Search

We consider a setting where strategic behavior of r&d firms can lead to different types of a technology lock-in, permanent or temporary, in an eventually inferior technology. The simple setting with one incumbent and one potential entrant may lead to a wide variety of possible strategic regimes. We study conditions on relative market strength of the incumbent and the entrant which lead to different strategic actions and demonstrate, that such a strategic behavior is not always socially suboptimal, since it may lead to faster development of the existing technology due to persistent threat of the potential entrant. We further elaborate on the selection of support tools which may induce the development of new technology in the second-best world and establish criteria for these tools to be social welfare improving ones.

This paper investigates the presence of multiple regimes in the preferences of redistribution, which is a key feature of a welfare state. The size of the redistributive government depends on the demand for redistribution, that is, the willingness of individuals to tax the rich more heavily and transfer resources to the poor. Surprisingly, while several theories imply nonlinear models (e.g., Piketty (1995), Benabou (2000), Benabou and Ok (2001), Alesina and Angeletos (2005)), the existing empirical work (e.g., Alesina and La Ferrara (2005), Alesina and Giuliano (2011)) has paid little attention to nonlinearities in the preferences for redistribution. Instead, the existing empirical evidence establishes linear associations that cannot identify the above nonlinear mechanisms of the preferences for redistribution. For example, Alesina and Angeletos (2005) argue that when there is a demand for fairness the complementarity between the optimal level of taxation and the equilibrium signal-tonoise ratio in the income distribution generates multiple equilibria. In the one equilibrium, taxes are higher, individuals invest and work less, and inequality is lower and as result the society desires high redistribution. In the other equilibrium, taxes are lower, individuals invest and work more, and inequality is higher and as result the society desires low redistribution. In general, all these theories imply threshold-type mechanisms in the sense that the preferences for redistribution may follow a different process depending whether the country is above or below that threshold value. In this paper we do three things. First, we extend the existing work on preferences for redistribution by allowing for multiple regimes using a generalized threshold regression model. Second, we focus argue that social norms may have subtle impact on the preferences for redistribution when they are modeled as endogenous social interactions. By social interactions we mean that the model will allow for interdependences among individuals in the preferences, beliefs, and constraints. Third, we explore various groups based on various socioeconomic distances at the regional or country level along the lines of Conley and Topa (2002). Using individual data from two complementary surveys the General Social Survey (GSS) and the World Values Survey (WVS) we employ threshold regression model to uncover the presence of multiple regimes in the preferences of redistribution. We find strong evidence that countries are organized into two regimes according to the degree of fairness, that is, the belief that hard work is more important in order to succeed in life. Countries with dominant beliefs that luck and connection is the main determinant for succeeding in life have higher preferences for redistribution. The marginal effect of fairness for this group of countries is positive as in Alesina and La Ferrara (2005). However, for countries with dominant beliefs that hard work is the main determinant for succeeding in life we obtain different results. While this set of countries has lower preferences for redistribution, the marginal effect of fairness is negative, indicating that individuals who believe that hard work is more important in order to succeed in life demand more redistribution. This finding is consistent with a modern version of Weber's hypothesis of a Protestant work ethic, combined with a charitable attitude towards the poor (Bjrnskov, Dreher, Fischer, Schnellenbach, and Gehringe (2013)) rather than Alesina and La Ferrara (2005). ABSTRACT FROM AUTHOR] Copyright of Proceedings: Ioannina Meeting on Applied Economics & Finance is the property of University of Ioannina, Department of Economics and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) 240 241 240-241

This paper investigates the driving forces of output change in 77 countries during the period 1970-2000. A flexible modeling strategy is adopted that accounts for (i) the inefficient use of resources, and (ii) different production technologies across countries. The proposed model can identify technical, efficiency, and input change for each of three endogenously determined regimes. Membership in these regimes is estimated, rather than determined ex ante. This framework enables explorations into the determinants of output growth and convergence issues in each regime. (C) 2009 Elsevier B.V. All rights reserved.

