Quaderni di Dipartimento [serie ordinaria - Anno 2011]


ELENCO DEI QUADERNI DI DIPARTIMENTO - WORKING PAPERS

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ISSN: 2279-9559 (dal n. 1 al n. 157), 2279-9567 (dal n. 158 al n. 363), 2279-9575 (dal n. 364 in poi)

372  Antonio G. CALAFATI
  European Cities' Development Strategies and the EU's Territorial Agenda [dicembre 2011]
Keywords:
  European cities, European urban system, cities' economic development, cities' resilience, territorial competition
JEL Classification:
  O18 Economic Development, Technological Change, and Growth - Economic Development - Regional, Urban, and Rural Analyses; Transportation
  R12 Urban, Rural, and Regional Economics - General Regional Economics - Size and Spatial Distributions of Regional Economic Activity
Abstract:
  Globalisation and territorial competition have generated an 'environment' to which European cities have necessarily to adapt to. The required 'adjustment processes', though, promise to be difficult for most of them with straightforward adverse territorial and macro-economic consequences. Constrained by the nature of the external shocks and the limit of their own adjustment capacity, European cities - whose strategic sovereignty has substantially increased in the past decade - may enter development trajectories that put in question both the 'European model of city' and the 'European model of territory' - and that may not be functional to meeting the long-term meta-objectives set in the 'Lisbon Agenda'. Against this background, the paper aims at contributing to the construction of conceptual framework to address the task of forecasting and regulating European cities' development trajectories.
Citations:   CitEc
 
371  Luca RICCETTI, Alberto RUSSO, Mauro GALLEGATI
Leveraged Network-Based Financial Accelerator [dicembre 2011]
Keywords:
  Leverage, agent based model, bankruptcy cascades, dynamic trade-off theory, monetary policy
JEL Classification:
  C63 Mathematical and Quantitative Methods - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - Computational Techniques; Simulation Modeling
  E32 Macroeconomics and Monetary Economics - Prices, Business Fluctuations, and Cycles - Business Fluctuations; Cycles
  E52 Macroeconomics and Monetary Economics - Monetary Policy, Central Banking, and the Supply of Money and Credit - Monetary Policy
  G01 Financial Economics - General - Financial Crises
Abstract:
  In this paper we build on the network-based financial accelerator model of Delli Gatti et al. (2010), modelling the firms' financial structure following the "dynamic trade-off theory", instead of the "pecking order theory". Moreover, we allow for multiperiodal debt structure and consider multiple bank-firm links based on a myopic preferred-partner choice. In case of default, we also consider the loss given default rate (LGDR). We find many results: (i) if leverage increases, the economy is riskier; (ii) a higher leverage pro-cyclicality has a destabilizing effect; (iii) a pro-cyclical leverage weakens the monetary policy effect; (iv) a Central Bank that wants to increase the interest rate, should previously check if the banking system is well capitalized; (v) policy maker has to develop the laws about bankruptcies to reduce the LGDR and improve the stability of banks.
Citations:   CitEc
 
370  Stefania VITALI, Gabriele TEDESCHI
The impact of classes of innovators on Technology, Financial Fragility and Economic Growth [dicembre 2011]
Keywords:
  Computational economics, business cycle, innovation policy, technology,
JEL Classification:
  C63 Mathematical and Quantitative Methods - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - Computational Techniques; Simulation Modeling
  E32 Macroeconomics and Monetary Economics - Prices, Business Fluctuations, and Cycles - Business Fluctuations; Cycles
  E6 Macroeconomics and Monetary Economics - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
  O3 Economic Development, Technological Change, and Growth - Technological Change; Research and Development
  O4 Economic Development, Technological Change, and Growth - Economic Growth and Aggregate Productivity
Abstract:
  In this paper, we study innovation processes and technological change in an agent-based model. By including a behavioral switching among heterogeneous innovative firms, which can endogenously change among three different classes (single innovators, collaborative innovators and imitators) on the base of their R&D expenditures, the model is able to replicate, via simulations, well known industrial dynamic and growth type stylized facts. Moreover, we focus the analysis on the impact of these three innovation categories on micro, meso and macro aggregates. We find that collaborative companies are those having the highest positive impact on the economic system. The model is then used to study the effect that different innovation policies have on macroeconomic performance.
Citations:   CitEc
 
