Working Papers 2012

01-12: WELFARE IMPROVING TAXATION ON SAVINGS IN A GROWTH MODEL, Xin Long, Alessandra Pelloni

02-12: MEASURING MARKET LIQUIDITY: AN INTRODUCTORY SURVEY, Alexandros Gabrielsen, Massimiliano Marzo, Paolo Zagaglia

03-12: AN EVALUATION OF THE GREEK UNIVERSITIES ECONOMICS DEPARTMENTS, Stelios Katranidis, Theodore Panagiotidis, Costas Zontanos

04-12: BASEL ACCORD AND FINANCIAL INTERMEDIATION: THE IMPACT OF POLICY, Martin Berka, Christian Zimmermann

05-12: DIFFERENTIATED DUOPOLY AND HORIZONTAL MERGER PROFITABILITY UNDER MONOPOLY CENTRAL UNION AND CONVEX COSTS, Luciano Fanti, Nicola Meccheri

06-12: PROFITS AND COMPETITION IN A UNIONIZED DUOPOLY MODEL WITH PRODUCT DIFFERENTIATION AND LABOUR DECREASING RETURNS, Luciano Fanti, Nicola Meccheri

07-12: MANAGERIAL DELEGATION UNDER ALTERNATIVE UNIONIZATION STRUCTURES, Luciano Fanti, Nicola Meccheri

08-12: PREFERENTIAL VS. FULL TRADE LIBERALISATION: A DYNAMIC CGE MODEL WITH HETEROGENEOUS HOUSEHOLDS FOR JORDAN, Omar Feraboli

09-12: CURRENCY MOMENTUM STRATEGIES, Lukas Menkhoff, Lucio Sarno, Maik Schmeling, Andreas Schrimpf

10-12: PROPERTIES OF FOREIGN EXCHANGE RISK PREMIUMS, Lucio Sarno, Paul Schneider, Christian Wagner

11-12: LARGE TIME-VARYING PARAMETER VARS, Gary Koop, Dimitris Korobilis

12-12: HEDGING THROUGH A LIMIT ORDER BOOK WITH VARYING LIQUIDITY, Rossella Agliardi, Ramazan Gençay

13-12: HORIZONTAL AGREEMENTS AND R&D COMPLEMENTARITIES: MERGER VERSUS RJV, Ben Ferrett, Joanna Poyago-Theotoky

14-12: THE EFFECTS OF WORLD HERITAGE SITES ON DOMESTIC TOURISM: A SPATIAL INTERACTION MODEL FOR ITALY, Roberto Patuelli, Maurizio Mussoni, Guido Candela

15-12: SHORT-RUN REGIONAL FORECASTS: SPATIAL MODELS THROUGH VARYING CROSS-SECTIONAL AND TEMPORAL DIMENSIONS, Matías Mayor-Fernández, Roberto Patuelli

16-12: PERSISTENCE IN REAL EXCHANGE RATE CONVERGENCE, Thanasis Stengos, M. Ege Yazgan

17-12: IS THERE AN OPTIMAL FORECAST COMBINATION? A STOCHASTIC DOMINANCE APPROACH TO FORECAST COMBINATION PUZZLE, Mehmet Pinar, Thanasis Stengos, M. Ege Yazgan

18-12: SECRECY VERSUS PATENTS: PROCESS INNOVATIONS AND THE ROLE OF UNCERTAINTY, Tapan Biswas, Jolian McHardy

19-12: THE STACKELBERG MODEL AS A PARTIAL SOLUTION TO THE PROBLEM OF PRICING IN A NETWORK, Jolian McHardy, Michael Reynolds, Stephen Trotter

20-12: FIRM CORRUPTION IN THE PRESENCE OF AN AUDITOR, Michael Dietrich, Jolian McHardy, Abhijit Sharma

21-12: THE SQUARE ROOT OF A MATRIX, Karim M. Abadir

22-12: APPROXIMATING MOMENTS BY NONLINEAR TRANSFORMATIONS, Karim M. Abadir, Adriana Cornea

23-12: ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES, K.M. Abadir, W. Distaso, L. Giraitis, H.L. Koul

24-12: BIASES OF CORRELOGRAMS AND OF AR REPRESENTATIONS OF STATIONARY SERIES, Karim M. Abadir, Rolf Larsson

25-12: BEYOND CO-INTEGRATION: MODELLING CO-MOVEMENTS IN MACRO FINANCE, Karim M. Abadir, Gabriel Talmain

