CEEAplA Working Paper Series 2012
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- Comparing the generalised hyperbolic and the normal inverse Gaussian distributions for the daily returns of the PSI20Publication . Rege, Sameer; Menezes, António Gomes deThe presence of non-normality, fat-tails, skewness and kurtosis in the distribution of the returns necessitates the fitting of distributions that account for this phenomenon. We fit the Generalized Hyperbolic Distribution and the Normal Inverse Gaussian to the daily returns from the Portuguese Stock Index, the PSI20. We use the EM algorithm for estimating the parameters of the Normal Inverse Gaussian while those of the Generalized Hyperbolic distribution are estimated using the Nelder-Mead algorithm. We find that the Generalized Hyperbolic is a better fit than the Normal Inverse Gaussian as it better estimates the probabilities at the left tail where the losses are concentrated.
- Customer mobility in the Portuguese financial systemPublication . Teixeira, João; Silva, Francisco; Costa, Filipe J. C.This paper investigates the level of customer mobility in the Portuguese financial system based on new survey data. We find that customers deal, on average, with more than one bank, and own several financial products. The results show that 46.9 per cent of customers had never switched bank in the past and 92.4 per cent have no intention to switch in the next 24 months. We find that customer mobility is influenced by factors related with their social and economic condition and their level of financial activity. These same factors have an impact on the choice of the reasons for not switching bank in the future. Finally, we observe that these reasons have not only a financial nature but also a psychological nature, revealing the existence of important switching costs in the Portuguese financial system.
- The demand of car rentals : a microeconometric approach with count models and survey dataPublication . Menezes, António Gomes de; Uzagalieva, AinuraThe purpose of this study is to analyze the demand side of the tourist market in a small island economy, the Autonomous Region of the Azores, a Portuguese region experienced a rapid growth in the tourism sector in the last decade. Azorean islands are, normally, a “fly-anddrive” destination given the high frequency of car rentals by the tourists. It is well known that the excessive use of cars can lead to negative externalities such as pollution and the degradation of roads. Considering the growing number of tourist in the Azores and ecological fragility that is typical for small islands, it is crucially important to investigate the extent of these negative externalities. This phenomenon is very important in terms of policy-making on the management of tourism in small island economies as well as in the global environmental context from the perspectives of effective "eco-taxes", used as instruments for internalizing negative externalities and enhancing environmental protection. To this end, the demand function of car rentals is analyzed with the use of the family of count models and the unique micro-level survey data, conducted on a large number of tourists visited the region. Based on the price elasticity of demand for care rentals, we then suggest desired tax rates for internalizing the congestion costs.
- Economia da crisePublication . Fortuna, MárioA seriedade da crise que, desde 2008, afetou o mundo e em particular a Europa, tem suscitado as mais variadas análises com contributos dos mais reputados expoentes da atualidade quando se trata de explicar o funcionamento da economia global. O presente trabalho revê as diversas linhas de pensamento que são propostas para explicar os fenómenos económicos que têm sustentado a crise, sendo dado particular relevo às suas origens financeiras, com referência à bolha imobiliária dos EUA, ao avolumar das dívidas soberanas de diversos países, ao papel das políticas públicas e aos mecanismos de transmissão dos fenómenos financeiros para o campo económico. São perspetivadas as saídas possíveis e estendida a reflexão aos casos português e açoriano. É, por fim, realçado o papel que os economistas tiveram no passado recente, que gerou a situação de crise, e que podem ter na atualidade, para se sair da crise.
- The efficiency of matching in Portuguese public employment servicePublication . Agovino, Massimiliano; Menezes, António Gomes de; Sciulli, DarioThis paper assesses the matching efficiency of the Portuguese public employment service (PES), applying data envelopment analysis (DEA) combined with principal component analysis (PCA) to Portuguese administrative data and comparing the situations in June 1998 and June 2001. We find evidence that the Portuguese public employment service increased its efficiency potential from 0.54 (June 1998) to 0.65 (June 2001), becoming more efficient and more homogenous. However, employment-centres differ in efficiency and factors affecting efficiency diverge among employment-centres. Policies aimed at improving the efficiency of the matching process should be employment-centre specific. Indeed, we find that some employment-centres could benefit from investing in labour market policies, some from investing in social policies, and others from investing in income support policies. Finally, some employment-centres could benefit from a mix of these socio-economic policies.