369  Silvia CODERONI, Roberto ESPOSTI
Is there a Long-Term Relationship between Agricultural GHG Emissions and Productivity Growth? The Case of Italian Agriculture [dicembre 2011]
Keywords:
  Agricultural GreenHouse Gases Emissions, Dynamic Panel Models, Environmental Kuznets Curve, Italian Regions
JEL Classification:
  O13 Economic Development, Technological Change, and Growth - Economic Development - Agriculture; Natural Resources; Energy; Environment; Other Primary Products
  Q15 Agricultural and Natural Resource Economics; Environmental and Ecological Economics - Agriculture - Land Ownership and Tenure; Land Reform; Land Use; Irrigation; Agriculture and Environment
  Q54 Agricultural and Natural Resource Economics; Environmental and Ecological Economics - Environmental Economics - Climate; Natural Disasters; Global Warming
Abstract:
  The paper adopts a long single-country panel dataset (Italian regions) to analyse the relationship between agricultural GreenHouse Gases (GHG) emissions and agricultural productivity growth and, thus, to assess emissions sustainability. The modelling approach and the empirical specification include the Environmental Kuznets Curve (EKC) as one of the possible outcomes. The hypothesis of emission sustainability is assessed by estimating alternative panel model specifications with conventional and GMM estimators. The adopted panel concerns the 1951-2008 and 1980-2008 emissions of methane and nitrous oxide properly reconstructed for the Italian regional agriculture. Results suggest that, though a significant relationship between agricultural GHG emissions and productivity growth may exist, it tends to be monotonic. Therefore, even if sustainability is accepted for some GHG, no robust evidence of the EKC emerges across the different specifications, estimators and periods.
Citations:   CitEc
 
368  Elena AMBROSETTI, Eralba CELA, Tineke FOKKEMA
The Remittances Behaviour of the Second Generation in Europe: Altruism or Self-Interest? [novembre 2011]
Keywords:
  European countries, migration, remittances, second generation
JEL Classification:
  F22 International Economics - International Factor Movements and International Business - International Migration
  F24 International Economics - International Factor Movements and International Business - Remittances
Abstract:
  Whereas most research on remittances focuses on first-generation migrants, the aim of this paper is to investigate the remitting behaviour of the host country-born children of migrants - the second generation - in various European cities. Some important studies found that migrant transnationalism is not only a phenomenon for the first generation, but also apply to the second and higher generations, through, among other things, family visits, elder care, and remittances. At the same time, the maintenance of a strong ethnic identity in the 'host' society does not necessarily mean that second-generation migrants have strong transnational ties to their 'home' country. The data used in this paper is from "The Integration of the European Second Generation" (TIES) project. The survey collected information on approximately 6,250 individuals aged 18-35 with at least one migrant parent from Morocco, Turkey or former Yugoslavia, in 15 European cities, regrouped in 8 'countries'. For the purpose of this paper, only analyses for Austria (Linz and Vienna); Switzerland (Basle and Zurich); Germany (Berlin and Frankfurt); France (Paris and Strasbourg); the Netherlands (Amsterdam and Rotterdam); Spain (Barcelona and Madrid); and Sweden (Stockholm) will be presented. To study the remitting behaviour of the second-generation Moroccans, Turks and former Yugoslavs residing in these 13 European cities, we will start with descriptive analyses (prevalence, amount), followed by logistic (multinomial) regression on the likelihood and amount of remittance. We are particularly interested in the following question: Are the second-generation remitters more driven by altruism or by self-interest? If altruism is the main driving force, we can expect that 'emotional attachment' factors (e.g., presence of parents in 'home' country, strong feelings to the country of origin or ethnic group of the parents, high intensity of cultural orientation towards the country of origin of the parents) will be the main predictors of the remitting behaviour, while factors like 'investment in parents' country of birth' and 'return intention' will be more central if second-generation migrants remit for self-interested reasons.
Citations:   CitEc
 
