if this message does not display correctly, click here | Table of Contents Andrea Attar, University of Roma Tor Vergata, Toulouse School of Economics
Catherine Casamatta, TSE-University of Toulouse 1
Arnold Chassagnon, Paris School of Economics (PSE)
Jean P Dechamps, University of Toulouse 1 - Toulouse School of Economics (TSE) Tommaso Proietti, University of Rome II - Department of Economics and Finance
Alessandro Giovannelli, University of Rome, Tor Vergata Leonardo M. Giuffrida, University of Rome, Tor Vergata - Department of Economics and Finance, Students
Gabriele Rovigatti, University of Rome, Tor Vergata | |
CEIS: CENTRE FOR ECONOMIC & INTERNATIONAL STUDIES
Vincenzo Atella - Director "On the Role of Menus in Sequential Contracting: A Multiple Lending Example" 
CEIS Working Paper No. 409 ANDREA ATTAR, University of Roma Tor Vergata, Toulouse School of Economics
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CATHERINE CASAMATTA, TSE-University of Toulouse 1
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ARNOLD CHASSAGNON, Paris School of Economics (PSE)
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JEAN P DECHAMPS, University of Toulouse 1 - Toulouse School of Economics (TSE)
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We study a capital market in which multiple lenders sequentially attempt at financing a single borrower under moral hazard. We show that restricting lenders to post take-it-or-leave-it offers involves a severe loss of generality: none of the equilibrium outcomes arising in this scenario survives if lenders offer menus of contracts. This result challenges the approach followed in standard models of multiple lending. From a theoretical perspective, we offer new insights on equilibrium robustness in sequential common agency games. "A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices"
CEIS Working Paper No. 410 TOMMASO PROIETTI, University of Rome II - Department of Economics and Finance
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ALESSANDRO GIOVANNELLI, University of Rome, Tor Vergata
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We consider the problem of estimating the high-dimensional autocovariance matrix of a stationary random process, with the purpose of out of sample prediction and feature extraction. This problem has received several solutions. In the nonparametric framework, the literature has concentrated on banding and tapering the sample autocovariance matrix. This paper proposes and evaluates an alternative approach, based on regularizing the sample partial autocorrelation function, via a modified Durbin-Levinson algorithm that receives as input the banded and tapered partial autocorrelations and returns a sample autocovariance sequence which is positive definite. We show that the regularized estimator of the autocovariance matrix is consistent and its convergence rates is established. We then focus on constructing the optimal linear predictor and we assess its properties. The computational complexity of the estimator is of the order of the square of the banding parameter, which renders our method scalable for high-dimensional time series. The performance of the autocovariance estimator and the corresponding linear predictor is evaluated by simulation and empirical applications. "Can the Private Sector Ensure the Public Interest? Evidence from Federal Procurement"
CEIS Working Paper No. 411 LEONARDO M. GIUFFRIDA, University of Rome, Tor Vergata - Department of Economics and Finance, Students
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GABRIELE ROVIGATTI, University of Rome, Tor Vergata
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We empirically investigate the effect of oversight on contract outcomes in public procurement. In particular, we stress a distinction between public and private oversight: the former is a set of bureaucratic checks enacted by contracting offices, while the latter is carried out by private insurance companies whose money is at stake through so-called surety bonding. We analyze the universe of U.S. federal contracts in the period 2005-2015 and exploit an exogenous variation in the threshold for both sources of oversight, estimating their causal effects on costs and execution time. We
find that: (i) public oversight negatively affects outcomes, in particular for less competent buyers; (ii) private oversight has a positive effect on outcomes by affecting both the ex-ante screening of bidders - altering the pool of winning fi
rms - and the ex-post behavior of contractors. | | ^top
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