| Hasan Engin Duran |
DEC |
2011 |
Stefano Magrini |
Izmir Dokuz Eylul University |
Short-run dynamics of income disparities and cycle synchronization across regions
Since the 1990s, the issue of regional income convergence and its long term tendencies has been thoroughly and heatedly discussed. Far less attention, however, has been devoted to the short-run dynamics of regional convergence. The present thesis is devoted to explicitly studying the short-run dynamics of regional income disparities; in particular to the interconnections between regional income inequalities and the aggregate business cycle as well as to the interactions among disaggregate and aggregate economic fluctuations in the US. In the first chapter, we characterize the short-run behavior of income inequalities across states and investigate the mechanisms behind such behavior. In Chapter 2, we investigate whether and why some economies might be systematically ahead of others along the swings of the business cycle. Chapter 3 aims at evaluating the distortion introduced in the cross-sectional analysis of economic convergence when the period under study contains incomplete business cycles.
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| Carmela D'Avino |
DEC |
2011 |
Loriana Pelizzon |
Banque de France |
Banks: selected investigations on the roles of liquidity, globalization and credit risk
The thesis presents three bank-related research studies inspired by some relevant events brought about by the recent subprime crisis. The first part of this work links banking-sector liquidity creation to both liquidity supply from central banks worldwide and international interbank liabilities, within a global macro-econometric framework. In the second part it is carried out a micro-econometric analysis on all global US banks with the intent to explain pre- and post-crisis dynamics in Net Inter-Office Accounts (NIOA). The last part of the thesis proposes a framework capable to model, among other things, inefficient policy interventions by a central banker during a crisis when an accurate assessment of the true solvency of a bank is unattainable.
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| Oktay Surucu |
DEO |
2011 |
Marco Li Calzi |
Luiss Guido Carli |
Three Essays on on Econmic Interactions under Bounded Rationality
The issues explored in this work concern economic interactions under bounded rationality. Each chapter considers these interactions from different angles. The first chapter characterizes the optimal contract designed by an ordinary profit-maximizing monopoly when facing diversely bounded rational agents. The second chapter analyses the interaction between fully and boundedly rational agents in situations where their interests are perfectly aligned. Finally, the third chapter studies a model where a team of agents with limited problem-solving ability faces a disjunctive task over a large solution space.
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| Theresa Beltramo |
DEO |
2010 |
Stefano Magrini |
|
Three Essays on Applied Microeconomics
The dissertation contributes to the sub-disciplines of economics including Behavioral, Development and International Trade, and to a lesser extent, Environmental, Energy, and Health Economics. A common thread among all three empirical papers is the use of quantitative measures, instead of proxies, to quantify impacts or results. In the first dissertation paper, the authors quantify the main outcome indicators- wood usage, carbon monoxide inhalation, and solar oven usage with actual observed quantities. In the second paper the author uses a new trade costs model which derives international trade costs directly from observed trade flows for 26 nations. The model measures bilateral trade costs without making any assumption on the trade costs function and allows for economists to measure all the trade costs associated -both indirect and direct- with bringing a good to market. The third paper is able to evaluate peer effects on solar oven adoption by using an observed social network between women and their friends. The author uses observed solar oven usage data, measured by a microchip, and is able to measure peer effects by regressing the treatment group’s solar stove usage on that of the solar stove usage of her “Strong” and “Weak” friends who are in the treatment group. In each of the three works, the direct data on solar stove outcome indicators, international trade costs, and information networks allows the author to contribute to the recent small, but growing literature using observed micro-data to measure quantitatively a natural phenomenon in economics.
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| Lucia Milone |
DEC |
2010 |
Marco Li Calzi |
Luiss Guido Carli |
Three Essays in Agent-Based Market Analysis
This thesis is composed of three papers that investigate the continuous double auction protocol (henceforth, CDA) given its relevance in real contests. Is commonly recognized that market protocol and trading behavior may influence economic performance; there is a (recent) growing literature that has focused on the effect of market rules, market environment and agent behavior on market outcome. My dissertation contributes to this literature. The bottom line is the make-take trade-off between exploit the most from transaction and increase the probability to trade; it characterizes the CDA since in this exchange protocol agents choose between limit and market orders that can be submitted at any time. We approach the analysis from two different (but complementary) perspectives. On one hand, we evaluate the market outcome according to different performance criteria; on the other hand, we behave as a market designer that search for market rules that will lead to a desired market outcome. The first paper study the consequence on market performance of different behavioral assumptions about agents' trading strategies and pre-trade quote disclosure. Results show that a reaction to information available is beneficial but information disclosure alone is usually not enough to significantly increase the level of efficiency achieved in the market; a joint effect with an aggressive order placement strategy is needed. In a second contribution we tweak a resampling rule often used for the CDA exchange protocol (i.e., full resampling: books are cleared after each transaction) and search for an improvement design. We claim that fine-tuning the resampling rate is important to attain high allocative efficiency. Moreover, a resampling rule that cancel only outstanding orders that fall outside a price band around the best quotes is superior if we include additional criteria as a subordinate goal. The third paper deals with two different issues. On one side, it tries to determine if the equilibrium order placement strategies analytically derived in Foucault et al. (2005) are learnable by no-maximizing agents that update their strategies on the only base of their own past experience (via genetic algorithm). Results state outcome (but not strategic) equivalence. On the other side, it relaxes the assumption in the original model by Foucault for which cancellation is not allowed and evaluate market performance. Results are mixed; the introduction of a cancellation option turns out to be benecial dependently on the key determinants of the market dynamic (i.e., the arrival rate and the percentage of patient traders) and an additional setup variable: the initial level of order aggressiveness in the market.
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| Alessandro Fontana |
DEC |
2010 |
Loriana Pelizzon |
European Central Bank |
| Essays on Credit Spreads
The thesis consists of three interdependent and original works on the relationship between Credit Default Swaps (CDS) and bond spreads.
Chapter 1 studies the behaviour of the CDS-bond basis, i.e. the difference
between the CDS and the bond spread, for a sample of investment graded US
firms. During the 2007/09 financial crisis it has deviated from zero and
it has become persistently negative. The basis dynamics is driven by economic variables that are proxies for funding liquidity, credit markets liquidity and risk in the inter-bank lending market.
Chapter 2 studies the determinants of market prices of Euro area sovereign
CDS and the linkages between the CDS and the underlying government bond. Results support the evidence that there are major commonalities as well as differences between the corporate and sovereign CDS and bonds.
