Digital Commons Network^™

2023-5 History Of Economic Thought's Place In Macroeconomics Revisited, David Laidler

Department of Economics Research Reports

The History of Economics Society was founded at a time when the History of Economic Thought was being expelled from the Economics post-graduate curriculum in many universities, and was one of the key institutions around which the sub-discipline successfully re-organised itself and continued to develop. Laidler (2003) argued that Economics itself, especially Macroeconomics, was suffering serious damage from this expulsion. It has continued to do so since.

2023-01 The Insurance Implications Of Government Student Loan Repayment Schemes, Martin Gervais, Qian Liu, Lance Lochner

Centre for Human Capital and Productivity. CHCP Working Papers

No abstract provided.

2023-02 Adverse Selection Among Early Adopters And Unraveling Innovation, Rory Mcgee

Centre for Human Capital and Productivity. CHCP Working Papers

I provide an equilibrium analysis of “selection markets”: where consumers not only vary in how much they are willing to pay, but also in how much they cost to the seller. The model provides a joint explanation for three empirical phenomena: low uptake of existing products, slow demand for new products, and market inactivity despite unmet demand. I characterize when early adopters are more adversely selected in new markets. This lowers demand, increases costs, and leads markets to unravel prematurely. With endogenous market entry for new products (e.g., reverse mortgages, annuities), extended patents serve as de facto time-varying subsidies.

Statistical Roles Of The G-Expectation Framework In Model Uncertainty: The Semi-G-Structure As A Stepping Stone, Yifan Li

Electronic Thesis and Dissertation Repository

The G-expectation framework is a generalization of the classical probability system based on the sublinear expectation to deal with phenomena that cannot be described by a single probabilistic model. These phenomena are closely related to the long-existing concern about model uncertainty in statistics. However, the distributions and independence in the G-framework are quite different from the classical setup. These distinctions bring difficulty when applying the idea of this framework to general statistical practice. Therefore, a fundamental and unavoidable problem is how to better understand G-version concepts from a statistical perspective.

To explore this problem, this thesis establishes a new substructure …

Cnn-Lstm Vs Ann: Option Pricing Theory, Edward Chang

Undergraduate Student Research Internships Conference

The modern derivatives market has been steadily growing since the development of the first accurate option pricing model by Fischer Black, Robert Merton, and Myron Scholes. Since then, there have been many different approaches to more accurately price options like the binomial option pricing model and approaches using technology such as machine learning. There are many different research papers on option pricing with artificial neural networks (“ANN”) but not many with other neural network types. We contribute to the existing literature by developing a convolutional neural network – long short-term memory (“CNN-LSTM”) model to price options and compare it to …

Community Development Agreements: The Hardening And Evaluation Of A Norm, Luka G. Petrusevski

Electronic Thesis and Dissertation Repository

Large scale mining projects generate highly variable outcomes. Proponents of mining cite benefits including job creation and revenue generation, while critics point to adverse social and economic impacts borne by mining-proximate communities. Community-based concerns about mining operations have raised ethical and social justice considerations relating to human-rights and consent. Community development agreements (CDAs) have emerged as an increasingly common tool to address such concerns and facilitate the delivery of tangible benefits from mining operations to affected communities. The effectiveness of CDAs, however, varies widely depending on the negotiated provisions and their implementation. This work contributes to the understanding of CDAs …

The Effect Of Leverage On Credit Default Swaps, Xiling Lai

Undergraduate Student Research Internships Conference

The research investigates the effect of leverage on the pricing of Credit Default Swaps (CDS) and focuses on key sectors of the economy: Technology, Financials, Consumer Staples and Industrials. CDS are financial instruments that were developed a few decades ago and have become more widely used in financial markets for hedging credit exposures. Given their prevalence in financial markets, it is important to understand how CDS spreads change when reference entities modify their capital structure.

