Tag: master projects

Riding the barrel: How commodity exporters can maneuver through price rapids

Master project by Martin Aragoneses, Mario Giarda, and Nikolas Schöll. Barcelona GSE Master’s in Economics

Editor’s note: This post is part of a series showcasing Barcelona GSE master projects by students in the Class of 2015. The project is a required component of every master program.

Authors: 
Martin Aragoneses, Mario Giarda, and Nikolas Schöll

Master’s Program:
Economics

Paper Abstract:

We develop a multi-sector small open economy DSGE model with government and exogenous sources of income, in particular where the country is a commodity producer such that income from commodity exports provides a large proportion of government revenue, making international uncertainty about the future commodity price matter. The objectives of this paper are to study the differences between level shocks and uncertainty shocks to commodity prices in terms of how they affect the economy, and to analyze the convenience of different fiscal rules when we allow the income processes to have moving uncertainty.

In an application, we estimate the parameters of a stochastic volatility model for Angola and Chile and we feed them to the model to see different economic responses to uncertainty shocks. Then, we investigate whether the fiscal rule should depend on the type of income process in general. In our evaluation, we focus on the short term implications of the rule in reducing volatility, wondering if it is better to spend the resources in the present than have an insurance against the cycles? Finally, we discuss some policy implications regarding the implementation of those rules. Can the rule be tractable by the agents on the model? Are the best rules sufficiently simple to be followed by the public and finally credible as an anchor of the expectation

Presentation Slides:

[slideshare id=51096497&doc=commodity-exports-price-rapids-150730112303-lva1-app6892]

The effect of family income on birth weight

Editor’s note: This post is part of a series showcasing Barcelona GSE master projects by students in the Class of 2015. The project is a required component of every master program.

Authors:
Genevieve Jeffrey, Yi-Ting Kuo, Laura López and Stella Veazey

Master’s Program:
Economics of Public Policy

Paper Abstract:

We examine the effect of income on birth weight by employing two identification strategies using US Vital Statistics Natality data. First, following a study by Hoynes et al. (2015), we take advantage of an exogenous increase in income from the Earned Income Tax Credit using a difference-in-differences methodology. The Earned Income tax credit (EITC), enacted in 1975, is a refundable transfer to lower-income working families through the tax system and is one of the primary tools used in the United States to fight poverty. The EITC underwent an expansion is 1993 (Omnibus Budget Reconciliation Act), increasing the maximum credit families with and without children could receive. Following Hoynes et al. (2015), we take advantage of the difference in maximum credit available for families with different numbers of children. We find that the increase from the EITC reduces the incidence of low birth weight and increases mean birth weight. In addition, we discover that maternal smoking and drinking behavior during gestation is reduced.

Next, in order to try to capture the effect of income on birth weight across the population (as opposed to just high-impact groups), we exploit income variation from a policy change in Alaska that allowed payments from oil wealth to be distributed to all Alaska residents. We employ a comparative case study methodology using a synthetic control group following Abadie et al. (2010). Our comparison group is comprised of a combination of North Dakota, Oregon, Delaware, Kentucky and Nevada. The analysis shows a substantial increase in Alaska’s average birth weight over its synthetic counterpart around the onset of the policy. However, we refrain from attributing the divergence to the dividend payments alone, given significant changes in Alaska’s economy that coincide with the policy and are not well-mirrored by the control states.

Presentation Slides:

[slideshare id=51094757&doc=family-income-birth-weight-150730102428-lva1-app6891]

Cross ownership and firm performance

Editor’s note: This post is part of a series showcasing Barcelona GSE master projects by students in the Class of 2015. The project is a required component of every master program.

Authors:
Octavi Castells Pera, Jaime López Sastre, and Berenice Ramirez

Master’s Program:
Finance

Paper Abstract:

This paper assesses the impact of cross ownership on firm performance and industry competition through an analysis of shareholder’s networks in Spain using a panel regression model on a sample of non-financial listed companies between the years 2004 and 2012. The results show that there is a positive and significant effect of the number of connections a firm has with other industry rivals through the common ownership mechanism on its markup.