In this paper, using daily data for six major international stock market indexes and a modified EGARCH specification, the links between stock market returns, volatility and trading volume are investigated in a new nonlinear conditional variance framework with multiple regimes and volume eff ects. Volatility forecast comparisons, using the Harvey-Newbold test for multiple forecasts encompassing, seem to demonstrate that the MSV- EGARCH complex threshold structure is able to correctly fit GARCH- type dynamics of the series under study and dominates competing standard asymmetric models in several of the considered stock indexes. info:eu-repo/semantics/publishedVersion

In this paper, we uncover growth volatility regimes and identify their robust determinants using a large international panel of countries. In doing so, we propose a novel empirical methodology that allows us to simultaneously deal with two key elements of model uncertainty, namely theory uncertainty and parameter heterogeneity, by unifying two recent econometric techniques: Bayesian model averaging and threshold regression. We find ample evidence of parameter heterogeneity and model uncertainty. Our results highlight the role of ethnic fractionalization, institutions, financial development, health, and geography. © 2014, Springer-Verlag Berlin Heidelberg. 48 461 491 461-491

Includes bibliography (p. 175-191). Number of sources in the bibliography: 126 Thesis (Ph. D.) -- University of Cyprus, Faculty of Economics and Management, Department of Economics, June 2012. The University of Cyprus Library holds the printed form of the thesis. Το βασικό θέμα αυτής της διατριβής είναι πως οι δομικές αλλαγές στο μακροοικονομικό επίπεδο επηρεάζουν την οικονομική ανάπτυξη, όπως επίσης, και τη διακύμανση των ρυθµών οικονοµικής ανάπτυξης. Συγκεκριμένα, σε αυτή τη διατριβή εξετάζονται τρία θέματα: Στο Κεφάλαιο Δύο στα πλαίσια μιας μονομεταβλητής και πολυμεταβλητής ανάλυσης εξετάζονται οι ιδιότητες βασικών μακροοικονομικών μεταβλητών της Κυπριακής Οικονομίας εφαρμόζοντας στατιστικούς ελέγχους που επιτρέπουν την παρουσία ενδογενών και εξωγενών δομικών αλλαγών. Στο Κεφάλαιο Τρία, εξετάζουμε εμπειρικά εάν η κατανομή της γής αποτελεί καθοριστικό παράγοντα της αειφόρου και μακροχρόνιας οικονομικής ανάπτυξης, ενώ στο Κεφάλαιο Τέσσερα, αναλύουμε εάν οι χώρες μπορούν να κατανεμηθούν σε ομάδες με βάση τη διακύμανση των ρυθµών οικονοµικής ανάπτυξης, ενώ ταυτόχρονα εξετάζουμε τους προσδιοριστικούς της παράγοντες. Το Κεφάλαιο Ένα περιλαμβάνει μια συνοπτική ανασκόπηση των αποτελεσμάτων που προέκυψαν από αυτή την ανάλυση. Είναι αναμφισβήτητο το γεγονός ότι η Κυπριακή Οικονομία έχει υποστεί μια πλειάδα εσωτερικών και εξωτερικών σοκ και συνεπώς, στο Κεφάλαιο Δύο, εξετάζουμε την επίδραση αυτών των σοκ σε βασικές μακροοικονομικές μεταβλητές, λαμβάνοντας υπόψη την ύπαρξη τόσο ενδογενών όσο και εξωγενών δομικών αλλαγών σε ελέγχους μοναδιαίας ρίζας, όπως αυτοί προτείνονται από την βιβλιογραφία. Εξετάζουμε παράλληλα, την βραχυχρόνια και τη μακροχρόνια σχέση των μεταβλητών λαμβάνοντας υπόψη την παρουσία δομικών αλλαγών. Σύμφωνα με τα αποτελέσματα, η μηδενική υπόθεση της μοναδιαίας ρίζας δεν απορρίπτεται για όλες τις μεταβλητές, ενώ οι δομικές αλλαγές που εντοπίζονται, συνδέονται με σημαντικές αλλαγές νομισματικής πολιτικής, όπως επίσης και με γεγονότα οικονομικής και πολιτικής φύσεως. Οι δομικές αυτές αλλαγές επηρεάζουν τη βραχυχρόνια σχέση, αλλά όχι τη μακροχρόνια σχέση των μεταβλητών. Πρόσφατες μελέτες στην βιβλιογραφία έχουν αναπτύξει διάφορες θεωρίες όσον αναφορά τις αιτίες που οι χώρες δεν μπορούν να επιτύχουν ένα επίπεδο αειφόρου ανάπτυξης και γενικά για την αποτυχία οικονομικής σύγκλισης μεταξύ των χωρών. Το Κεφάλαιο Τρία, στηρίζει εμπειρικά μια από αυτές τις θεωρίες: Την (αρχική) ανισότητα όσον αναφορά την κατανομή της γης. Στα πλαίσια αυτά, περιγράφουμε τις οδούς μέσα από τις οποίες η ανισότητα όσον αναφορά την κατανομή της γης επηρεάζει την μακροχρόνια οικονομική ανάπτυξη. Χρησιμοποιώντας ιστορικά στοιχεία για την κατανομή της γής (Frankema (2009)) και εφαρμόζοντας την “Ανάλυση Διάρκειας Ζωής”, εξετάζουμε εάν υψηλότερα επίπεδα ανισότητας στη γη, αποτελεί τροχοπέδη στην ανάπτυξη του επιπέδου