Nous étudions le problème de l'estimation de moyenne et de la densité prédictive d'une population sélectionnée, en obtenant de nouveaux développements qui incluent l'analyse de biais, la décomposition du risque et les problèmes avec restrictions sur les paramètres (chapitre 2). Nous proposons des estimateurs de densité prédictive efficaces en termes de pertes Kullback-Leibler et Hellinger (chapitre 3) améliorant les procédures de plug-in via une perte duale et via une d'expansion de variance. Enfin, nous présentons les résultats de l'amélioration de l'estimateur du maximum de vraisemblance (EMV) d'une moyenne normale bornée pour une classe de fonctions de perte, y compris la perte normale réfléchie, avec des implications pour l'estimation de densité prédictive. A savoir, nous donnons des conditions sur la perte et la largeur de l'espace paramétrique pour lesquels l'estimateur de Bayes par rapport à la loi a priori uniforme sur la frontière domine la EMV. / Abstract : We study the problem of point estimation and predictive density estimation of the mean of a selected population, obtaining novel developments which include bias analysis, decomposition of risk, and problems with restricted parameters (Chapter 2). We propose efficient predictive density estimators in terms of Kullback-Leibler and Hellinger losses (Chapter 3) improving on plug-in procedures via a dual loss and via a variance expansion scheme. Finally (Chapter 4), we present findings on improving on the maximum likelihood estimator (MLE) of a bounded normal mean under a class of loss functions, including reflected normal loss, with implications for predictive density estimation. Namely, we give conditions on the loss and the width of the parameter space for which the Bayes estimator with respect to the boundary uniform prior dominates the MLE.​

The main objective of this thesis is to offer empirical evidence in support of the hypothesis that differences in firms' balance sheet structures may generate heterogeneous responses to monetary policy innovations. To this end in the second, introductory, chapter we start providing some evidence in favor of a large degree of heterogeneity in the asset and liability side of the balance sheet structure of manufacturing firms belonging to different European countries and different size classes. This static comparison is complemented with a quantitative assessment of the sensitivity of asset and liability items to business cycle conditions.In the third chapter we focus on a specific dimension along which the presence of heterogeneities in the balance sheet structure may induce different responses to a monetary policy action. In particular we address the existence of a channel of transmission of monetary policy, the cost-channel, that operates through the effect of interest expenses on the marginal cost of production. Such a channel is based on an active role of net working capital (inventories, plus trade receivables, less trade payables) in the production process and on the fact that variations in interest rate and credit conditions alter firms' short-run ability to produce final output by investing in net working capital. It has been argued that this mechanism may explain the dimension of the real effects of monetary policy, give a rationale for the positive short-run response of prices to rate increases (the "price puzzle") and call for a more gradual monetary policy response to shocks. The analysis is based on a unique panel, that includes about 2,000 Italian manufacturing firms and 14 years of data on individual prices and interest rates paid on several types of debt. We find robust evidence in favor of the presence of a cost-channel of monetary policy transmission, proportional to the amount of working capital held by each firm and with a size large enough to have non-trivial monetary policy implications. The empirical analysis of chapter three is based on the hypothesis that the type of heterogeneity that produces different firm level responses to an interest rate variation is well defined and measurable. On the contrary, most of the empirical literature that tests for the existence of heterogeneous effects of monetary policy on firms' production or investment choices is based on an ad hoc assumption of the specific firm level characteristic that should distinguish more sensitive from less sensitive firms. A similar degree of arbitrariness is adopted in selecting the number of classes of firms characterized by different responses to monetary policy shocks as well as in the selection of the cutoff points. The objective of chapter four is to apply a recent econometric methodology that building on data predictive density provides a well defined criteria to detect both the "optimal" dimension along which analyze firms' responses to monetary policy innovations and the "optimal" endogenous groups. The empirical analysis is focused on Italian manufacturing firms and, in particular, on the response of inventory investment to monetary policy shocks from 1983 to 1998. The main results are the following. In strike contrast with what is normally assumed in the literature in most of the cases it turns out that the optimal number of classes that is larger than two. Moreover orderings that are based on variables that are normally thought to be equivalent proxies for the size of the firm (i.e. turnover, total assets and level of employment) do not lead neither to the same number of groups nor to similar splitting points. Finally even if endogenous clusters are mainly characterized by different degrees of within group heterogeneity, with groups composed by smaller firms showing the largest dispersion, there also exist important differences in the average effect of monetary policy across groups. In particular the fact that some of the orderings do not show the expected monotonicity between the rank and the average effect appears to be one of the most remarkable aspects.

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Shrinkage for time-varying parameter (TVP) models is investigated within a Bayesian framework, with the aim to automatically reduce time-varying Parameters to staticones, if the model is overfitting. This is achieved through placing the double gamma shrinkage prior on the process variances. An efficient Markov chain Monte Carlo scheme is devel- oped, exploiting boosting based on the ancillarity-sufficiency interweaving strategy. The method is applicable both to TVP models for univariate a swell as multivariate time series. Applications include a TVP generalized Phillips curve for EU area inflation modeling and a multivariate TVP Cholesky stochastic volatility model for joint modeling of the Returns from the DAX-30index.