Universitā Politecnica delle Marche, Facoltā di Economia "Giorgio Fuā", Ancona, (Italy) Piazzale Martelli, 8, Ancona January 30-31, 2009
Programme
Friday, January 30th
08:00 REGISTRATION DESK OPENS
08:45 – 09:15 OPENING (Aula Magna)
- Enzo Pesciarelli (Faculty of Economics, Dean)
- Domenico Sartore (CiDE, Director)
09:15 – 11:00 PARALLEL SESSION I
Room T30: Bayesian Econometrics
MAURO BERNARDI and Roberto Casarin
“Bayesian Inference for Alpha-Stable Distributions”
GIUSEPPE DELLA CORTE, Mauro Bernardi and Tommaso Proietti
“Extracting the Cyclical Component in Hours Worked: a Bayesian approach”
GIULIO NICOLETTI (Chair) and Marco Lombardi
“Bayesian Prior Elicitation in DSGE Models: Are model Restrictions Useful as Prior Information?”
Room T31: Business Cycles
CHRISTIANE BAUMEISTER and Gert Peersman
“Time-Varying Effects of Oil Supply Shocks on the US Economy”
Monica Billio and ROBERTO CASARIN
“Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods”
LUCA FANELLI
“Estimation of Quasi-rational DSGE Models”
Nikolay Gospodinov, Alex Maynard and ELENA PESAVENTO (Chair)
“Sensitivity of Impulse Responses to Small Low Frequency Co-movements: Reconciling the Evidence on the Effects of Technology Shocks”
Room T32: Empirical Microeconomics I
MARCELLO SARTARELLI
“Students' Revealed Preferences and Ranking of School Quality”
FERNANDA BROLLO
“Who Is Punishing Corrupt Politicians - Voter or Central Government? Evidence from the Brazilian Anti-Corruption Program”
DECIO COVIELLO and Stefano Gagliarducci
“Political Turnover and Competition in Public Procurement Auctions”
FABRIZIO MAZZONNA (Chair), Franco Peracchi and Giuseppe De Luca
“Aging, Cognitive Abilities and Socioeconomic Status in Europe”
Room T33: Forecasting I
CARLO ALTAVILLA and Matteo Ciccarelli
“Information Combination and Forecast (st)Ability. Evidence from Vintages of Time-series Data”
JURI MARCUCCI
“Are Common Factors Useful in Forecasting International Stock Market Realized Variances?”
Michele Modugno and KLEOPATRA NIKOLAOU
“The Forecasting Power of International Yield Curve Linkages”
FRANCESCO RAVAZZOLO (Chair), Jan Groen and Richard Paap
“Real-Time Inflation Forecasting in a Changing World”
Room T36: Labor Economics I
PAOLO BUONANNO, Milo Bianchi and Paolo Pinotti
“Do Immigrants Cause Crime? ”
FABIO BERTON, Francesco Devicienti and Lia Pacelli
“Temporary Jobs: Port of Entry, Trap, or Just Unobserved Heterogeneity? ”
Alvaro Novo and MARIO CENTENO
“The Impact on Reemployment Wages of UI Non-distortionary Liquidity Effect: A Regression Discontinuity Approach”
MARIO CENTENO (Chair) and Alvaro Novo
“The Unemployed's Labor Market Position and UI Generosity: A Tale of Heterogeneous Responses”
Room T37: Time Series I
FILIPPO SPAZZINI and Eduardo Rossi
“Model and Distribution Uncertainty in Multivariate GARCH Estimation: a Monte Carlo Analysis”
Jörg Breitung and GIANLUCA CUBADDA
“Testing for Cointegration in High-dimensional Systems”
MASSIMO FRANCHI and Paolo Paruolo
“A Condition for Co-dependence in Vector Autoregressive Processes”
ILIYAN GEORGIEV (Chair) and Giuseppe Cavaliere
“Exploiting Infinite Variance through Dummy Variables in an AR model”
11:00 – 11:30 COFFEE BREAK
11:30 – 13:15 PARALLEL SESSION II
Room T30: Empirical Macroeconomics I
GIANFRANCO DI VAIO and Kerstin Enflo
“Did Globalization Lead to Segmentation? Identifying Cross-Country Growth Regimes in the Long-Run, 1870-2003”
MASSIMO GIULIODORI and Roel Beetsma
“Fiscal Adjustment to Cyclical Developments in the OECD: An Empirical Analysis Based on Real-Time Data”
STEFANO GRASSI and Tommaso Proietti
“Has the Volatility of U.S. Inflation Changed and How?”
