Fall Semester 2024-2025

Title: "Conventional Inference in the Vicinity of Generalised Nonstationarity Boundaries: Regressions with Heavy Tailed Weakly Nonstationary Data" (with James Duffy - Oxford)

Speaker: Associate Professor Ioannis Kasparis, University of Cyprus

Host: Assistant Professor Alexopoulos Angelos, Department of Economics, Athens University of Economics and Business

Time: 15.30 -17.00

Room:  76, Patission Str., Antoniadou Wing, 3rd floor, Room A36

Abstact: The interaction between long memory/persistence and heavy tails leads to an expansion of the nonstationary region, effectively broadening the model space where traditional inferential  methods are not applicable. To address this, both parametric and non-parametric regression methods are explored to facilitate inference across both stationary and nonstationary environments in the presence of heavy tails. These include kernel weighted and IVX type of IV methods. For the purposes of our analysis, a new limit theory is developed for heavy-tailed weakly nonstationary processes (HT-WNPs) -processes that exist on the boundary of nonstationarity. It is demonstrated that the proposed methods enable conventional inference for a wide range of heavy-tailed covariates, including stationary long memory, weakly nonstationary processes, and strongly nonstationary long memory. Potential applications include testing the predictability of stock returns through risk measures.

Title:"Data analytics for algorithmic pricing" (joint work with Alessandro Bonatti and Salvatore Piccolo)

Speaker: Associate Professor Raffaele Fiocco, University of Bergamo

Host:  Assistant Professor Kospentaris Ioannis, Department of Economics, Athens University of Economics and Business

Time: 15.30 -17.00

Room:  76, Patission Str., Antoniadou Wing, 3rd floor, Room A36

Abstract: Firms often receive information through common intermediaries, such as data analytics companies. We characterize the optimal design of data analytics for algorithmic pricing in a market where firms aim to collude under secret price cuts and can acquire information about market demand. Information is provided either before price setting --- i.e., ex ante information provision --- or after price setting --- i.e., ex post information provision. The two modes of information provision generate a trade-off between a price sophistication effect and a profit dissipation effect. Such trade-off hinges upon different factors, namely, the heterogeneity of demand, the efficiency of the information technology, and the number of firms. Our analysis provides antitrust policy implications for the development of the theory of harm associated with algorithmically colluding firms.

Monday, October 14, 2024

Title: "Emissions leakage and environmental awareness"

Speaker: Dr Eleni Stathopoulou, University of Sheffield

Host: Assistant Professor Efthymios Athanasiou, Department of Economics, Athens University of Economics and Business

Time: 15.30 -17.00

WEBINAR

Abstract: In an international duopoly context, we construct a model where two horizontally differentiated goods are produced by two firms located in two separate countries. We show that when consumers in one country display environmental awareness for local pollution only, it can cause emissions leakage as consumers shift their demand to the good produced abroad, even though the domestic firm tries to offset the contraction in its demand by employing a cleaner technology. This highlights that, even in the absence of unilateral environmental policies, asymmetry in the environmental awareness can be a cause of emissions leakage. We then examine the scenario where domestic consumers care about global pollution and we find that the shift from local to global pollution consciousness can mitigate the extent of emission leakage as firms in both countries have the incentive to undertake abatement investments that reduce the emission intensity in both countries.

Title: "Optimal Monetary Policy with and without Debt"

Speaker:  ‪Professor Rigas Oikonomou, Université Catholique de Louvain

Host: Assistant Professor Kospentaris Ioannis, Department of Economics, Athens University of Economics and Business

Time: 15.30 -17.00

Room: 76, Patission Str., Antoniadou Wing, 3rd floor, Room A36

Attachments:  PDF of Relevant Paper

Abstract: We derive optimal monetary policy rules when government debt may be a constraint for the monetary authority. We focus on an environment where fiscal policy is exogenous, setting taxes according to a rule that specifies the tax rate as a function of lagged debt. In the case where taxes do not adjust sufficiently to ensure the solvency of debt, then the monetary authority is burdened by debt sustainability. Under this scenario, optimal monetary policy is a 'passive money rule', setting the interest rate to weakly respond to inflation. We characterize analytically the optimal inflation coefficients under alternative specifications of the central bank loss function. We show that the maturity structure of debt is a key variable behind optimal policy. When debt maturity is calibrated to US data, our model predicts that a simple inflation targeting rule where the inflation coefficient is 1 −1/Maturity   is a good approximation of the optimal policy. Lastly, our framework nests the case where fiscal policy adjusts taxes to satisfy the intertemporal debt constraint. In this scenario optimal monetary policy is an active policy rule. We contrast the properties of active and passive policies, using the analytical optimal policy rules derived from this framework of monetary/fiscal interactions