Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania最新文献
This paper studies the importance of idiosyncratic endowment shocks for aggregate asset prices in continuous time. My generalized framework accommodates jumps and heterogeneous recursive preferences. I show that countercyclical cross-sectional risk is irrelevant to risk premia if and only if all agents have identical, time-additive power utility and cross-sectional risk is uncorrelated with aggregate consumption risk. It always affects the riskfree rate and equity volatility. I calibrate a general-equilibrium model in which numerous agents face uninsurable idiosyncratic human-capital disasters. Using Social Security Administration income data, I show that time-varying cross-sectional income skewness is an important driver of asset price dynamics.
{"title":"Heterogeneous-Agent Asset Pricing","authors":"James D. Paron","doi":"10.2139/ssrn.3807456","DOIUrl":"https://doi.org/10.2139/ssrn.3807456","url":null,"abstract":"This paper studies the importance of idiosyncratic endowment shocks for aggregate asset prices in continuous time. My generalized framework accommodates jumps and heterogeneous recursive preferences. I show that countercyclical cross-sectional risk is irrelevant to risk premia if and only if all agents have identical, time-additive power utility and cross-sectional risk is uncorrelated with aggregate consumption risk. It always affects the riskfree rate and equity volatility. I calibrate a general-equilibrium model in which numerous agents face uninsurable idiosyncratic human-capital disasters. Using Social Security Administration income data, I show that time-varying cross-sectional income skewness is an important driver of asset price dynamics.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"47 7 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75273030","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We examine the effects of post-trade transparency on intermediation in the over-the-counter corporate bond market using the staggered introduction of TRACE as a natural experiment. Post-trade transparency leads to increased trading volume and more connected dealer networks. Transparency reduces dealers' profitability but also their portfolio risk and adverse selection costs. In contrast to prior research suggesting that TRACE benefits customers at the expense of dealers, we show that the net effect on dealer welfare is ambiguous. Bond spreads are less predictive of default in a transparent market, consistent with reduced profitability of informed trade weakening incentives to produce information.
{"title":"The Effects of Transparency on OTC Market-Making","authors":"Ryan Lewis, Michael Schwert","doi":"10.2139/ssrn.3286731","DOIUrl":"https://doi.org/10.2139/ssrn.3286731","url":null,"abstract":"We examine the effects of post-trade transparency on intermediation in the over-the-counter corporate bond market using the staggered introduction of TRACE as a natural experiment. Post-trade transparency leads to increased trading volume and more connected dealer networks. Transparency reduces dealers' profitability but also their portfolio risk and adverse selection costs. In contrast to prior research suggesting that TRACE benefits customers at the expense of dealers, we show that the net effect on dealer welfare is ambiguous. Bond spreads are less predictive of default in a transparent market, consistent with reduced profitability of informed trade weakening incentives to produce information.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"73 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77894198","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This Online Appendix includes supplementary discussion and analyses. The original paper "Obfuscation in Mutual Funds" is available at the following URL:
{"title":"Online Appendix for: 'Obfuscation in Mutual Funds'","authors":"E. dehaan, Yang Song, Chloe Xie, C. Zhu","doi":"10.2139/ssrn.3809981","DOIUrl":"https://doi.org/10.2139/ssrn.3809981","url":null,"abstract":"This Online Appendix includes supplementary discussion and analyses. The original paper \"Obfuscation in Mutual Funds\" is available at the following URL:<br><br><a href=\"https://ssrn.com/abstract=3809978\">https://ssrn.com/abstract=3809978</a>","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"33 6 Suppl 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77765092","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Antitrust litigation often requires courts to consider challenges to vertical “control.” How does a firm injure competition by limiting the behavior of vertically related firms? Competitive injury includes harm to consumers, labor, or other suppliers from reduced output and higher margins. Historically antitrust considers this issue by attempting to identify a market that is vertically related to the defendant, and then consider what portion of it is “foreclosed” by the vertical practice. There are better mechanisms for identifying competitive harm, including a more individualized look at how the practice injures the best placed firms or bears directly on a firm’s ability to reduce output and increase its price without losing so many sales that the price increase is unprofitable. One important consequence of these new approaches is that the market share numbers that the antitrust case law traditionally attaches to foreclosure percentages are not particularly meaningful. The tying and exclusive dealing case law generally aggregates the market subject to foreclosure concerns and considers foreclosure as a percentage of an undifferentiated whole. In general, it proclaims minimum market foreclosure percentages in the range of 30% - 40% as a condition for illegality. When we focus more accurately on marginal effects and the possibility of raising rivals’ costs, however, these numbers are much less significant. For example, if the lowest cost firm in a market is subject to an exclusivity agreement, anticompetitive results, particularly RRC, could obtain even if the percentage of total sales is far less than 30%. By contrast, if only the least efficient firm or firms in a market were made subject to such an agreement, even aggregate foreclosure percentages higher than 40% might result in no competitive harm.