ROBERTO BASILE (Chair) and Alessandro Girardi
“Specialization and Risk Sharing: Evidence from European Regions”
Room T31: Empirical Microeconomics II
Marco Da Rin, MARINA DI GIACOMO and Alessandro Sembenelli
“Firm Entry Dynamics and the Taxation of Corporate Profits: Evidence from Europe”
David Aristei and LUCA PIERONI
“Cointegration Rank Test and Long Run Specification: a Note on the Robustness of Structural Demand Systems”
ANTONIO MUSOLESI, Pierre Blanchard, Jean Pierre Huiban and Patrick Sevestre
"Where There Is a Will, There Is a Way? Assessing the Impact of Obstacles to Innovation"
RANDOLPH BRUNO (Chair) and Marco Stampini
“Joining Panel Data with Cross-Sections for Efficiency Gains: an Application to a Consumption Equation for Nicaragua”
Room T32: Household Behavior I
ALESSANDRO BUCCIOL
“Estimating Preference Parameters from Liquid and Quasi-Liquid Wealth Holdings”
MICHELE BELLLONI and Rob Alessie
“The Importance of Financial Incentives on Retirement Choices: New Evidence for Italy”
Alessandra Mattei, FABRIZIA MEALLI and Stephen Pudney
“Living Standards and Fertility in Indonesia: A Bayesian Analysis”
SIMONA TENAGLIA (Chair)
“Happiness and Altruism: A Dynamic Model of Virtuous Behaviour”
Room T33: Testing I
AMURAG BANERJEE
“One Step Towards a Less Sensitive Statistic”
Alessandro De Gregorio and STEFANO IACUS
“Divergences Test Statistics for Discretely Observed Diffusion Processes”
THEIS LANGE
“Limiting Behavior of the Heteroskedastic Robust Wald test When the Innovations Have Heavy Tails”
ROBINSON KRUSE (Chair)
“Unit Roots and Smooth Transitions: Either, Neither or Both?”
Room T36: Labor Economics II
DOMENICO DEPALO
“Never Breaking the Wall -- The Old Assimilation Paradigm Confronted to New Econometric Techniques”
LAURA SERLENGA AND VITO PERAGINE
"Equality of opportunità in Higher Education in Italy"
ALESSIA MATANO and Paolo Naticchioni
“Spatial Externalities and Wage Distribution: The Role of Sorting”
SAURO MOCETTI (Chair) and Carmine Porello
“How Does Immigration Affect Native Internal Mobility? New Evidence from Italy”
Room T37: Time Series II
ALESSANDRA LUATI and Tommaso Proietti
“On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing”
ALESSANDRO ROSSI, Christophe Planas and Gabriele Fiorentini
“The Marginal Likelihood of Structural Time Series Models, with Application to the US and the Euro Area NAIRU”
CHRISTOS NTANTAMIS
“A Complete Procedure For Estimating Hidden Markov Models with Application in Locating Structural Breaks”
STEPHEN POLLOCK (Chair)
“Realisations of Finite-Sample Frequency-Selective Filters”
13:15 – 14:15 LUNCH
14:15 – 15:45 PLENARY SESSION I (INVITED LECTURES)
Francesca Molinari
“Sharp Identification Regions in Games”
Fabio Canova
“DSGE Models: Present Problems. Future Developments”
15:45 – 16:15 COFFEE BREAK
16:15 – 18:00 PARALLEL SESSION III
Room T30: Empirical Finance I
ANDREA CIPOLLINI and Franco Fiordalisi
“The Impact of Bank Concentration on Financial Distress: the Case of the European Banking System”
CHIARA COLUZZI, Annalisa Ferrando and Carmen Martinez-Carrascal
“Financing Obstacles and Growth: an Analysis for Euro Area Non-financial Corporations”
CAROLINA FUGAZZA, Maela Giofrè and Giovanna Nicodano
“International Diversification and Labor Income Risk”
GIOVANNI MILLO (Chair) and Gaetano Carmeci
“Insurance Consumption in Italy: a Sub-regional Panel Data Analysis”
Room T31: Household Behavior II
FEDOOR ISKHAKOV
“Health and Retirement in a Structural Dynamic Setting”
ALESSANDRO BUCCIOL and Raffaele Miniaci
“Household Portfolios and Implicit Risk Aversion”
FLAVIA CODA MOSCAROLA
