Identifying asset price booms and busts with quantile regressions

This paper presents a methodology for detecting asset price booms and busts using non-parametric quantile regressions. The method consists in estimating the distribution of real stock prices as a function of fundamental determinants of stock returns, namely real economic activity and real interest rates. It is shown that changes in fundamentals affect not only the location but also the shape of the conditional distribution of stock prices. Asset price booms and busts are identified as realizations on the tails of that distribution. Then we use several indicators to analyse the behaviour of money and credit around the boom and bust episodes.

Identification with Averaged Data and Implications for Hedonic Regression Studies

In this estimation of models with averaged data, weighted least squares is often used and recommended as a way of improving the efficiency of the estimator. However, if the size of the different groups is not conditionally independent of the regressand, consistent estimation may not be possible at all. It is argued that in the case of some leading examples of averaged data regression, consistent estimation is possible using the usual weighted estimator.

The Reservation Wage Unemployment Duration Nexus

A thorny problem in identifying the determinants of reservation wages and particularly the role of continued joblessness in their evolution is the simultaneity issue. We deploy a natural control function approach to the problem that involves conditioning elapsed duration on completed unemployment duration in the reservation wage equation. Our analysis confirms that the use of elapsed duration alone compounds two separate and opposing influences. Only with the inclusion of completed duration is the negative effect of continued joblessness on reservation wages apparent. For its part, the completed duration coefficient suggests that higher reservation wages negatively influence the probability of exiting unemployment.reservation wages, unemployment duration, control function

Private Brands: capturing consumption from informal market

CEMSThe purpose of the project is to develop a general strategy for retailers on how to attract consumers from informal market to organized retailers in Europe, Africa and Russia with the help of private labels. In order to achieve the stated goal we conducted a multi-step research. The first step was devoted to the secondary data analysis, where we had to: identify the key buying factors for the informal market and the commonalities in motivational drivers and perform a benchmarking analysis of private brands. The second part was focused on obtaining primary data through conducting a thorough interview analysis. The last part of the report is focused on the creation of generic recommendations for organized retailers, which included: private brand positioning; tiering; assortment; quality positioning; pricing strategy; promotional strategy; placement on the store