Economics Commons^™

Stimulated Maximum Likelihood Estimation Of Continuous Time Stochastic Volatility Models, Tore Selland Kleppe, Jun Yu, Hans J. Skaug

Research Collection School Of Economics

In this paper we develop and implement a method for maximum simulated likelihood estimation of the continuous time stochastic volatility model with the constant elasticity of volatility. The approach do not require observations on option prices nor volatility. To integrate out latent volatility from the joint density of return and volatility, a modified efficient importance sampling technique is used after the continuous time model is approximated using the Euler-Maruyama scheme. The Monte Carlo studies show that the method works well and the empirical applications illustrate usefulness of the method. Empirical results provide strong evidence against the Heston model.

Affordable Homeownership Policy: Implications For Housing Markets, Sock Yong Phang

Research Collection School Of Economics

Affordable homeownership is a policy that is often accorded a great deal of policy attention by governments of many countries. In this paper, we examine the market implications of setting a housing price to income ratio target for a market segment by the government. The policy requires active intervention by the government with regard to the targeted sector. We use a simple model of the housing market with a homeownership affordability target to derive the market implications of such targets. In the presence of uncertainty and resource constraints, the objective of homeownership affordability is achieved for the targeted group at …

Bias In The Estimation Of The Mean Reversion Parameter In Continuous Time Models, Jun Yu

Research Collection School Of Economics

It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in nite discrete samples and in large in-…ll samples. In this paper, we obtain two expressions to approximate the bias of the least squares/maximum likelihood estimator of the mean reversion parameter in the Ornstein-Uhlenbeck process with a known long run mean when discretely sampled data are available. The first expression mimics the bias formula of Marriott and Pope (1954) for the discrete time model. Simulations show that this expression does not work satisfactorily when the …

Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu

Research Collection School Of Economics

In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstructure noises. The technique is based on the general Bayesian approach with posterior computations performed by Gibbs sampling. Simulations from the Markov chain, whose stationary distribution converges to the posterior distribution, enable exact ¯nite sample inferences of model parameters. The exact inferences can easily be extended to latent state variables and any nonlinear transformation of state variables and parameters, facilitating practical credit risk applications. In addition, the comparison of alternative models can be based on deviance information criterion …

State Of The U.S. Ocean And Coastal Economies 2009, Judith T. Kildow, Charles S. Colgan, Jason D. Scorse

Publications

This nation’s coasts and oceans contribute much to the United States economy. For the past ten years, the National Ocean Economics Program (NOEP) has compiled time-series data that track economic activities,demographics, natural resource production, non-market values, and federal expenditures in the U.S. coastal zone both on land and in the water. On the website www.oceaneconomics.org, the public—government officials,academics, industry, and advocacy groups—have had interactive access to this information and used it widely for many different purposes. This report features highlights from this collection to heighten appreciation for the value of the ocean and this nation’s coasts among an even …

Should The Economic Crisis Change Our Assessment Of Markets And Government?, Clifford Winston

Brookings Scholar Lecture Series

Broad Objectives of the Study:
- Base policy debates on empirical counterfactual evidence.
- Begin accumulating evidence and identifying common themes so we don’t have to start from “square one.”
- Provide guidance for policymakers.

Estimates Of The Costs And Benefits Of Expanding The Early Childhood Education Program In Kentucky, Christopher Jepsen, Kenneth R. Troske, Casey Brasher

CBER Research Report

Excerpt from the executive summary:

Kentucky officials are being encouraged to expand the availability of Kentucky’s state-funded preschool program. The current program restricts eligibility to three- and four-year-old students with disabilities and four-year-old students with family incomes up to 150 percent of the federal poverty level.

Governance Reforms In Education, Ishrat Husain Dr.

Faculty Research - Newspaper and Magazine Articles

The education policy announced recently envisages a big jump in the allocation of public expenditure on education from the current level of two per cent of the GDP to seven per cent over the next five years.

