A nonlinear threshold model for the dependence of extremes of stationary sequences

One of the main implications of the efficient market hypothesis (EMH) is that expected future returns on financial assets are not predictable if investors are risk neutral. In this paper we argue that financial time series offer more information than that this hypothesis seems to supply. In particular we postulate that runs of very large returns can be predictable for small time periods. In order to prove this we propose a TAR(3,1)-GARCH(1,1) model that is able to describe two different types of extreme events: a first type generated by large uncertainty regimes where runs of extremes are not predictable and a second type where extremes come from isolated dread/joy events. This model is new in the literature in nonlinear processes. Its novelty resides on two features of the model that make it different from previous TAR methodologies. The regimes are motivated by the occurrence of extreme values and the threshold variable is defined by the shock affecting the process in the preceding period. In this way this model is able to uncover dependence and clustering of extremes in high as well as in low volatility periods. This model is tested with data from General Motors stocks prices corresponding to two crises that had a substantial impact in financial markets worldwide; the Black Monday of October 1987 and September 11th, 2001. By analyzing the periods around these crises we find evidence of statistical significance of our model and thereby of predictability of extremes for September 11th but not for Black Monday. These findings support the hypotheses of a big negative event producing runs of negative returns in the first case, and of the burst of a worldwide stock market bubble in the second example. JEL classification: C12; C15; C22; C51 Keywords and Phrases: asymmetries, crises, extreme values, hypothesis testing, leverage effect, nonlinearities, threshold models

Effects of math anxiety on student success in higher education

This study examines whether math anxiety and negative attitudes toward mathematics have an effect on university students" academic achievement in a methodological course forming part of their degree. A total of 193 students were presented with a math anxiety test and some questions about their enjoyment, self-confidence and motivation regarding mathematics, and their responses were assessed in relation to the grades they had obtained during continuous assessment on a course entitled"Research Design". Results showed that low performance on the course was related to math anxiety and negative attitudes toward mathematics. We suggest that these factors may affect students" performance and should therefore be taken into account in attempts to improve students" learning processes in methodological courses of this kind.

Implementation of the Rijndael-AES algorithm on a Sage-Math worksheet

La principal motivació d'aquest treball ha estat implementar l'algoritme Rijndael-AES en un full Sage-math, paquet de software matemàtic de lliure distribució i en actual desenvolupament, aprofitant les seves eines i funcionalitats integrades.

Abnormal Error Monitoring in Math-Anxious Individuals: Evidence from Error-Related Brain Potentials.

This study used event-related brain potentials to investigate whether math anxiety is related to abnormal error monitoring processing. Seventeen high math-anxious (HMA) and seventeen low math-anxious (LMA) individuals were presented with a numerical and a classical Stroop task. Groups did not differ in terms of trait or state anxiety. We found enhanced error-related negativity (ERN) in the HMA group when subjects committed an error on the numerical Stroop task, but not on the classical Stroop task. Groups did not differ in terms of the correct-related negativity component (CRN), the error positivity component (Pe), classical behavioral measures or post-error measures. The amplitude of the ERN was negatively related to participants" math anxiety scores, showing a more negative amplitude as the score increased. Moreover, using standardized low resolution electromagnetic tomography (sLORETA) we found greater activation of the insula in errors on a numerical task as compared to errors in a nonnumerical task only for the HMA group. The results were interpreted according to the motivational significance theory of the ERN.

Reactive Recruitment of Attentional Control in Math Anxiety: An ERP Study of Numeric Conflict Monitoring and Adaptation

This study uses event-related brain potentials (ERPs) to investigate the electrophysiological correlates of numeric conflict monitoring in math-anxious individuals, by analyzing whether math anxiety is related to abnormal processing in early conflict detection (as shown by the N450 component) and/or in a later, response-related stage of processing (as shown by the conflict sustained potential; Conflict-SP). Conflict adaptation effects were also studied by analyzing the effect of the previous trial"s congruence in current interference. To this end, 17 low math-anxious (LMA)and 17 high math-anxious (HMA) individuals were presented with a numerical Stroop task. Groups were extreme in math anxiety but did not differ in trait or state anxiety or in simple math ability. The interference effect of the current trial (incongruent-congruent) and the interference effect preceded by congruence and by incongruity were analyzed both for behavioral measures and for ERPs. A greater interference effect was found for response times in the HMA group than in the LMA one. Regarding ERPs, the LMA group showed a greater N450 component for the interference effect preceded by congruence than when preceded by incongruity, while the HMA group showed greater Conflict-SP amplitude for the interference effect preceded by congruence than when preceded by incongruity. Our study showed that the electrophysiological correlates of numeric interference in HMA individuals comprise the absence of a conflict adaptation effect in the first stage of conflict processing (N450) and an abnormal subsequent up-regulation of cognitive control in order to overcome the conflict (Conflict-SP). More concretely, our study shows that math anxiety is related to a reactive and compensatory recruitment of control resources that is implemented only when previously exposed to a stimuli presenting conflicting information

External sources of innovation and industry-university interaction:evidence from Spanish firms

This paper is about the firm innovation process and the cooperation of the innovative firms with other firms and public institutions. A special attention is paid to the cooperation with universities. We use the Technological Innovation Survey (TIS) from the Instituto Nacional de Estadística (Spain) in order to obtain data for 4,159 innovative firms. Our results show that firm's cooperation activities are closely linked to the characteristics of the industry and the firm as well as to the origin of public funds for R&D activities. Key words: Innovation, universities, Spanish economy. JEL code: O31, I20, L60