367  Roberto ESPOSTI, Giulia LISTORTI
Agricultural Price Transmission Across Space and Commodities During Price Bubbles [novembre 2011]
Keywords:
  Cointegration, Price Bubbles, Price Transmission, Time Series Properties
JEL Classification:
  C32 Mathematical and Quantitative Methods - Multiple or Simultaneous Equation Models; Multiple Variables - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Models
  Q11 Agricultural and Natural Resource Economics; Environmental and Ecological Economics - Agriculture - Aggregate Supply and Demand Analysis; Prices
Abstract:
  The objective of this paper is to investigate agricultural price transmission during price bubbles and to assess whether the implemented trade policy measures did eventually play a role. We study horizontal cereal price transmission both across different market places and across different commodities. The analysis is performed using Italian and international weekly spot (cash) prices in the years 2006-2010, a period of generalized exceptional exuberance and consequent rapid drop of agricultural prices. Firstly, the properties of the price series are explored to assess which data generation process may lie behind the observed patterns. Secondly, the interdependence across prices is estimated adopting appropriate cointegration techniques. Results suggest that most prices behave as I(1) series, though some also show either fractional integration in the first differences or explosive roots. A long-run (cointegration) relationship occurs among prices of the same commodity across different markets but not among prices of different commodities. In both long-run and short-run relationships the "bubble" seems to have played a role as well as the consequent policy intervention on import duties.
Citations:   CitEc
 
366  Antonio G. CALAFATI
The Long-run Growth Trajectories of Third Italy's Cities [ottobre 2011]
Keywords:
  Third Italy, cities' growth trajectories, cities' long-run economic performances, macro-regional performances, macro-regions
JEL Classification:
  B41 History of Economic Thought, Methodology, and Heterodox Approaches - Economic Methodology - Economic Methodology
  O18 Economic Development, Technological Change, and Growth - Economic Development - Regional, Urban, and Rural Analyses; Transportation
  O43 Economic Development, Technological Change, and Growth - Economic Growth and Aggregate Productivity - Institutions and Growth
  R11 Urban, Rural, and Regional Economics - General Regional Economics - Regional Economic Activity: Growth, Development, and Changes
  R12 Urban, Rural, and Regional Economics - General Regional Economics - Size and Spatial Distributions of Regional Economic Activity
Abstract:
  The paper conducts an empirical exploration of the growth trajectories of the main cities of the Third Italy - a macro-region that has attracted much attention for its economic performances in the past decades. The findings of the extraordinary heterogeneity of city growth trajectories - a why-question still unobserved and unaddressed - will be discussed with regard to two methodological issues: firstly, the claim that macro-regional performances can be explained by macro-regional factors; secondly, the hypothesis, implicit in many studies, that the factors treated in the model as explanatory variables of macro-regional and urban economic performances remain constant over time. As the paper will show, the results of the empirical analysis question important parts of the received explanation of Third Italy's economic success, and they also prompt more general reflection on the theoretical framework to be used to study the long-run growth performances of cities.
Citations:   CitEc
 