New Mexico Labor Market Review 10-05-2009, New Mexico Department Of Workforce Solutions

Historic Publications

The New Mexico Labor Market Review is a monthly publication presenting statistical data and analysis on labor market conditions throughout New Mexico. Issues examine statewide and regional trends in employment, unemployment, labor force estimates, industry activity, wages, occupational demand, and related economic conditions, often accompanied by feature articles on topics affecting the state’s economy. This issue covers August 2009.

Workforce Development And Its Impact On Latinos In New York State, José Cruz, Jacqueline Hayes

Policy Documents

Latinos in the New York State’s labor force grew in numbers by 61% during this period compared to 22% for blacks and only 3% for non-Hispanic whites. From these proportions it follows that the workforce development efforts in the state should pay special attention to minority workers, especially Latinos. This report assesses the degree to which available resources in this area are being used to service this group of workers.From this review, the authors infer that of the millions of dollars invested in workforce development efforts in the state, the proportion allocated to address the Latino workforce is astonishingly small. …

Estimating The Impact Of Migration And Remittances On Agricultural Technology, Michael A. Quinn

Economics Faculty Publications

The rapid growth of international migration and remittances has led to a wealth of research examining these trends. One of these lines of research attempts to determine the relationship between migration, remittances and the adoption of “Green Revolution” high yield variety (HYV) seeds. This literature proposes that migration and remittances may increase HYV use by reducing household risk and credit constraints. Given the large scale of both migration and remittances, getting an accurate measurement of these impacts is crucial to designing and implementing policies in rural areas. This paper examines the relationship between migration, remittances and agricultural technology. The credit …

The Value Of Statistical Life: Pursuing The Deadliest Catch, Kurt E. Schnier, William C. Horrace, Ronald G. Felthoven

Economics - All Scholarship

Observed trade-offs between monetary returns and fatality risk identify estimates of the value of a statistical life (VSL), which inform public policy and quantify preferences for environmental quality, health and safety. To date, few investigations have estimated the VSL associated with trade-offs between returns from natural resource extraction activities and the fatality risks they involve. Furthermore researchers have been unable to determine whether or not one’s VSL is stable across multiple decision environments using revealed preference methods. Understanding these tradeoffs (and the VSL that they imply) may be used to inform resource management policy and safety regulations, as well as …

Rhode Island Current Conditions Index — October 2009, Leonard Lardaro

The Rhode Island Current Conditions Index

No abstract provided.

Anatomy Of Public Health Research: Tobacco Control As A Case Study, Michael L. Marlow

Economics

Tobacco is unhealthy, and apparently it is not hard to convince people that government programs are somehow not only effective but necessary to reduce smoking. Early efforts were successful because they focused on raising prices through tax hikes. Then smoking bans became the focus. Bans have so far been imposed on restaurants and bars in 27 states and Washington, D.C., and it is argued that they will change social norms in ways that lower smoking. Spending programs represent a more recent strategy, and these are the focus of this commentary. State governments fund antismoking advertisements that run in newspapers and …

Opacity: A Socioeconomic Study Of Diamond Mining In South-Eastern Cameroon, Steven Fox

Independent Study Project (ISP) Collection

Diamond mining in the southeastern Cameroon is on the cusp of a boom of development. Artisanal diamond miners served as the “beacon” for an industrial mining company, C&K, to explore and attempt to gain permission to commence exploitation. There are massive social, economic and environmental implications depending on the execution of exploitation. It is the role of the government bodies and the corporation to identify sustainable methods to develop this untapped natural resource and the surrounding infrastructure. The region is an isolated throwback; its basic functions are, in essence, dated four decades. They need improved simple infrastructure, although the local …

Perceptions Of Microfinance In Cameroon: A Case Study Of Unics, Yaoundé, Ian Long

Independent Study Project (ISP) Collection

The subject of this project is the common perceptions that exist towards microfinance in Cameroon within the community of those who work with or are influenced in some way by microfinance institutions. Furthermore, the project focuses on the ways in which these perceptions affect the institutions, the actions of the institutions amidst and in response to these perceptions, and to what extent these actions have a positive effect on the community and the firms themselves. I also examine to a certain degree the relationship between the two main goals of category two and category three microfinance firms: specifically, the fulfillment …