“Women Participation and Caring Decisions: Do Different Institutional Frameworks Matter: a Comparison between Italy and The Netherlands”
Adrian de la Garza, Atsushi Sannabe and KATSUNORI YAMADA (Chair)
“Relative Utility and Reference Group: New Evidence from Japanese Union Workers”
Room T32: Income Distribution
MARCO LEONARDI and Luca Flabbi
“Sources of Earnings Instability: Estimates from an on-the-job Search Model of the US Labor Market”
RICCARDO MASSARI
"Is Income Becoming more Polarized in Italy?: a Closer Look with a Distributional Approach"
ANDREA RICCI (Chair) and Paolo Naticchioni
“The Evolution of Wage Inequality in the Public Sector: Evidence from Italy”
Room T33: Investment, R&D and Productivity
MASSIMILANO BRATTI and Giulia Felice
“Export and Product Innovation at Firm Level”
Thomas Astebro, Massimo Colombo and RAFFAELLO SERI
“The Diffusion of Complementary Technologies: an Empirical Test”
MARCO CORSINO
“Product Innovation and Firm Growth: Evidence from the Integrated Circuits Industry”
Bronwyn Hall, FRANCESCA LOTTI (Chair) and Jacques Mairesse
“Innovation and Productivity in SMEs. Empirical Evidence for Italy”
Room T36: Monetary Policy
LUCIANO GRECO, Efrem Castelnuovo and Davide Raggi
“Estimating Regime-Switching Taylor Rules with Trend Inflation”
ANGELA MADDALONI, Silvia Scopel and José-Luis Peydró-Alcalde
“Does Monetary Policy Affect Bank Credit Standards?”
ANDREI SIRCHENKO
“Modeling Monetary Policy in Real Time: Does Discreteness Matter?”
Carlo Altavilla and MATTEO CICCARELLI (Chair)
“Inflation Models, Optimal Monetary Policy and Uncertain Unemployment Dynamics: Evidence from the US and the Euro Area”
Room T37: Treatment Effects I
STEFANO IACUS, Gary King and Giuseppe Porro
“Matching for Causal Inference Without Balance Checking”
PAOLO NATICCHIONI and Silvia Loriga
“Short and Long Term Evaluations of Public Employment Services in Italy”
PAOLO FRUMENTO, Fabrizia Mealli and Barbara Pacini
“Evaluating the Effect of Training on Wages in the Presence of Noncompliance”
Erich Battistin and MARIO PADULA (Chair)
“Errors in Survey Reports of Consumption Expenditures”
20:00 SOCIAL DINNER
Saturday, January 31st
09:00 – 10:45 PARALLEL SESSION IV
Room T30: Econometric Theory
DANIELE MASSACCI
“Identification and Estimation in an Incoherent Model of Contagion”
ALEKSEY TETENOV
“Measuring Precision of Statistical Inference on Partially Identified Parameters”
Christine Choirat and RAFFAELLO SERI
“A Note on Feasible GLS Estimation with Heteroskedasticity of Unspecified Form”
Giorgio Calzolari and LAURA MAGAZZINI (Chair)
“Poor Identification and Estimation Problems in Panel Data Models with Random Effects and Autocorrelated Errors”
Room T31: Empirical Finance II
Sauro Mocetti and MARCELLO PAGNINI
“ICT and Power Delegation in Small Business Lending”
Riccardo "Jack" Lucchetti and GIULIO PALOMBA
"Non-linear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity"
ARTURO LECCADITO, Radu Tunaru and Giovanni Urga
“CMCDS Premia Implicit in the Term Structure of Corporate CDS Spreads”
Paolo Santella, CARLO DRAGO (Chair) and Andrea Polo
“The Italian Chamber of Lords Sits on Listed Company Boards An Empirical Analysis of Italian Listed Company Boards From 1998 to 2006”
Room T32: Empirical Microeconomics III
RANDLPH BRUNO, Maria Bytchkova and Saul Estrin
“Institutional Determinants of New Firm Entry in Russia: A Cross Regional Analysis”
Franco Peracchi and CLAUDIO ROSSETTI
“Gender and Regional Differences in Self-rated Health in Europe”
Roberto Basile, Luigi Benfratello and DAVIDE CASTELLANI
“Location Determinants of Foreign Firms' Business Functions in the Enlarged Europe: Evidence from Negative Binomial Additive Models”
MANUELA GUSSONI (Chair)
