In a labor market model of adverse selection, workers differ in their productivity levels. We int... more In a labor market model of adverse selection, workers differ in their productivity levels. We introduce a second source of workers' heterogene-ity: their intrinsic motivation for the job. Intrinsic motivation is modeled as the monetary equivalent of a benefit workers obtain when they accept the job. We show that, when workers are motivated, inefficiencies related to adverse selection decrease and the competitive equilibrium is character-ized by a higher wage. Concerning labor supply we prove that, when productivity and motivation are positively correlated, one of two counter-intuitive effects occurs, for at least a sub-interval of possible wage levels: either average productivity of active workers is decreasing or average vo-cation of active workers is increasing in the wage. JEL Classification: J24, D82, D03.
This paper analyses the relationship between different equity rules and the incentives to sign an... more This paper analyses the relationship between different equity rules and the incentives to sign and ratify a climate agreement. A widespread conjecture suggests that a more equitable distribution of the burden of reducing emissions would enhance the incentives for more countries -particularly big emitters -to accept an emission reduction scheme defined within an international climate agreement. This paper shows that this conjecture is only partly supported by the empirical evidence that can be derived from the Kyoto Protocol.
This paper estimates Taylor rules featuring instabilities in policy parameters, switches in polic... more This paper estimates Taylor rules featuring instabilities in policy parameters, switches in policy shocks'volatility, and time-varying trend in ‡ation using post-WWII U.S. data. The model embedding the stochastic target performs better in terms of data-…t and identi…cation of the changes in the FOMC's chairmanships. Policy breaks are found not to be synchronized with variations in policy shocks'volatilities. Finally, we detect a negative correlation between systematic monetary policy aggressiveness and in ‡ation gap persistence.
This paper estimates regime-switching monetary policy rules featuring trend inflation using post-... more This paper estimates regime-switching monetary policy rules featuring trend inflation using post-WWII US data. We find evidence in favour of regime shifts and time-variation of the inflation target. We also find a drop in the inflation gap persistence when entering the Great Moderation sample. Estimated Taylor rule parameters and regimes are robust across different monetary policy models. We propose an 'internal consistency' test to discriminate among our estimated rules. Such a test relies upon a feedback mechanism running from the monetary policy stance to the inflation gap. Our results support the stochastic autoregressive process as the most consistent model for trend inflation, above all when conditioning to the post-1985 subsample.
Studies in Nonlinear Dynamics & Econometrics, 2000
In this paper we present a stochastic volatility model assuming that the return shock has a Skew-... more In this paper we present a stochastic volatility model assuming that the return shock has a Skew-GED distribution. This allows a parsimonious yet flexible treatment of asymmetry and heavy tails in the conditional distribution of returns. The Skew-GED distribution nests both the GED, the Skew-normal and the normal densities as special cases so that specification tests are easily performed. Inference is conducted under a Bayesian framework using Markov Chain MonteCarlo methods for computing the posterior distributions of the parameters. More precisely, our Gibbs-MH updating scheme makes use of the Delayed Rejection Metropolis-Hastings methodology as proposed by , and of Adaptive-Rejection Metropolis sampling. We apply this methodology to a data set of daily and weekly exchange rates. Our results suggest that daily returns are mostly symmetric with fat-tailed distributions while weekly returns exhibit both significant asymmetry and fat tails.
Abstract The aim of the paper is to investigate the effects of the corporate governance model on ... more Abstract The aim of the paper is to investigate the effects of the corporate governance model on social and environmental disclosure (SED). We analyze the disclosures of the 100 US Best Corporate Citizens in the period 2005–2007, and we posit a series of simultaneous relationships between different attributes of the governance system and a multidimensional construct of corporate social performance (CSP). We consider both the extent and the quality of SED, with the purpose of identifying increasing levels of corporate commitment to ...
ABSTRACT This study provides empirical evidence on asymmetry in financial returns using a simple ... more ABSTRACT This study provides empirical evidence on asymmetry in financial returns using a simple stochastic volatility model which allows a parsimonious yet flexible treatment of both skewness and heavy tails in the conditional distribution of returns. In particular, it is assumed that returns have a Skew-GED conditional distribution. Inference is conducted under a Bayesian framework using Markov Chain Monte Carlo methods for estimating the properties of the posterior distributions of the parameters. One is also able to perform some specification testing via Bayes factors. The data set consists of daily and weekly returns on the DJ30, S&P500 and Nasdaq US stock market indexes. The estimation results are consistent with the presence of substantial asymmetry and heavy tails in the distribution of US stock market indexes.
Can Equity Enhance Efficiency? Some Lessons from Climate Negotiations* This Paper analyses the re... more Can Equity Enhance Efficiency? Some Lessons from Climate Negotiations* This Paper analyses the relationship between different equity rules and the incentives to sign and ratify a climate agreement. A widespread conjecture suggests that a more equitable distribution of the burden of reducing emissions would enhance the incentives for more countries -particularly big emitters -to accept an emission reduction scheme defined within an international climate agreement. This Paper shows that this conjecture is only partly supported by the empirical evidence that can be derived from the recent outcomes of climate negotiations. Even though an equitable sharing of the costs of controlling GHG emissions can provide better incentives to sign and ratify a climate agreement than the burden sharing implicit in the Kyoto agreement, a stable global agreement cannot be achieved. A possible strategy to achieve a global agreement without free-riding incentives is a policy mix in which global emission trading is coupled with a transfer mechanism designed to offset incentives to free ride. JEL Classification: C70, H00, H30 and Q38
In a labor market model of adverse selection, workers differ in their productivity levels. We int... more In a labor market model of adverse selection, workers differ in their productivity levels. We introduce a second source of workers' heterogene-ity: their intrinsic motivation for the job. Intrinsic motivation is modeled as the monetary equivalent of a benefit workers obtain when they accept the job. We show that, when workers are motivated, inefficiencies related to adverse selection decrease and the competitive equilibrium is character-ized by a higher wage. Concerning labor supply we prove that, when productivity and motivation are positively correlated, one of two counter-intuitive effects occurs, for at least a sub-interval of possible wage levels: either average productivity of active workers is decreasing or average vo-cation of active workers is increasing in the wage. JEL Classification: J24, D82, D03.
