricultural resources, proximity to residence and markets and education levels significantly influenced farmers’ adoption of OSFM. Notably, the adoption of OSFM had a positive and statistically significant impact on farm profits, with OSFM adopters gaining ₹5998 more than nonadopters. The average treatment effect on the treated for OSFM was 9.80% higher than for non-OSFM farmers. These findings reinforcing the importance of promoting OSFM practices in similar rainfed farming regions of the country. [ABSTRACT FROM AUTHOR]

We analyze the time variation in the average dependence within a set of regional monthly house price index returns in a regime-switching multivariate copula model with a high and a low dependence regime. Using equidependent Gaussian copulas, we show that the dependence of house price returns varies across time with changes in credit market conditions, which reduces the gains from the geographic diversification of real estate and mortgage portfolios. More specifically, we show that a decrease in leverage, measured by the loan-to-value ratio, and to a lesser extent an increase in mortgage rates, are associated with a higher probability of moving to and staying in the high dependence regime. [ABSTRACT FROM AUTHOR]

This paper evaluates the causal effects of mother's and father's education on child-health outcomes in Zimbabwe, exploiting the exogenous variation generated by the 1980 education reform. We use four waves of Demographic and Health Surveys for Zimbabwe and estimate a simultaneous-equation model to take into account possible selection into co-residence between parents and children, endogeneity biases, and parental education sorting. Our results suggest that father's education affects the health outcomes of under-5 children and matters more than that of the mother. These results continue to hold in a number of robustness checks. Moreover, while there is selection into co-residence with the child, this does not affect the causal effect of education on child health. Last, parental educational sorting is also shown to be important. Our findings suggest that not taking the education of both parents into account simultaneously may yield misleading conclusions. [ABSTRACT FROM AUTHOR]

In the Eastern DRC, coffee farmers combine the different sales outlets available to them. Cooperative members sell coffee to the cooperatives they belong to as well as to informal markets, which include a channel of illegal cross-border smuggling. In this conflict affected region, the informal cross-border markets persist irrespective of the presence of cooperatives. This paper seeks to understand the motivating factors of the side-selling behavior of coffee cooperative members. We study the coffee production and sales of 339 cooperative members in the region and use a double hurdle model to understand which farm characteristics relate to the side-selling behavior. The omnipresence of side-selling in the cooperatives suggest that the unstable political and economic environment is conducive to this co-existence of informal trade and cooperative membership. Side-selling seems a deliberate strategy by the farmers that is tolerated by the cooperatives. The results suggest that farmers who are in a more precarious situation are more inclined to engage with informal markets. This is further underscored by the effect of food insecurity and lack of credit. Hence, the informal market is a safety net that allows immediate payment of coffee in contrast to cooperatives that are more formally organized. [ABSTRACT FROM AUTHOR]

Using the case of chronic wasting disease (CWD) in white-tailed deer, we estimated hunters' willingness-to-pay (WTP) for testing their game and determined how their perception of disease risk, trust, and confidence in wildlife agency affected hunter participation in ongoing disease surveillance. The average WTP for testing was $23.75 per deer, and it was positively related to trust and confidence in the wildlife agency and the perception of risk about deer populations in the declining area and the pathogen spreading to other areas. These findings imply that implementing active outreach programs can improve hunter participation in user-paid systems for CWD surveillance. [ABSTRACT FROM AUTHOR]

We experimentally study a class of pie-sharing games with alternating roles from a decision-making perspective. For this, we consider a variant of a two-stage alternating-offer game which introduces an imbalance in the protagonists' bargaining powers. This game class enables us to investigate how exposure to risk and strategic ambiguity affects one's bargaining behaviour. Two structural econometric models of behaviour, a naïve and a sophisticated one, capture remarkably well the observed deviations from the game-theoretic benchmark. Our findings indicate, in particular, that a higher exposure to strategic ambiguity leads to a behaviour that is less responsive to the game's parameters and to distorted, yet consistent, beliefs about other's behaviour. We also find evidence of a backward-reasoning whereby first-stage decisions relate to the second-stage ones but which do not call for the counterfactual reasoning that characterises rationality in such settings. [ABSTRACT FROM AUTHOR]