Chapter 3 proposes a methodology for measuring the CDS-bond basis based on
the bonds' cash-flows replication argument. A series of tests performed,
on an hypothetical bond, shows how the error between this "arbitrage-free"
measure and the standard measure of the basis depends on the term
structure. An empirical application, on US corporate bonds, shows that the
two measures exhibit a common behaviour and since the onset of the crisis
in August 2007 they have become both negative, but the "arbitrage free"
basis remains smaller in absolute terms. |
| Domenico Fanelli |
DEO |
2010 |
Antonella Ianni |
|
| Three Essays on Ethical Consumption and Social Responsabilty
A recent literature on Corporate Social Responsibility (CSR) in economics – reviewed in Chapter 1 – shows that not all the consumers who declare to be socially concerned purchase ethical products. Starting from such divergence we develop Chapters 2 and 3. In Chapter 2 we present a partial equilibrium model in which firms choose either to be ethical (to commit to CSR) or standard. The group of socially concerned (SC) consumers desire to have a market with ethical firms but they consider the goods produced by the two types of firms as entirely homogeneous. We investigate how the size of SC consumers group affects firms' decisions to commit to CSR. In Chapter 3, we present a general equilibrium model in which an increase in income may induce SC consumers to switch from standard to ethical products rather than consuming more of standard goods. The economy is divided into two sectors -- the standard and the ethical -- and only a group of workers receives a share of profits in addition to wages. We study the conditions under which there exists a virtuous circle which ties increases in the extent of the ethical sector to reductions in income inequality. |
| Alessandro Tavoni |
DEO |
2010 |
Carlo Carraro |
London School of Economics |
| Essays on Fairness Heuristic and Environmental Dilemmas
The issues explored in this work concern individual behaviour and
its departure from the rationality paradigm. While different in terms
of underlying methodology, the chapters share the unifying theme of
fairness as a guiding principle for human behaviour, as well as a focus
on its relevance for environmental dilemmas. |
| Fabrizio Panebianco |
DEO |
2010 |
Sergio Currarini |
University Bicocca, Milan |
| Three Essays on Cultural Evolution
Cultural Evolution, in economic literature, studies how preferences, beliefs, social norms or generic cultural traits are transmitted among agents and how they evolve during time, focusing on two key aspects: the coevolution between the social environment and the cultural traits analysed and the influences of social interactions on these processes. With social interaction influences it is usually meant how parents, family, school, friends, peers and other social elements have an impact on the cultural trait analysed. Economists developed a particular interest in these issues since they study the priors behind the choice mechanisms and the endogeneization of a preference dynamics. In this research I analyse three different issues related to cultural evolution: the intergenerational transmission of a cultural trait (interethnic attitude) with a focus on the role of social influences structure in this processes, the role of the evolution of interethnic preferences in the school ethnic segregation problem and, at last, the evolution of a generic social norm in an evolutionary game theoretic framework focusing on the payoff redistributive role that cultural evolution may have in these processes. Apart from the specific contributions of each chapter, the main objective of this study is to better understand how agents' attitudes, preferences and types can be considered endogenous in an economy, which rules they follow in their dynamics and which forces play a crucial role in shaping these rules. |
| Gloria Gardenal |
DEA |
2010 |
Giorgio Bertinetti/Guido Mantovani |
Sicra B&CF Sagl and Ca' Foscari University of Venezia |
| Applied topics in financial agents' behavior
The thesis is composed of three papers that investigate, using different
perspectives, the financial agents’ behavior in the financial markets.
The first paper is an experiment that aims to measure the impact of the financial
contagion due to cross-market rebalancing. The study highlights that a shock in
the prices of a stock traded in one market spreads to other unrelated markets but
according to what the theory predicts. The laboratory shows the absence of
irrational adjustments to the arrival of new information.
The second paper is an empirical work that aims to detect possible relations
between the idiosyncratic risk aversion, used as a proxy of the investors’ behavior, and the information risk, i.e. the risk due to the time needed by a piece of
information to be understood and processed by the investors. The study highlights
the absence of any linkages between these two variables, demonstrating that
financial markets are efficient.
The third paper is more firms-oriented. It’s an application to a specific market, the
Italian North-East one, and tries to provide the (generic) private equiter with a
criterion to select a target of firms in which to invest. The criterion we suggest
uses the information provided by the financial reports and the utility concept. Our attempt is to overcome the difficulties to evaluate, using market data, not listed firms. Instead of using the comparables method, we propose an original technique. |
| Patrizia Vecchi |
DEA |
2010 |
Massimo Warglien |
University of Modena e Reggio Emilia, Italy |
Personality and social networks at work: Implications for managerial performance, commitment and network perception
This dissertation is about social relations in organizations and their implications for individuals. The dissertation is divided into three parts. In the first part, I analyze the effects of individual structural positions within social networks and the effects of self-monitoring, a personality trait, on work performance. In the second part, I analyze the effects of social relations and self-monitoring on the degree of organizational commitment of the members of the organization. Finally, in the third part I analyze the effects of structural positions and self-monitoring on the degree of accuracy with which individuals perceive their social networks. I address all my research questions and test my hypotheses in the context of a large multinational company. |
| Lorenzo Dorigo |
DEA |
2010 |
Giuseppe Marcon |
|
| Social Enterprise and Stakeholder Governance. A comparison of the CSR performance in Single-stakeholder and Multi-stakeholder Structures
In times of deep restructuring of the welfare systems, social enterprises have received the attention of practitioners and policy makers for the role of agents of the social change in the provision of a wide range of services for the sustainable regeneration of the local community. The purpose of the dissertation is threefold. The first two chapters aim to introduce the study of the social enterprises by reviewing and comparing main concepts and meanings affecting this term as they were emerged in the Western literature in the last decade. The third and fourth chapter provide a theoretical framework for the study of the social enterprise from a stakeholder perspective. Finally, last chapter presents, describes and analyzes findings from two multivariate analyses on the stakeholder involvement in a mixed sample of 64 small social co-operatives with single-stakeholder and multi-stakeholder structures. |
| Elena Fumagalli |
DEC |
2010 |
Agar Brugiavini |
University of East Anglia, UK |
Three essays in health and social participation
The first chapter investigates how social participation of young children is affected by ethnic diversity. We find that segregation has a non negative effect on social participation, while fractionalization has a non positive effect. The latter is stronger when spontaneous participation is taken into account. The endogenous sorting problem is tackled by using an IV strategy.
