Ανάρτηση Ερευνητικών Δοκιμίων no 02/24 και no 03/24

Ερευνητικό Δοκίμιο no 02/24 με τίτλο "Multi-Objective Frequentistic Model Averaging with an Application to Economic Growth" 

των Στέλιου Αρβανίτη,  Mehmet Pinar, Θανάση Στέγκου και Νικόλα Τοπάλογλου

Περίληψη

In the Frequentistic Model Averaging framework and within a linear model  background, we consider averaging methodologies that extend the analysis of  both the generalized Jacknife Model Averaging (JMA) and the Mallows Model  Averaging (MMA) criteria in a multi-objective setting. We consider an estimator arising from a stochastic dominance perspective. We also consider averaging estimators that emerge from the minimization of several scalarizations  of the vector criterion consisting of both the MMA and the JMA criteria as  well as an estimator that can be represented as a Nash bargaining solution  between the competing scalar criteria. We derive the limit theory of the estimators under both a correct specification and a global misspecification frame work. Characterizations of the averaging estimators introduced in the context  of conservative optimization are also provided. Monte Carlo experiments suggest that the averaging estimators proposed here occasionally provide with  bias and/or MSE/MAE reductions. An empirical application using data from  growth theory suggests that our model averaging methods assign relatively  higher weights towards the traditional Solow type growth variables, yet they  do not seem to exclude regressors that underpin the importance of factors like  geography or institutions. 

Ο Στυλιανός Αρβανίτης είναι Καθηγητής στο τμήμα Οικονομικής Επιστήμης του Οικονομικού Πανεπιστημίου Αθηνών, o Mehmet Pinar είναι Καθηγητής στο Universidad de Sevilla, ο Θανάσης Στέγκος είναι Καθηγητής στο ‡University of Guelph και ο Νικόλας Τοπάλογλου είναι Καθηγητής στο τμήμα Διεθνών και Ευρωπαϊκών Οικονομικών Σπουδών του Οικονομικού Πανεπιστημίου Αθηνών.

Ερευνητικό Δοκίμιο no 03/24 με τίτλο "State Dependent Fiscal Multipliers in a Small Open Economy"

των Xiaoshan Chen, Jilei Huang και Πέτρου Βαρθαλίτη

Περίληψη

We compute state dependent fiscal multipliers using an estimated small open economy  medium scale DSGE model for a country that is a member of Eurozone, focusing specifically on the case of Ireland over the period 2000-2019. State dependency refers to the state of  public finances, specifically we quantify fiscal multipliers across states of high/low public  debt. Our open economy setup enable us to assess the impact of a fiscal stimulus on aggregate output but also its compositional effect in the small open economy with two-sectors,  namely, tradable and non-tradable. We find a non-linear negative relationship between public debt and the fiscal multiplier. Additionally, government spending compared to other  fiscal instruments, is more likely to simulate the economy in states of high public debt. The latter effect works mostly through the non-tradable sector.

H Xiaoshan Chen είναι Associate Professor στο Durham University Business School, ο Jilei Huang είναι Assistant Professor στο Shandong Universiτy και ο Πέτρος Βαρθαλίτης είναι Επίκουρος Καθηγητής στο τμήμα Οικονομικής Επιστήμης του Οικονομικού Πανεπιστημίου Αθηνών.