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Registros recuperados: 10
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Adjustment is Much Slower than You Think AgEcon
Caballero, Ricardo J.; Engel, Eduardo M.R.A..
In most instances, the dynamic response of monetary and other policies to shocks is infrequent and lumpy. The same holds for the microeconomic response of some of the most important economic variables, such as investment, labor demand, and prices. We show that the standard practice of estimating the speed of adjustment of such variables with partial-adjustment ARMA procedures substantially overestimates this speed. For example, for the target federal funds rate, we find that the actual response to shocks is less than half as fast as the estimated response. For investment, labor demand and prices, the speed of adjustment inferred from aggregates of a small number of agents is likely to be close to instantaneous. While aggregating across microeconomic units...
Tipo: Working or Discussion Paper Palavras-chave: Speed of adjustment; Discrete adjustment; Lumpy adjustment; Aggregation; Calvo model; ARMA process; Partial adjustment; Expected response time; Monetary policy; Investment; Labor demand; Sticky prices; Idiosyncratic shocks; Impulse response function; Wold representation; Time-to-build; Financial Economics; C22; C43; D2; E2; E5.
Ano: 2003 URL: http://purl.umn.edu/28419
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Dutch corporate liquidity management: New evidence on aggregation AgEcon
Bruinshoofd, W. Allard; Kool, Clemens J.M..
In this paper we investigate Dutch corporate liquidity management in general, and target adjustment behaviour in particular. To this purpose, we use a simple error correction model of corporate liquidity holdings applied to firm-level data for the period 1977-1997. We confirm the existence of long-run liquidity targets at the firm level. We also find that changes in liquidity holdings are driven by short-run shocks as well as the urge to converge towards targeted liquidity levels. The rate of target convergence is higher when we include more firm-specific information in the target. This result supports the idea that increased precision in defining liquidity targets associates with a faster observed rate of target convergence. It also suggests that the slow...
Tipo: Journal Article Palavras-chave: Corporate liquidity demand; Precautionary liquidity; C33; C43; E41; G3.
Ano: 2004 URL: http://purl.umn.edu/37606
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Environmental Indices for the Chinese Grain Sector AgEcon
Chen, Ming; Karp, Larry S..
Increased population pressure and political decisions have led to more intensive agricultural practices in China. As in other regions of the world, these practices can damage natural capital We use the Kalman filter and Chinese panel data to estimate an index of environmental productivity (natural capital), together with the parameters of environmental dynamics and the production function. These estimates show that intensive practices are likely to have had persistent, substantial, and statistically significant negative effects on productivity. Ignoring these effects can cause substantial misallocation of resources. The results illustrate the possibility of estimating sectoral environmental indices using data commonly available.
Tipo: Working or Discussion Paper Palavras-chave: Chinese agriculture; Dynamic production; Environmental indices; Sustainability; Kalman filter; Crop Production/Industries; Environmental Economics and Policy; Productivity Analysis; QOl; Q21; C32; C43.
Ano: 2001 URL: http://purl.umn.edu/6259
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Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models? AgEcon
Dreger, Christian; Schumacher, Christian.
This paper discusses a large-scale factor model for the German economy. Following the recent literature, a data set of 121 time series is used via principal component analysis to determine the factors, which enter a dynamic model for German GDP. The model is compared with alternative univariate and multivariate models. These models are based on regression techniques and considerably smaller data sets. Out-of-sample forecasts show that the prediction errors of the factor model are smaller than the errors of the rival models. However, these advantages are not statistically significant, as a test for equal forecast accuracy shows. Therefore, the efficiency gains of using a large data set with this kind of factor models seem to be limited. Diese Arbeit...
Tipo: Working or Discussion Paper Palavras-chave: Factor models; Principal components; Forecasting accuracy; International Development; E32; C51; C43.
Ano: 2002 URL: http://purl.umn.edu/26321
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Estimating Poverty Over Time and Space: Construction of a Time-Variant Poverty Index for Costa Rica AgEcon
Cavatassi, Romina; Davis, Benjamin; Lipper, Leslie.
This paper presents the construction of a spatially explicit, nationally disaggregated measure of poverty over time in Costa Rica. The paper first describes the two possible methods considered for the construction of a poverty map: principal component analysis (PCA) versus small area estimation. Next, reasons for choosing PCA and a description of its application both at one point in time (1973) and over time are presented together with the resulting poverty maps. The methodology applied represents a methodological innovation in that the resulting poverty map is time variant rather than concentrated in a single moment in time. A comparison of the results obtainable using various techniques and a discussion on the relative merits of the various options...
Tipo: Working or Discussion Paper Palavras-chave: Poverty Mapping; Principal Component Analysis; Time-variant Poverty Index; Small-area Estimation.; Food Security and Poverty; C43; I32; C31.
Ano: 2004 URL: http://purl.umn.edu/23791
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Input, Output Technical Efficiencies and Total Factor Productivity of Cereal Production in Tunisia AgEcon
Dhehibi, Boubaker; Bahri, Haithem; Annabi, Mohamed.