The second chapter is an evaluation of the folic acid fortification of cereals in the USA. Our estimates suggest an increase of serum folate concentration. We also compute quantile treatment effects finding variability in the impact distribution. Finally, we correct our findings by controlling for the change in dietary patterns.
In the third chapter we analyze the prevalence of obesity in Egypt finding an increasing trend between 1992 and 2005 and a small decline after 2005. Our estimates show a positive correlation between high BMI and socio economic status as well as a positive age effect and a negative cohort effect. |
| Claudio Giachetti |
DEA |
2010 |
Andrea Stocchetti |
University of Modena e Reggio Emilia, Italy |
Patterns of Imitation in the Adoption of Product Technologies: the Case of the Mobile Phone IndustryTechnology adoption processes have emerged as an important determinant of competitiveness in several industries. To maintain their competitiveness firms often monitor advances in product technology in relation to the adoption decisions of other firms in the industry. Benchmarking against the rest of the industry gives the firm useful reference points when it comes to deciding which product technologies to adopt, when, and to what extent the product technology will be used in the product range. In my dissertation I explore how firms respond to the introduction of new product technologies by industry rivals. In particular I follow a longitudinal approach to investigate how quickly firms adopt technologies introduced by competitors and which industry benchmarks firms use when adopting new product technologies. The research site is the mobile phone industry. |
| Elisa Lanzi |
DEO |
2010 |
Carlo Carraro |
OECD Environment Directorate |
Essays in Climate Change and Technical Change
Characteristics of the economy such as the share of polluting sectors, and their pollution intensity are key to understanding how to limit costs of climate policies. In particular, this thesis focuses on four different aspects. The first is the increase in climate policy costs in the presence limited sectoral malleability of capital, and thus the impossibility to reallocate capital from the “dirty” to the “clean” sector. Second, we consider the influence of the sectoral coverage of climate policies such as the EU Emissions Trading Scheme. Third, we focus on innovation within the energy sector to illustrate that there are internal dynamics that should be considered as they can lead to higher efficiency in the production of the dirty energy good. Finally, we estimate a model of directed technical change to study the effect of climate policies on the direction of technical change in the energy sector. |
| Rune Midjord |
DEC |
2010 |
Piero Gottardi |
|
Patterns of Imitation in the Adoption of Product Technologies: the Case of the Mobile Phone IndustryTechnology adoption processes have emerged as an important determinant of competitiveness in several industries. To maintain their competitiveness firms often monitor advances in product technology in relation to the adoption decisions of other firms in the industry. Benchmarking against the rest of the industry gives the firm useful reference points when it comes to deciding which product technologies to adopt, when, and to what extent the product technology will be used in the product range. In my dissertation I explore how firms respond to the introduction of new product technologies by industry rivals. In particular I follow a longitudinal approach to investigate how quickly firms adopt technologies introduced by competitors and which industry benchmarks firms use when adopting new product technologies. The research site is the mobile phone industry. |
| Sara Maniero |
DEC |
2009 |
Monica Billio |
Safilo SpA |
Essays on Transmission Mechanism in Real and Financial Markets: Evidence from Real Time Euro Data
The transmission mechanism between real and financial variables has been studies from theoretical and empirical point of views. This thesis wants to look at which implications there will be when working with real series of data and financial type of data and the transmission mechanism that real and financial variable have one to the other. The purpose of applied studies can be summarized into two: one is to verify on the real world if a theoretical model is confirmed by the data, the second is to leave the data the possibility to explain economic phenomena. On empirical studies, that used time series type of data, the description of the variables involved on the analysis is always present.
Usually the economic literature that involve real variable, when presenting the time series used on the analysis, do not mention which data publication has been used and the vintage effect of the data is ignored. This can be seen as a lack given that it is well know that when a Statistical Agency published a time series of a real variable, usually it adds to the previous publication the new observation of the time series, but at the same time, republished all the past data and sometimes with revised value. Contrary, this data publication timing issue, do not appear on empirical studies that involves financial data. Each time that a financial series is published, previous value are not revised. Revision on real variable can be motivated by new convention on variable definition or more commonly revision happen because on the variable computation more information are included. Financial variable when published already include all the available information and as new computation definition became necessary a construction of new financial variable is involved. |
Krzysztof Olszewski |
DEO |
2009 |
Guido Cazzavillan |
National Bank of Poland |
Essays on the Effect of Foreign Direct Investment on Central and Eastern European Transition Economies The first essay presents a growth model with skill-biased technological change and endogenous labor supply. The model is calibrated to empirical data from Poland and the US. It allows to predict the change of the labor market as a reaction to skill-biased technological change. The second essay follows Arrow's idea of learning-by-doing, according to which knowledge is created as a by- product of investment. Knowledge is regressed against foreign direct investment, domestic investment and other variables. The regression confirms that both kind of investment lead to knowledge creation which enhances the production. The third essay focuses on the mutual enforcement between foreign direct investment and foreign financial services. Moreover, the nexus between foreign direct investment, domestic investment and growth of value added in the manufacturing sector in Transition Economies is investigated. The regressions indicate that foreign direct investment crowds domestic investment out. Similar as in the second essay, both kinds of investment enhance total factor productivity. |
|
DEC |
2008 |
Marco Li Calzi |
Ca' Foscari University of Venice |
Four Essays on Market Structure under Corruption
Corruption has received increased attention in the economic literature of the last two decades. However, due to the complexity of this phenomenon, there are still many controversies among the economists with respect to the implications that it has at socio-economic level.
Structured in four chapters, the present thesis explores four aspects of corruption in the public sector, corresponding to four different economic situations.
The first chapter analyzes the economic effects of bribe-payments in a privatization process and here we identify conditions under which bribe-payment can be “benefcial" since it becomes a mechanism of “positive selection" of the candidates to privatization.
In the second chapter we concentrate on the effects that corruptibility can have on the allocation of goods.
The third chapter watches how corruption influences market competition. We explore to what extent bribery is an alternative way of fighting rivals' entry on the market.