365  Fabiano COMPAGNUCCI, Augusto CUSINATO
Industrial Districts and the City: Relationships in the Knowledge Age. Evidence from the Italian Case [ottobre 2011]
Keywords:
  city, industrial districts, knowledge economy
JEL Classification:
  O18 Economic Development, Technological Change, and Growth - Economic Development - Regional, Urban, and Rural Analyses; Transportation
  R11 Urban, Rural, and Regional Economics - General Regional Economics - Regional Economic Activity: Growth, Development, and Changes
Abstract:
  The spatial implications of fordist and district-based patterns of development have had a profound effect on the debate about the role of the city. While the city is reputed to be the crucial provider of fixed social capital within the fordist model, its role seems more nuanced, if not disputable, when the district model prevails. This disregard for the city is probably due to (a) the fact that the revival of the debate on marshallian industrial districts (IDs) has placed strong emphasis on the agglomeration economies internal to the districts themselves, when not emphasising the burden of urban diseconomies; and (b) the countryside roots of most district pioneers. The quarrel was further fuelled with the advent of ICTs, and the feasibility of displacing productive phases at a global level. The paper argues that this is only the early part of the history. The advent of ICTs has had not only functional consequences but also an important impact on the internal organisation of firms and industry and on economic geography as a whole. It has also made knowledge and innovation the crucial drivers of the competitiveness of firms and local economic systems. The notion of knowledge has profoundly changed too, and the main change consists in the shift that is occurring within the industry itself from the ontological to the hermeneutical approach. According to this view, the main hypothesis is that the city is a crucial socio-spatial device for knowledge generation. The paper investigates this issue on both the theoretical and the empirical level by introducing a new analytical category - "Knowledge-creating services (KCS)". With reference to the Italian case, the outcomes corroborate the above hypothesis and open an original perspective on the relationships between the city and IDs in the knowledge age: the city is shown to be not only the gateway for functionally connecting IDs with the global market but also a true Knowledge-creating District. Within this new situation, a reassessment is needed of the relationships between IDs and the city, due to the misalignment that is likely to occur between competences in "producing" manufactured goods and knowledge.
Citations:   CitEc
 
364  Paolo VENERI, David BURGALASSI
Spatial Structure and Productivity in Italian NUTS-3 Regions [settembre 2011]
Keywords:
  Agglomeration externalities, Dispersion, Polycentricity, Productivity, Spatial structure
JEL Classification:
  R11 Urban, Rural, and Regional Economics - General Regional Economics - Regional Economic Activity: Growth, Development, and Changes
  R12 Urban, Rural, and Regional Economics - General Regional Economics - Size and Spatial Distributions of Regional Economic Activity
  R14 Urban, Rural, and Regional Economics - General Regional Economics - Land Use Patterns
Abstract:
  This work is an investigation of how spatial structure affects labour productivity in Italian provinces. The analysis draws on agglomeration theories, and analyzes whether agglomeration benefits are dependent on the way activities are spatially organized within regions. Urban spatial structures have declined in terms of size, dispersion and polycentricity. Using instrumental variables and spatial econometric techniques, we assess the effects of spatial structure for the 103 Italian NUTS-3 regions. The findings include negative impacts of both polycentricity and dispersion and a positive impact of size.
Citations:   CitEc
 
363  Alessia LO TURCO, Daniela MAGGIONI
On the Role of Imports in Enhancing Manufacturing Exports [giugno 2011]
Keywords:
  cheap labour countries, exporters, importers
JEL Classification:
  D22 Microeconomics - Production and Organizations - Firm Behavior: Empirical Analysis
  F14 International Economics - Trade - Country and Industry Studies of Trade
Abstract:
  Making use of a large panel dataset on Italian manufacturing rms, we provide evidence on the effect of imports on the firm export performance. We distinguish imports of intermediates according to their origin and we find that inputs sourced from low labour cost countries promote the firms' export activity. Imports from high-income countries do not significantly contribute to the export orientation of firms, especially when persistence in export is considered and the possible endogeneity of the import measures is accounted for via System GMM estimation of a linear probability model. Our evidence suggests that the impact of imports on the firms' entry in export markets works through the cost saving channel rather than the technology channel.
Citations:   CitEc
 
