Recent Submissions
This thesis explores two topics. Chapter 1 evaluates leniency programmes in light of crime and corruption. Chapters 2 and 3 explore the issue of delegation of authority in the presence of non-contractible costs. In chapter 1, we evaluate Leniency Programmes (LPs): forgiving self-reporting criminals, in a society of heterogeneous criminals and heterogeneous bureaucrats. Social welfare goes up immediately after the LP is introduced as supply (size and composition of bureaucrats) is held fixed....
Gaddam, Sneha
This thesis comprises three essays on social capital including social distance, social trust and social interaction and explore how they affect the economic activity. Chapter 1 investigates the relationship between social distance and the process of capital accumulation. We show that social distance and the current capital stock are jointly determined and both are critical for economic growth. Economies at a similar stage of economic development, but different in terms of perceived social dis...
Xin, Guangyi
This thesis analyses the effect of optimal monetary policy in economies with imperfect labour and financial markets. It also studies how the interaction between structural characteristics and inflation can affect the economic growth. Chapters 2 and 3 build on the literature on the New Keynesian model and assess quantitatively the optimal conduct of monetary policy. Chapter 2 analyses the optimal monetary policy in a currency union with involuntary unemployment and real wage rigidity by focus...
Kontogiannis, Nikolaos
[First paragraph] We appreciate the effort and thoughtfulness of Burkhard Raunig’s attempted critique of Swamy et al. (2015). As we show below, however, it is based on a misunderstanding of the distinction between simultaneous and recursive modeling.
Swamy, P. A.V. B.; Hall, Stephen G.; Tavlas, George S.; von zur Muehlen, Peter
This paper extends the existing studies on institutions-growth nexus in two ways: firstly, it estimates a growth model that is spatially augmented to capture the countries’ dependence, and secondly it measures the countries’ dependence using a newly proposed concept called institutional proximity, in addition to the commonly used geography. Spatial Durbin model, that includes not only spatially lagged dependent variable but also spatially lagged explanatory variables, is shown to be the m...
Ahmad, Mahyudin; Hall, Stephen G.
This thesis consists of two essays on behavioral finance and financial market microstructure with computational approaches. Chapter 2 investigates the effects of steroid hormones and trader composition on financial markets in a mathematical model. We focus on the composition of traders in financial markets, namely, female traders and male traders, as risk preferences change in different ways with the mediation of steroid hormones. Firstly, we examine the effects of testosterone on financial ...
Li, Xin
The construction of large conditional covariance matrices has posed a problem in the empirical literature because the direct extension of the univariate GARCH model to a multivariate setting produces large numbers of parameters to be estimated as the number of equations rises. A number of procedures have previously aimed to simplify the model and restrict the number of parameters, but these procedures typically involve either invalid or undesirable restrictions. This paper suggests an alterna...
Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S.
The recent financial crisis continues to draw attention in the literature given its deep impact. This dissertation investigates three main areas associated with the crisis. Firstly it focuses on bank default prediction models asking whether structural or accounting models can better predict default. In the second instance we investigate the credit rating agencies culpability in the financial crisis by attempting to trace the transmission from sovereign debt ratings to bank credit ratings, an ...
Mitchell, Tanisha Raeann
This thesis is made up of four essays in empirical development economics. The first essay takes a new look, from a macro perspective, at the issue of remittances effectiveness. Using a panel dataset for 41 Sub-Saharan Africa countries over the period 1981-2010 and controlling for endogeneity under instrumental variable estimation, I find that remittances reduce poverty, but the size of the poverty reduction depends on how poverty is being measured. Additionally, remittances have income-equali...
Akobeng, Eric
This thesis comprises three empirical chapters on the non-linear relationship between different macroeconomic variables and economic growth and employs new developed econometrics techniques. After a short introductory chapter, the second chapter investigates the relationship between inflation and economic growth for 35 countries in the Middle Eastern and Sub-Sahara African countries between 1986 and 2011. We have employed a Panel Smooth Transition Regression (PSTR) approach to estimate a pre...