Finally, in the fourth chapter, in an environment in which entry on the market is conditioned on firms satisfying environmental and safety requirements we explore to what extent the presence of corruption allows entry of irregular entrepreneurs. |
|
DEO |
2008 |
Carlo Carraro |
Fondazione Eni Enrico Mattei, Venice, Italy |
Endogenous Technical Change and Climate Policy: Econometric Analysis and Stabilization
The thesis introduces a methodology to measure different components of technical change. It starts with a model of production in which different forms of technical change coexist. It considers both neutral and factor augmenting technical change. The model with only factor augmenting technical change as used in the theory of directed technical change can be obtained as a special case of the general model. Using this setup, different forms of technical change are estimated from a system of factor demands, using a structural approach. Two definitions of factor augmenting technical change will be considered. First, technical change is assumed to be exogenous and its growth rate is estimated. Secondly, an endogenous component that allows to identify the sources of technical change is also included. The second part of the thesis integrates some of the empirical results found in the first part into two applied macroeconomic models for the analysis of trade and climate policies. |
|
DEC |
2008 |
Marco Li Calzi |
ENI Far East/Pacific Area |
| Some strategic features of Resources Extraction In this thesis we analyze three distinct cases of resource extraction in which players behave strategically to bring about cooperation. In the first two chapters we concentrate on the exploration and production of Natural Gas; whereas in the third we focus on the exploitation of the mineral resources found in the deep-seabed. The three chapters are independent and can be read separately. In the first chapter we show that the manner in which capacity of an LNG Facility is assigned to firms exploring for Natural Gas in geologically correlated tracts, might help prevent firms from free-riding on the efforts of others. In the second we show that a host government, by deciding the timing of construction and size of the Trains that make up an LNG Facility, might prompt cooperation from an otherwise reluctant partner.In the third we study the development of the seabed under the provisions of the UN Convention on the Law of the Sea and in particular the role that the distribution of benefits might have in encouraging capital-rich countries to invest in tailor-made technology and in preventing mineral-rich nations from ”bribing" fellow players to turn down an efficient agreement in a voting. |
|
DEC |
2008 |
Marco Li Calzi |
University of Florence, Italy |
Essays on Bilateral Trade with Incomplete Information:
I study bilateral trade between privately informed traders under 3 perspectives.
In Chapter 1, I start from the observation that in some situations the
role of the agents as sellers or buyers is not definea a priori (apositional
traders). I consider two mechanisms to determine the terms of trade in
such a situation: Double Offer and Single Offer. I study the equilibria
of these mechanisms and their welfare implications.
The mechanisms in Chapter 1 are ex-post ineffcient. In Chapter 2, I
obtain a suffcient condition that ensures the existence of an ex-post
effcient mechanism that also satisfies the requirement of ex-post individual
rationality.
In Chapter 3, I consider a situation in which traders adopt very simple
heuristic rules (pure mark-up and mark-down), that are consistent with
the common idea of mark-up. I show how using these heuristics gives
raise to an unexpected asymmetry and that sellers would be better off by adopting a different, equally simple, pure mark-up rule. |
|
DEO |
2008 |
Loriana Pelizzon |
Overseas Development Institute, London, UK |
Essays on Stock Market Development and Economic Growth This dissertation contributes to the debate on two important issues in the macro-finance literature: the relationship between stock markets, reforms and economic growth, and the determinants of stock market development. The analysis is conducted within the context of the Middle East and Central Asia, an heterogeneous region that over the last decades has been characterized by a significant increase of its stock markets. Within the Middle East and Central Asia, special attention is devoted to Egypt, an emerging market that has recently earned a place among the best-performing stock markets worldwide and also among the top ten global reformers. The dissertation consists of three self-contained essays. The first paper “Finance-Growth Nexus: Evidence from a Top Global Reformer” is devoted to the analysis of the relationship between stock market development, economic growth and reforms in Egypt. The channels through which the stock market may affect the Egyptian economic activity are also examined. By developing a simple endogenous growth model and estimating multivariate VAR models, we find that there exists unidirectional causality running from stock market development to economic growth through the level of investment. Furthermore, there is evidence that the reforms launched by the Egyptian government impact directly on the liquidity of the stock market, which in turn increases the incentives for investment and boosts further economic growth. Given the important role that well-functioning stock markets may play on economic growth, the second paper“What Drives Stock Market Development in the Middle East and Central Asia ─ Institutions, Remittances, or Natural Resources” (joint work with A. Billmeier) investigates which are the main driving forces of stock market development in a regional perspective. In particular, we assess the macroeconomic determinants of stock market capitalization in a panel of 17 countries in the Middle East and Central Asia, including both hydrocarbon-rich countries and economies without sizeable natural resource wealth. In addition to traditional variables, we include an institutional variable and remittances among the regressors. We find that (i) both institutions and remittances have a positive and significant impact on market capitalization; and (ii) both regressors matter, especially in countries without significant hydrocarbon sectors; whereas (iii) in resource-rich countries, stock market capitalization is mainly driven by the oil price.Finally, the third paper “Go Long or Short in Pyramids? News from the Egyptian Stock Market” (joint work with A. Billmeier) focuses again on Egypt and analyzes the Egyptian stock market from two angles. First, given that extraordinary increases in stock prices are historically often associated with the existence of speculative bubbles, it compares the performance of the major Egyptian stock price index with its underlying fundamentals. Second, it explores the relationship between the Egyptian and other stock markets in the region and elsewhere. The results show that (i) there is some evidence against a stable relationship between the Egyptian index and its fundamental value; and (ii) short-term correlations and long-term cointegrating relations provide conflicting signals on the value of Egyptian stocks as a means of diversification. |
| Jose Brambila |
DEC |
2008 |
Guido Cazzavillan |
Trade and Markets Division, FAO, Rome, Italy |
Essays on the Informal Sector and Economic Growth
My Thesis analyzes the effects of the informal sector on economic growth and their possible interactions in the Mexican economy through remittances and illegal immigration. It consists of three papers.
My first essay, “The Dynamics of Parallel Economies. Measuring the Informal Sector in Mexico”, uses a monetary method to estimate the size of informality and its effects on economic growth. Given that the variables used are integrated of order 1, I estimate the size and the evolution of the Mexican informal economy in the last three decades (1970-2006) using a vector error correction model. In addition to the standard explanatory variables traditionally used in the currency demand approach, I include remittances given their relevance in the Mexican economic system. The results indicate that informality prior to the late 1980’s accounted for at least two thirds of GDP, while stabilizing around one third of GDP in the last decade. Furthermore, I find evidence of a positive relationship between the informal sector and economic growth.
