Unspanned Macroeconomic Factors in the Yield Curve

In this article, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of yields and are well proxied by economic growth and real interest rates.     

Discussion of “An analysis of global warming in the Alpine region based of nonlinear nonstationary time series models” by F. Battaglia and M. K. Protopapas

We discuss the scientific contribution of Battaglia and Protopapas?? paper concerning the debate on global warming supported by an extensive analysis of temperature time series in the Alpine region. In the work, Authors use several exploratory and modelling tools for assessing and discriminating the presence of different patterns in the data. We add some general and specific considerations mainly devoted to the modelling stage of their analysis.     

Ownership structure,investors’ protection and corporate valuation: the effect of judicial system efficiency in family and non-family firms

Research on the effect of ownership structure on firm performance shows no convergent evidence concerning the sign and form of the above-mentioned relationship. Similarly, there is no homogeneous evidence documenting family ownership concentration is always positively or negatively correlated with firm value, or irrelevant. This paper analyses whether and how the de facto investor protection provided by the judicial system affects the relationship between corporate performance and ownership structure in 1314 firms operating in four European countries (Germany, France, Italy, and Spain) over a five-year period, 2010–2014. Moreover, we analyse whether judicial system efficiency influences if and how family firms in the controlling coalition collude for expropriating minority shareholders. Our findings show that the level of shareholder protection, derived from judicial efficiency, is relevant to the relationship between ownership structure and firm performance, thus corroborating literature in that institutional contexts matter in explaining such relations. The results suggest the need for more efficient external mechanisms of corporate governance to facilitate investment in equity capital, thus decreasing the country risk perceived by investors.     

Component-based structural equation modeling for the assessment of psycho-social aspects and performance of athletes

AStA Advances in Statistical Analysis - Recent studies have pointed out the effect of personality traits on athletes’ performance and success; however, fewer analyses have focused the...     

Parsimonious periodic autoregressive models for time series with evolving trend and seasonality

Statistics and Computing - This paper proposes an extension of Periodic AutoRegressive (PAR) modelling for time series with evolving features. The large scale of modern datasets, in fact, implies...     

MONETARY AND FISCAL POLICY DESIGN AT THE ZERO LOWER BOUND: EVIDENCE FROM THE LAB

The global economic crisis of 2007–2008 has pushed many advanced economies into a liquidity trap. We design a laboratory experiment on the effectiveness of policy measures to avoid expectation‐driven liquidity traps. Monetary policy alone is not sufficient to avoid liquidity traps, even if it preventively cuts the interest rate when inflation falls below a threshold. However, monetary policy augmented with a fiscal switching rule succeeds in escaping liquidity trap episodes. We measure the effect of fiscal policy on expectations, and report larger‐than‐unity fiscal multipliers at the zero lower bound. Experimental results in different treatments are well explained by adaptive learning. (JEL E70, C92, D83, D84, E52, E62)     

Forum on Benford’s law and statistical methods for the detection of frauds

Statistical Methods & Applications -