362  Gabriele MORETTINI, Andrea PRESBITERO, Massimo TAMBERI
Da paesi vicini, democratici e non troppo poveri: l'immigrazione straniera nelle province italiane [giugno 2011]
Keywords:
  economia locale, immigrazione, italia, modello gravitazionale
JEL Classification:
  F22 International Economics - International Factor Movements and International Business - International Migration
  J10 Labor and Demographic Economics - Demographic Economics - General
  R12 Urban, Rural, and Regional Economics - General Regional Economics - Size and Spatial Distributions of Regional Economic Activity
Abstract:
  In this work we study the determinants of international migration to Italian provinces. The Italian case is a case of particular interest given the high number of countries of origin of immigrants, the strong regional heterogeneity, the relevance and rapid growth of immigration flows. We regress data relatives to immigrants, for provenience country and province destination, on social, institutional, demographic and economic indexes; through a gravitational model we can verify both push and pull factors explaining migrations to Italy. Foreigners presence, even if rapidly grown in last years, is still relatively limited, if compared to other European countries. Most of immigrants come from democratic countries at middle income level. Considering that geographic proximity comes out as an important determinant of migratory flows, our results seem particularly interesting in the light of the uproarious events that recently characterized the South Mediterranean side.
Citations:   CitEc
 
361  Giulia BETTIN, Riccardo LUCCHETTI, Alberto ZAZZARO
Endogeneity and sample selection in a model for remittances [giugno 2011]
Keywords:
  migration, remittances, selection models
JEL Classification:
  C21 Mathematical and Quantitative Methods - Single Equation Models; Single Variables - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
  C24 Mathematical and Quantitative Methods - Single Equation Models; Single Variables - Truncated and Censored Models; Switching Regression Models
  F22 International Economics - International Factor Movements and International Business - International Migration
  F24 International Economics - International Factor Movements and International Business - Remittances
Abstract:
  We estimate a remittance model in which we address endogeneity and reverse causality relationships between remittances, pre-transfer income and consumption. In order to take into account the fact that a large share of individuals do not remit, instrumental variable variants of the double-hurdle and Heckit selection models are proposed and estimated by Limited Information Maximum Likelihood (LIML). Our results for a sample of recent immigrants to Australia show that endogeneity is substantial and that estimates obtained by the methods previously employed in the literature may be very misleading if given a behavioural interpretation.
Citations:   CitEc
 
360  Giulia BETTIN, Alessia LO TURCO, Daniela MAGGIONI
A firm level perspective on migration [giugno 2011]
Keywords:
  Migrant workers, elasticity of substitution, manufacturing production technology
JEL Classification:
  D22 Microeconomics - Production and Organizations - Firm Behavior: Empirical Analysis
  F22 International Economics - International Factor Movements and International Business - International Migration
  J61 Labor and Demographic Economics - Mobility, Unemployment, and Vacancies - Geographic Labor Mobility; Immigrant Workers
  L60 Industrial Organization - Industry Studies: Manufacturing - General
Abstract:
  We address the role of migrant workers from extra-EU countries in Italian manufacturing production at the firm-level. Cross price and demand elasticities confirm the complementarity found in previous studies between migrants and natives, which holds when native workers are split into white and blue collars. However, when measuring how the ratio of domestic to migrant (migrant to domestic) workers changes in response to a change in the migrant (domestic) wage - Morishima Elasticity of Substitution - we find that the two labour inputs are substitutes. We further analyse the effect of the use of foreign labour in manufacturing firms on the industry composition. We find that, ceteris paribus, had migrant labour not grown in our sample period, the weight of Low Skill intensive sectors would have been approximately 2% lower and the white to blue collars ratio would have been slightly higher than observed, even accounting for the complementarity between natives and migrants.
Citations:   CitEc
 