της πρωτοβάθμιας εκπαίδευσης. Παράλληλα, εξετάζουμε εάν η επιβράδυνση αυτή επηρεάζει την μακροχρόνια οικονομική ανάπτυξη μέσω του επιπέδου εκπαίδευσης σήμερα. Σύμφωνα με τα ευρήματα μας, τα επίπεδα ανισότητας της γής επηρεάζουν αρνητικά τα επίπεδα εκπαίδευσης σήμερα καθώς επίσης, και το μακροχρόνιο προϊόν. Στο Κεφάλαιο Τέσσερα αναλύουμε εάν οι χώρες μπορούν να κατανεμηθούν σε ομάδες με βάση τη διακύμανση των ρυθµών οικονοµικής ανάπτυξης, ενώ ταυτόχρονα εξετάζουμε τους προσδιοριστικούς της παράγοντες χρησιμοποιώντας ένα μεγάλο αριθμό χωρών. Ως εκ τούτου, χρησιμοποιούμε μια μεθοδολογία, την Bayesian Model Averaging and Structural Threshold Regression (STR), που λαμβάνει υπόψη την αβεβαιότητα ως τον προσδιορισμό του μοντέλου (ετερογένεια και ενδογένεια). Σύμφωνα με τα αποτελέσματα, οι χώρες μπορούν να κατανεμηθούν ως προς τη διακύμανση των ρυθµών οικονοµικής ανάπτυξης αν λάβουμε υπόψη τα επίπεδα του αρχικού κατακεφαλή ΑΕΠ και του δημόσιου χρέους. Ταυτόχρονα, τα επίπεδα των πολιτικών ιδρυμάτων και της δημογραφίας, επηρεάζουν αρνητικά τη διακύμανση των ρυθµών οικονοµικής ανάπτυξης. The common theme of my dissertation is how structural changes at the macroeconomic level affect economic growth and growth volatility. In particular my thesis focuses on the following three topics: In Chapter Two we investigate the univariate and the multivariate properties of key macroeconomic variables of the economy of Cyprus using state of the art statistical techniques that allow for structural breaks. In Chapter Three, we examine empirically if initial land inequality is an important determinant of take-off delays and long-run economic performance, while in Chapter Four, we uncover growth volatility regimes and identify their robust determinants. Chapter One includes a brief summary of the results derived from the above topics. It is undisputable the fact that the Cyprus economy, has been subject to a number of substantial internal and external shocks and thus, in Chapter Two we investigate the impact of these shocks on its main macroeconomic time series. We do so drawing upon the large econometric literature that has determined how best to consider exogenous and endogenous breaks in the context of unit root testing. We consider the short-run as well as the long-run relationship between variables in the presence of structural breaks. Our results indicate that the null hypothesis of a unit root cannot be rejected for any of the series examined. The structural breaks found coincide with important, known, policy changes as well as economic and political events. While the short-run inter-relationship among variables is greatly affected by these events, we do not discern long-run effects on these relationships. Recent work in the growth literature has provided various explanations for transition delays and the great divergence. Chapter Three provides empirical support for one theory of transition delays: initial land inequality. Our analysis is designed to elucidate the channels via which land inequality can affect long-run economic performance. Using a new historical data set for land inequality (Frankema (2009)) we employ duration analysis to investigate whether higher levels of land inequality lead to longer delays in the extension of primary schooling. We then investigate whether such delays affect long-run economic performance via their effect on contemporaneous schooling. Our findings suggest that land inequality is a key determinant of delays in schooling, and that such delays have a significant negative impact on long-run output. In Chapter Four we uncover growth volatility regimes and identify their robust determinants using a large international panel of countries. In doing so we propose a novel empirical methodology that allows us to simultaneously deal with model uncertainty, heterogeneity, and endogeneity by unifying two recent econometric techniques: Bayesian Model Averaging and Structural Threshold Regression (STR). We find robust evidence for multiple volatility regimes indexed by levels of initial income and public debt. We also find heterogeneous but negative effects of institutions and demography on volatility across regimes.

