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on Discrete Choice Models |
| By: | David-Jan Jansen; Jakob de Haan |
| Abstract: | We examine the usefulness of communication by the European Central Bank for predicting its interest rate decisions. We use ordered probit models based on the Taylor rule which we estimate using statements by ECB officials as well as macroeconomic variables. Statements by ECB officials on the main refinancing rate and future inflation are significantly related to ECB decisions. However, an out-of-sample evaluation shows that communication-based models do not outperform models based on macroeconomic data in predicting decisions. Both sets of models only accurately predict decisions to leave interest rates unchanged. |
| Keywords: | ECB communication, interest rate decision, Taylor rule, ordered probit models |
| JEL: | E43 E52 E58 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_1804&r=dcm |
| By: | Anna Alberini (University of Maryland); Stefania Tonin (University of Venice-IUAV); Margherita Turvani (University of Venice-IUAV); Aline Chiabai (Fondazione Eni Enrico Mattei) |
| Abstract: | We use conjoint choice questions to investigate people’s preferences for income and reductions in mortality risks delivered by contaminated site remediation policies. Our survey is self-administered using the computer by residents of four cities in Italy with severely contaminated sites. We estimate the Value of a Statistical Life to be about €5.6 million for an immediate risk reduction. If the risk reduction takes place 20 years from now, however, the implied VSL is about €1.26 million. The discount rate implicit in the responses to the conjoint choice questions is about 7%. People are willing to pay for permanent risk reductions, but not just any amount. Risk reductions in the nearer future are valued more highly than risk reductions in the more distant future. We also find that the VSL is “individuated,” in the sense that it depends on observable individual characteristics of the respondents, familiarity with contaminated sites, concern about the health effects of exposure to toxicants, having a family member with cancer, perceived usefulness of possible government actions, and the respondent’s beliefs about the goals of government remediation programs. Additional questions suggest that respondents discount lives, and do so at a discount rate in the ballpark of that implicit in their risk v. money tradeoffs. |
| Keywords: | Value of a Statistical Life, Latent Risk Reductions, Individual Discount Rates, Conjoint Choice Questions, Contaminated Sites, Remediation |
| JEL: | J17 I18 K32 Q51 Q53 |
| Date: | 2006–09 |
| URL: | http://d.repec.org/n?u=RePEc:fem:femwpa:2006.113&r=dcm |
| By: | Nielsen, Lars Relund (Research Unit of Statistics and Decision Analysis); Andersen, Kim Allan (Department of Management Science and Logistics, Aarhus School of Business); Pretolani, Daniele (Department of Sciences and Methods of Engineering) |
| Abstract: | In recent years there has been a growing interest in using stochastic time-dependent (STD) networks as a modelling tool for a number of applications within such areas as transportation and telecommunications. It is known that an optimal routing policy does not necessarily correspond to a path, but rather to a time-adaptive strategy. In some applications, however, it makes good sense to require that the routing policy corresponds to a loopless path in the network, that is, the time-adaptive aspect disappears and a priori route choice is considered. <p> In this paper we consider bicriterion a priori route choice in STD networks, i.e. the problem of finding the set of efficient paths. Both expectation and min-max criteria are considered and a solution method based on the two-phase approach is devised. Experimental results reveal that the full set of efficient solutions can be determined on rather large test instances, which is in contrast to previously reported results for the time-adaptive case |
| Keywords: | Stochastic time-dependent networks; Bicriterion shortest path; A priori route choice; Two-phase method |
| Date: | 2006–09–18 |
| URL: | http://d.repec.org/n?u=RePEc:hhb:aarmsl:2006_010&r=dcm |
| By: | Dagsvik, John K. (Statistics Norway, Research Department.); Locatelli, Marilena (Department of Economics, University of Turin); Strøm, Steinar (Dept. of Economics, University of Oslo) |
| Abstract: | This paper analyzes the properties of a particular sectoral labor supply model developed and estimated in Dagsvik and Strøm (2006). In this model, agents have preferences over sectors and latent job attributes. Moreover, the model allows for a representation of the individual choice sets of feasible jobs in the economy. The properties of the model are explored by calculating elasticities and through simulations of the effects of particular tax reforms. The overall wage elasticities are rather small, but these small elasticities shadow for much stronger sectoral responses. An overall wage increase and, of course, a wage increase in the private sector only, gives women an incentive to shift their labor supply from the public to the private sector. Marginal tax rates were cut considerably in the 1992 tax reform. We find that the impact on overall labor supply is rather modest, but again these modest changes shadow for stronger sectoral changes. The tax reform stimulated the women to shift their labor from the public to the private sector and to work longer hours. A calculation of mean compensated variation shows that the richest households benefited far more from the 1992 tax reform than did the poorest households. |
| Keywords: | Labor supply; married females; structural model; sectoral choice; wage elasticities; evaluation of tax reforms |
| JEL: | C51 J22 |
| Date: | 2006–10–04 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:osloec:2006_020&r=dcm |
| By: | Peresetsky, Anatoly A. (New Economic School); Karminsky , Alexandr A. (Gazprombank, Moscow, Russia); Golovan , Sergei V. (New Economic School) |
| Abstract: | This paper presents results from an econometric analysis of Russian bank defaults during the period 1997–2003, focusing on the extent to which publicly available information from quarterly bank balance sheets is useful in predicting future defaults. Binary choice models are estimated to construct the probability of default model. We find that preliminary expert clustering or automatic clustering improves the predictive power of the models and incor-poration of macrovariables into the models is useful. Heuristic criteria are suggested to help compare model performance from the perspectives of investors or banks supervision authorities. Russian banking system trends after the crisis 1998 are analyzed with rolling regressions. |
| Keywords: | banks; Russia; probability of default model; early warning systems |
| Date: | 2004–12–30 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:bofitp:2004_021&r=dcm |