{"title":"Vertical Control","authors":"Herbert Hovenkamp","doi":"10.2139/ssrn.3793733","DOIUrl":"https://doi.org/10.2139/ssrn.3793733","url":null,"abstract":"Antitrust litigation often requires courts to consider challenges to vertical “control.” How does a firm injure competition by limiting the behavior of vertically related firms? Competitive injury includes harm to consumers, labor, or other suppliers from reduced output and higher margins. Historically antitrust considers this issue by attempting to identify a market that is vertically related to the defendant, and then consider what portion of it is “foreclosed” by the vertical practice. There are better mechanisms for identifying competitive harm, including a more individualized look at how the practice injures the best placed firms or bears directly on a firm’s ability to reduce output and increase its price without losing so many sales that the price increase is unprofitable. One important consequence of these new approaches is that the market share numbers that the antitrust case law traditionally attaches to foreclosure percentages are not particularly meaningful. The tying and exclusive dealing case law generally aggregates the market subject to foreclosure concerns and considers foreclosure as a percentage of an undifferentiated whole. In general, it proclaims minimum market foreclosure percentages in the range of 30% - 40% as a condition for illegality. When we focus more accurately on marginal effects and the possibility of raising rivals’ costs, however, these numbers are much less significant. For example, if the lowest cost firm in a market is subject to an exclusivity agreement, anticompetitive results, particularly RRC, could obtain even if the percentage of total sales is far less than 30%. By contrast, if only the least efficient firm or firms in a market were made subject to such an agreement, even aggregate foreclosure percentages higher than 40% might result in no competitive harm.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"9 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89309902","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Daniel L. Greenwald, T. Landvoigt, Stijn Van Nieuwerburgh
Shared Appreciation Mortgages feature mortgage payments that adjust with house prices. They are designed to stave off borrower default by providing payment relief when house prices fall. Some argue that SAMs may help prevent the next foreclosure crisis. However, home owners' gains from payment relief are mortgage lenders' losses. A general equilibrium model in which financial intermediaries channel savings from saver to borrower households shows that indexation of mortgage payments to aggregate house prices increases financial fragility, reduces risk-sharing, and leads to expensive financial sector bailouts. In contrast, indexation to local house prices reduces financial fragility and improves risk-sharing.
{"title":"Financial Fragility with SAM?","authors":"Daniel L. Greenwald, T. Landvoigt, Stijn Van Nieuwerburgh","doi":"10.2139/ssrn.3069621","DOIUrl":"https://doi.org/10.2139/ssrn.3069621","url":null,"abstract":"Shared Appreciation Mortgages feature mortgage payments that adjust with house prices. They are designed to stave off borrower default by providing payment relief when house prices fall. Some argue that SAMs may help prevent the next foreclosure crisis. However, home owners' gains from payment relief are mortgage lenders' losses. A general equilibrium model in which financial intermediaries channel savings from saver to borrower households shows that indexation of mortgage payments to aggregate house prices increases financial fragility, reduces risk-sharing, and leads to expensive financial sector bailouts. In contrast, indexation to local house prices reduces financial fragility and improves risk-sharing.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"150 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75050028","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
US government bonds exhibit many characteristics often attributed to safe assets: They are very liquid and lenders readily accept them as collateral. Indeed, a growing literature documents significant convenience yields, perhaps due to liquidity, in scarce US Treasuries, suggesting that rising Treasury supply and government debt comes with a declining liquidity premium and a fall in firms' relative cost of debt financing. In this paper, we empirically document a dual role for government debt. Through a liquidity channel, an increase in government debt improves liquidity and lowers liquidity premia by facilitating debt rollover, thereby reducing credit spreads. Through an uncertainty channel, however, rising government debt creates policy uncertainty, raising credit spreads and default risk premia. We interpret and quantitatively evaluate these two channels through the lens of a general equilibrium asset pricing model with risk-sensitive agents subject to liquidity shocks, in which firms issue defaultable bonds and the government issues tax-financed bonds that endogenously enjoy liquidity benefits. The calibrated model generates quantitatively realistic liquidity spreads and default risk premia, in line with historical US debt policies and low corporate default rates. Quantitatively, our model suggests that while rising government debt reduces liquidity spreads, it not only crowds out corporate debt financing, and therefore, investment, but also creates uncertainty reflected in endogenous tax volatility, credit spreads, and risk premia, and ultimately consumption volatility. Therefore, increasing safe asset supply can be risky.