“Cooperation Strategies and Knowledge Spillovers. Evidence from the Fourth Italian Community Innovation Survey”
Room T33: Forecasting II
Matteo Bonato, MASSIMILIANO CAPORIN and Angelo Ranaldo
“Forecasting Realized (Co)Variances with a Block Wishart Autoregressive Model”
Adusei Jumah and ROBERT M. KUNST
“Optimizing Time-series Forecasts for Inflation and Interest Rates”
Roberto Renò, FULVIO CORSI and Davide Pirino
“Volatility Forecasting: The Jumps do Matter”
Fabio Busetti, JURI MARCUCCI (Chair) and Giovanni Veronese
“Comparing Forecast Accuracy: A Monte Carlo Investigation”
Room T36: Household Behavior III
RICCARDO CALCAGNO, Elsa Fornero and Mariacristina Rossi
“The Effect of House Prices on Household Saving: the Case of Italy”
LORENZO CAPPELLARI and Stephen Jenkins
“The Dynamics of Social Assistance Receipt: Measurement and Modelling Issues, with an Application to Britain”
Viola Angelini, DANILO CAVAPOZZI, Luca Corazzini and Omar Paccagnella
“Do Danes and Italians Rate Life Satisfaction in the Same Way? Using Vignettes to Correct for Individual-Specific Scale Biases”
TETYANA DUBOVYK (Chair)
“Retirement Savings Accounts and Human Capital Investment”
Room T37: Labor Economics III
Fabrizio Castellucci, Mario Padula and GIOVANNI PICA
“The Age-productivity Gradient: Evidence from a Sample of F1 Drivers”
CINZIA RIENZO
“Immigration, Wage Inequality and Unobservable Skills in the U.S. and UK”
GIOVANNI SULIS (Chair)
“Gender Wage Differentials in Italy: A Structural Estimation Approach”
10:45 – 11:15 COFFEE BREAK
11:15 – 13:00 PARALLEL SESSION V
Room T30: Asset Pricing
CHIARA COLUZZI
“The Pricing of the Option Implicitly Granted by the Italian Treasury to the Specialists in the Reserved Auction Reopening”
ANGELA MADDALONI, Lorenzo Cappiello and Marco Lo Duca
“Country and Industry Equity Risk Premia in the Euro Area: an Intertemporal Approach”
THIAGO DE OLIVEIRA SOUZA
“Strategic Asset Allocation with Heterogeneous Beliefs”
RICCARDO COLACITO (Chair) and Mariano Croce
“Risks for the Long Run and the Real Exchange Rate”
Room T31: Empirical Macroeconomics II
EMANUELE BACCHIOCCHI and Marta Bevilacqua
“International Crisis, Instability Periods and Contagion: The Case of the ERM”
MARCO GALLEGATI, Mauro Gallegati, Willi Semmler and James B. Ramsey
“Time Scale Regression Analysis of the Wage Phillips Curve in the US”
MELISSO BOSCHI
"Sovereign Spreads, Currency Crises and Fundamentals: A Non-linear Analysis"
MARCO TABOGA (Chair) and Marcello Pericoli
“Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate”
Room T32: Factor Models
GAETANO CARMECI
“A Metropolis-Hastings Algorithm for Reduced Rank Covariance Matrices with Application to Bayesian Factor Models”
Michele Modugno and MARTA BANBURA
“Maximum Likelihood Estimation of Large Factor Model on Datasets with Missing Data”
LORENZO TRAPANI (Chair)
“Sieve Bootstrap for Nonstationary Panel Factor Models”
Room T33: Financial Econometrics I
MASSIMILANO CAPORIN and Juliusz Pres
“Memory Time Varying Models for Weather Derivatives Pricing”
Francesco Audrino and FULVIO CORSI
“Modeling Tick-by-Tick Realized Correlations”
ALESSANDRO CARDINALI
“Estimating Volatility from ATM Options with Lognormal Stochastic Variance
Roberto Casarin and DOMENICO SARTORE (Chair)
“Matrix-State Particle Filter for Wishart Stochastic Volatility Process”
Room T36: Testing II
FEDERICO MARTELLOSIO
“Testing for Spatial Autocorrelation: the Regressors that Make the Power Disappear”
Jan Mutl and MICHAEL PFAFFERMAYR
“The Spatial Random Effects and the Spatial Fixed Effects Model: The Hausman Test in a Cliff and Ord Panel Model”
Claudio Lupi, Mauro Costantini and STEPHAN POPP