In the regression analysis, the level of CDS spread is used as dependent variable, and the standardized relative leverage is used as independent variable. My …

Essays On Conflict Mediation, Ali Kamranzadeh

Electronic Thesis and Dissertation Repository

An important barrier to conflict resolution is asymmetric information. That is adversaries have private information about their objectives, resources, and strengths during the conflict and have incentives to misrepresent this information during the negotiations. Third-party institutions, like mediators, can help adversaries to reach an agreement by making a peace proposal. In this thesis, I explore the implication of asymmetric information of players to the design of an optimal peace proposal by a mediator.

Chapter 2, co-authored with Charles Zheng, studies a problem of conflict mediation where a mediator proposes a split of a good between two ex-ante identical contestants thereby …

Essays On Market Design And Auctions, Mingshi Kang

Electronic Thesis and Dissertation Repository

My thesis consists of three chapters that contribute to redistribution-driven market design and sponsored link auctions.

Chapter 2 and 3 (co-authored with Charles Zheng) study redistribution-driven market design with endogenous buyers and sellers. In Chapter 2, we consider a large market environment with each individual endowed with equal shares of a limited resources and allowed to buy or sell the shares. We characterize the interim (incentive-constrained) Pareto frontier subject to market clearance and budget balance, and find that at most two prices are needed to attain any (interim) Pareto optimum. Under robust conditions of the primitives, the Pareto optimal allocation …

Application Of A Polynomial Affine Method In Dynamic Portfolio Choice, Yichen Zhu

Electronic Thesis and Dissertation Repository

This thesis develops numerical approaches to attain optimal multi-period portfolio strategies in the context of advanced stochastic models within expected utility and mean-variance theories. Unlike common buy-and-hold portfolio strategies, dynamic asset allocation reflects the investment philosophy of a portfolio manager that benefits from the most recent market conditions to rebalance the portfolio accordingly. This enables managers to capture fleeting opportunities in the markets thereby enhancing the portfolio performance. However, the solvability of the dynamic asset allocation problem is often non-analytical, especially when considering a high-dimensional portfolio with advanced models mimicking practical asset's return. To overcome this issue, this thesis presents …

2022-5 Estimation Of Parametric Binary Outcome Models With Degenerate Pure Choice-Based Data With Application To Covid-19-Positive Tests From British Columbia, Nail Kashaev

Department of Economics Research Reports

I propose a generalized method of moments type procedure to estimate parametric binary choice models when the researcher only observes degenerate pure choices-based or presence-only data and has some information about the distribution of the covariates. This auxiliary information comes in the form of moments. I present an application based on the data on all COVID-19-positive tests from British Columbia. Publicly available demographic information on the population in British Columbia allows me to estimate the conditional probability of a person being COVID-19-positively tested conditional on demographics

2022-3 A Random Attention And Utility Model, Nail Kashaev, Victor H. Aguiar

Department of Economics Research Reports

We generalize the stochastic revealed preference methodology of McFadden and Richter (1990) for finite choice sets to settings with limited consideration. Our approach is nonparametric and requires partial choice set variation. We impose a monotonicity condition on attention first proposed by Cattaneo et al. (2020) and a stability condition on the marginal distribution of preferences. Our framework is amenable to statistical testing. These new restrictions extend widely known parametric models of consideration with heterogeneous preferences.

2022-8 Slutsky Matrix Symmetry: A New Behavioral Condition, Victor H. Aguiar, Roberto Serrano

Department of Economics Research Reports

The Slutsky matrix function encodes all the information about local variations in demand with respect to small (Slutsky) compensated price changes. When the demand function is the result of utility maximization the Slutsky matrix is symmetric. However, symmetry does not imply rationality. Here, we provide a necessary and sufficient condition for Slutsky symmetry. The new condition requires symmetric attention to compensated price-paths.