{"title":"The Risks of Safe Assets","authors":"Yang Liu, L. Schmid, A. Yaron","doi":"10.2139/ssrn.3699618","DOIUrl":"https://doi.org/10.2139/ssrn.3699618","url":null,"abstract":"US government bonds exhibit many characteristics often attributed to safe assets: They are very liquid and lenders readily accept them as collateral. Indeed, a growing literature documents significant convenience yields, perhaps due to liquidity, in scarce US Treasuries, suggesting that rising Treasury supply and government debt comes with a declining liquidity premium and a fall in firms' relative cost of debt financing. In this paper, we empirically document a dual role for government debt. Through a liquidity channel, an increase in government debt improves liquidity and lowers liquidity premia by facilitating debt rollover, thereby reducing credit spreads. Through an uncertainty channel, however, rising government debt creates policy uncertainty, raising credit spreads and default risk premia. We interpret and quantitatively evaluate these two channels through the lens of a general equilibrium asset pricing model with risk-sensitive agents subject to liquidity shocks, in which firms issue defaultable bonds and the government issues tax-financed bonds that endogenously enjoy liquidity benefits. The calibrated model generates quantitatively realistic liquidity spreads and default risk premia, in line with historical US debt policies and low corporate default rates. Quantitatively, our model suggests that while rising government debt reduces liquidity spreads, it not only crowds out corporate debt financing, and therefore, investment, but also creates uncertainty reflected in endogenous tax volatility, credit spreads, and risk premia, and ultimately consumption volatility. Therefore, increasing safe asset supply can be risky.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"17 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90972450","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We identify fixed-income mutual funds as an important contributor to the unusually high selling pressure in traditionally liquid asset markets during the Covid-19 crisis. We show that mutual fund liquidity transformation leads to pronounced investor outflows. In meeting redemptions, funds followed a pecking order by first selling their more liquid assets, which generated the most concentrated selling pressure in traditionally more liquid asset markets. Investors' flight to liquidity was thereby turned into an aggregate reverse flight to liquidity. The Fed's announced purchase of illiquid securities may be an effective policy tool for stabilizing liquidity transformation and liquid asset markets.
{"title":"Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity","authors":"Yiming Ma, Kairong Xiao, Yao Zeng","doi":"10.2139/ssrn.3640861","DOIUrl":"https://doi.org/10.2139/ssrn.3640861","url":null,"abstract":"We identify fixed-income mutual funds as an important contributor to the unusually high selling pressure in traditionally liquid asset markets during the Covid-19 crisis. We show that mutual fund liquidity transformation leads to pronounced investor outflows. In meeting redemptions, funds followed a pecking order by first selling their more liquid assets, which generated the most concentrated selling pressure in traditionally more liquid asset markets. Investors' flight to liquidity was thereby turned into an aggregate reverse flight to liquidity. The Fed's announced purchase of illiquid securities may be an effective policy tool for stabilizing liquidity transformation and liquid asset markets.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"22 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78671953","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this paper, we use matched employer-employee data from Denmark to analyze the extent to which firms’ productivity shocks are passed to workers wages. The richness of our dataset allows us to separately study continuing and non-continuing workers (switchers), to correct for selection, and to investigate how the passthrough varies across narrow population groups. Our results show a much larger degree of passthrough from firms’ shocks to workers’ wages than reported in previous research. On average, an increase of one standard deviation in firm-level TFP commands an increase of 3.0% in annual wages ($1500 USD for the average worker). Furthermore, we find that the effect of productivity shocks on wage growth for switchers is of larger magnitude relative to workers that stay in the same firm. Finally, we find large differences in the passthrough of productivity shocks to wages for workers of different income levels, ages, industries, and working in firms of different productivity levels. In the second part of our paper, we estimate a stochastic process of income that captures the salient features of the relation between firm-level shocks and the passthrough to workers' wages. We then embed the estimated stochastic process into a life-cycle consumption savings model with incomplete markets in order to evaluate the welfare and distributional implications of the passthrough from firm's TFP shocks to worker's wages we observe in the data.