On my second essay, “Modeling the Informal Economy in Mexico. A Structural Equation Approach”, I investigate the evolution of the Mexican informal economy. In order to do so, I model the informal economy as a latent variable and try to explain it through relationships between possible cause and indicator variables using structural equation modeling (SEM). The results confirm the previous exercise, and indicate that the Mexican informal sector at the beginning of the 1970’s accounted for 40 percent of GDP while slightly decreasing to stabilize around 30 percent of GDP in the late 1980’s until our days. The model uses tax burden, salary levels, inflation, unemployment and excessive regulation as potential incentives or deterrents for the informal economy. The results confirm in particular the importance of salaries and excessive regulation as causes of the informal economy in Mexico, and confirm a positive relation between informality and GDP.
For my third essay, “Remittances, Migration and Informality in Mexico. A Simple Model”, I develop a simple endogenous growth model in order to study the possible interactions of remittances and migration on the Mexican economic growth, and in particular their effects through the informal sector. Remittances play a crucial role on enhancing the Mexican resource constraint, while the possibility of migration in the informal sector drains the aggregate labor force. However, the magnitude of potential remittances may offset this loss. |
| Sergiy Gerasymchuk |
DEO |
2008 |
Marco Li Calzi |
ORTEC Finance, Amsterdam, The Netherlands |
Reference Dependence and Social Interactions in Agent-Based Models of Financial Markets
The Ph.D. thesis is devoted to the study of two economic phenomena, namely reference dependence and social interactions, applied to financial markets. In Chapter 1 we study S-shaped utility maximization for the standard portfolio selection problem. We derive a mean-variance criterium of choice, which preserves reference dependence and the reflection effect. Subsequently we study diversification possibilities and obtain the demand for the risky asset. The model of a financial market presented in Chapter 2 assumes heterogeneity of agents with respect to both their reference points and their beliefs. We analyze the impact of the former layer of heterogeneity on the asset return and wealth dynamics. The results reveal that different reference points of the agents can lead to market instabilities and persistent trading volume even if their beliefs are kept homogeneous. In Chapter 3 we propose a model of a financial market populated with heterogeneous belief agents. Every period each agent chooses a predictor of the future price on the basis of the past performance of own and alternative strategies of the directly connected to her agents. Using the rewiring procedure we construct four types of commonly considered networks and investigate the effects of their topology on the asset price dynamics. We show that network structure does influence price dynamics due to the different speed of information exchange.
|
| Elisabetta Trevisan |
DEC |
2008 |
Giuseppe Tattara |
Tilburg University, The Netherlands |
Effects of Employment Protection Legislation on Employment Dynamics
The topic of the dissertation is the analysis of the effects of Employment Protection Legislation on the employment dynamics. In the first chapter, the evaluation of a Spanish reform occurred in 1997 has been performed. In particular, I evaluate the impact of the introduction of new permanent contracts with lower firing costs on the perceived job security of the workers. A reduction in the level of protection increases the perceived job security of workers with less than 30 years of age. In the second chapter, I present a model determining under which conditions a firm decides to upsize or not and whether to hire a permanent or a temporary workers, when EPL is variable enforced depending on firm size. The empirical analysis on the Veneto case shows that firms close to the threshold size are not scared to upsize, but if they decide to upsize they prefer to hire temporary rather than permanent workers. The last chapter investigates the impact of job mobility and tenure on wage variability. The comparison between Denmark and Veneto highlights that for Denmark, high mobility has a positive impact on wage increases, while built up on firm specific human capital has a negative impact. In Veneto, instead, it appears that long tenure is more rewarding than to change job. These last results holds also for the within Veneto analysis, where we compare small and big firms. |
| Laura Frigotto |
DEA |
2007 |
Maurizio Rispoli |
University of Trento, Italy |
Organizations Facing the Unexpected.
This doctoral thesis tackles the phenomenon of the unexpected in organizations. As a general rule, organizations arrange their operations and their knowledge on relevant states of the world, on the basis of expectations, which are the result of organizational experience and previous learning process. Organizational expectations and competence, though, are constructed assuming that future challenges will consist of replications of the past ones. When this does not happen, organizations are taken unawares by unexpected events. We provide a twofold analysis of the unexpected based on a case study analysis and on simulations run on an original model of decision making in novel contexts in the individual and collective dimension. Our findings show that more knowledge is not the answer, as even the most peculiar learning strategies are always constrained within the boundaries of existing knowledge. The unexpected may be better captured by a vast access to distributed specialized knowledge supported by the exploration of diverse framings of the problem and by their broadcasting. |
| Marcella Lucchetta |
DEC |
2007 |
Agar Brugiavini / Loriana Pelizzon |
European Central Bank,Frankfurt am Main |
Three Essays on Banking Sector Stability: Theoretical Models and Empirical Application
This thesis consists of three interdependent and original works on the relation between a single bank behavior and the overall banking sector stability in response to monetary policy, minimum capital requirement and merger waves. A theoretical model explains the impact of minimum capital requirement on bank risk taking behavior. Minimum capital, through the effect on the interbank interest rate, has the perverse effect to increase bank risk taking behavior. Moreover, minimum capital must increase as the risk-free interest rate rises. Then, the magnitude of the interest rates to affect banks behavior is empirically assessed. Finally, a chapter tests empirically a model which highlights the relation between consolidation of banks suppliers of differentiated products and bank risks. |
| Giacomo Pasini |
DEO |
2007 |
Agar Brugiavini |
University of Utrecht, The Netherlands |
| Emprirical Studies on Social Interactions
The topic of this dissertation is the estimation of three economic models that take explicitly into
account social interactions.
The first chapter presents a demand system where individual consumption choices depend on
reference group average behavior. Empirical evidence confirms that social interaction effect is large
and its magnitude varies with the visibility of each good.
In the second chapter I study market insurance demand when individuals can enter non-market
agreements. The model implies that moral hazard involved in informal agreements is inversely
proportional to social capital. Estimation on Italian data confirms the role of social capital.
The last chapter sets up a game theoretical model to study how adult children choose how much
time to spend caring for their parents. Results confirm that children behave strategically: the more
other children help, the less each child provide care to their parents.
Throughout the chapters estimation is carried on with a new procedure based on spatial
econometrics tools. Such an approach solves the issues arising from Manski's reflection problem
and it is applicable to large population-wide datasets. |
| Paola Pellegrini |
DEC |
2007 |
Favaretto |
Pellegrini SpA, Italy |
ACO: Parameters, exploration and quality of solutions
Ant colony optimization (ACO) is a metaheuristic. The idea at the basis of the approach has been proposed in the early 1990's. In the following, it has become an important research area in operations research and artificial intelligence. An increasing number of researchers focus their work on ant colony optimization. Every two years, a dedicated workshop is held in Brussels, Belgium. An international journal entitled Swarm Intelligence includes research on ACO as a main focus.
