if this message does not display correctly, click here | Table of Contents Tommaso Proietti, University of Rome II - Department of Economics and Finance
Federico Maddanu, University of Rome Tor Vergata Andrea Attar, Toulouse School of Economics, University of Roma Tor Vergata
Eloisa Campioni, University of Rome Tor Vergata - Dept. of Economics and Finance
Thomas Mariotti, Universite de Toulouse 1 Capitole
Alessandro Pavan, Northwestern University Luisa Corrado, University of Rome Tor Vergata Department of Economics and Finance
Stefano Grassi, University of Rome Tor Vergata
Enrico Minnella, University of Rome Tor Vergata - Department of Economics and Finance | |
CEIS: CENTRE FOR ECONOMIC & INTERNATIONAL STUDIES
Furio Camillo Rosati - Director "Modelling Cycles in Climate Series: The Fractional Sinusoidal Waveform Process" 
CEIS Working Paper No. 518 TOMMASO PROIETTI, University of Rome II - Department of Economics and Finance
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FEDERICO MADDANU, University of Rome Tor Vergata
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The paper proposes a novel model for time series displaying persistent stationary cycles, the fractional sinusoidal waveform process. The underlying idea is to allow the parameters that regulate the amplitude and phase to evolve according to fractional noise processes. Its advantages with respect to popular alternative specifications, such as the Gegenbauer process, are twofold: the autocovariance function is available in closed form, which opens the way to exact maximum likelihood estimation; secondly the model encompasses deterministic cycles, so that discrete spectra arise as a limiting case. A generalization of the process, featuring multiple components, an additive `red noise' component and exogenous variables, provides a model for climate time series with mixed spectra. Our illustrations deal with the change in amplitude and phase of the intra-annual component of carbon dioxide concentrations in Mauna Loa, and with the estimation and the quantification of the contribution of orbital cycles to the variability of paleoclimate time series. "Keeping the Agents in the Dark: Private Disclosures in Competing Mechanisms"
CEIS Working Paper No. 519 ANDREA ATTAR, Toulouse School of Economics, University of Roma Tor Vergata
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ELOISA CAMPIONI, University of Rome Tor Vergata - Dept. of Economics and Finance
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THOMAS MARIOTTI, Universite de Toulouse 1 Capitole
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ALESSANDRO PAVAN, Northwestern University We study games in which several principals contract with several privately-informed agents. We show that enabling the principals to engage in contractible private disclosures { by sending private signals to the agents about how the mechanisms will respond to the agents' messages { can significantly affect the predictions of such games. Our first result shows that private disclosures may generate equilibrium outcomes that cannot be supported in any game without private disclosures, no matter the richness of the message spaces and the availability of public randomizing devices. The result thus challenges the canonicity of the universal mechanisms of Epstein and Peters (1999). Our second result shows that equilibrium outcomes of games without private disclosures need not be sustainable when private disclosures are allowed. The result thus challenges the robustness of the "folk theorems" of Yamashita (2010) and Peters and Troncoso-Valverde (2013). These findings call for a novel approach to the analysis of competing-mechanism games. "The Transmission Mechanism of Quantitative Easing: A Markov-Switching FAVAR Approach"
CEIS Working Paper No. 520 LUISA CORRADO, University of Rome Tor Vergata Department of Economics and Finance
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STEFANO GRASSI, University of Rome Tor Vergata
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ENRICO MINNELLA, University of Rome Tor Vergata - Department of Economics and Finance
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This article assesses the impact of unconventional monetary policies and sheds light on their transmission mechanism in the United States. Using a three-variable Markov switching factor-augmented vector autoregression (MS-FAVAR) with time-varying transition probabilities and a shadow short-term interest rate, we allow our analysis to be free from arbitrary policy rate decisions and sample-splitting choices. By augmenting our informational set with variables able to grasp the functioning of Quantitative Easing, we can determine the differences between conventional and unconventional expansionary monetary policy shocks. Our results show a leading role for both the duration risk and the credit channels, a role for the default risk channel, and ultimately no evidence of the presence of a signaling channel during Quantitative Easing. We provide evidence that the large-scale asset purchase programs of the Federal Reserve effectively boosted the economy, mainly by modifying the term structure of the interest rates, thus providing strong economic stimulus throughout the financial sector. | | ^top
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