{"title":"Heterogeneous Passthrough from TFP to Wages","authors":"Mons Chan, Sergio C. Salgado, Ming Xu","doi":"10.2139/ssrn.3538503","DOIUrl":"https://doi.org/10.2139/ssrn.3538503","url":null,"abstract":"In this paper, we use matched employer-employee data from Denmark to analyze the extent to which firms’ productivity shocks are passed to workers wages. The richness of our dataset allows us to separately study continuing and non-continuing workers (switchers), to correct for selection, and to investigate how the passthrough varies across narrow population groups. Our results show a much larger degree of passthrough from firms’ shocks to workers’ wages than reported in previous research. On average, an increase of one standard deviation in firm-level TFP commands an increase of 3.0% in annual wages ($1500 USD for the average worker). Furthermore, we find that the effect of productivity shocks on wage growth for switchers is of larger magnitude relative to workers that stay in the same firm. Finally, we find large differences in the passthrough of productivity shocks to wages for workers of different income levels, ages, industries, and working in firms of different productivity levels. In the second part of our paper, we estimate a stochastic process of income that captures the salient features of the relation between firm-level shocks and the passthrough to workers' wages. We then embed the estimated stochastic process into a life-cycle consumption savings model with incomplete markets in order to evaluate the welfare and distributional implications of the passthrough from firm's TFP shocks to worker's wages we observe in the data.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89703518","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A financial constraint that prevents access to external funds induces non-classical measurement error in average q as a proxy for unobservable marginal q. Unlike classical measurement error, this measurement error biases upward the coefficient on average q in a univariate regression of investment on average q. In a multiple regression of investment on average q and cash flow, the coefficient on cash flow is positive. The positive cash-flow coefficient indicates the presence of a financial constraint, but it does not indicate a shortage of liquidity to fund current investment. In addition, the coefficient on average q is biased downward.
{"title":"An Analytic Framework for Interpreting Investment Regressions in the Presence of Financial Constraints","authors":"Andrew B. Abel, Stavros Panageas","doi":"10.2139/ssrn.3558246","DOIUrl":"https://doi.org/10.2139/ssrn.3558246","url":null,"abstract":"A financial constraint that prevents access to external funds induces non-classical measurement error in average q as a proxy for unobservable marginal q. Unlike classical measurement error, this measurement error biases upward the coefficient on average q in a univariate regression of investment on average q. In a multiple regression of investment on average q and cash flow, the coefficient on cash flow is positive. The positive cash-flow coefficient indicates the presence of a financial constraint, but it does not indicate a shortage of liquidity to fund current investment. In addition, the coefficient on average q is biased downward.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78078498","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Many applications involve a hierarchy of time-series, where values at the bottom level aggregate to values at higher levels. Forecasts of such hierarchical data need to be accurate, probabilistic, and coherent in the sense of respecting hierarchical aggregation. While recent developments have explicitly modeled every time-series in the hierarchy, we show, under general conditions, that hierarchical data can be modeled jointly by considering only its bottom-level series and their contemporaneous covariance. Inspired by this result, we devise a Bayesian method that models bottom-level series jointly, takes into account their contemporaneous covariance, and performs automatic selection of lag terms, both within and across series. The model copes with high-dimensional data, and outputs both point and probabilistic forecasts. Additionally, it returns posterior distributions of all parameters, which can be used for inference. As a case study, we apply our method to make recommendations on planning and promotion of domestic tourism in Australia. Our model reveals the hidden spatio-temporal dynamics of different types of domestic tourism in Australia, and allows us to explore how promotional investments could be localized to develop tourism in accordance with the declared desiderata of the Australian government.
{"title":"Joint Bottom-Up Method for Forecasting Grouped Time Series: Application to Australian Domestic Tourism","authors":"N. Bertani, Ville A. Satopää, Shane T. Jensen","doi":"10.2139/ssrn.3542278","DOIUrl":"https://doi.org/10.2139/ssrn.3542278","url":null,"abstract":"Many applications involve a hierarchy of time-series, where values at the bottom level aggregate to values at higher levels. Forecasts of such hierarchical data need to be accurate, probabilistic, and coherent in the sense of respecting hierarchical aggregation. While recent developments have explicitly modeled every time-series in the hierarchy, we show, under general conditions, that hierarchical data can be modeled jointly by considering only its bottom-level series and their contemporaneous covariance. Inspired by this result, we devise a Bayesian method that models bottom-level series jointly, takes into account their contemporaneous covariance, and performs automatic selection of lag terms, both within and across series. The model copes with high-dimensional data, and outputs both point and probabilistic forecasts. Additionally, it returns posterior distributions of all parameters, which can be used for inference. As a case study, we apply our method to make recommendations on planning and promotion of domestic tourism in Australia. Our model reveals the hidden spatio-temporal dynamics of different types of domestic tourism in Australia, and allows us to explore how promotional investments could be localized to develop tourism in accordance with the declared desiderata of the Australian government.","PeriodicalId":80976,"journal":{"name":"Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania","volume":"9 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2020-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74697717","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Comparative labor law journal : a publication of the U.S. National Branch of the International Society for Labor Law and Social Security [and] the Wharton School, and the Law School of the University of Pennsylvania
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