Nowadays, ant colony optimization is commonly considered as a reference metaheuristics. It is used for tackling several optimization problems, and it represents the state of the art for some of them. In the literature, ACO is object of many experimental studies. They are focused in applying this approach to new problems or to case studies. This kind of research is certainly crucial for confirming the validity of ant colony optimization. Nonetheless, the focus on empirical analysis has somehow drove the attention away from the investigation of theoretical properties and methodological aspects concerning the metaheuristic. The first theoretical papers on ACO are published around the year 2000, i.e. around ten years after the first studies on this metaheuristic. Many questions are still open, both on the theory behind ACO, and on the practice of using this approach as other metaheuristics. The contribution given with this thesis consists in answering to some of these open questions. The main area in which the research is developed is the analysis of the role of the parameters that are present in ACO algorithms. In particular, we aim at understanding how they impact on the exploration of the search space, and then on the quality of the solutions found. Intuitive relations can be pointed out among these elements. What is still missing in the literature is a definition of these relations. The works presented in this thesis represent a move in this direction.
Chapter 1 concerns a theoretical analysis on the relation between the values of the parameters of one of the main ACO algorithms and the exploration of the search space. We consider MAX-MIN Ant System as representative of ant algorithms. The analysis proposed is problem independent. The main four parameters of the algorithm are considered: the number of ants included in a colony, the pheromone evaporation rate and the exponent values of pheromone and heuristic measure in the state transition rule. For observing how the conclusion drawn display in practice, some experiments on the traveling salesman problem are proposed.
Chapter 2 concerns the invariance of ant colony optimization with respect to the cost unit used in the instances to tackle. Recently, the issue of the invariance of ACO algorithms to transformation of units has been explicitly raised in the literature. The performance of ACO algorithms were said to be strongly dependent on the scale of the problem. This would be a significant drawback of the metaheuristic, and would represent a limit for our analysis on the impact of the parameters on the performance achieved. In other words, if ACO were not invariant, any reasoning on the values chosen for the parameters would depend on the fact that costs are expressed in dollars instead of euros, for example. In the Chapter we formally prove that this is not the case: three among the most successful ant colony optimization algorithms are actually invariant, and the reasoning can be easily extended to other ACO algorithms.
Chapter 3 aims at underlying the impact of the implementation effort on the performance of metaheuristics. The implementation effort is represented by the method of selection of the values of the parameters: A low effort corresponds to a random choice. A high effort corresponds to the application of a tuning procedure. Metaheuristics are said to be implemented in an out-of-the-box way in the first case, and in a custom way in the second. The custom versions perform significantly better than the out-of-the-box ones on the problem considered as a case study. Different researches may have different goals, that may justify the use of either out-of-the-box or custom versions of metaheuristics. Nonetheless, we should be aware of the fact that the results achieved may not be generalizable. By considering the method of selection of the parameters as the element of diversity, the fact that the two contexts appear clearly different, supports the intuition according to which the values of the parameters strongly impact on the performance achieved.
In Chapter 4 we propose an empirical analysis that supports the intuition according to which it may be possible to find some functional form that describes the relation between the quality of the solutions found and the values of the parameters of the algorithm. |
| Paolo Pin |
DEC |
2007 |
Sergio Currarini/ Marco Li Calzi |
European University Institute, Italy |
Four multi-agent economic models: from evolutionary competition to Social interaction - One of three winners of the "1st Salvatore Vinci Award" from the Parthenope University, Naples.
The present work is divided in four chapters, in the form of self--consistent papers:
(1) ``Selection matters'', a study based on computer simulations of genetic algorithms for the purpose of shaping optimal risk--attitudes in an environment of lotteries;
(2) ``Eight degrees of separation'', a game--theoretical model of network formation with multiplicity of equilibria characterized by the small world property;
(3) ``An Economic Model of Friendship: Diversity, Minorities and Integration'' (with my supervisor Sergio Currarini and Matthew O. Jackson, from Stanford University), where we define and characterize steady state equilibria in a matching process of friends formation between rational agents divided ex ante in different types;
(4) ``Long Run Integration in Social Networks'' (with the same coauthors), an asymptotic analysis of some stochastic processes of growing networks, where we define and check properties of integration at the limit.The four works may appear very heterogeneous but they are actually so more in approach that in spirit.
They share in common the analysis (with different tools and modelling choices) of complex economic situations with many (more or less rational) agents at play.
A common goal in all of them is to minimize the number of exogenous variables, trying to endogenize as much as possible the underlying process. |
| Silvia Vianello |
DEA |
2007 |
Francesco Casarin |
SDA Bocconi, Milan, Italy |
Online Consumer behavior in virtual comunities:Abstract:First paper: we investigate two key group determinants of participation in online communities, venue interactivity and community engagement, and consider their consequences on online and offline consumer behavior. Sets of hypotheses were theorized considering the differences between groups with different levels of interactivity and engagement. Many differences and key interactions emerge. Second study: find the factors that enhance member participation and sharing in business-to-customer virtual communities. We propose a causal model detailing the antecedents of different sharing behaviors. Managerial implications include free-riding-mitigating mechanisms employed in consumer communities to increase sharing behavior. Third paper: we study the differences between firm and customer-managed brand communities. Results are derived using Netnographic, in-depth interviews and internet-based survey. We discuss the theoretical bases, the practical implications, and future research
|
| Fabiana Visentin |
DEO |
2007 |
Massimo Wargilen |
University of Lugano, Switzerland |
The evolutionary dynamics of organizational populations: Three studies on the corporate demography of the Swiss Banking authority.