This thesis focuses on forecasting realized volatility (RV) and implied volatility (IV) on equity markets, a subject of major importance for volatility traders. The accuracy of IV and GARCH-type models to predict RV has been researched extensively. However, little work has been done to model IV. We test the accuracy of GARCH-type models (GARCH, GJR and FCGARCH) to forecast, one-day ahead, the VIX index (the chosen IV measure) and the S&P500 index's daily realized volatility. While futures on equity's IV are widely available, futures on RV appeared recently on foreign exchange markets. Yet, expansion to equity markets is expectable. Thus, this study is a rst step on developing a RV and IV futures trading strategy. From 2001 to 2010 the models were estimated based on daily data. Forecasts evaluation is based on the mean absolute error criteria and Diebold-Mariano test. We found the GJR/FCGARCH models to have the best performance on both RV and IV. From the results, one can also infer that GARCH-type models are more suitable to foresee IV than RV. A plausible deduction is that past returns and past variance have a higher impact on IV. Esta tese centra-se na previsão de volatilidade realizada e volatilidade implícita nos mercados de capitais, um assunto de grande importância para os traders de volatilidade. A precisão de modelos GARCH para prever a volatilidade realizada tem sido estudada extensivamente. No entanto, pouco tem sido feito para modelar volatilidade implícita. Nós testámos a precisão de modelos GARCH (GARCH, GJR e FCGARCH) para prever, com um dia de antecedência, o índice VIX (a medida de volatilidade implícita escolhida) e a volatilidade diária do S&P500. Apesar de futuros sobre volatilidade implícita estarem amplamente disponíveis, os futuros sobre volatilidade realizada só apareceram recentemente nos mercados cambiais. No entanto, a expansão para os mercados de capitais é expectável. Assim, este estudo é um primeiro passo no desenvolvimento de uma estratégia de trading de futuros sobre volatilidade realizada e volatilidade implícita. De 2001 a 2010, os modelos foram estimados com base em dados diários. A avaliação das previsões é baseada no critério do erro médio absoluto e no teste Diebold-Mariano. A conclusão é que os modelos GJR / FCGARCH prevêem melhor quer a volatilidade realizada quer a volatilidade implícita. A partir dos resultados, pode-se, também, inferir que os modelos de tipo GARCH são mais adequados para prever volatilidade implícita do que volatilidade realizada. Uma dedução plausível é que os retornos passados e a variância passada têm um maior impacto sobre volatilidade implícita.

This paper is the first to apply a finite mixture model to a sample of 64 nations to endogenously analyze the cross-country growth behavior over the period 1870-2003. Results show that growth patterns were segmented in two worldwide regimes, the one characterized by convergence in per capita income, and the other by divergence. Interestingly, when three historical epochs are distinctly analyzed, in order to investigate the empirical link between globalization and convergence, the dynamics which dominated over the whole period seem to have emerged only during the post-1950 years. In contrast, the First Global Wave was marked by persistent heterogeneities.

Economic historians have stressed that income convergence was a key feature of the OECD-club and that globalization was among the accelerating forces of this process in the long-run. This view has however been challenged, since it suffers from an ad hoc selection of countries. In the paper, a mixture model is applied to a sample of 64 countries to endogenously analyze the cross-country growth behavior over the period 1870-2003. Results show that growth patterns were segmented in two worldwide regimes, the first one being characterized by convergence, and the other one denoted by divergence. Interestingly, when three historical epochs are analyzed separately (1870-1913; 1913-1950; and 1950-2003), the dynamics which come to dominate over the whole period emerged only during the post-1950 years. In contrast, the First Global Wave was marked by global divergence. Therefore, history does not seem to provide unambiguous evidence about globalization and convergence.