26-12: IDENTIFYING SPECULATIVE BUBBLES WITH AN INFINITE HIDDEN MARKOV MODEL, Shu-Ping Shi, Yong Song

27-12: A NEW STRUCTURAL BREAK MODEL WITH APPLICATION TO CANADIAN INFLATION FORECASTING, John M. Maheu, Yong Song

28-12: MODELLING REGIME SWITCHING AND STRUCTURAL BREAKS WITH AN INFINITE HIDDEN MARKOV MODEL, Yong Song

29-12: A POSITIVE ANALYSIS OF DEPOSIT INSURANCE PROVISION: REGULATORY COMPETITION AMONG EUROPEAN UNION COUNTRIES, Merwan Engineer, Paul Schure, Mark Gillis

30-12: MAXIMIZING HUMAN DEVELOPMENT, Merwan Engineer, Ian King

31-12: MULTISCALE ANALYSIS OF FOREIGN EXCHANGE ORDER FLOWS AND TECHNICAL TRADING PROFITABILITY, Nikola Gradojevic, Camillo Lento

32-12: DO EMISSIONS AND INCOME HAVE A COMMON TREND? A COUNTRY-SPECIFIC, TIME-SERIES, GLOBAL ANALYSIS, 1970-2008, Paolo Paruolo, Ben Murphy, Greet Janssen-Maenhout

33-12: TRADE-OFFS IN CO2-ORIENTED VEHICLE TAX REFORMS: A CASE STUDY OF GREECE, Adamos Adamou, Sofronis Clerides, Theodoros Zachariadis

34-12: FORECASTING VALUE-AT-RISK WITH TIME-VARYING VARIANCE, SKEWNESS AND KURTOSIS IN AN EXPONENTIAL WEIGHTED MOVING AVERAGE FRAMEWORK, Alexandros Gabrielsen, Paolo Zagaglia, Axel Kirchner, Zhuoshi Liu

35-12: IMPROVING NON-PARAMETRIC OPTION PRICING DURING THE FINANCIAL CRISIS, Dragan Kukolj, Nikola Gradojevic, Camillo Lento

36-12: DO POLITICAL INSTITUTIONS YIELD MULTIPLE GROWTH REGIMES?, David Coyne, Chih Ming Tan

37-12: COUNTERFACTUAL ANALYSIS IN MACROECONOMETRICS: AN EMPIRICAL INVESTIGATION INTO THE EFFECTS OF QUANTITATIVE EASING, M. Hashem Pesaran, Ron P. Smith

38-12: ROBUST STANDARD ERRORS IN TRANSFORMED LIKELIHOOD ESTIMATION OF DYNAMIC PANEL DATA MODELS, Kazuhiko Hayakawa, M. Hashem Pesaran

39-12: FRIENDS AND RIVALS: MODELLING THE SOCIAL RELATIONS OF INVENTORS, Lorenzo Cassi, Lorenzo Zirulia

40-12: TRADE LIBERALISATION BETWEEN ASYMMETRIC COUNTRIES WITH ENVIRONMENTALLY CONCERNED CONSUMERS, Giuseppe Francesco Gori, Luca Lambertini

41-12: EFFECTIVE TRADE EXECUTION, Riccardo Cesari, Massimiliano Marzo, Paolo Zagaglia

42-12: MEASURING HUMAN DEVELOPMENT: A STOCHASTIC DOMINANCE APPROACH, Mehmet Pinar, Thanasis Stengos, Nikolas Topaloglou

43-12: NON-TRADEABLE POLLUTION PERMITS AS GREEN R&D INCENTIVES, Mehdi Fadaee, Luca Lambertini

44-12: MANAGERIAL DELEGATION SCHEMES IN A DUOPOLY WITH ENDOGENOUS PRODUCTION COSTS: A COMPARISON OF SALES AND RELATIVE PROFIT DELEGATION UNDER CENTRALISED UNIONISATION, Nicola Meccheri, Luciano Fanti

45-12: ESTIMATING A SEMIPARAMETRIC ASYMMETRIC STOCHASTIC VOLATILITY MODEL WITH A DIRICHLET PROCESS MIXTURE, Mark J. Jensen, John M. Maheu

46-12: BAYESIAN ADAPTIVELY UPDATED HAMILTONIAN MONTE CARLO WITH AN APPLICATION TO HIGH-DIMENSIONAL BEKK GARCH MODELS, Martin Burda, John M. Maheu

47-12: DO JUMPS CONTRIBUTE TO THE DYNAMICS OF THE EQUITY PREMIUM?, John M. Maheu, Thomas H. McCurdy, Xiaofei Zhao

48-12: BAYESIAN SEMIPARAMETRIC MULTIVARIATE GARCH MODELING, Mark J. Jensen, John M. Maheu

49-12: MODELLING REALIZED COVARIANCES AND RETURNS, Xin Jin, John M. Maheu

50-12: MIS-SPECIFICATION TESTING: NON-INVARIANCE OF EXPECTATIONS MODELS OF INFLATION, Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry, Ragnar Nymoen

51-12: ECONOMIC GROWTH AND CRIME: DOES UNCERTAINTY MATTER?, Eleftherios Goulas, Athina Zervoyianni