Conflicting Loyalties: Changing Roles And Relations Of Labor Unions In Vietnam, Jan Slezak

Independent Study Project (ISP) Collection

As labor unions in Vietnam become further divided from the political ideologies they arose from, it is important to examine how workers can become accurately represented in a system of changing markets, government and an economic movement towards the free-market system. As the role of the labor union changes and attempts to adapt into contemporary times, this study discusses and analyzes the opinions and actions of Vietnam’s citizens; from the worker’s most affected by the oncoming changes to those who take part it crafting and enforcing legislation on the issue. This study arrives at its answer by combining interviews, social …

Weathering A Different Kind Of Storm: Vietnam's Reaction To Financial Disaster, Rebecca Price

Independent Study Project (ISP) Collection

I chose to research Vietnam’s reaction to the global financial crisis as a conclusion to my study abroad experience. I thought of it as an opportunity to put in practice the methods I had learned creating the market risk index, while seeing if what I found in Vietnam applied to the theories on the future of capitalism I had researched. My findings are presented more in the style of a magazine or newspaper article, mostly because it is pieces such as these—not long, dry journal articles—that spark my interest and stick in my memory. The New York Times columns of …

A New Kind Of Middle Man: Looking At Fair Trade In Nepal, Julia Wilber

Independent Study Project (ISP) Collection

The discipline of Development studies has gone through an evolution of changes in its relatively short time in existence. It has, among other things, left a legacy of vocabulary that is used to define many international interactions. Ideas of the colonizing first world juxtaposed against the colonized third world have given way to notions of an industrialized West and North comprised of developed nations and a backwards East and South made up of developing countries. Colonialism in the age of Imperialism left power and economic disparities across the world. The trends of colonial empires where the colonizer benefited from the …

Smoking Bans And Air Quality: Reply, Michael L. Marlow

Economics

No Abstract

Cool Head, Warm Heart: Governance And The Mission Of Microfinance In The Case Of Mc2 Micro-Banks, Cameroon, Claire Ruffing

Independent Study Project (ISP) Collection

The concept of a cool head and a warm heart co-existing is a Buddhist principle which attempts to illustrate compassion and pragmatism as mutually compatible, not mutually exclusive. Without intelligent management, compassion is lost in its ineffectiveness, and without compassion, intelligence is purposeless reason. This equilibrium is exactly the vision of microfinance that drives this paper: an important social and moral idea that is nevertheless affected by the world and environment in which it operates. By examining the governance mechanisms affecting microfinance in Cameroon, namely the Ministry of Finance and the management structure of the firms themselves, an idea emerges …

Wright State University Regional Economic Report, Fall 2009, Thomas L. Traynor

Economics Faculty Publications

No abstract provided.

"The Female Entrepreneur"?, Cath Collins

Human Rights & Human Welfare

I read the “Women’s Crusade” article that forms the centrepiece of this month’s roundtable with initial interest, gradually turning to a vague sense of disquiet spiced with occasional disbelief. After a few more readings, I tried highlighting the passages that bothered me and stringing them together. Countries “riven by fundamentalism”— that’s presumably the Islamic variety, rather than the Christian variant which holds such sway in the US. The suggestion that “everyone from the World Bank to the US [...] Chiefs of Staff to [...] CARE” now thinks that women are the answer to global extremism hides too many questionable assumptions …

From Economic Crisis To Reform: Imf Programs In Latin America And Eastern Europe By Grigore Pop-Eleches (Book Review), Aleksandra Sznajder Lee

Political Science Faculty Publications

Grigore Pop-Eleches’s book on the interaction of international and domestic determinants of IMF-style reforms in developing countries makes a significant contribution to international and comparative political economy literature. His effort to capture the dynamics of the contentious and complex relationship between the IMF and developing countries/emerging markets inLatin AmericaandEastern Europerepresents mid-range theorizing at its best. The author combines insights from international and comparative political economy literatures to pursue complementary questions. From the international effect perspective: what role do economic crises play in the initiation and implementation of IMF-backed economic reform? Is the IMF impartial in its policy and financial support …

Turkey Conference Oct 2009, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes,

• Shaikh, A. (2009, October 3–12). Turkey conference: Free trade, monetary policy, and the global crisis [Folder cover]. Unpublished material.