Abstract:This dissertations has examined the evolutionary dynamics of the swiss banking industry through the organizationa ecology's lens. In particulare my research questions are formulated on the main vital events: patterns of foundings, disbandings and growth. Chapter 2 models processes of organizational founding. The main goal is to improve our current understanding of the dynamics relation between density and organizational founding. Chapter 3 conerns organizational mortality/exit rates. I focus my attention on the conditions at founding. I attempt to shed light on how the caracteristics of organizations interact with the characteristics of poulations in shaping the survival dynamics of firms. Chapter 4 addresses issues to organizational growth rates. I compare different models I add empirical evidence in the discussion in a field where results are still divergent.
|
| Christian Menegatti |
DEO |
2006 |
Guido Cazzavillan |
RGE Monitor, New York USA |
Essay on Modelling Inflation Dynamics |
| Lea Nicita |
DEC |
2006 |
Carlo Carraro |
Fondazione ENI "Enrico Mattei", Milan, Italy |
Manager's Incentives and Technology Adoption |
| Francesco Bosello |
DEC |
2005 |
Carlo Carraro |
University of Milan, Italy |
Mitigation and Adaptation Strategies in Response to Global Climate Change: 3 essays in Environmental Economics
Abstract: Since the first climatological studies in the early 80s a vast and ever growing scientific literature confirmed both the anthropogenic influence on climate change and the possibility of adverse conditions to prevail with negative repercussions on many determinants of human welfare: health, food and water quality and availability, factor productivity etc.
Today climate change consequences have become a hot topic in public opinions’ sensitivity urging both the scientific and the policy communities to provide adequate responses.
At the beginning of the 90s, both science and policy concentrated on the so-called “mitigation” issue. Given the recognised - even though still not well quantified - anthropogenic influence on climate change, it seemed prudential and reasonable to focus on the reduction of those human activities, like GHG emissions, deforestation and changes in land cover, that, changing the chemical composition of the atmosphere, were harmful for the climate.
Since mid 90’s, two facts contributed gradually to shift the attention toward the so-called adaptation policies i.e. policies devoted to alleviate damages if adverse conditions should materialize.
Firstly, increasing recognition of strong climate inertia highlighted that even in the presence of strong mitigation policies some degree of climate change would have been inevitable at least for the next century. Thus mitigation, although essential to limiting the extent and probability of a potentially harmful climate change, could not respond to the problem of coping with the “residual” or “unavoidable” change.
Secondly the decided GHG reduction objectives and the associated mitigation policies proved to be much more difficult to be implemented than expected both because of their high cost and of the need of strong international coordination among countries.
These two circumstances spurred the research of alternative responses to the challenges posed by climate change, in particular toward those strategies apt to alleviating the damage via proper adaptation of the impacted socio-economic-environmental systems.
Within this framework, the present research concentrates on three different aspects pertaining mitigation and adaptation policies and their relationship. Each theme is developed in an autonomous essay; nonetheless the three works are interrelated providing pieces of information that can be used to draw an organic picture.
|
| Chiara Forlati |
DEC |
2005 |
Guido Cazzavillan |
AGAUR, Catalunya, Spain |
Optimal Monetary and Fiscal Policies: 3 Essays |
| Roberto Casarin |
DEC |
2004 |
Monica Billio |
University of Brescia, Italy |
Simulation Methods for Nonlinear and Non-Gaussian Models in France. SIE award for the best thesis of 2004
Abstract: In this thesis I propose some new nonlinear and non-Gaussian
probabilistic models such as such mixtures of alfa-stable
distributions, heavy-tails stochastic volatility process and
stochastic local-trend models. I show how Monte Carlo simulation
methods can be used in solving the optimisation and integration
problems, which arise in applying the proposed models to the quantitative finance context. Finally, I follow a Bayesian inference
framework and propose suitable simulation-based inference procedures
for these models.
|
| Francesco Feri |
DEC |
2004 |
Dino Rizzi |
Regione Friuli Venezia Giulia, Italy |
Four essays in Economics
Abstract: The dissertation includes four papers which summarize the research works performed
during the Ph.D program. The common idea underlying these papers is an attempt to
understand how individuals collect, produce and use information under different
institutions and different incentives.
Often individuals take decisions on the basis of available information and these
decisions can be totally opposed depending on the quality of information as well as on
the quantity, kinds and sources. These decisions can be regarding financial or
investment acts as well as the use of time off or in which restaurant to lunch. An
example of this is presented in chapter 1. Here we illustrate a model where people have
to vote a level of income redistribution. We show as the preferred level of redistribution
depends on the information care about the future income perspectives. Moreover we
show as many people can reverse the vote's decision if the quantity of available
information changes.
In many situations, as that described in chapter 1, individuals could attach a value at the
available information. This value could depend, for example, on like new information
can affect the probability to take right decision and on the relative cost of a mistake.
Therefore rational individuals could use economic resources to collect information with
the aim to maximize their future gains. Related on this issue (the collection of
information) are chapters 2 and 3 that consider a communication network where
individuals pay a cost to form links with other agents and collect a valuable information.
We study the network formation under different assumptions. In chapter 2 we study the
long run equilibrium in according to link cost in networks characterized by an inperfect
information trasmission. In chapter 3 the technology of information trasmission is
endogeneously determined in the model.
Finally we note that there are situations where people take decisions on the basis of the
available information (public and private) and these decisions produce new available
information for all individuals that have to act later. In chapter 4 we present the
experimental results about production and use of information under different incentives
and in a setting where each individual obtains a private signal and her action is public. |
| Alberto Longo |
DEC |
2004 |
Carlo Carraro |
Queen's University, Belfast, UK |
The Role of Contamination; Cleanup and Policy Instuments in the Redevelopment of Brownfields
Abstract: This dissertation investigates the effect of the presence of contamination on the value of commercial and industrial properties and the effectiveness of policy instruments to stimulate the re-use of “brownfields.” Brownfields are “abandoned, idled, or under-used commercial and industrial properties where real or perceived contamination complicates expansion or redevelopment.” The hedonic pricing model applied to commercial and industrial properties in the State of Maryland and in Baltimore City shows that the value of a site is negatively affected by the presence of contamination at the premises. Cleanup does not increase the value of the site, while participation in Voluntary Cleanup Programs does. Distance from a (potentially) contaminated site, or from a cleaned up site has little effect on the value of surrounding commercial and industrial properties. The creation of Enterprise and Empowerment Zones that give real property tax and employment tax credits to companies that locate in specific areas of Baltimore City has been effective in stimulating development only in certain areas of the city.The conjoint choice analysis (choice experiments) method has been applied to a sample of real estate developers to find out site characteristics and policy instruments that make a site more attractive to developers. Our respondents indicate that (1) proximity of a site to a city and to a good transportation network increase the probability of undertaking a re-use project at a site, (2) the presence of contamination at the site shies away investments, (3) they are indifferent between a pristine site and a cleaned up site, (4) they appreciate (4.1) direct financial incentives, (4.2) flexible cleanup standards, (4.3) a certificate of completed cleanup that relieves the developer from liability for further cleanups, (4.4) short track review for approval of the project by the government agency. To attract developers to undertake projects at contaminated sites, direct financial incentives are more effective in attracting companies that have already undertaken re-use projects at contaminated sites, while a policy that offers a certificate of liability relief, short track review of the project by the government agency and flexible cleanup standards is a more effective instrument in attracting companies with no previous experience at contaminated sites. The application of the model that employs the method of the conjoint choice analysis to the Porto Marghera brownfield suggests that the most effective policy to attract developers to undertake projects at the contaminated sites of Porto Marghera should offer: (1) shorter track review of the re-use project at the Porto Marghera contaminated sites compared to the review timing to approve or reject projects at pristine sites, (2) a certificate of completed cleanup that relieves the developer from liability for further cleanups, (3) flexible cleanup standards linked to the final land use. |
| Franco Mariuzzo |
DEC |
2004 |
Agar Brugiavini |
The Geary Inst. University College Dublin, Ireland |
Modern Empirical Approaches to Characterize and Estimate Equilibrium Outcomes in Differentiated Products Markets
Abstract:
This thesis uses the advancements in the literature of product di¤erentiation
developed by Berry (1994) and Berry, Levinsohn and Pakes (1995) in order
to analyze, separately, the structures of the Italian automobile and the Irish
carbonated soft drink markets. Simulation techniques to aggregate individuals.