Read the paper or view presentation slides:

[slideshare id=51094503&doc=cross-ownership-firm-performance-150730101644-lva1-app6891]

Systematic Component of Monetary Policy in Open Economy SVAR’s: A New Agnostic Identification Procedure

Editor’s note: This post is part of a series showcasing Barcelona GSE master projects by students in the Class of 2015. The project is a required component of every master program.

Authors: 
Adrian Ifrim and Önundur Páll Ragnarsson

Master’s Program:
Macroeconomic Policy and Financial Markets

Paper Abstract:

We propose a new identification method in open economy models by restricting both the systematic component of monetary policy and the IRFs to a monetary policy shock, at the same time remaining agnostic with respect to the effects of monetary policy shocks on output and open economy variables. We estimate the model for the U.S/U.K economies and find that a U.S monetary shock has a significant and permanent effect on output. Quantitatively a 0.4% annual increase in the interest rates causes output to contract by 1.2%. This contradicts the findings of Uhlig (2005) and Scholl and Uhlig (2008). We compute the long-run multipliers implied by the monetary policy reaction function and compare our identification with to the ones proposed by Uhlig (2005), Scholl and Uhlig (2008) and Arias et al. (2015). We argue that neither of the above schemes identify correctly the monetary policy shock since the latter overestimates the effects of the shock and the former implies a counterfactual behavior of monetary policy. We also find that the delayed overshooting puzzle is a robust feature of the data no matter what identification is chosen.

Read the paper or view presentation slides:

[slideshare id=51009241&doc=systematic-component-monetary-policy-open-economy-svars-150728104454-lva1-app6892]

A Bayesian Search for the Needle in the Haystack

Master project by Timothée Stumpf-Fétizon. Barcelona GSE Master’s Degree in Data Science

Editor’s note: This post is part of a series showcasing Barcelona GSE master projects by students in the Class of 2015. The project is a required component of every master program.

Author: 
Timothée Stumpf-Fétizon

Master’s Program:
Data Science

Paper Abstract:

I develop an extension to Monte Carlo methods that sample from large and complex model spaces. I assess the extension using a new and fully functional module for Bayesian model choice. In standard conditions, my extension leads to an increase of around 30 percent in sampling efficiency.

Presentation Slides:

[slideshare id=51095167&doc=bayesian-search-needle-haystack-slides-150730103703-lva1-app6891]

This is work in progress and there is no telling whether the rule works better in all situations!

If you’re interested in using BMA in practice, you can fork the software on my github (working knowledge of Python required!)

Providing effective mechanisms to fight barriers to competition in Mexico

Editor’s note: This post is part of a series showcasing Barcelona GSE master projects by students in the Class of 2015. The project is a required component of every master program.

Author:
Fernando Cota

Master’s Program:
Competition and Market Regulation

Paper Abstract:

The project analyses the current legal faculties that the Mexican Competition Authority has to fight and remove barriers to competition. Given the limited powers of the authority and the pervasive character of those barriers and their negative impact on Mexico’s economy, the Authority’s faculties are considered insufficient. Then the project studies the Spanish Ley de Garantía de Unidad de Mercado and how that law provides effective mechanisms to fight some barriers to competition. Finally, considering Mexico’s constitutional and institutional framework, the project proposes some modifications in the Competition Law in order to incorporate those mechanisms.

Read the paper or view presentation slides:

 

[slideshare id=50916852&doc=barriers-competition-mexico-150725114536-lva1-app6891]

Monetary Policy Uncertainty: does it justify requiring the Fed to follow a Taylor rule?

Editor’s note: This post is part of a series showcasing Barcelona GSE master projects by students in the Class of 2015. The project is a required component of every master program.