• Shaikh, A. (2009, October 3). Turkey, October 3: Free trade, monetary policy, and the global crisis [Handwritten notes]. Unpublished manuscript notes.

• Cumhuriyet. (2009, October 5). Krizi yaratan, çözüm bulamaz [Newspaper interview with Anwar Shaikh]. İstanbul, Turkey: Cumhuriyet.

• Cumhuriyet. (2009, October 5). Television schedule [Newspaper section]. İstanbul, Turkey: Cumhuriyet.

• Cumhuriyet. (2009, October 5). Legal and auction announcements [Newspaper notices]. İstanbul, Turkey: Cumhuriyet.

• Istanbul Bilgi University. (2009, October 3). Conference program schedule [Program]. İstanbul, …

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Uniform Topologies On Types, Yi-Chun Chen, Alfredo Di Tillio, Eduardo Faingold, Siyang Xiong

Cowles Foundation Discussion Papers

We study the robustness of interim correlated rationalizability to perturbations of higher-order beliefs. We introduce a new metric topology on the universal type space, called uniform weak topology, under which two types are close if they have similar first-order beliefs, attach similar probabilities to other players having similar first-order beliefs, and so on, where the degree of similarity is uniform over the levels of the belief hierarchy. This topology generalizes the now classic notion of proximity to common knowledge based on common p-beliefs (Monderer and Samet (1989)). We show that convergence in the uniform weak topology implies convergence in the …

Strategic Supply Function Competition With Private Information, Xavier Vives

Cowles Foundation Discussion Papers

A finite number of sellers ( n ) compete in schedules to supply an elastic demand. The costs of the sellers have uncertain common and private value components and there is no exogenous noise in the system. A Bayesian supply function equilibrium is characterized; the equilibrium is privately revealing and the incentives to acquire information are preserved. Price-cost margins and bid shading are affected by the parameters of the information structure: supply functions are steeper with more noise in the private signals or more correlation among the costs parameters. In fact, for large values of noise or correlation supply functions …

El Farol Revisited: A Note On Emergence, Game Theory And Society, Martin Shubik

Cowles Foundation Discussion Papers

The El Farol Bar problem with coordination is reconsidered in terms and extended with consideration of further context.

Default Penalty As A Disciplinary And Selection Mechanism In Presence Of Multiple Equilibria, Juergen Huber, Martin Shubik, Shyam Sunder

Cowles Foundation Discussion Papers

Closed exchange and production-and-exchange economies may have multiple equilibria, a fact that is usually ignored in macroeconomic models. Our basic argument is that default and bankruptcy laws are required to prevent strategic default, and these laws can also serve to provide the conditions for uniqueness. In this paper we report experimental evidence on the effectiveness of this approach to resolving multiplicity: society can assign default penalties on fiat money so the economy selects one of the equilibria. Our data show that the choice of default penalty takes the economy to the neighborhood of the chosen equilibrium. The theory and evidence …

Default Penalty As A Selection Mechanism Among Multiple Equilibria, Juergen Huber, Martin Shubik, Shyam Sunder

Cowles Foundation Discussion Papers

Closed exchange and production-and-exchange economies may have multiple equilibria, a fact that is usually ignored in macroeconomic models. Our basic argument is that default and bankruptcy laws are required to prevent strategic default, and these laws can also serve to provide the conditions for uniqueness. In this paper, we report experimental evidence on the effectiveness of this approach to resolving multiplicity: a society can assign default penalties on fiat money so that the economy selects one of the equilibria. Our data show that the choice of default penalty takes the economy close to the chosen equilibrium. The theory and evidence …