In this paper, we consider the problem of estimation of the break dates and present an efficient algorithm in order to obtain global minimizers of the sum of squared residuals. This algorithm is based on the principle of dynamic programming and requires at most least-squares operations of order O(n2) for any number of breaks. We also study the estimation of the number of breaks by using the information criteria, the test of Bai and Perron (1998), and the method of Lavielle (2004). Finally, we perform a Monte Carlo study to analyse the behaviour of estimators and tests infinite sample size., Dans ce papier, nous considérons le problème d'estimation des dates de rupture et présentons un algorithme efficace pour obtenir les minimums globaux des sommes des carrés des résidus. Cet algorithme est basé sur le principe de la programmation dynamique et nécessite au plus des opérations de moindres carrés d'ordre O(n2) pour tout nombre de ruptures. Ensuite nous abordons le problème d'estimation du nombre de ruptures par les critères d'information, le test de Bai et Perron (1998) et la méthode de Lavielle (2004). Finalement, une analyse par la méthode de Monte Carlo donnera une idée sur le comportement des estimateurs et des tests en échantillons finis.

In this paper a flexible GARCH-type model is developed with the aim of describing sign and size asymmetries in financial volatility as well as intermittent dynamics and excess of kurtosis. A sufficient condition for strict stationarity and ergodicity of the model is established and the existence of the second- and fourth-order moments is discussed. It is shown that the model may have explosive regimes and still be strictly stationary and ergodic. Furthermore, estimation of the parameters is carefully addressed and the asymptotic properties of the quasi-maximum likelihood estimator is derived. A modeling cycle based on a sequence of simple and easily implemented Lagrange multiplier tests is discussed in order to avoid the estimation of unidentified models. A Monte-Carlo experiment is designed to evaluate the methodology. Empirical examples are used to illustrate the use of the model in practical situations.

In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. In this companion paper, we consider practical issues for the empirical applications of the procedures. We first address the problem of estimation of the break dates and present an efficient algorithm to obtain global minimizers of the sum of squared residuals. This algorithm is based on the principle of dynamic programming and requires at most least-squares operations of order O(T 2) for any number of breaks. Our method can be applied to both pure and partial structural-change models. Secondly, we consider the problem of forming confidence intervals for the break dates under various hypotheses about the structure of the data and the errors across segments. Third, we address the issue of testing for structural changes under very general conditions on the data and the errors. Fourth, we address the issue of estimating the number of breaks. We present simulation results pertaining to the behavior of the estimators and tests in finite samples. Finally, a few empirical applications are presented to illustrate the usefulness of the procedures. All methods discussed are implemented in a GAUSS program available upon request for non-profit academic use., Dans un récent papier, Bai et Perron (1998) ont considéré les problèmes théoriques reliés à la distribution des estimateurs et tests statistiques dans le modèle linéaire avec changements structurels multiples. Dans ce papier, nous regardons les problèmes pratiques pour les applications empiriques des procédures. En premier, nous regardons le problème d'estimation des dates de rupture et présentons un algorithme efficace pour obtenir les minimums globaux des sommes des résidus carrés. Cet algorithme est basé sur le principe de la programmation dynamique et nécessite au plus des opérations de moindres carrés d'ordre O(T 2) pour tout nombre de ruptures. Deuxièmement, nous considérons le problème de construire des intervalles de confiance pour les dates de rupture sous plusieurs hypothèses de structure des données et d'erreurs entre segments. Troisièmement, nous considérons le problème de tester la présence de changements structurels sous des conditions très générales sur les donnés et les erreurs. Quatrièmement, nous étudions l'estimation du nombre de ruptures. Nous présentons les résultats de simulations sur le comportement des estimateurs et des tests en échantillons finis. Finalement, nous offrons quelques applications empiriques pour illustrer l'utilité des procédures. Toutes les méthodes présentées sont exécutées à l'aide d'un programme GAUSS disponible sur demande pour utilisation académique seulement.