“A Panel-CADF Test for Unit Roots, With an Application to PPP”
Michele Bernasconi, Christine Choirat and RAFFAELLO SERI (Chair)
“Measurement by Subjective Estimation: Testing for Separable Representations”
Room T37: Treatment Effects II
CHIARA PRONZATO and Magne Mogstad
“Are Lone Mothers Responsive to Policy Changes?The Effects of a Norwegian Workfare Reform on Earnings, Education and Poverty”
FRANCESCA SANTELLO
“Identification and Estimation of the Effects of School Quality on the Achievement of Italian Students”
BRUNO ARPINO and Fabrizia Mealli
“The Specification of the Propensity Score in Multilevel Observational Studies”
MARGHERITA FORT (Chair) and Richard Spady
“Identification of Quantile Treatment Effects Exploiting Instrumental Variation”
13:00-14:00 LUNCH
14:00 – 14:45 PLENARY SESSION II (Carlo Giannini Prize)
GIOVANNI MASTROBUONI and Alessandro Barbarino
“The Incapacitation Effect of Incarceration: Evidence from Several Italian Collective Pardons”
14:45 – 16:30 PARALLEL SESSION VI
Room T30: Empirical Finance III
ANSGAR H. BELKE, Walter Orth and Ralph Setzer
“Liquidity and the Dynamic Pattern of Price Adjustment: A Global View”
Francesco Columba, LEONARDO GAMBACORTA and Paolo Emilio Mistrulli
“Mutual Guarantee Institutions and Small Business Finance”
ANDREA PRESBITERO (Chair), Pietro Alessandrini and Alberto Zazzaro
“Bank Size or Distance: What Hampers Innovation Adoption by SMEs?”
Room T31: Financial Econometrics II
Carlo Favero, Arie Gozluklu and ANDREA TAMONI
“Demography, Technology and Fluctuations in Dividend/Price”
Yanqin Fan, SERGIO PASTORELLO and Eric Renault
“Maximization by Parts in Extremum Estimation”
EDUARDO ROSSI, Paolo Santucci de Magistris and Dean Fantazzini
“Long Memory and Tail Dependence in Trading Volume and Volatility”
Dennis Philip, Chihwa Kao and GIOVANNI URGA (Chair)
“Testing for Instability in Factor Structure of Yield Curves”
Room T32: Testing III
FRANCESCA DI IORIO e Stefano Fachin
“Testing for Cointegration in Dependent Panels via Residual-based Bootstrap Methods”
Christine Choirat and RAFFAELLO SERI
“The Structure of Model Selection”
Seung Hyun Hong and MARTIN WAGNER (Chair)
“Nonlinear Cointegration Analysis and the Environmental Kuznets Curve”
Room T33: Labor Economics IV
EMANUELE GRASSI
“EPL and Job Contract Conversion Rate: The Italian CFL Case”
CHIARA MUSSIDA and Enrico Fabrizi
“The Determinants of Labour Market Transitions”
SARA SALOMONE, Frederic Docquier, Abdeslam Marfouk and Khalid Sekkat
“Are skilled women more migratory than skilled men?”
RANA HENDY (Chair) and Catherine Sofer
“Do Distribution Factors Matter? Within Allocation in Egyptian Couples”
Room T36: Technical Efficiency
SILVIO DAIDONE and Francesco D'Amico
“Technical Efficiency, Specialization and Ownership Form. Evidences from a Pooling of Italian Hospitals”
CINZIA DARAIO, Luiza Badin and Leopold Simar
“Optimal Bandwidth Selection for Conditional Efficiency Measures: a Data-driven Approach”
CAMILLA MASTROMARCO (Chair) and Ulrich Woitek
“A Stochastic Frontier Model with Time-Varying Vectorautoregressive Inefficiency”
ROOM T37: Empirical Macroeconomics III
Davide Fiaschi, Andrea Mario Lavezzi and ANGELA PARENTI
“Productivity Convergence across European Regions: the Effect of Structural and Cohesion Funds”
FRANCESCO VENTURINI
“Information Technology, Research & Development, or Both? What Really Drives a Nation’s Productivity”
MELISSO BOSCHI and Alessandro Girardi
"The Contribution of Domestic, Regional and International Factors to Latin America's Business Cycle"
ANZELIKA ZAICEVA (Chair) and Riccardo Rovelli
“Transition Fatigue and Attitudes Towards Reforms: Cross-country Micro Evidence”
