Identification through heteroskedasticity : a likelihood-based approach

In this paper we show how the analysis of identification of simultaneous systems of equations with different volatility regimes can be addressed in a conventional likelihood-based setup, generalizing previous works in different directions. We discuss general conditions for identification and one of the results shows that an adequate number of different levels of heteroskedasticity is sufficient to identify the parameters of the structural form without the inclusion of any kind of restriction. A Full Information Maximum Likelihood (FIML) algorithm is discusse

International knowledge diffusion and home-bias effect : do USPTO & EPO patent citations tell the same story?

This paper estimates the international diffusion and obsolescence of technological knowledge by technological field and country using patent citations from the U.S. Patent and Trademark Office (USPTO) and from the European Patent Office (EPO). We control for self-citations and for procedural and legal differences between patent offices in the citation procedures using equivalent patents. We show that (1) both at the EPO and USPTO domestic citations come sooner and there is a strong localization effect of patent citations at national level; (2) the US technological system is becoming less central in the international web of knowledge flows; (3) some differences across patent offices emerge in the ranking by technological fields in the speed of diffusion and decay of technological knowledge. We support the conjecture that not only technological opportunities but also absorptive capacity plays a role. Finally on the methodological side we show that at the USPTO the median citation lag is twice as large relatively to the citations at the EPO, that some bias is induced by the different institutional practices at the EPO and USPTO and that using patent families generates a selection bias towards high quality patent

Multilateral indexed loans and debt sustainability

We study the potential for introducing indexation on loans provided by multilateral lenders to LICs, and thus whether a reform of their lending policy is feasible and economically justified. To this end, we provide new evidence for a group of 40 IDA countries over the 1990-2010 period for three types of debt: i) foreign currency loans indexed to real GDP; ii) foreign currency loans indexed to the dollar value of exports; iii) inflation-indexed loans denominated in local currency. We find that both GDP indexation and domestic currency lending are feasible policies, since individual country risk could be easily diversified in a portfolio of loans to IDA countries. The estimation of CAPM beta coefficients suggests that, while the risk of export-indexed loans is difficult to hedge, loans indexed to GDP or denominated in local currencies could be introduced at current interest rates; their risk premium is no greater than one percent. The insurance that indexed debt might offer to LICs against macroeconomic shocks threatening their debt sustainability depends on the conditional covariances of GDP growth, real exchange-rate depreciation and net exports that we estimate as the covariances of the forecast errors obtained from a VAR model. The analysis shows that GDP-indexed or export-indexed loans would help to stabilize the debt ratio of the majority of IDA countries in our sample, but a larger number of them would benefit from a re-denomination of loans in local currency. A main lesson from our analysis is that a \u2018one size fits all solution\u2019 does not exist to the problem of stabilizing the debt ratio. This suggests that a reform of multilateral lending that is desirable to all LICs would be difficult to implemen

A cointegration analysis of wine stock indexes

This paper analyzes price patterns and long-run relationships for both fine wine and non-fine wine, with the aim to highlight price dynamics and co-movements between series, and to exploit potential diversification benefits. Data are from Liv-Ex 100 Fine Wine for fine wine, the Mediobanca Global Wine Industry Share Price for normal wine, and the MSCI World Index as a proxy of the overall stock market. Engle-Granger and Johansen tests were used to detect whether and to what extent the series co-move in the long run and which one of the variables contributes proactively to such an equilibrium by reacting to disequilibria from the long-run path. The estimates highlight that i) the two wine indexes have a higher Sharpe ratio compared to the general stock market index, revealing wine stocks as a profitable investment per se, and ii) the absence of cointegration among the three series and the existence of possible diversification benefits. In fact, in the long-run price do not move together and, therefore, investors may be better off by including wine stocks into investment portfolios and take advantage of diversification

Telecom reforms in the EU : prices and consumers\u2019 satisfaction

The paper shows the impact of privatization and liberalization on consumers in the telecommunication sector for 15 EU countries. Policy reforms are summarized by the OECD regulatory indicators (REGREF) that consider the extent of privatization, vertical disintegration, and market entry. After controlling for other country variables, first, a test of the impact of ownership and regulatory changes on consumer prices is given. In the second step, the Eurobarometer data on consumers' satisfaction about quality and prices of the telecommunication service are considered. The analysis confirms the importance of market regulation in reducing prices but minimizes the role played by privatization per se. Overall, the findings offer only mixed evidence, and somehow contradict, the hypothesis that all the reforms work in a similar way across the EU countries

Telecom Prices, Regulatory Reforms, Consumers’ Satisfaction: Evidence for 15 EU Countries

We study the impact on consumers of privatization and liberalization in the telecommunication sector for 15 EU Countries. Policy reforms are summarized by the OECD regulatory indicators (REGREF), that consider the extent of privatization, vertical disintegration, and market entry. After controlling for other country variables, we first test the impact of ownership and regulatory changes on productivity and consumer prices. In a second step, we consider the Eurobarometer data on consumers\u2019 satisfaction about quality and prices of the telecommunication service. The analysis confirms the importance of market regulation in reducing prices and increasing productivity performances, but minimize the role played by privatization per se. The latter and liberalization of the telecommunication market play a role in explaining the consumers\u2019 satisfaction about prices and quality of the service, but country features are more important. Overall, our findings offer only mixed evidence, and somehow contradict, the hypothesis of welfare dominance across the EU of a unique reform paradigm in the telecom industry

Internationalisation and the agglomeration effect : evidence from the Italian automotive supply chain

The aim of this paper is to study the characteristics of the internationalisation process and to identify its determinants in a representative sample of 786 firms in the Italian automotive chain. We carried out a a multinomial logit and an ordered probit analyses. The main findings of the econometric analyses based on the available micro-evidence are that: a) the firms in the Italian supply chain engage in complex modes of internationalisation; b) the individual firm\u2019s characteristics play a significant role in the probability of internalization; c) the firms located in the province of Turin have a clear localisation advantage, because of an \u201cindustrial district\u201d effect. We also observe that internationalisation is negatively correlated to the share of Fiat, the Italian dominant car maker, in the supplier\u2019s sale

Internationalisation modes and determinants : the cased of Italian automotive firms

This aim of this paper is to study the characteristics of the internationalisation process and to identify its determinants in a representative sample of firms in the Italian automotive chain. The main findings of an econometric analysis based on micro-evidence are that: a) the firms engage in complex modes of internationalisation; b) the individual firm\u2019s characteristics play a significant role; c) the firms located in the province of Turin have a clear localisation advantage, a sort of an\u201cindustrial district\u201d effect