choices have been largely used. The novelty of the results departs from the
originality of the information collected.
Regarding the Italian automobile market we set up a new dataset merging
market level data (which we thank Fiat S.p.A. and Editoriale Domus Quattro-ruote) and microdata (from a special section of the Bank of Italy Survey of
Households. Income and Wealth) for the period 1989-2000. We use this new
dataset to show that, controlling for the di¤erent characteristics of individuals
buying a new vehicle or preferring the outside option (not buying a new vehicle),
let us to gain e¢ ciency and estimate more reliable price elasticities of substitution. Our data show that models like BLP, based on exogenous information
on a unique population, produce price elasticities of substitution that are, on
average, overestimated by a 30%. The same dataset is then used to evaluate the
impact, in terms of market competition, of the policy of scrap incentives adopted
in Italy since 1997 to 2000. We find that the scrap incentives, once controlled
for the other characteristics, induced competition in the market: prices were
reduced up to 8% in 1998 and 10% in 2000. The level of competition has not
been equally borne by the di¤erent parent houses. Its e¤ect has been stronger
on parent houses holding portfolios of small cars.
An original dataset has been setup also for the Irish carbonated soft drink
market. The dataset consists of bimonthly market level retail scanner data (period June/July 1992 - April/May 1997) with rich information on the distribution
of the products (each brand.s shops coverage) collated by Irish AC Nielsen. We
interpret shops coverage as a measure of a potential distance a consumer has
to undertake to find available a product. We use this information to aggregate
over different types of individuals. We produce a positive analysis aimed at: i)
showing (contrary to the homogenous good literature) the absence of a positive
relation between market size and market power; ii) stressing the relevance of
the shops coverage in the process of competition. We then enrich our analysis
simulating directly our individuals. We assume one of their attributes to be
their reaction to the presence/absence of the products in their closest shops.
We find the information on the distribution of the products to be necessary for
a proper identification of our model. We use the primitives of our estimates to
show the optimality of the long run decision on shops coverage.
|
| Fulvio Pegoraro |
DEC |
2004 |
Monica Billio |
Banque de France, France |
Discrete Time Pricing Models with Latent Variables
Abstract:The purpose of my PhD Thesis is to propose discrete time pricing models with latent variables (for
derivatives and non-defaultable bonds) able, at the same time, to take into account the relevant
sources of risks indicated by the empirical evidence, and to give pricing relations which are under
an explicit form or which are simple to implement.
The models have provided, in simulations, results coherent with the empirical evidence, or, in other
words, the proposed pricing methodologies seems adequate to explain the relevant sources of
risks. With the empirical implementation of these models, purpose of future works, we will obtain
a stronger indication about their abilities to explain asset's prices. |
| Massimiliano Caporin |
DEC |
2003 |
Domenico Sartore |
University of Padua, Italy |
Long Memory Conditional Heteroskedasticity and Second Order Causality
Abstract of each individual paper comprised in the thesis: Identification of long-memory in GARCH models, Statistical Methods and Applications, 2003, 12, 133-151This work extends the analysis of Baillie, Bollerslev and Mikkelsen (1996) and Bollerslev and Mikkelsen (1996) on the estimation and identification problems of the Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastik (FIGARCH) model.We assess the power of different information criteria and tests in identifying the presence of long memory in the conditional
variances. The analysis is performed with a Montecarlo simulation study. In detail, the focus on the Akaike, Hannan-Quinn, Shibata and Schwarz information criteria and on the Jarque-Bera test for normality, Box-Pierce test for residual correlation and Engle test for ARCH effects. This study verifies that information criteria clearly distinguish the presence of long memory while tests do not evidence any difference between the fitted long and short memory models. An empirical application is provided; it analyses, on a high frequency dataset, the returns of the FIB30, the future on the MIB30, the Italian stock market index of highly capitalized firms.
Variance (non)causality in multivariate GARCH, Econometric Reviews, 2007, 26(1), 1-24This paper extends the current literature on the variance-causality topic providing the coefficient restrictions ensuring variance noncausality within multivariate GARCH models with in-mean effects. Furthermore, this paper presents a new multivariate model, the exponential causality GARCH. By the introduction of a multiplicative causality impact function, the variance causality effects becomes directly interpretable and can therefore be used to detect both the existence of causality and its direction; notably, the proposed model allows for increasing and decreasing variance effects. An empirical application evidences negative causality effects between returns and volume of an Italian stock market index future contract.
Evaluating Value-at-Risk measures in presence of long-memory conditional volatility, 2008, Journal of Risk, 10(3) We compare the VaR bounds obtained from several models fitted to simulated long memory conditional variance processes. We show that most VaR comparison tests and loss functions may lead to the choice of a misspecified model that produces incorrect risk conditional coverage. The only exception is the test proposed by Christoffersen et al. (2001). However, with an opportunity
cost loss function, we show that most models satisfy the Basel accord requirements and that the cost of selecting a misspecified model is limited. Therefore, simple models are harmless approximations for the computation of the VaR, both under the users and regulators points of view.
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