A note on Spatial Autocorrelation at a Local Level

In this paper we analyze the existence of spatial autocorrelation at a local level in Catalonia using variables such as urbanisation economies, population density, human capital and firm entries. From a static approach, our results show that spatial autocorrelation is weak and diminishes as the distance between municipalities increases. From a dynamic approach, however, spatial autocorrelation increased over the period we analysed. These results are important from a policy point of view, since it is essential to know how economic activities are spatially concentrated or disseminated. Key words: spatial autocorrelation, municipalities. JEL classification: R110, R120

Firm Size and Geographical Aggregation: An Empirical Appraisal in Industrial Location

This paper assesses empirically the importance of size discrimination and disaggregate data for deciding where to locate a start-up concern. We compare three econometric specifications using Catalan data: a multinomial logit with 4 and 41 alternatives (provinces and comarques, respectively) in which firm size is the main covariate; a conditional logit with 4 and 41 alternatives including attributes of the sites as well as size-site interactions; and a Poisson model on the comarques and the full spatial choice set (942 municipalities) with site-specific variables. Our results suggest that if these two issues are ignored, conclusions may be misleading. We provide evidence that large and small firms behave differently and conclude that Catalan firms tend to choose between comarques rather than between municipalities. Moreover, labour-intensive firms seem more likely to be located in the city of Barcelona. Keywords: Catalonia, industrial location, multinomial response model. JEL: C250, E30, R00, R12

Should fiscal authorities cooperate in a monetary union with public deficit targets?

In this paper we analyse the setting of optimal policies in a monetary union with one monetary authority and various fiscal authorities that have a public deficit target. We will show that fiscal cooperation among the fiscal authorities, in the presence of positive supply shocks, ends up producing higher public deficits than in a non-cooperative regime. JEL No. E61, E63, F33, H0. Keywords: monetary union, fiscal policy coordination.

The Determinants of Entry are not Independent of Start-up Size: Some evidence from Spanish manufacturing

In this paper we explore the determinants of firm start-up size of Spanish manufacturing industries. The industries' barriers to entry affect the ability of potential entrants to enter the markets and the size range at which they decide to enter. In order to examine the relationships between barriers to entry and size we applied the quantile regression techniques. Our results indicate that the variables that characterize the structure of the market, the variables that are related to the behaviour of the incumbent firms and the rate of growth of the industries generate different barriers depending on the initial size of the entrants. Keywords: Entry, regression quantiles, start-up size. JEL classification: L110, L600

Delegation and information sharing in oligopoly

Information sharing in oligopoly has been analyzed by assuming that firms behave as a sole economic agent. In this paper I assume that ownership and management are separated. Managers are allowed to falsely report their costs to owners and rivals. Under such circumstances, if owners want to achieve information sharing they must use managerial contracts that implement truthful cost reporting by managers as a dominant strategy. I show that, contrary to the classical result, without the inclusion of message-dependent payments in managerial contracts there will be no information sharing. On the other hand, with the inclusion of such publicly observable payments and credible ex-ante commitment by owners not to modify these payments, there will be perfect information sharing without the need for third parties. Keywords: Information sharing, Delegation, Managerial contracts. JEL classification numbers: D21, D82, L13, L21

A territorial approach to firm entry: The effect of city size

This paper concerns the effects of territorial factors on the processes involved in the creation of manufacturing firms in Spanish cities. Most contributions have focused on regional factors rather than urban ones. Here we assume that it is possible to identify certain urban factors that attract new firms. We use data for the entry of firms in Spanish manufacturing industries between 1994 and 2002. This paper contributes to the existing literature on market entry. Key words: cities, regions, firm entry and Spanish economy. JEL: R0, R12, L60

Firm Size and Short-Term Dynamics in Aggregate Entry and Exit

Much of the research on industry dynamics focuses on the interdependence between the sectorial rates of entry and exit. This paper argues that the size of firms and the reaction-adjustment period are important conditions missed in this literature. I illustrate the effects of this omission using data from the Spanish manufacturing industries between 1994 and 2001. Estimates from systems of equations models provide evidence of a conical revolving door phenomenon and of partial adjustments in the replacement-displacement of large firms. KEYWORDS: aggregation, industry dynamics, panel data, symmetry, simultaneity. JEL CLASSIFICATION: C33, C52, L60, L11

A Characterization of single-peaked preferences

We identify in this paper two conditions that characterize the domain of single-peaked preferences on the line in the following sense: a preference profile satisfies these two properties if and only if there exists a linear order $L$ over the set of alternatives such that these preferences are single-peaked with respect L. The first property states that for any subset of alternatives the set of alternatives considered as the worst by all agents cannot contains more than 2 elements. The second property states that two agents cannot disagree on the relative ranking of two alternatives with respect to a third alternative but agree on the (relative) ranking of a fourth one. Classification-JEL: D71, C78

Economic impacts of alternative water policy scenarios in the Spanish production system: an input-output analysis

The objective of this paper is to analyse the economic impacts of alternative water policies implemented in the Spanish production system. The methodology uses two versions of the input-output price model: a competitive formulation and a mark-up formulation. The input-output framework evaluates the impact of water policy measures on production prices, consumption prices, intermediate water demand and private welfare. Our results show that a tax on the water used by sectors considerably reduces the intermediate water demand, and increases the production and consumption prices. On the other hand, according to Jevons' paradox, an improvement in technical efficiency, which leads to a reduction in the water requirements of all sectors and an increase in water production, increases the amount of water consumed. The combination of a tax on water and improved technical efficiency takes the pressure off prices and significantly reduces intermediate water demand. JEL Classification: C67 ; D57 ; Q25. Keywords: Production prices; Consumption prices; Water uses; Water policy; Water taxation.