Rimini Centre for Economic Analysis

Displaying 1-10 of 10 results

  • White Papers // Jan 2011

    Does The Support Of Innovative Clusters Sustainably Foster R&D Activity? Evidence From The German Bioregio And Bioprofile Contests

    In this paper, the authors evaluate the R&D enhancing effects of two large public grant schemes aiming at encouraging the performance of firms organized in clusters. These are Germany's well known BioRegio and BioProfile contests for which they compare the research performance of winning regions in contrast with non-winning and...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Jun 2010

    Dating And Exploration Of The Business Cycle In Iceland

    The paper explores the quarterly sequence of business cycles in Iceland for 40 years between 1970 and 2009 using the business cycle technique of Leamer (2009). The authors apply first a Turning Point (TP) dating identification procedure based on the Hendrick-Prescott (HP) filter of the quarterly growth rates of GDP...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // May 2010

    The Asia Financial Crises And Exchange Rates: Had There Been Volatility Shifts For Asian Currencies?

    The authors analyse the volatility structure of Asian currencies against the U.S. Dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. The goal is to check if the characteristics of the volatility dynamics have changed in a K-state...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Apr 2010

    Can Common Stocks Provide A Hedge Against Inflation? Evidence From African Countries

    The extent to which the stock market provides a hedge to investors against inflation is examined for African stock markets. By employing parametric and nonparametric co-integration procedures, the authors show that the point estimates of the elasticities of stock prices with respect to consumer prices range from 0.015 for Tunisia...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Jan 2010

    Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach

    This paper uses an Infinite Hidden Markov Model (IHMM) to analyze U.S. inflation dynamics with a particular focus on the persistence of inflation. The IHMM is a Bayesian nonparametric approach to modeling structural breaks. It allows for an unknown number of breakpoints and is a flexible and attractive alternative to...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Jun 2009

    Forecasting Inflation Using Dynamic Model Averaging

    There is a large literature on forecasting inflation using the generalized Phillips curve (i.e. using forecasting models where inflation depends on past inflation, the unemployment rate and other predictors). The present paper extends this literature through the use of econometric methods which incorporate dynamic model averaging. These not only allow...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Apr 2009

    Informed Trading In An Electronic Foreign Exchange Market

    The authors examine a recent set of high-frequency spot EUR-USD foreign exchange transaction data from an electronic foreign exchange market. The framework is based on a continuous time-sequential microstructure trade model that measures the market makers beliefs directly. They present evidence of the strategic arrival of informed traders on a...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Jan 2009

    Profitability In An Electronic Foreign Exchange Market: Informed Trading Or Differences In Valuation?

    Fundamental spot exchange rate models preclude the existence of asymmetric information in foreign exchange markets. This paper critically investigates the possibility that private information arises in the spot foreign exchange market. Using a rich dataset, the authors first empirically detect transaction behavior consistent with the informed trading hypothesis. They then...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Dec 2008

    The Dynamics Of UK And US Inflation Expectations

    This paper investigates the relationship between short term and long term inflation expectations in the US and the UK with a focus on inflation pass through (i.e. how changes in short term expectations affect long term expectations). An econometric methodology is used which allows one to uncover the relationship between...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Nov 2008

    Volatility, Growth And Labour Elasticity

    The authors study the relationship between growth and variability in a DSGE model with nominal rigidities and growth driven by learning-by-doing. They show that this relationship may be positive or negative depending on the impulse source of fluctuations a key role is also played by the Frisch elasticity of labour...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Jan 2011

    Does The Support Of Innovative Clusters Sustainably Foster R&D Activity? Evidence From The German Bioregio And Bioprofile Contests

    In this paper, the authors evaluate the R&D enhancing effects of two large public grant schemes aiming at encouraging the performance of firms organized in clusters. These are Germany's well known BioRegio and BioProfile contests for which they compare the research performance of winning regions in contrast with non-winning and...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Nov 2008

    Volatility, Growth And Labour Elasticity

    The authors study the relationship between growth and variability in a DSGE model with nominal rigidities and growth driven by learning-by-doing. They show that this relationship may be positive or negative depending on the impulse source of fluctuations a key role is also played by the Frisch elasticity of labour...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Dec 2008

    The Dynamics Of UK And US Inflation Expectations

    This paper investigates the relationship between short term and long term inflation expectations in the US and the UK with a focus on inflation pass through (i.e. how changes in short term expectations affect long term expectations). An econometric methodology is used which allows one to uncover the relationship between...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Apr 2009

    Informed Trading In An Electronic Foreign Exchange Market

    The authors examine a recent set of high-frequency spot EUR-USD foreign exchange transaction data from an electronic foreign exchange market. The framework is based on a continuous time-sequential microstructure trade model that measures the market makers beliefs directly. They present evidence of the strategic arrival of informed traders on a...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Jan 2009

    Profitability In An Electronic Foreign Exchange Market: Informed Trading Or Differences In Valuation?

    Fundamental spot exchange rate models preclude the existence of asymmetric information in foreign exchange markets. This paper critically investigates the possibility that private information arises in the spot foreign exchange market. Using a rich dataset, the authors first empirically detect transaction behavior consistent with the informed trading hypothesis. They then...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Jun 2009

    Forecasting Inflation Using Dynamic Model Averaging

    There is a large literature on forecasting inflation using the generalized Phillips curve (i.e. using forecasting models where inflation depends on past inflation, the unemployment rate and other predictors). The present paper extends this literature through the use of econometric methods which incorporate dynamic model averaging. These not only allow...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Jan 2010

    Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach

    This paper uses an Infinite Hidden Markov Model (IHMM) to analyze U.S. inflation dynamics with a particular focus on the persistence of inflation. The IHMM is a Bayesian nonparametric approach to modeling structural breaks. It allows for an unknown number of breakpoints and is a flexible and attractive alternative to...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Apr 2010

    Can Common Stocks Provide A Hedge Against Inflation? Evidence From African Countries

    The extent to which the stock market provides a hedge to investors against inflation is examined for African stock markets. By employing parametric and nonparametric co-integration procedures, the authors show that the point estimates of the elasticities of stock prices with respect to consumer prices range from 0.015 for Tunisia...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // May 2010

    The Asia Financial Crises And Exchange Rates: Had There Been Volatility Shifts For Asian Currencies?

    The authors analyse the volatility structure of Asian currencies against the U.S. Dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. The goal is to check if the characteristics of the volatility dynamics have changed in a K-state...

    Provided By Rimini Centre for Economic Analysis

  • White Papers // Jun 2010

    Dating And Exploration Of The Business Cycle In Iceland

    The paper explores the quarterly sequence of business cycles in Iceland for 40 years between 1970 and 2009 using the business cycle technique of Leamer (2009). The authors apply first a Turning Point (TP) dating identification procedure based on the Hendrick-Prescott (HP) filter of the quarterly growth rates of GDP...

    Provided By Rimini Centre for Economic Analysis