We study the relationship between monetary policy and long‐term rates in a structural, general equilibrium model estimated on both macro‐ and yield‐data from the United States. Regime shifts in the conditional variance of productivity shocks, or "uncertainty shocks," are a crucial driver of bond risk premia. We highlight three main results. First, our term premia on 10‐year bonds are highly correlated with estimates from the affine literature, even if less markedly volatile. Second, uncertainty shocks also induce an increase in equity premia and exert downward pressure on consumption and inflation. An increase in equity premia will therefore be accompanied by a cut in policy interest rates, even if the policy rule does not directly react to equity prices. This model mechanism is consistent with the empirical evidence on the "Fed put." Third, model‐implied long‐term inflation expectations are less dogmatically anchored than survey‐based measures over the 2000s. [ABSTRACT FROM AUTHOR]

The trimeric heptad repeat domains HR1 and HR2 of the human immunodeficiency virus 1 (HIV-1) gp41 play a key role in HIV-1-entry by membrane fusion. To develop efficient inhibitors against this step, the corresponding trimeric-N36 and C34 peptides were designed and synthesized. Analysis by circular dichroism of monomeric and trimeric N36 and C34 peptides showed their capacities to adopt α-helical structures and to establish physical interactions. At the virological level, while trimeric-C34 conserves the same high anti-fusion activity as monomeric-C34, trimerization of N36-peptide induced a significant increase, reaching 500-times higher in anti-fusion activity, against R5-tropic virus-mediated fusion. This result was associated with increased stability of the N36 trimer peptide with respect to the monomeric form, as demonstrated by the comparative kinetics of their antiviral activities during 6-day incubation in a physiological medium. Collectively, our findings demonstrate that while the trimerization of C34 peptide had no beneficial effect on its stability and antiviral activity, the trimerization of N36 peptide strengthened both stability and antiviral activity. This approach, promotes trimers as new promising HIV-1 inhibitors and point to future development aimed toward innovative peptide fusion inhibitors, microbicides or as immunogens.

Purpose – This study examines the effect of the informational content of local credit rating announcements in emerging markets on the liquidity of their bond markets. This study analyses the liquidity of bonds in various emerging bond markets using a sample of nine countries: Argentina, Mexico, Peru, Hungary, Poland, Spain, Turkey, Hong Kong and Greece. The sample includes daily data on sovereign bonds that go from July 2009 to July 2017. The main focus is on the period before and after the sovereign debt crisis. This study notes that the bond liquidity is affected due to the sign of the rating granted by the rating agencies for each country. Design/methodology/approach – This study aims to question the sources of liquidity problem of sovereign bonds issued by the emerging countries. The study’s database consists of daily data of all nine emerging countries for the period from July 2009 to July 2017. Panel data were collected from the Datastream database. Findings – This study first directly tests the information content of bond ratings announcements and their effect on bond market liquidity. Next, the impact of rating changes on sovereign bond liquidity around the rating announcements is studied. Rating changes can affect sovereign bond's price, trading and liquidity around the announcement date. In particular the rating changes that move the bonds out of the investment grade category can elicit selling pressure or even fire sale of the fallen angels. Originality/value – This research aims to present data on the prices of sovereign bonds that react to changes in credit rating by studying the price movements around the announcement of changes in credit rating. The literature is very rich in studies on credit rating changes on stocks and corporate bonds, but this study is perhaps the first attempt on sovereign bonds.

Research background: The analysis of the genesis and the way of defining clinical hospitals allows us to conclude that the evaluation of their activities should consider many criteria, not only the treatment process in itself. Activities characteristic for a clinical hospital include, apart from the medical, also prophylaxis and preventative measures, preceded by the identification of health risks, soliciting research and creating new directions of medical research, as well as implementing new medical technologies and treatment methods (Article 3, paragraph 2, points 1–2, Journal of Laws of 2020, items 295, 567, 1493, 2112, i.e.) combined with the training of medical personnel. Which all makes those units unique among hospitals.