359  Aleksandra PARTEKA, Massimo TAMBERI
Export Diversification and Development - Empirical Assessment [giugno 2011]
Keywords:
  sectoral diversification, structural change, trade
JEL Classification:
  C23 Mathematical and Quantitative Methods - Single Equation Models; Single Variables - Models with Panel Data; Longitudinal Data; Spatial Time Series
  F15 International Economics - Trade - Economic Integration
  O14 Economic Development, Technological Change, and Growth - Economic Development - Industrialization; Manufacturing and Service Industries; Choice of Technology
  O33 Economic Development, Technological Change, and Growth - Technological Change; Research and Development - Technological Change: Choices and Consequences; Diffusion Processes
Abstract:
  This paper assesses the role played by country specific factors as determinants of exports' diversification process. Using a panel data-set for 60 countries and twenty years (1985-2004) we confirm that even after clearing out differences in income per capita, cross section variability in the degree of exports' diversification is significant. In general, apart from per capita income, variables influencing the size of accessible markets (domestic and foreign) are the most relevant and robust determinants of the export diversification process. Diversification opportunities grow if countries are large, not located far from economic core areas and when barriers to trade are restricted.
Citations:   CitEc
 
358  Giulio PALOMBA, Luca RICCETTI
Portfolio Frontiers with Restrictions to Tracking Error Volatility and Value at Risk [giugno 2011]
Keywords:
  asset allocation, portfolio frontiers, tracking error volatility, value at risk
JEL Classification:
  C61 Mathematical and Quantitative Methods - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - Optimization Techniques; Programming Models; Dynamic Analysis
  G11 Financial Economics - General Financial Markets - Portfolio Choice; Investment Decisions
Abstract:
  Asset managers are often given the task of restricting their activity by keeping both the value at risk (VaR) and the tracking error volatility (TEV) under control. However, these constraints can not always be simultaneously satisfied because the VaR is independent of the benchmark portfolio. The management of these restrictions is likely to affect portfolio performances and produces a wide variety of scenarios in the risk-return space. The aim of this paper is to analyse various interactions between portfolio frontiers when restrictions upon TEV and VaR are jointly imposed. Analytical solutions for the intersections are provided and short numerical methods are proposed when solutions are not available. Finally, a new portfolio frontier is introduced.
Citations:   CitEc
 
357  Riccardo LUCCHETTI, Claudia PIGINI
Conditional Moment Tests for Normality in Bivariate Limited Dependent Variable Models: a Monte Carlo Study [giugno 2011]
Keywords:
  Bivariate Probit, Information Matrix test, Monte Carlo simulation, Sample Selection Model
JEL Classification:
  C12 Mathematical and Quantitative Methods - Econometric and Statistical Methods and Methodology: General - Hypothesis Testing: General
  C15 Mathematical and Quantitative Methods - Econometric and Statistical Methods and Methodology: General - Statistical Simulation Methods: General
  C24 Mathematical and Quantitative Methods - Single Equation Models; Single Variables - Truncated and Censored Models; Switching Regression Models
  C35 Mathematical and Quantitative Methods - Multiple or Simultaneous Equation Models; Multiple Variables - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
Abstract:
  In this paper, we run a Monte Carlo analysis of the finite-sample performance of an Information Matrix Test put forward by Smith (1985) for bivariate censored models. We use the bivariate probit model and Heckman selection model as examples. Approximating the finite-sample distribution of this test statistic by its asymptotic distribution can lead to very misleading results: its size is severely distorted even in samples that common practice would judge to be perfectly adequate for asymptotics. This is especially true when the correlation coefficient is far from zero. Power properties of the test statistic are investigated by using bivariate t(6) and x2(1) alternatives. The test has very low power against leptokurtosis, especially in the bivariate probit case, while power against asymmetry appears to be much more satisfactory. In general, the performance of the Information Matrix test seems to be related to the amount of information on the latent variables which survives the censoring mechanism. A somewhat improved version of the test can be obtained, in some cases, by a careful choice of the moment conditions to employ.
Citations:   CitEc
 
