Bagnai, A., Mongeau Ospina, C.A., 2018, Asymmetries, outliers and structural stability in the US gasoline market, Energy Economics, 69.
Abstract: By using a recently developed nonlinear cointegration methodology, and a sample that encompasses more than thirty years of monthly data, we investigate whether the transmission of crude oil price variations to gasoline prices in the US market is asymmetric, i.e.,depends on the sign of the change in the explanatory variable, considering both the long- and the short-run. The model is further extended by taking separately into account the effects of extreme and mild changes in crude oil prices. This allows us to verify whether and to what extent the size and shape of any observed asymmetry in pricing is affected by the presence of outliers. Moreover, given the substantial length of the sample considered, we test for the possible presence of multiple structural breaks of unknown timing in the cointegrating vector. Our results indicate that the relationship between the prices of gasoline and crude oil has undergone a single structural break in the late 2008, and that after the break extreme observations have a non-negligible role in shaping asymmetry.
Bagnai, A., Mongeau Ospina, C.A., 2017, Monetary integration vs. real disintegration: single currency and productivity divergence in the euro area, Journal of Economic Policy Reform, .
Abstract: Productivity slowdown plays a prominent role in the build-up of the euro area crisis. This phenomenon affected member countries asymmetrically, causing divergence in their productivity trends. Recent research traces this divergence back to monetary integration. After reviewing the arguments that link real 'disintegration' of the euro area to its monetary integration, we assess them empirically by modelling the evolution of labour productivity using a panel of sectorial data. The results indicate that monetary unification may actually have fostered divergence in productivity trends, and suggest some economic policy measures that could prevent further divergence.
Bagnai, A., Mongeau Ospina, C.A., 2017, Neoclassical versus Kaldorian explanations of Southern Europe's productivity slowdown, Acta Oeconomica, 67.
Abstract: The productivity slowdown in European countries is among the major stylised facts of the last two decades. Several explanations have been proposed: some focus on demand-side effects, working through Kaldor's second law of economic growth (also known as Verdoorn's law), others on supply-side effects determined by a misallocation of the factors of production, caused either by labour market reforms or by perverse effects of financial integration (in Europe, related to the adoption of the euro). The latter explanation is put forward by some recent studies that stress how low interest rates brought about by the monetary union may have lowered productivity by inducing capital misallocation. The aim of this paper is to investigate the robustness of the latter empirical findings and to compare them with the alternative explanation offered by the post-Keynesian growth model, which instead emphasises the relation between foreign trade and productivity, along lines that go back to Adam Smith. To do so, we use a panel of industry-level data extracted from the EU KLEMS database, comparing these alternative explanations by panel cointegration techniques. The results shed some light on the role played by the single currency in the structural divergences among euro area member countries.
Bagnai, A., Mongeau Ospina, C.A., 2017, Withdrawal of Italy from the euro area: stochastic simulations of a structural macroeconometric model, Economic Modelling, 64.
Abstract: This paper assesses the impact on the Italian economy of Italy withdrawing from the euro area by means of stochastic simulations of a macroeconometric model. The model considers the effect of devaluation on output, sovereign debt valuation, and the development of bilateral economic relations between Italy and its major trade partners. The simulation results are consistent with the findings of recent applied research: the Italian economy would follow the V-shaped pattern observed in most currency crises. After an initial period of stress, and provided an appropriate set of countercyclical policy measures is implemented, real GDP would recover and resume growth at a reasonable pace. In particular, while the expected positive impact of nominal exchange rate realignment on external balance would be transitory, higher nominal growth would bring about a persistent reduction in unemployment and the public debt-to-GDP ratio. These results are robust to a set of sensitivity checks, considering a number of adverse circumstances such as exchange rate overshooting, financial panic, supply-side constraints, and the application of retaliatory tariffs.
Antonelli, C., Crespi, F., Mongeau Ospina, C.A., Scellato, G., 2016, Knowledge composition, Jacobs externalities and innovation performance in European regions, Regional Studies, 57.
