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Articles 1 - 9 of 9
Full-Text Articles in Social and Behavioral Sciences
Central Bank Independence In A (Very) Non-Neoclassical World, Eduardo Zambrano
Central Bank Independence In A (Very) Non-Neoclassical World, Eduardo Zambrano
Economics
What if it could be possible to convince a completely non-neoclassical economist of the importance of Central Bank independence? The profession currently favors arguments in favor of Central Bank independence that are based on the seminal work by Barro and Gordon (1983 a,b), a model with naturally strong neoclassical assumptions. As a consequence of this, the argument in favor of Central Bank independence routinely given by economists is often not bought by those who question the validity of the neoclassical assumptions. In this paper I argue that Central Bank independence can be beneficial for society even when the economy is …
On Some Subtle Implications Of The Choice Of Numeraire For Monetary Policy In Developing Countries, Eduardo Zambrano
On Some Subtle Implications Of The Choice Of Numeraire For Monetary Policy In Developing Countries, Eduardo Zambrano
Economics
Numeraire choice is often deemed a problem of purely analytical convenience. In this paper I show that there is more to numeraire selection than meets the eye for the formulation of monetary policy in countries with weak fiscal institutions. I show how (a) improper numeraire choice can dramatically overstate or understate Central Bank profits and (b) how this can threaten the ability of a Central Bank to keep inflation under control. I show point (a) in the context of Monte Carlo experiments calibrated for the Venezuelan economy and point (b) in an infinitely lived representative agent model that illustrates the …
Testable Implications Of Subjective Expected Utility Theory, Eduardo Zambrano
Testable Implications Of Subjective Expected Utility Theory, Eduardo Zambrano
Economics
I show that the predictive content of the hypothesis of subjective expected utility maximization critically depends on what the analyst knows about the details of the problem a particular decision maker faces. When the analyst does not know anything about the agent's payoffs or beliefs and can only observe the sequence of actions taken by the decision maker any arbitrary sequence of actions can be implemented as the choice of an agent that solves some intertemporal utility maximization problem under uncertainty.
Nash Bargaining Without Convexity, Eduardo Zambrano
Nash Bargaining Without Convexity, Eduardo Zambrano
Economics
In this note I study Nash bargaining when the utility possibility set of the bargaining problem is non-convex. A simple variation of Nash's symmetry axiom is all that is necessary to establish a set valued version of Nash's solution in non-convex settings.
Public Economies And The Endogenous Choice Of Institutions, Eduardo Zambrano
Public Economies And The Endogenous Choice Of Institutions, Eduardo Zambrano
Economics
In this paper I provide a framework in which to formalize the seminal work of Elinor Ostrom on the study of public economies, a prominent theoretical construct aimed to provide answers to the following questions: (a) Why some societies are able to solve their collective action problems and others are not? and (b) Why societies choose the particular institutions they choose from a vast array of possible choices?
Sunspots In The Laboratory, John Duffy, Eric O'N. Fisher
Sunspots In The Laboratory, John Duffy, Eric O'N. Fisher
Economics
We show that extrinsic or non-fundamental uncertainty influences markets in a controlled environment. This work provides the first direct evidence of sunspot equilibria. These equilibria require a common understanding of the semantics of the sunspot variable, and they appear to be sensitive to the flow of information. Extrinsic uncertainty matters when information flows slowly, as in a call market, but it need not matter when information flows quickly, as in a double auction where infra-marginal bids and offers are observable.
Momentum Investing: The Case Of High-Tech Ipos, Sanjiv Jaggia, Satish Thosar
Momentum Investing: The Case Of High-Tech Ipos, Sanjiv Jaggia, Satish Thosar
Economics
We document significant momentum effects in the high-tech IPO aftermarket beyond the initial (underpricing) run-up. Cumulative market-adjusted returns (CMARs) reveal a striking pattern. A local peak of just over 10 percent is reached around 20 trading days post-IPO coinciding with the expiry of the “quiet period”. A global peak (of about 33 percent) is reached after 105 trading days. The CMAR decays fairly rapidly thereafter possibly in anticipation of the expiry of the six-month lockup period. Further, we find strong evidence of a linkage between technical ex-ante observable variables and the momentum build-up. We conjecture that visceral factors may at …
Survival Analysis With Artificially Constructed Events, Sanjiv Jaggia, Satish Thosar
Survival Analysis With Artificially Constructed Events, Sanjiv Jaggia, Satish Thosar
Economics
One of the key elements of survival models is that they enable the researcher to determine whether the length of time an individual (or economic entity) spends in a particular state affects the probability of exiting that state. Natural applications in economics and finance include the analysis of unemployment spells, corporate bankruptcies and mortgage pre-payments. The distinguishing feature of most applications is the definitive event that marks the transition from the origin to the transition state. We believe that limiting the use of survival analysis to applications in which the event duration appears to be 'naturally' available is an unnecessary …
Mean Reversion And The Asset Allocation Decisions, Sanjiv Jaggia, Satish Thosar
Mean Reversion And The Asset Allocation Decisions, Sanjiv Jaggia, Satish Thosar
Economics
Until fairly recently the conventional wisdom in the finance academic community was that security prices follow a random walk. Some influential papers have uncovered evidence of mean reversion particularly over longer horizons. Siegel (1998) has suggested that given this evidence: "the holding period becomes a crucial issue when the data reveal the mean reversion of the stock returns." In this paper, we explore the pattern of mean reversion in post-World War ll U.S. stock returns and find that it peaks in a 4-year cycle. Given this empirical regularity we show that a buy-and-hold investment strategy, which is appropriate under a …