Urban poverty arises from the uneven distribution of poor populations across neighborhoods of a city. We study the trend and drivers of urban poverty across American cities over the last 40 years. To do so, we resort to a family of urban poverty indices that account for features of incidence, distribution, and segregation of poverty across census tracts. Compared to the universally-adopted concentrated poverty index, these measures have a solid normative background. We use tract-level data to assess the extent to which demographics, housing, education, employment, and income distribution affect levels and changes in urban poverty. A decomposition study allows to single out the effect of changes in the distribution of these variables across cities from changes in their correlation with urban poverty. We find that demographics and income distribution have a substantial role in explaining urban poverty patterns, whereas the same effects remarkably differ when using the concentrated poverty indices. [ABSTRACT FROM AUTHOR]

Forests provide ecosystem services, including timber production. In some cases, private forest owners perform management actions in order to enhance the provision of such services, or they may be encouraged by public policies and payments. This paper focuses specifically on the decision to set forest land aside for biodiversity conservation, as part of the more general question of the efficiency of multiple-use vs. specialised management of forest lands. We propose an econometric analysis to identify factors in the set-aside choice and measure the impact of this decision on forest management costs. The results show that the set-aside choice depends on the landowners' income and motivations related to forest amenities. The choice of specialised management, as reflected in the set-aside decision, has a significant and positive impact on the intensity of management in the remainder of the forest and on management costs. From a policy implications point of view, these results suggest that instruments such as forest certification, subsidies and reverse auctions for conservation will be most likely to attract the interest of those forest owners with personal motivations and forest properties that offer both benefit and cost advantages in opting for such specialised management strategies. [ABSTRACT FROM AUTHOR]

Bullying cannot be tolerated as a normal social behavior portraying a child's life. This paper quantifies its negative consequences allowing for the possibility that victims and nonvictims differ in unobservable characteristics. To this end, we introduce a factor analytic model for identifying treatment effects of bullying in which latent cognitive and noncognitive skills determine victimization and multiple outcomes. We use early test scores to identify the distribution of these skills. Individual‐, classroom‐ and district‐level variables are also accounted for. Applying our method to longitudinal data from South Korea, we first show that while noncognitive skills reduce the chances of being bullied during middle school, the probability of being victimized is greater in classrooms with relatively high concentration of boys, previously self‐assessed bullies and students that come from violent families. We report bullying at age 15 has negative effects on physical and mental health outcomes at age 18. We also uncover heterogeneous effects by latent skills, from which we document positive effects on the take‐up of risky behaviors and negative effects on schooling attainment. Our findings suggest that investing in noncognitive development should guide policy efforts intended to deter this problematic behavior. [ABSTRACT FROM AUTHOR]

The fifth assessment report of the Intergovernmental Panel on Climate Change and several studies suggest that climate change is expected to increase food insecurity and poverty in many parts of the world. In this paper, we adopt a microeconometric approach to empirically estimate the impact of climate change-induced hikes in cereal prices on household welfare in Swaziland (also Kingdom of Eswatini). We do so first by econometrically estimating expenditure and price elasticities of five food groups consumed by households in Swaziland using the Almost Ideal Demand System (AIDS), based on data from the 2009/2010 Swaziland Household Income and Expenditure Survey. Second, we use the estimated expenditure and compensated elasticities from the AIDS model, food shares from the household survey, and food price projections developed by the International Food Policy Research Institute (IFPRI) to estimate the proportionate increase in income required to maintain the level of household utility that would have prevailed absent an increase in food prices. Our results show increases in cereal prices due to climate change are expected to double extreme poverty in urban areas and increase poverty in rural areas of the country to staggering levels - between 71 and 75%, compared to 63% before the price changes. Income transfers of between 17.5 and 25.4% of pre-change expenditures are needed to avoid the welfare losses. [ABSTRACT FROM AUTHOR]

The research examines the sustainability of trade flows for two European post-communist economies: Serbia and Romania. We analysed two nonlinear forms of the relationship between exports and imports that cannot be explained by frequently applied linear model specifications. Newly developed nonlinear autoregressive distributed lag approach revealed the asymmetric and nonlinear long-run equilibrium between Serbian exports and imports. Nonlinearity tests indicated and the SETAR model specification confirmed threshold nonlinearity form in the Serbian trade flows pattern. Serbian trade flows still approach its sustainable equilibrium but the development pattern is promising. The results for Romania revealed another nonlinear form of the relationship between exports and imports, indicating a dependent cointegration. The paper provides robust results and supports the hypothesis that the relationship between exports and imports can be nonlinear and symmetric. [ABSTRACT FROM AUTHOR]

