Pubblicazioni SSD SECS-P/05

DiSES – Pubblicazioni 2014-2015


SECS-P/05 – Econometria
Giulia Bettin, Riccardo Lucchetti (2015), Steady streams and sudden bursts: persistence patterns in remittance decisions in “Journal of Population Economics”
Lang.: engReferee: Esperti anonimiRilev.: InternazionaleCategory: Articolo in rivista
Abstract: This paper is the first systematic attempt to investigate the factors affecting time persistence in individual remittance behaviour. By using micro-level longitudinal data from the German Socio-Economic Panel (SOEP), we apply a wide variety of discrete choice static and dynamic panel models to analyse the decision to remit. Our results provide evidence in favour of an intertemporal strategy. The persistence in remittance decisions is significantly influenced by “true state dependence”: migrants that remitted in the previous year have a significantly higher propensity to remit this year as well. We also show that remittance time patterns depend on both observable and unobservable individual socioeconomic characteristics, and in particular, that the household’s transnational composition plays an important role in determining remittance behaviour.


Riccardo Lucchetti, Claudia Pigini (2014), A simple and effective misspecification test for the double-hurdle model in “Economics Letters”, Vol. 123, pp. 75-78
Lang.: engReferee: Esperti anonimiRilev.: InternazionaleCategory: Articolo in rivista
Abstract: The commonly-used version of the double-hurdle model rests on a rather restrictive set of statistical assumptions, which are very seldom tested by practitioners, mainly because of the lack of a standard procedure for doing so, although violation of such assumptions can lead to serious modelling flaws. We propose here a bootstrap-corrected conditional moment portmanteau test which is simple to implement and has good size and power properties.


Mihaela Nicolau, Giulio Palomba (2015), Dynamic relationships between spot and futures prices. The case of energy and gold commodities in “Resources Policy”, Vol. 45, pp. 130-143
Lang.: engReferee: Esperti anonimiRilev.: InternazionaleCategory: Articolo in rivista
Keywords: energy commodities, spot and future prices, recursive estimation, exogeneity.
Abstract: According to the most common financial theories, the price of a futures contract is always influenced by the spot price of its underlying asset (the cost-of-carry model) or by the expected future spot price conditional on information set (the asset-pricing theory). The aim of this paper is to analyse the dynamic relationship between spot and futures prices, and to establish if there is the possibility of a valid “period by period” prediction of the futures price conditional on the prediction of the spot price, and vice-versa. The empirical analysis is conducted on the two most important energy commodities, crude oil and natural gas, and on gold, the most important commodity used for risk hedging and investment during financial turmoil, paying particular attention to the exogeneity issue. We estimate a battery of recursive bivariate VAR models over a sample of daily spot and futures prices, ranging from January 1997 to May 2014. Our results show that some interactions between spot and futures prices clearly exist and they mainly depend on commodity type and futures contracts maturity. Thus, a strong exogeneity operates in the case of the natural gas, while this is not the case for the crude oil, where the exogeneity generally is weak and depends on the contract maturity. On the gold market the results show no possibility of a valid forecasting between spot and futures prices.