Portuguese Economic Journal, 2009, Volume 8, Nº 1
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- Revenues in discrete multi-unit, common value auctions : a study of three sealed-bid mechanismsPublication . Ahlberg, JoakimThis paper proposes a discrete bidding model for both quantities and pricing. It has a two-unit demand environment where subjects bid for contracts with an unknown redemption value, common to all bidders. Prior to bidding, the bidders receive private signals of information on the (common) value. The relevant task is to compare the equilibrium strategies and the seller’s revenue of the three most common auction formats with two players. The result is that the Vickrey auction always gives the most revenue to the seller, the discriminatory auction follows closely and the uniform auction clearly is the worst due to demand reduction.
- Financial intermediation and growth : causality and causes without outliersPublication . Andini, CorradoIn a seminal paper, Levine et al. (J Monet Econ 46:31–77, 2000) provide cross-sectional evidence showing that financial development has pos- itive average impact on long-run growth, using a sample of 71 countries. We argue that the evidence is sensitive to the presence of outliers.
- A new approach to bad news effects on volatilit y: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)Publication . Curto, José Dias; Tomaz, João Amaral; Pinto, José CastroIn this paper, using daily data for six major international stock market indexes and a modified EGARCH specification, the links between stock market returns, volatility and trading volume are investigated in a new nonlinear conditional variance framework with multiple regimes and volume eff ects. Volatility forecast comparisons, using the Harvey-Newbold test for multiple forecasts encompassing, seem to demonstrate that the MSV- EGARCH complex threshold structure is able to correctly fit GARCH- type dynamics of the series under study and dominates competing standard asymmetric models in several of the considered stock indexes.
- The core periphery model with asymmetric inter-regional and intra-regional trade costsPublication . Leite, Vasco; Castro, Sofia B.S.D.; Correia-da-Silva, JoãoWe generalize the model of Krugman (J Polit Econ 99(3):483–499, 1991) to allow for asymmetric trade costs between regions and for (asymmetric) trade costs that are internal to the regions. We find that industrial activity, in a region, is enhanced by higher costs of importing and lower costs of exporting (more precisely, by a higher ratio between the two trade costs). This suggests that countries may impose tariffs on imported goods and seek to remove the import tariffs in other countries (unilateral protectionism) in order to foster industrial activity. Industrial activity is also promoted by lower domestic internal trade costs and higher foreign internal trade costs (more precisely, by a lower ratio between the two trade costs).
- Reemployment wages and UI liquidity effect : a regression discontinuity approachPublication . Centeno, Mário; Novo, Álvaro A.This paper puts together the non-distortionary liquidity eff ect of unemployment insurance and job match quality. We identify a big impact on subsidized unemployment duration and a small impact on wages on the job that follows the unemployment spell. Wage gains are heterogeneous and concentrated on individuals at the bottom of the pre-unemployment income distribution. The non-distortionary nature of the liquidity eff ect reduces the pressure on low-income workers to accept lower productivity jobs.
- On local indeterminacy and endogenous cycles in Ramsey models with heterogeneous householdsPublication . Bosi, Stefano; Seegmuller, ThomasIt is well-known that endogenous cycles can occur in Ramsey models with heterogeneous households and borrowing constraints. In this note, we address the issue of robustness in the more general case of endogenous labor supply and we explain the occurrence of local indeterminacy under progressive taxation.