This paper provides new estimates of the impact of the time to death on health care expenditures when the time to death is assumed endogenous. It further proposes estimation methods that take into account the right censoring of time to death. The data consist of twins from Denmark aged over 70 in 1999. The age of death of the mother and the living status of the co-twin are used as instruments for time to death. The results show that IV estimators give estimates higher than those obtained in previous studies when the time to death is assumed exogenous. Furthermore, the estimators proposed in this paper provide estimates that are generally lower compared to the ones obtained with the IV estimator. These results indicate that the impact of time to death has been potentially overestimated in previous studies. [ABSTRACT FROM AUTHOR]

In this paper, the liquidity (inverse of time on market) of rental dwellings and its determinants for different liquidity quantiles are examined for the seven largest German cities. The determinants are estimated using censored quantile regressions in order to investigate the impact on very liquid to very illiquid dwellings. As market heterogeneity is not only observed between cities but also within a city, each of the seven cities is considered individually. Micro data for almost 500,000 observations from 2013 to 2017 is used to examine the time on market. Substantial differences in the magnitude and direction of the regression coefficients for the different liquidity quantiles are found. Furthermore, both the magnitude and direction of the impact of an explanatory variable on the liquidity, differ between the cities. To the best of the authors' knowledge this is the first paper, to apply censored quantile regressions to liquidity analysis of the real estate rental market. The model reveals that the proportionality assumption underlying the Cox proportional hazards model cannot be confirmed for all variables across all cities, but for most of them. [ABSTRACT FROM AUTHOR]

Transport infrastructure is an important determinant of agricultural productivity. Using various new spatial data, the paper measures different types of transport accessibility and estimates their impacts in Ethiopia. The paper takes advantage of a historical event that Ethiopia, a landlocked country, ceased freight rail operations connecting its capital and the main seaport in the late 2000s. Using the substantial changes in transport accessibility, the spatial autocorrelation panel regression is applied to show that the proximity to close markets and the access to the port are of particular importance for agricultural production. The elasticity is estimated at about −0.05 to −0.13, depending on type of accessibility. It is also found that there are considerable spillover effects that come from the spatial autocorrelation errors, meaning that crop production at one place is affected by its neighborhood environment, possibly including land fertility and weather conditions. [ABSTRACT FROM AUTHOR]

This paper proposes a new bivariate competing risks model in which both durations are the first passage times of dependent Lévy subordinators with exponential thresholds and multiplicative covariates effects. Our specification extends the mixed proportional hazards model, as it allows for the time‐varying heterogeneity represented by the unobservable Lévy processes and it generates the simultaneous termination of both durations with positive probability. We obtain nonparametric identification of all model primitives given competing risks data. A flexible semiparametric estimation procedure is provided and illustrated through the analysis of a real dataset. [ABSTRACT FROM AUTHOR]

Despite the fact that contracting facilitates farmer participation in agrifood value chains, evidence on farmers' participation in different forms of contracts and the impact on farm performance is still limited. This study examines the determinants and impacts of vertical coordination mechanism‐spot market transactions, written, and verbal contract‐on‐farm performance of rice farmers in northern Ghana, using a multinomial BFG model to account for selectivity bias. The findings indicate that vertical coordination participation decision is significantly influenced by age, access to credit, labor, association membership, and sales to institutional buyers. The empirical results also reveal significant gains in farm performance outcomes from participating in written and verbal contracts, relative to spot market transactions. [ABSTRACT FROM AUTHOR]

We address the general problem of selection bias, an issue endemic to policy analysis when adoption is voluntary, with an empirical application to environmental policies for agriculture. Many voluntary practices for mitigating the environmental impacts of agriculture provide external benefits while lowering productivity. Policy analysis of the productivity consequences is complicated by the fact that decision makers can choose their own policy levers, an action that ruins any notion of random assignment. We introduce an identification strategy to correct this kind of endogeneity, combining classic methods from stochastic frontier analysis and selection models. Applying it to micro-level data from Finnish grain farms, we find that more efficient producers are more likely to enroll in subsidized practices. And, because those practices tend to reduce yield, frontier analysis without the endogeneity correction greatly understates the productivity loss. In other words, naïvely basing the frontier estimator on the subset of less-productive farms leads to downward bias in the frontier estimates. In fact, average inefficiency more than doubles after the correction in this case. An outlier investigation suggests that the lowest decile of farms are responsible for most of the selection bias in the uncorrected model. [ABSTRACT FROM AUTHOR]