In this paper, farm level technical efficiency of production and its determinants are investigated in a sample of 51 cereal producing farms located in the main cereal production region in Tunisia using a stochastic frontier production model. Empirical findings show that labor input factor appears with a minimal effect on the production. The hypothesis of constant returns to scale is rejected at the 5% level of significance, and returns to scale were found to be decreasing. Moreover, the estimated coefficients in the technical inefficiency model are also as expected. The estimated coefficients of the instruction level of farmer and the rotation, technical variable, are negatives and statistically significant at 5% level, which indicates their positive...
Tipo: Presentation Palavras-chave: Technical efficiency; Timmer index; Kopp index; TFP; Cereal farms; Tunisia; Agricultural and Food Policy; Farm Management; Production Economics; Productivity Analysis; Research Methods/ Statistical Methods; C43; O47; Q12.
Ano: 2012 URL: http://purl.umn.edu/122866
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Measuring Eco-efficiency of Agricultural Activity in European Countries: A Malmquist Index Analysis AgEcon
Serrao, Amilcar.
This paper develops an environmental performance index by applying the benefit of the doubt weighting and the Malmquist index concepts using Kuosmanen and Kortelainen’s approaches. The main difference between these approaches and other methods is that environmental performance is based on the definition of the eco-efficiency as the ratio of economic value added to the environmental damage index. The overall environmental performance index is also decomposed into two components representing changes due to technological progress (or regress) and due to changes in relative eco-efficiency. The dynamic environmental performance analysis is applied to 15 European agricultures from 1990 to 2004. Model results show that technical progress mostly explain...
Tipo: Conference Paper or Presentation Palavras-chave: Benefit of the doubt weighting; Data Envelopment Analysis; Eco-efficiency; Environmental performance analysis; Malmquist Index; Agricultural Activity; Environmental Economics and Policy; Research Methods/ Statistical Methods; Q57; C43; C61.
Ano: 2008 URL: http://purl.umn.edu/6152
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Measuring Service Quality: The Opinion of Europeans about Utilities AgEcon
Ferrari, P.A.; Salini, S..
This paper provides a comparative analysis of statistical methods to evaluate the consumer perception about the quality of Services of General Interest. The evaluation of the service quality perceived by users is usually based on Customer Satisfaction Survey data and an ex-post evaluation is then performed. Another approach, consisting in evaluating Consumers preferences, supplies an ex-ante information on Service Quality. Here, the ex-post approach is considered, two non-standard techniques - the Rasch Model and the Nonlinear Principal Component Analysis - are presented and the potential of both methods is discussed. These methods are applied on the Eurobarometer Survey data to assess the consumer satisfaction among European countries and in different...
Tipo: Working or Discussion Paper Palavras-chave: Service Quality; Eurobarometer; Non Linear Principal Component Analysis; Rasch Analysis; Conjoint Analysis; C33; C35; C43; L94; L95; L96.
Ano: 2008 URL: http://purl.umn.edu/36758
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The Measurement of the Energy Intensity of Manufacturing Industries: A Principal Components Analysis AgEcon
Bernard, Jean-Thomas; Cote, Bruno.
Energy intensity is the ratio of energy use to output. Most industries deal with several energy sources and outputs. This leads to the usual difficulties of aggregating heterogeneous inputs and outputs. We apply principal components analysis to assess the information derived from six energy intensity indicators. We use two measures of total energy use (thermal and economic) and three measures of industry output (value added, value of production, and value of shipments). The data comes from manufacturing industries in Quebec, Ontario, Alberta, and British Columbia from 1976 to 1996. We find that the variation of the six energy intensity indicators that is accounted for by the first principal component is quite large. However, depending on how variables are...
Tipo: Working or Discussion Paper Palavras-chave: Energy intensity; Aggregation; Principal components analysis; Resource /Energy Economics and Policy; Q40; C43; L60.
Ano: 2002 URL: http://purl.umn.edu/10544
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Vulnerability to Agricultural Drought in Western Orissa: A Case Study of Representative Blocks AgEcon
Swain, Mrutyunjay; Swain, Mamata.
The nature of vulnerability to agricultural drought in three study blocks of Bolangir district in western Orissa has been analysed. The indexing and vulnerability profile method have been used for assessing the nature of drought vulnerability, coping capacity and risk. The study has revealed that the three most influential biophysical factors of drought vulnerability are: rainfall variability, drought intensity and shortage of available waterholding capacity of soil and the three most influential socioeconomic factors are: low irrigation development, poor crop insurance coverage and smaller forest area. It is found that while drought risk varies widely across the study blocks and drought vulnerability and physical exposure to drought vary moderately, the...
Tipo: Journal Article Palavras-chave: Drought; Drought vulnerability; Composite drought vulnerability index; Physical exposure index; Drought risk index; Agricultural and Food Policy; Q54; Q58; C43; O13.
Ano: 2011 URL: http://purl.umn.edu/109415
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