Recent Submissions
The paper develops a general Bayesian framework for robust linear static panel data models using ε -contamination. A two-step approach is employed to derive the conditional type-II maximum likelihood (ML-II) posterior distribution of the coefficients and individual effects. The ML-II posterior means are weighted averages of the Bayes estimator under a base prior and the data-dependent empirical Bayes estimator. Two-stage and three stage hierarchy estimators are developed and their finite samp...
Baltagi, Badi H.; Bresson, Georges; Chaturvedi, Anoop; Lacroix, Guy
This paper studies the determinants of firm-level revenues, as a measure of the performance of firms in China's domestic and export markets. The analysis of the determinants of the aforementioned outcomes calls for a mixed linear-nonlinear econometric approach. The paper proposes specifying a system of equations which is inspired by Basmann's work and recent theoretical work in international economics and conducts comparative static analyses regarding the role of exogenous shocks to the syste...
Baltagi, Badi H.; Egger, Peter H.; Kesina, Michaela
[First paragraph]This is a Special Issue of Empirical Economics (EE) in honor of Kajal Lahiri. Kajal is Distinguished Professor of Economics at SUNY- Albany. Kajal finished his Ph.D. in economics in 1975 from the University of Rochester. He has published over 120 articles in professional journals like the American Economic Review, Econometrica, Journal of Econometrics, JASA, JAMA, and written/coedited a number of books and journal volumes.
Baltagi, Badi H.
We consider the mechanism design problem of reordering an existing queue when waiting costs are unknown and processing times for jobs are identical. In contrast to the corresponding problem without an initial queue, budget balance (BB), outcome efficiency (OE), strategyproofness (SP), and individual rationality (IR) are incompatible. We investigate the implications of dropping BB and OE. Dropping BB yields no mechanism which never runs a budget deficit but allowing for a bound on the budget d...
Chun, Youngsub; Mitra, Manipushpak; Mutuswami, Suresh
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.
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