52-12: GROWTH, DEFICITS AND UNCERTAINTY IN A PANEL OF 28 COUNTRIES, Eleftherios Goulas, Athina Zervoyianni

53-12: MODEL SELECTION IN EQUATIONS WITH MANY ‘SMALL’ EFFECTS, Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry

54-12: FISCAL POLICY SUSTAINABILITY, ECONOMIC CYCLE AND FINANCIAL CRISES: THE CASE OF THE GIPS, Gabriella Legrenzi, Costas Milas

55-12: INFANT INDUSTRY PROTECTION AND THE GROWTH OF CANADA’S COTTON MILLS: A TEST OF THE CHANG HYPOTHESIS, Michael N.A. Hinton

56-12: ON ABCS (AND DS) OF VAR REPRESENTATIONS OF DSGE MODELS, Massimo Franchi, Paolo Paruolo

57-12: STRUCTURAL DISTORTIONS IN THE EURO INTERBANK MARKET: THE ROLE OF ‘KEY PLAYERS’ DURING THE RECENT MARKET TURMOIL, Caterina Liberati, Massimiliano Marzo, Paolo Zagaglia, Paola Zappa

58-12: THE EFFECT OF RECENT INCREASES IN THE U.S. MINIMUM WAGE: RESULTS FROM THREE DATA SOURCES, John T. Addison, McKinley L. Blackburn, Chad D. Cotti

59-12: BAYESIAN SEMIPARAMETRIC DYNAMIC NELSON-SIEGEL MODEL, Cem Çakmakli

60-12: THE EFFECT OF PUBLIC DEBT ON GROWTH IN MULTIPLE REGIMES, Andros Kourtellos, Thanasis Stengos, Chih Ming Tan

61-12: SELF-FINANCING OF TRADITIONAL AND R&D INVESTMENTS: EVIDENCE FROM ITALIAN SMES, Paola Brighi, Roberto Patuelli, Giuseppe Torluccio

62-12: THE BUSINESS CYCLE HUMAN CAPITAL NEXYS AND ITS EFFECT ON LABOR SUPPLY VOLATILITY, Diana Alessandrini, Stephen Kosempel, Thanasis Stengos

63-12: THE ROLE OF JOB SATISFACTION IN TRANSITIONS INTO SELF-EMPLOYMENT, Giuliano Guerra, Roberto Patuelli

64-12: THE LONG-TERM COGNITIVE CONSEQUENCES OF EARLY CHILDHOOD MALNUTRITION: THE CASE OF FAMINE IN GHANA, Samuel K. Ampaabeng, Chih Ming Tang

65-12: THE IMPACT OF STOCK MARKET ILLIQUIDITY ON REAL UK GDP GROWTH, Chris Florakis, Gianluigi Giorgioni, Alexandros Kostakis, Costas Milas

66-12: POLITICAL AMBIGUITY AND ECONOMIC DEVELOPMENT: THE MENA COUNTRIES, Juliane Brach, Willem Spanjers

67-12: BAYESIAN FORECASTING WITH HIGHLY CORRELATED PREDICTORS, Dimitris Korobilis

68-12: ON THE DYNAMICS OF GASOLINE MARKET INTEGRATION IN THE UNITED STATES: EVIDENCE FROM A PAIR-WISE APPROACH, Mark J. Holmes, Jesús Otero, Theodore Panagiotidis

69-12: NOT ALL PRICE ENDINGS ARE CREATED EQUAL: PRICE POINTS AND ASYMMETRIC PRICE RIGIDITY, Avichai Snir, Daniel Levy, Alex Gotler, Haipeng (Allan) Chen

70-12: LOAN REGULATION AND CHILD LABOR IN RURAL INDIA, Basab Dasgupta, Christian Zimmermann

71-12: UNBUNDLING TECHNOLOGY ADOPTION AND TFP AT THE FIRM LEVEL. DO INTANGIBLES MATTER?, Michele Battisti, Filippo Belloc, Massimo Del Gatto

72-12: MODELING THE EFFECTS OF GEOGRAPHICAL EXPANSION STRATEGIES ON THE ITALIAN MINOR BANKS’ EFFICIENCY, Cristina Bernini, Paola Brighi

73-12: QUANTITATIVE EASING: A SCEPTICAL SURVEY, Christopher Martin, Costas Milas

74-12: TOURISM LED GROWTH: EVIDENCE FROM PANEL COINTEGRATION TESTS, Theodore Panagiotidis, Thomas Panagiotou, Maurizio Mussoni

75-12: SPATIAL SYSTEM ESTIMATORS FOR PANEL MODELS: A SENSITIVITY AND SIMULATION STUDY, Shuangzhe Liu, Tiefeng Ma, Wolfgang Polasek