Projected polynomial autoregression for prediction of stationary time series

Polynomial autoregressions are usually considered to be unrealistic models for time series. However, this paper shows that they can successfully be used when the purpose of the time series study is to provide forecasts. A projection scheme inspired from projection pursuit regression and feedforward artificial neural networks is used in order to avoid an explosion of the number of parameters when considering a large number of lags. The estimation of the parameters of the projected polynomial autoregressions is a non-linear least-squares problem. A consistency result is proved. A simulation study shows that the naive use of the common final prediction error criterion is inappropriate to identify the best projected polynomial autoregression. An explanation of this phenomenon is given and a correction to the criterion is proposed. An important feature of the polynomial predictors introduced in this paper is their simple implementation, which allows for automatic use. This is illustrated with real data for the three-month US Treasury Bill.     

THE LENDER OF LAST RESORT: A TWENTY‐FIRST CENTURY APPROACH

The classical Bagehot conception of a Lender of Last Resort (LOLR) that lends to illiquid banks has been criticized on two grounds: On the one hand, the distinction between insolvency and illiquidity is not clear‐cut; on the other, a fully collateralized repo market allows central banks to provide the adequate aggregate amount of liquidity and leave to the banks the responsibility of lending uncollateralized. The object of this paper is to analyze these issues rigorously by providing a framework in which liquidity shocks cannot be distinguished from solvency ones and then asking whether there is a need for a LOLR and how it should operate in the absence of systemic threats. Determining the optimal LOLR policy requires a careful modeling of the structure of the interbank market and of the closure policy. In our setup, the results depend upon the existence of moral hazard. If the main source of moral hazard is the banks' lack of incentives to screen loans, then the LOLR may have to intervene to improve the efficiency of an unsecured interbank market in crisis periods; if instead the main source of moral hazard is loan monitoring, then the interbank market should be secured and the LOLR should never intervene. (JEL: E58, 628)     

Selecting significant effects in factorial designs: Lenth’s method versus the Box-Meyer approach

The Lenth method is conceptually simple and probably the most common approach to analyzing the significance of the effects in factorial designs. Here, we compare it with a Bayesian approach proposed by Box and Meyer and which does not appear in the usual software packages. The comparison is made by simulating the results of 4, 8 and 16 run designs in a set of scenarios that mirror practical situations and analyzing the results provided by both methods. Although the results depend on the number of runs and the scenario considered, the use of the Box and Meyer method generally produces better results.     

Construction and application of an indicator system to assess the ergonomic performance of large and medium-sized construction companies

This article proposes a system of indicators to evaluate the performance of companies in ergonomics for buildings. The system was developed based primarily on studies related to the performance evaluation of the construction industry and on Brazilian standards of ergonomics and work safety and had also the contribution of national and international indicators related to ergonomics, work safety, quality, sustainability, quality of work life and to organizational behavior. The indicators were named, classified and their components were assigned to compose the theoretical model SIDECE--System of Performance Indicators in Ergonomics for Building Construction (as for the Portuguese acronym), serving the major goals of ergonomics: health, safety and workers' satisfaction and production efficiency. The SIDECE is being validated along with the building construction companies in the city of Natal, Brazil, whose practical results, deriving from the application of instruments to collect field data, are under process, to be presented on the occasion of the 18th World Congress on Ergonomics. It is intended that the SIDECE be used by building construction companies as a support tool for excellence management.     

European industrial districts: Influence of geographic concentration on performance of the firm

This paper reviews ideas and insights from recent firm strategy literature. We argue that these perspectives can be usefully extended to explain the competitive advantage of the industrial district. Most of the empirical studies seeking evidence of the competitive advantage of the industrial district consisted of case studies. This paper attempts to offer a measurement of the performance of industrial district firms on a comparative basis by using the case of the Spanish ceramic tile industry.     

Not in the eyes of the beholder: envy among Bolivian migrants in Spain

This article explores a culturally sensitive topic, envy, among Bolivian migrants in Spain. Following a constructivist approach to emotions, we examine discourses of envy, as they are shaped by the cultural contexts in which they emerge. Our study uses a sample of 30 transnational households and multi-sited ethnography to illustrate the ways emotions and their effects on sociality serve as a mechanism of social control, especially when the boundaries of such a community have been stretched transnationally. Envy is an important component of a belief system central to understanding the emergence, or lack thereof, of trust and solidarity among migrants and can shape the types of social relations and conflicts between migrants and non-migrant households back in Bolivia. These conflicts have been exacerbated by economic instability, high unemployment rates and precarious wages especially for the undocumented migrant community in Spain.     

ON THE POSSIBILITY OF INFORMATIONALLY EFFICIENT MARKETS

This paper presents conditions for a resolution of the Grossman–Stiglitz paradox of informationally efficient markets. We display a market with asymmetric information where a privately revealing equilibrium obtains in a competitive framework and where incentives to acquire information are preserved as long as the correlation in traders’ valuations is not too large. The equilibrium is efficient, and the problems associated with fully revealing rational expectations equilibria are precluded without resorting necessarily to noise traders. The robustness of the results to general information structures is established and the effect of market power is examined in a large market approximation to the competitive economy. The model is applied to explain changes in bidding behavior in central bank liquidity auctions in the crisis period. (JEL: D82, D84, G14, E59)