2022-11 Peter Howitt – A Keynesian Still In Recovery, David Laidler

Department of Economics Research Reports

Peter Howitt is best known for his contributions to growth theory, but his work in short-run economics, which began with his Ph.D thesis and still continues, is important and deserves attention. It lies firmly in the Keynesian macro-disequilibrium tradition of Clower and Leijonhufvud, and for a long time has been overshadowed by New-classical and New-Keynesian orthodoxy. However, the development of agent based modelling and behavioural economics will perhaps give disequilibrium macroeconomics a new lease on life.

2022-12 The Big Expansion Of Rural Secondary Schooling During The Cultural Revolution And The Returns To Education In Rural China, Mengbing Zhu, Terry Sicular

Department of Economics Research Reports

During the Cultural Revolution China embarked on a dramatic, albeit temporary, expansion of secondary education in rural areas that affected tens of millions of children who reached secondary school age in the late 1960s and 1970s. The conventional wisdom is that this expansion was politicized and low quality. Using instrumental variables estimation, we exploit variation in the expansion across localities and birth cohorts to estimate the impact of Cultural Revolution education on individual outcomes. Creative use of historical county-level information matched with rich household survey data from the mid-1990s allows analysis of multiple outcomes. We find a significant, positive effect …

2022-10 Computing Longitudinal Moments For Heterogeneous Agent Models, Sergio Ocampo, Baxter Robinson

Department of Economics Research Reports

Computing population moments for heterogeneous agent models is a necessary step for their estimation and evaluation. Computation based on Monte Carlo methods is usually time- and resource-consuming because it involves simulating a large sample of agents and potentially tracking them over time. We argue in favor of an alternative method for computing both cross-sectional and longitudinal moments that exploits the endogenous Markov transition function that defines the stationary distribution of agents in the model. The method relies on following the distribution of populations of interest by iterating forward the Markov transition function rather than focusing on a simulated sample of …

2022-4 Identification And Estimation Of Multinomial Choice Models With Latent Special Covariates, Nail Kashaev

Department of Economics Research Reports

Identification of multinomial choice models is often established by using special covariates that have full support. This paper shows how these identification results can be extended to a large class of multinomial choice models when all covariates are bounded. I also provide a new √n-consistent asymptotically normal estimator of the finite-dimensional parameters of the model.

Reassessing The Case For Development Charges In Canadian Municipalities, Andrew Sancton

Centre for Urban Policy and Local Governance – Publications

“Growth should pay for growth.” This slogan—the common justification for development charges—is rarely challenged in municipal circles. The principle that those who cause new urban growth should pay for the infrastructure associated with it has generally been taken for granted, at least for the last few decades. Development charges evolved from post-1945 subdivision agreements and were initially accepted by most developers as a mechanism for enhancing the likelihood that current residents in a municipality would agree to new development. They now add as much as $90,000 to the cost of a new house in some parts of the Greater Toronto …

Modeling Weather Vulnerability Dynamically: Applications Of Multiple Linear Regression To Weather Index Microinsurance, Sophie Wu

Undergraduate Student Research Internships Conference

This paper offers a broad overview of the philanthropic goals of microinsurance — namely, to provide vulnerable populations with more self-sufficient and sustainable methods of coping with risk — and through this lens, analyses the applications of multiple linear regression in developing dynamic models for microinsurance. We explain the foundations of MLR (multiple linear regression), and then give two examples for how a simple multiple linear regression model can be adapted with a novel outcome variable (famine) and dependent variables (climate change related costs). Overall, a better understanding of MLR can lend to a better understanding of how microinsurance can …

Essays On Private Information And Monetary Policy, Zijian Wang

Electronic Thesis and Dissertation Repository

In our economy, many interactions between individuals involve one party possessing more or better information than the other party (i.e., private information). For example, in asset markets, sellers often have better knowledge about the quality of the assets than buyers. Private information also exists when governments collect taxes, because taxpayers typically have more information about their income compared to the government. In my thesis, I explore the implications of private information in three novel contexts.