- Heavy tails and mixtures of normal random variablesPublication . Rocha, Maria Luísa; Pestana, Dinis; Menezes, António Gomes deIn recent research we can observe that statistical extreme value theory has been successfully used for modeling stock index prices log returns, since there is empirical evidence that all important samples exhibit heavy tail behaviour. However, the evidence for goodness-of-fit of an extreme value model is thin, and important empirical characteristics such as the V aR or the expected shortfall show that there may exist a aw in the reasoning leading to the preference for the classical long-tailed Gumbel or Fréchet extreme value distributions; this is not a big surprise since the iid hypothesis leading to those models doesn't apply. On the other hand, the classical normal model has very light tails, which clearly do not provide a good fit to the data. Therefore, the BASEL II recommendations show in general a shift from the normal towards more realistic models, keeping however an inverse square root scale when dealing with the value at risk at horizon h which is a remant of the normal modeling framework. We prove that scale mixtures of normal distributions, that can arise when dealing with maxima of non identical normal random variables, can indeed have a very heavy tail, and therefore that they may provide much better patterns to model log returns of stock index prices. We present empirical evidence, analyzing the PSI, which are the main basis for financial decisions in the Portuguese market.
- Introducing random investment in high speed rail transport valuationPublication . Couto, Gualter; Nunes, Cláudia; Pimentel, PedroIn this paper, we extend Couto et al. (2012) high-speed rail (HSR) transport valuation model based on real options analysis, in order to embrace random investment. Optimal timing to invest, value of the option to defer and investment opportunity value are assessed considering uncertainty upon HSR demand and investment expenditures, both following a geometric Brownian motion with jumps driven by Poisson processes. Numerical results presented, showing the consistence with the former model and the additional uncertainty impact.
- Migration in CIS in the context of European integration and changing socio-political bordersPublication . Uzagalieva, Ainura; Chojnicki, Xavier; Filer, Randall K.; Menezes, António Gomes deLabor migration from Eastern Europe and Commonwealth of Independent States (CIS) to Western countries became an important socio-economic issue due to the large number of migrants. Since political systems and the nature of border management in these regions change, migration flows turned out to be a very complex and unpredictable issue. The purpose of this study is to analyze possible scenarios and demographic consequences of migration flows, paying particular attention to region specific factors and migration policies implemented in recent years. The paper attempts to bridge a gap in literature on this important topic, linking traditional labor market factors with uncertainty issues and policies implemented in migrant receiving countries within the CIS. Our findings suggest that economic and migration situation in the destination CIS members became a very important determinant of migration flows. In this respect, we employ a gravity model on the sample of 12 CIS members and estimate the potential size of migration flows under three migratory scenarios. Based on these scenarios, we further evaluate the demographic consequences of migration in the largest members, including Russian Federation, Ukraine and Uzbekistan which differ largely in terms demographic as well as economic and geographic conditions. The study reveals that further demographic ageing is inevitable over the next decades even if these three countries are not similarly affected. Indeed, the dependency ratio, or the ratio of retirees to the working population, should double. We conclude that reasonable migratory flows - economically motivated - will have no significant impact on these trends unless if they become substantial.
- The Satisfaction of the Nordic tourist with the Azores as a destinationPublication . Vieira, José Cabral; Couto, Gualter; Pimentel, Pedro; Menezes, António Gomes de; Moniz, Ana Isabel Arruda; Sousa, FábioTourism is considered a strategic economic sector for the outermost regions of Europe. In the Azores, Tourism is a dynamic and growing activity. New segments have emerged, such as ecological and sustainable tourism, nautical tourism and wildlife tourism. Currently, new niches are being developed around sports (surf, paragliding and diving are recent examples), religion, nature, healthcare and wellbeing. The latest products and services serve as alternatives or complements to the more traditional venues of hotels and restaurants. The latter have managed to continuously upgrade their standing in global markets via large investments in modernization, innovation and employee training. Progressively, the Azores are becoming a desirable destination to inhabitants of modern and stressful urban areas of Europe and North-America. Specifically, Northern European markets are considered strategic for the region. The typical Nordic Tourist seeks products and services easily found in the Azorean touristic market. Also, visitor inflows from Northern Europe can mitigate the effects of seasonality, a phenomenon still very visible in the region’s sector. Because tourism is a very competitive business worldwide, it is crucial to employ policies that enhance competitiveness. It is reasonable to argue that these policies should be guided by accurate knowledge of the strong and weak characteristics of the Azores, as a destination competing in a global market. Under this context, this paper seeks to comprehend how the typical Nordic visitor feels pleased with his stay in the Azores. Using a large database of responses from tourists, we employ econometric methods to assess the degree of satisfaction of the average Nordic visitor with the Azores as a destination.
- Technological innovation in New European Union MarketsPublication . Uzagalieva, Ainura; Kočenda, Evžen; Menezes, António Gomes deWe analyze the role of innovation in the technological development of four new EU members: the Czech Republic, Hungary, Poland and Slovakia. For that purpose, we use a novel approach by modeling the empirical relationship between intra-industrial bilateral trade flows, which proxy the level of technological progress, and innovation expenditures within the context of a gravity model with a set of appropriate instrumental variables to account for the potential endogeneity of innovation to trade. We show that innovation efforts in high-tech industries exhibit a strong effect on the technological progress of the region and they are closely linked to foreign direct investment and multinationals. As foreign-owned subsidiaries become a part of the innovation systems and industrial structure of the host country they promote overall technological growth in the region.