This paper analyses the relationship between different equity rules and the incentives to sign an... more This paper analyses the relationship between different equity rules and the incentives to sign and ratify a climate agreement. A widespread conjecture suggests that a more equitable distribution of the burden of reducing emissions would enhance the incentives for more countries -particularly big emitters -to accept an emission reduction scheme defined within an international climate agreement. This paper shows that this conjecture is only partly supported by the empirical evidence that can be derived from the Kyoto Protocol.
This paper estimates Taylor rules featuring instabilities in policy parameters, switches in polic... more This paper estimates Taylor rules featuring instabilities in policy parameters, switches in policy shocks'volatility, and time-varying trend in ‡ation using post-WWII U.S. data. The model embedding the stochastic target performs better in terms of data-…t and identi…cation of the changes in the FOMC's chairmanships. Policy breaks are found not to be synchronized with variations in policy shocks'volatilities. Finally, we detect a negative correlation between systematic monetary policy aggressiveness and in ‡ation gap persistence.
This paper estimates regime-switching monetary policy rules featuring trend inflation using post-... more This paper estimates regime-switching monetary policy rules featuring trend inflation using post-WWII US data. We find evidence in favour of regime shifts and time-variation of the inflation target. We also find a drop in the inflation gap persistence when entering the Great Moderation sample. Estimated Taylor rule parameters and regimes are robust across different monetary policy models. We propose an 'internal consistency' test to discriminate among our estimated rules. Such a test relies upon a feedback mechanism running from the monetary policy stance to the inflation gap. Our results support the stochastic autoregressive process as the most consistent model for trend inflation, above all when conditioning to the post-1985 subsample.
Studies in Nonlinear Dynamics & Econometrics, 2000
In this paper we present a stochastic volatility model assuming that the return shock has a Skew-... more In this paper we present a stochastic volatility model assuming that the return shock has a Skew-GED distribution. This allows a parsimonious yet flexible treatment of asymmetry and heavy tails in the conditional distribution of returns. The Skew-GED distribution nests both the GED, the Skew-normal and the normal densities as special cases so that specification tests are easily performed. Inference is conducted under a Bayesian framework using Markov Chain MonteCarlo methods for computing the posterior distributions of the parameters. More precisely, our Gibbs-MH updating scheme makes use of the Delayed Rejection Metropolis-Hastings methodology as proposed by , and of Adaptive-Rejection Metropolis sampling. We apply this methodology to a data set of daily and weekly exchange rates. Our results suggest that daily returns are mostly symmetric with fat-tailed distributions while weekly returns exhibit both significant asymmetry and fat tails.
Abstract The aim of the paper is to investigate the effects of the corporate governance model on ... more Abstract The aim of the paper is to investigate the effects of the corporate governance model on social and environmental disclosure (SED). We analyze the disclosures of the 100 US Best Corporate Citizens in the period 2005–2007, and we posit a series of simultaneous relationships between different attributes of the governance system and a multidimensional construct of corporate social performance (CSP). We consider both the extent and the quality of SED, with the purpose of identifying increasing levels of corporate commitment to ...
ABSTRACT This study provides empirical evidence on asymmetry in financial returns using a simple ... more ABSTRACT This study provides empirical evidence on asymmetry in financial returns using a simple stochastic volatility model which allows a parsimonious yet flexible treatment of both skewness and heavy tails in the conditional distribution of returns. In particular, it is assumed that returns have a Skew-GED conditional distribution. Inference is conducted under a Bayesian framework using Markov Chain Monte Carlo methods for estimating the properties of the posterior distributions of the parameters. One is also able to perform some specification testing via Bayes factors. The data set consists of daily and weekly returns on the DJ30, S&P500 and Nasdaq US stock market indexes. The estimation results are consistent with the presence of substantial asymmetry and heavy tails in the distribution of US stock market indexes.
Can Equity Enhance Efficiency? Some Lessons from Climate Negotiations* This Paper analyses the re... more Can Equity Enhance Efficiency? Some Lessons from Climate Negotiations* This Paper analyses the relationship between different equity rules and the incentives to sign and ratify a climate agreement. A widespread conjecture suggests that a more equitable distribution of the burden of reducing emissions would enhance the incentives for more countries -particularly big emitters -to accept an emission reduction scheme defined within an international climate agreement. This Paper shows that this conjecture is only partly supported by the empirical evidence that can be derived from the recent outcomes of climate negotiations. Even though an equitable sharing of the costs of controlling GHG emissions can provide better incentives to sign and ratify a climate agreement than the burden sharing implicit in the Kyoto agreement, a stable global agreement cannot be achieved. A possible strategy to achieve a global agreement without free-riding incentives is a policy mix in which global emission trading is coupled with a transfer mechanism designed to offset incentives to free ride. JEL Classification: C70, H00, H30 and Q38
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Papers by Davide Raggi