Are price-based capital account regulations effective in developing countries ?

The author evaluates the effectiveness of policy measures adopted by Chile and Colombia, aiming to mitigate the deleterious effects of pro-cyclical capital flows. In the case of Chile, according to his Generalized Method of Moments (GMM) analysis, capital controls succeeded in reducing net short-term capital flows but did not affect long-term flows. As far as Colombia is concerned, the regulations were capable of affecting total flows and also long-term ones. In addition, the co-integration models indicate that the regulations did not have a direct effect on the real exchange rate in the Chilean case. Nonetheless, the model used for Colombia did detect a direct impact of the capital controls on the real exchange rate. Therefore, the results do not seem to support the idea that those regulations were easily evaded.Macroeconomic Management,Capital Flows,Economic Theory&Research,Economic Stabilization,Financial Economics

Bayesian multivariate mixed-scale density estimation

Although continuous density estimation has received abundant attention in the Bayesian nonparametrics literature, there is limited theory on multivariate mixed scale density estimation. In this note, we consider a general framework to jointly model continuous, count and categorical variables under a nonparametric prior, which is induced through rounding latent variables having an unknown density with respect to Lebesgue measure. For the proposed class of priors, we provide sufficient conditions for large support, strong consistency and rates of posterior contraction. These conditions allow one to convert sufficient conditions obtained in the setting of multivariate continuous density estimation to the mixed scale case. To illustrate the procedure a rounded multivariate nonparametric mixture of Gaussians is introduced and applied to a crime and communities dataset

Nonparametric Bayes modeling of count processes

Data on count processes arise in a variety of applications, including longitudinal, spatial and imaging studies measuring count responses. The literature on statistical models for dependent count data is dominated by models built from hierarchical Poisson components. The Poisson assumption is not warranted in many applications, and hierarchical Poisson models make restrictive assumptions about over-dispersion in marginal distributions. This article proposes a class of nonparametric Bayes count process models, which are constructed through rounding real-valued underlying processes. The proposed class of models accommodates applications in which one observes separate count-valued functional data for each subject under study. Theoretical results on large support and posterior consistency are established, and computational algorithms are developed using Markov chain Monte Carlo. The methods are evaluated via simulation studies and illustrated through application to longitudinal tumor counts and asthma inhaler usage

HIV/AIDS and social capital in a cross-section of countries

This paperattempts to quantify the impact of the HIV/AIDS epidemic on social capital with cross-country data. It estimates reduced-form regressions of the main determinants of social capital controlling for HIV prevalence, institutional quality, social distance, and economic indicators using data from the World Values Survey. The results obtained indicate that HIV prevalence affects social capital negatively. The empirical estimates suggest that a one standard deviation increase in HIV prevalence will lead to a 1 percent decline in trust, controlling for other determinants of social capital. If one moves from a country with a relatively low level of HIV prevalence such as Estonia, to a country with a high level such as Zimbabwe, one would observe an approximate 8 percent decline in social capital. These results are robust in a number of dimensions and highlight the empirical importance of an additional mechanism through which HIV/AIDS hinders the development process.Social Capital,Population Policies,Inequality,Economic Theory&Research,HIV AIDS

Multiscale Bernstein polynomials for densities

Our focus is on constructing a multiscale nonparametric prior for densities. The Bayes density estimation literature is dominated by single scale methods, with the exception of Polya trees, which favor overly-spiky densities even when the truth is smooth. We propose a multiscale Bernstein polynomial family of priors, which produce smooth realizations that do not rely on hard partitioning of the support. At each level in an infinitely-deep binary tree, we place a beta dictionary density; within a scale the densities are equivalent to Bernstein polynomials. Using a stick-breaking characterization, stochastically decreasing weights are allocated to the finer scale dictionary elements. A slice sampler is used for posterior computation, and properties are described. The method characterizes densities with locally-varying smoothness, and can produce a sequence of coarse to fine density estimates. An extension for Bayesian testing of group differences is introduced and applied to DNA methylation array data

- EVALUATION OF THE FIXING TRADING SYSTEM IN THE SPANISH MARKET

In 1998 the Fixing trading system was implemented in the Spanish Stock Market. It is considered an alternative to the traditional system of continuous negotiation, applicable to those stocks that have a series of basic characteristics in common. It represents an important innovation, the fundamental purpose of which is to reduce the volatility of stocks and thus improve their liquidity. The main motive of this study is to verify whether the improvements that the advocates of the new trading system have been predicting have actually taken place, as we believe that any innovation that is introduced into the market should be subjected to empirical evaluation. To do so, the effect that this innovation has had on the indicators of liquidity, returns and volatility of the stocks involved is examined, using parametric and nonparametric tests and employing a methodology based on the technique of the event study. We concluded that the evidence observed seems to contradict the very expectations that motivated the imposition of the new negotiating system, since a significant worsening wasobserved in liquidity and returns, whereas, on the other hand, no apparent decrease is observed in volatility. Durante 1998 se implantó en el mercado español el sistema de contratación de valores conprecios únicos en cada periodo de ajuste, más conocido como sistema de negociación fixing.Este sistema representa una fórmula alternativa al sistema tradicional de negociación continua,aplicable a aquellos valores que reúnen una serie de determinadas características. A su vez,constituye una importante innovación cuya finalidad es, fundamentalmente, reducir la volatilidadde los títulos y mejorar su liquidez. La motivación fundamental del presente trabajo consiste encontrastar si se han producido las mejoras que vaticinaban los impulsores del nuevo sistema decontratación, en la creencia de que cualquier innovación llevada a cabo en el mercado debe sersometida a evaluación. Para ello, se estudia el efecto sobre indicadores de liquidez, rendimientoy volatilidad medios de los títulos a los que esta innovación afectó, utilizando pruebasparamétricas y no paramétricas y metodología basada en la técnica del event study. Laconclusión a la que se llega en este estudio es que la evidencia observada parece ser contraria alas expectativas que motivaron la implantación del nuevo sistema de contratación, pues seobserva un empeoramiento significativo en los niveles de liquidez y rentabilidad y, en cambio, nose observa disminución aparente en el nivel de volatilidad.Fixing, liquidez, volatilidad, rendimiento, negociación infrecuente. Fixing, Liquidity, Returns, Volatility, Thin Trading.