Authors:
Jacques Alcabes, Ángelo Gutiérrez, Patrick Mayer, and Hugo Kaminski

Master’s Program:
Economics

Paper Abstract:

In 2014 the “Federal Reserve Accountability and Transparency Act” (FRATA) was introduced in the U.S. congress requiring the Fed to adopt a rules-based policy. Supporters of this act argue that uncertainty about economic policy is one of the main explanations for the slow economic recovery witnessed by the U.S. since the 2008 financial crisis. In this article we investigate the effects of monetary policy as a specific source of policy uncertainty and propose some novel measures to estimate the effect and magnitude of monetary policy uncertainty on economic activity. We find that, while the effects of monetary policy uncertainty are statistically significant, it is not a large contributor to economic fluctuations.

This project got a shout out from John Taylor himself on Twitter!

Presentation Slides:

[slideshare id=50808034&doc=monetary-policy-uncertainty-150722150209-lva1-app6891]

UK News Shocks and Business Cycles

Editor’s note: This post is part of a series showcasing Barcelona GSE master projects by students in the Class of 2015. The project is a required component of every master program.

Authors: 
Jorge Meliveo and Willy Scherrieble

Master’s Program:
Macroeconomic Policy and Financial Markets

Paper Abstract:

In this paper we use a structural Factor Augmented VAR (FAVAR) approach to estimate the effects of news shocks in a new institutional setting: the United Kingdom. We define news shocks as the stock price shock orthogonal to TFP that maximizes the forecast error variance of TFP at the 40 quarter horizon. We find that news shocks account for around 18 – 45% of the variance in output at business cycle frequencies. Furthermore, the predictions of our estimation are in line with the predictions of standard neoclassical business cycle theories, i.e. following a positive news shock, agents increase both consumption and leisure, hence, reducing the amount of hours worked. Our contribution is twofold: First, we enlarge the geographical investigation of the news shock literature by considering a new dataset for the UK. This is important since all major studies have exclusively focused on the US economy so far. Second, we address the problem of non-fundamentalness by comparing a VAR and FAVAR approach. We find that including factors to the VAR changes the results and generates negative co-movement between hours worked and consumption on impact. Furthermore, our results are in line with the findings of Barsky and Sims (2011) and Forni, Gambetti, and Sala (2014) for the US.

Presentation Slides:

[slideshare id=50791122&doc=uk-news-business-cycles-150722070243-lva1-app6892]

Predicting gender disparities in attitudes towards intimate partner violence against women: a case study from Rwanda

Editor’s note: This post is part of a series showcasing Barcelona GSE master projects by students in the Class of 2015. The project is a required component of every master program.

Authors: 
Mette Albèr, Ming Yu Wong, Urša Krenk & Stan deRuijter

Master’s Program:
Economics

Paper Abstract:

This paper examines the factors associated with gender disparities in attitudes towards intimate-partner violence against women (IPVAW) at the regional and household level using data from the 2010 Demo-graphic and Health Survey (DHS) in Rwanda. An OLS regression model was used at the regional level, while multivariate logistic regression models were fitted at the household level. The results show that women’s education level and women’s TV-viewing frequency are significant and consistent predictors of gender disparities at the household level, with sizeable marginal effects. More generally, many factors beyond national- and regional-level characteristics account for variation in IPVAW acceptance across genders, suggesting that more granular and sophisticated modes of analysis can help to determine the true nature of relationships between individual and household level factors and attitudes towards IPVAW.

Read the paper or view presentation slides:

Presentation Slides:

[slideshare id=50916638&doc=predicting-gender-disparities-violence-150725112951-lva1-app6892]

What can the risk neutral moments tell us about future returns?

Editor’s note: This post is part of a series showcasing Barcelona GSE master projects by students in the Class of 2015. The project is a required component of every master program.

Authors:
Juan Imbet, Nuria Mata

Master’s Program:
Finance

Paper Abstract:

We test if the first four moments of the risk neutral distribution implicit in options’ prices predict market returns. We estimate the risk
neutral distribution of the S&P 500 over different frequencies using a non parametric polynomial fitting, and test if the first four moments of the distribution predict returns of the S&P 500. Our results suggest that there is no evidence on this predictability power.

Presentation Slides:

[slideshare id=50497458&doc=risk-neutral-future-returns-150714070303-lva1-app6891]