Recently, the problem of opinion spam has been widespread and has attracted a lot of research attention. While the problem has been approached on a variety of dimensions, the temporal dynamics in which opinion spamming operates is unclear. Are there specific spamming policies that spammers employ? What kind of changes happen with respect to the dynamics to the truthful ratings on entities. How ...

In this paper we use a structural VAR model with block exogeneity to investigate if external shocks originating from the USA played a dominant role in influencing the macroeconomic fluctuations in East Asia during the period 1978-2007. The empirical results show a dynamic effect of external shocks, implying that, even though regional integration appears to be deepening and accelerating, especia...

F ollowing seminal work by Sims (1980a, 1980b), the economics profession has become increasingly concerned with studying sources of economic fluctuations. Sims’s use of vector autoregressions (VARs) made it possible to address both the relative importance and the dynamic effect of various shocks on macroeconomic variables. This type of empirical analysis has had at least two important consequen...

This paper examines the dynamic behaviour of market liquidity on the Tunisian stock exchange (B.V.M.T.) using high frequency data from a reconstructed limit order book. The BVMT is an electronic pure order driven market that relies only on limit orders to supply liquidity, which may affect its viability and its resiliency. First, we apply a VAR model to stocks traded in continuous in order to e...

1. To estimate a small quarterly macroeconomic model of the UK, based on a VAR model of a number of ‘core’ macroeconomic variables, and employing recently developed econometric techniques to test and impose restrictions on the long run relationships of the model. Also, to analyse the short run dynamic properties of the model and to investigate the role of exogenous variables, all with a view to...

This paper investigates conditions under which empirical models that use long-run recursive identifying assumptions will obtain structural impulse response functions. I present a class of structures defined as long-run partially recursive. If an economic structure falls into this class, then certain long-run recursive empirical models are able to identify some of the structural responses. This ...

This paper examines the experiment in macroeconometrics, the different forms it has taken and the rules that have been proposed for its proper conduct. Here an ‘experiment’ means putting a question to a model and getting an answer. Different types of experiment are distinguished and the justification that can be provided for a particular choice of experiment is discussed. Three types of macroec...

This paper presents the optimal strategic asset allocation for investors seeking to hedge inflation risk. Using a vector-autoregressive model, we investigate the optimal choice for an investor with a fixed target real return at different horizons, with shortfall probability constraint. We show that the strategic allocation differs sharply across regimes. In a volatile macroeconomic environment,...

Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modelling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of articles changes in the volatility of the shocks have also been used for identification. The present stud...

With the emergence of social media and Web 2.0, broadcasting in the online environment has evolved into a new form of marketing due to the much broader reach enabled by information technology. This paper examines the organizational use of social media, specifically, artist-generated content, and quantifies the impact of artists’ broadcasting activities on a leading social media site for music, ...