Harb, Nermeen Mohamed Abdelaziz
I model financial network of investors, banks and insurance company. Investors provide some investments as a debt to banks. Banks invest in an outside risky assets and they are potentially interconnected with each other via over-the-counter (OTC) contracts to diversify their portfolio. The insurance company (IC) provides credit default swap contracts (CDS) to banks. Therefore, OTC and CDS might be channels for shock propagation in the financial network. CDS were one of the main financial inst...
Zhulyaeva, Alena
Distributional comparative statics is the study of how individual decisions and equilibrium outcomes vary with changes in the distribution of economic parameters (income, wealth, productivity, information, etc.). This paper develops new tools to address such issues and illustrates their usefulness in applications. The central development is a condition called quasi-concave differences which implies concavity of the policy function in optimization problems without imposing differentiability or...
Jensen, Martin Kaae
Social information “nudges” concerning how others perform typically boost individual performances in experiments with one group reference point. However, in many natural settings, sometimes due to policy, there are several such group reference points. We address the complications that such multiple group social information might introduce through an experiment. The boost to average performance is significant and comparable to the one group case. Between-group inequality does not change. Indiv...
Hargreaves Heap, Shaun; Ramanlingam, Abhijit; Rojo Arjona, David
This paper investigates volatility spillovers between UK regional job finding, job separation and vacancy rates. Employing a large Bayesian logistic smooth transition vector autoregression (VAR) model, we find high volatility spillovers between UK regional labour markets. Analyses of net spillovers show that, in general, shocks to job separation rates tend to spread into job finding and vacancy rates, while vacancy rates are usually at the receiving end of shocks transmitted from the job sepa...
Gefang, Deborah; Johnes, Geraint
One might expect that, in pure coordination games, coordination would become less frequent as the number of options increases. Contrary to this expectation, we report an experiment which found more frequent coordination when the option set was unrestricted than when it was restricted. To try to explain this result, we develop a method for eliciting the general rules that subjects use to identify salient options in restricted and unrestricted sets. We find that each such rule, if used by all s...
Hargreaves Heap, Shaun P.; Rojo Arjona, David; Sugden, Robert
Clubs are typically experience goods. Potential members cannot ascertain precisely beforehand their quality (dependent endogenously on the club's facility investment and number of users, itself dependent on its prices). Members with unsatisfactory initial experiences discontinue visits. We show that a monopoly profit maximizer never offers a free trial period for such goods. For quality functions homogeneous of degree of at least minus one, a welfare maximizer, motivated by distributional con...
Datta, Bipasa; Fraser, Clive D.
Understanding and enhancing productivity has been at the heart of sustainable growth goals of developing countries. Policy makers and multilateral agencies have inquired about what role the government can play in this regard. The empirical evidence at the micro level however, is surprisingly limited. This dissertation contributes to this literature by undertaking a firm and product level study of productivity. It estimates a causal effect of a typical industrial policy measure on total factor...
Gebrewolde, Tewodros Makonnen
This paper considers the generalized spatial panel data model with serial correlation proposed by Lee and Yu (Spatial panels: random components versus fixed effects. International Economic Review 2012; 53: 1369–1412.), which encompasses many of the spatial panel data models considered in the literature, and derives the best linear unbiased predictor (BLUP) for that model. This in turn provides valuable BLUP for several spatial panel models as Special Cases.
Baltagi, Badi H.; Liu, Long
This paper tackles the identification and estimation of a high dimensional factor model with unknown number of latent factors and a single break in the number of factors and/or factor loadings occurring at unknown common date. First, we propose a least squares estimator of the change point based on the second moments of estimated pseudo factors and show that the estimation error of the proposed estimator is Op(1). We also show that the proposed estimator has some degree of robustness to missp...
Baltagi, Badi H.; Kao, Chihwa; Wang, Fa
This thesis has aimed to analyse non-linearity in dynamic models. Attention has focused on the class of dynamic models that accommodate the possibility of distributional modification in the models. In chapter 1, I have studied the non-linear effects of policy shocks in the classical DSGE model. The analysis of such model is subject to two types of shocks, technology and monetary policy. I have extended the analysis of classical model by allowing for the distributional modification of monetary...
Miyandoab, Sara Alizadeh
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