Abstract: This paper analyses the role of the composition of the regional stock of knowledge in explaining innovation performance. It provides three main contributions. First, it investigates the relevance of Jacobs knowledge externalities in characterizing the technological capabilities at the regional level. Second, it applies the Hidalgo-Hausmann (HH) methodology to analyze knowledge composition by looking at patent data of 214 regions, located in 27 state members of the European Union during the years 1994-2008. Third, it econometrically assesses the role of knowledge base composition in a knowledge-generation function. The results of the empirical analysis confirm that the characterization of the regional knowledge base through the HH indicators provides interesting information to understanding its composition and to qualify it as a provider of the Jacobs knowledge externalities that account for the dynamics of regional innovative performance.
Curci, Y., Mongeau Ospina, C.A., 2016, Investigating biofuels through network analysis, Energy Policy, 97.
Abstract: Biofuel policies are motivated by a plethora of political concerns related to energy security, environmental damages, and support of the agricultural sector. In response to this, much scientific work has chiefly focussed on analysing the biofuel domain and on giving policy advice and recommendations. Although innovation has been acknowledged as one of the key factors in sustainable and cost-effective biofuel development, there is an urgent need to investigate technological trajectories in the biofuel sector by starting from consistent data and appropriate methodological tools. To do so, this work proposes a procedure to select patent data unequivocally related to the investigated sector, it uses co-occurrence of technological terms to compute patent similarity and highlights content and interdependencies of biofuels technological trajectories by revealing hidden topics from unstructured patent text fields. The analysis suggests that there is a breaking trend towards modern generation biofuels and that innovators seem to focus increasingly on the ability of alternative energy sources to adapt to the transport/industrial sector.
Bagnai, A., Mongeau Ospina, C.A., 2016, "Asymmetric asymmetries" in Eurozone markets gasoline pricing, Journal of Economic Asymmetries, 13.
Abstract: Building on the well-established 'rockets and feathers' literature and on the recently developed nonlinear autoregressive distributed lag (NARDL) modelling, we investigate the asymmetries in gasoline pricing in a comprehensive sample of monthly data from twelve Eurozone countries from 1999:1 to 2015:12. The empirical results feature two robust patterns. Firstly, while the effects of exchange rate variations display positive asymmetry (i.e., depreciations have a greater effect than appreciations), crude price variations induce negative asymmetry (i.e., reductions in the price of crude oil have a greater effect than price rises). Secondly, the positive asymmetry to exchange rate changes is stronger in core Eurozone countries. The negative asymmetry with respect to crude oil prices confirms the results of recent empirical research and theoretical models. The different behavior between Eurozone core and periphery provides further insights into the nature of pricing asymmetries.
Bagnai, A., Mongeau Ospina, C.A., 2015, Long- and short-run price asymmetries and hysteresis in the Italian gasoline market, Energy Policy, 78.
Abstract: Using monthly data from 1994 to 2013 we study the long-run relation of the pre-tax retail prices of gasoline with crude price and the nominal exchange rate. We find a strongly significant long-run relation. We then use the nonlinear ARDL (NARDL) model to assess the asymmetries on both the short- and long-run elasticities, as well as the presence of hysteresis in the pricing behaviour. The estimation results confirm the presence of asymmetry in the long-run elasticities, with significant differences between the crude price and the exchange rate, as well as the presence of hysteresis in the relation between the retail price of gasoline and crude oil price.
Bagnai, A., Mongeau Ospina, C.A., 2014, The impact of an exchange rate realignment on the Italian trade balance: Euro vs. national Currency, Applied Economics Quarterly, 60.
Abstract: It is frequently claimed that the current EUR/USD exchange rate is too high and that a depreciation of the EUR against the USD would help to relieve the Eurozone economy from its current state of persistent crisis. Evidence provided by the a/simmetrie annual econometric model suggests that this claim is unsupported by the data, at least as far as the Italian economy is concerned. In fact, the size and sign of the trade elasticities show that the increases in net exports towards non-Eurozone countries, brought about by the depreciation of the euro, would be offset by an increase in net imports from Eurozone countries, brought about by the increase in Italian domestic demand. To put it simply, in the event of a depreciation of the EUR, the Italian economy would not only suffer higher energy costs (because of the depreciation vis-à-vis OPEC countries), but would also spend in the Eurozone core much of the money it earned in the US, Japan, and the emerging countries, with a net effect likely to be almost zero or negative in the first three to four years.