356  Fabio FIORILLO
A model on interests representation and accountability in small local governments [maggio 2011]
Keywords:
  Accountability, Fiscal Federalism, Interests Representation, Intergovernmental Grants, Territorial Reform
JEL Classification:
  H71 Public Economics - State and Local Government; Intergovernmental Relations - State and Local Taxation, Subsidies, and Revenue
  H77 Public Economics - State and Local Government; Intergovernmental Relations - Intergovernmental Relations; Federalism; Secession
Abstract:
  Second generation theory of fiscal federalism do not consider two questions. 1) In small councils the relation between citizens and administrators is stronger than the one depicted in accountability models: in a small councils, citizens know directly and personally the administrators and they control them daily, not only in the electoral dates. 2) Local governments interpret and represent the local citizens' wishes to central government. Thus, they bargain with central government in order to represent local interests at central level. In this paper, even if governments are non benevolent both at local and central level, the accuracy in interpreting citizens' wishes is higher in small councils than in big ones, because citizens' control is higher in the former. On the contrary, the capacity of a council to make its requests be satisfied by central government is higher for a big council than for a small one. Thus, when the dimension of local government increases, the effectiveness of representation activity increases, but the objectives of citizens diverge from administrators' ones. Citizens face a trade-off between the strength of their local council in representing their interests at central level and the accuracy (accountability) in representing them. In this paper we propose a model which can tackle these two issues, we investigate on advantages of a territorial reform and we empirically validate the model.
Citations:   CitEc
 
355  Luca RICCETTI
A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis [gennaio 2011]
Keywords:
  Portfolio Choice
JEL Classification:
  C52 Mathematical and Quantitative Methods - Econometric Modeling - Model Evaluation, Validation, and Selection
  C53 Mathematical and Quantitative Methods - Econometric Modeling - Forecasting Models; Simulation Methods
  C58 Mathematical and Quantitative Methods - Econometric Modeling - Financial Econometrics
  G11 Financial Economics - General Financial Markets - Portfolio Choice; Investment Decisions
  G17 Financial Economics - General Financial Markets - Financial Forecasting and Simulation
Abstract:
  Many authors have suggested that the mean-variance criterion, conceived by Markowitz (1952), is not optimal for asset allocation, because the investor expected utility function is better proxied by a function that uses higher moments and because returns are distributed in a non-Normal way, being asymmetric and/or leptokurtic, so the mean-variance criterion can not correctly proxy the expected utility with non-Normal returns. In Riccetti (2010) I apply a simple GARCH-copula model and I find that copulas are not useful for choosing among stock indices, but they can be useful in a macro asset allocation model, that is, for choosing the stock and the bond composition of portfolios. In this paper I apply that GARCH-copula model for the macro asset allocation of portfolios containing a commodity component. I find that the copula model appears useful and better than the mean-variance one for the macro asset allocation also in presence of a commodity index, even if it is not better than GARCH models on independent univariate series, probably because of the low correlation of the commodity index returns to the stock, the bond and the exchange rate returns.
Citations:   CitEc
 
354  Claudia PIGINI
The Determinants of University Students Success: a Bivariate Latent Variable Model [gennaio 2011]
Keywords:
  Academic Performance, Bivariate Model, Drop-out, Maximum Likelihood, Potential Credits
JEL Classification:
  C35 Mathematical and Quantitative Methods - Multiple or Simultaneous Equation Models; Multiple Variables - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
  I21 Health, Education, and Welfare - Education and Research Institutions - Analysis of Education
  I23 Health, Education, and Welfare - Education and Research Institutions - Higher Education and Research Institutions
Abstract:
  The analysis of performance indicators of university students has become of wide interest expecially in Italy where, over the last few decades, graduation rates have been well below the average of both European and OECD countries. This paper proposes an alternative method to jointly estimate the determinants of students academic success, in terms of both potential credits and retention, one year after they rst enrolled and a further analysis to evaluate whether there are any factors signicantly determining the probability of dropping out, once we consider the students potential academic performance ceteris paribus. We implement the algorithm to estimate the parameters of a bivariate latent variable system and then of a conditional mean equation.
Citations:   CitEc