In Chapter 2, I study the implications of tax evasion for the design of central bank digital currency, which is an emerging payment instrument. I …

2021-5 Lucas (1972), A Personal View From The Wrong Side Of The Subsequent Fifty Years, David Laidler

Department of Economics Research Reports

Lucas (1972) was a paper that permanently changed the course of macroeconomics, even though its “money supply surprise” model lost its central place in the area within a decade because of empirical difficulties. However, Lucas’s novel methodology, based on clearing markets and rational expectations, still dominates orthodox macroeconomic theorising. An unfortunate side effect of this has been that, because mainstream models have no analytic room for money to play a key role in economic activity, the theoretical case for taking that role seriously was undermined just at the time when traditional monetarist macro-models were facing empirical problems. The consequences of …

2021-1 Personal Gini Coefficients, James B. Davies

Department of Economics Research Reports

No abstract provided.

Adding Data-Driven Modelling To Causal Inference And Financial Economics, Sha Wang

Electronic Thesis and Dissertation Repository

My thesis, which consists of three chapters, aims to either adapt ML to solve important questions in financial markets, or apply state-of-the art ML methodologies that specifically target on economic causal inference problems. The first chapter is adapted from a paper co-authored with Lars Stentoft and published on the Journal of Portfolio Management in 2019. We modified a ML model in order to develop a portfolio tracking strategy that solves a pain point for investors. Many investors try to replicate the performance of certain financial instrument, such as a hedge fund strategy return index for its desirable risk-return profile. However, …

Relaxing The Rational Expectations Assumption: Data-Based And Model-Based Approaches, Yifan Gong

Electronic Thesis and Dissertation Repository

The fundamental importance of beliefs about future outcomes in decision-making suggests that an accurate characterization of these beliefs is important for understanding individuals' behavior and for evaluating the counterfactuals typically needed for policy analysis. Traditionally, many researchers have been using some form of Rational Expectations (RE) assumptions to characterize these beliefs. However, empirical evidence suggests that the RE assumption might not hold in many contexts, and that incorrectly imposing the RE assumption can lead to biased policy predictions. Motivated by these findings, I explore alternative approaches to conducting economic analysis without imposing the RE assumption.

Chapters 2 and 3 of …

2020-2 Botswana's Fiscal Policy, Monetary Policy, And Exchange Rate Policy: Three Instruments And Three Targets?, J Clark Leith

Department of Economics Research Reports

No abstract provided.

2020-1 Distributional Effects Of Flooding, With An Application To A Major Urban Area, James B. Davies, Samantha L. Black

Department of Economics Research Reports

No abstract provided.

2020-5 European Puts, Credit Protection, And Endogenous Default, Jorge Cruz Lopez, Alfredo Ibanez

Department of Economics Research Reports

No abstract provided.

2020-6 The Eitc And Maternal Time Use: More Time Working And Less Time With Kids?, Jacob Bastian, Lance Lochner

Centre for Human Capital and Productivity. CHCP Working Papers

No abstract provided.

2020-3 Reforming Canada's Disaster Assistance Programs, James B. Davies

Department of Economics Research Reports

No abstract provided.

Behind Quality, There Is Equality: An Analysis Of Scientific Capital Accumulation In Social-Democratic Welfare Regimes, Olivier Bégin-Caouette

Comparative and International Education / Éducation Comparée et Internationale

ABSTRACT

Trade-offs between quality and equality are at the forefront of multiple debates in higher education, and one conceptual tool to approach societies’ adjustment in resolving these trade-offs is the welfare regime typology. Relying on the theory of academic capitalism and using research production as a proxy for quality in higher education, this study analyses how social-democratic welfare regimes resolve the trade-off between comparatively high levels of academic research production, access to higher education and equal citizens’ living conditions. Interviews with 56 system actors suggest that equality is perceived to contribute to academic freedom, public investments in research and the …