-
作者：Brandt, MW
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：Minimum-variance hedging of a contingent claim in discrete time is suboptimal when the contingent claim is hedged for multiple periods and the objective is to maximize the expected utility of cumulative hedging errors. This is because the hedging errors are not independent. The difference between a minimum-variance hedge and the optimal multiperiod hedge is called the hedging demand and depends on the hedger's preferences, the characteristics of the contingent claim, the trading frequency and ...
-
作者：Servén, L
作者单位：The World Bank
摘要：This paper examines empirically the link between real-exchange-rate uncertainty and private investment in developing countries, using a large cross-country time series data set. The paper builds a GARCH-based measure of real-exchange-rate volatility and finds that it has a strong negative effect on investment, after controlling for other standard investment determinants and taking into account their potential endogeneity. The effect of uncertainty is not uniform, however. There is some evidenc...
-
作者：Keay, I
作者单位：Queens University - Canada
摘要：No significant convergence between Canadian and American income per capita occurred during the first ninety years of the twentieth century. This lack of convergence does not appear to have been due to technological dependence, input price distortions, or diseconomies of scale within the Canadian manufacturing sector. The evidence presented in this paper is based on total factor productivity measurement, statistical testing, and counterfactual experimentation using data from national statistica...
-
作者：Bond, S; Elston, JA; Mairesse, J; Mulkay, B
作者单位：University of Oxford; State University System of Florida; University of Central Florida; Universite des Antilles; Institut Polytechnique de Paris; ENSAE Paris
摘要：We construct company panel data sets for manufacturing firms in Belgium, France, Germany, and the United Kingdom, covering the period 1978-1989. These data sets are used to estimate empirical investment equations, and to investigate the role played by financial factors in each country. A robust finding is that cash flow and profits terms appear to be both statistically and quantitatively more significant in the United Kingdom than in the three continental European countries. This is consistent...
-
作者：Mustard, DB
作者单位：University System of Georgia; University of Georgia
摘要：Recently many papers have used the arrest rate to measure punishments in crime-rate regressions. However, arrest rates account for only a portion of the criminal sanction. Conviction rates and time served are theoretically important, but rarely used, and excluding them generates omitted variable bias if they are correlated with the arrest rate. This paper uses the most complete set of conviction and sentencing data to show that arrest rates are negatively correlated with these normally exclude...
-
作者：Harding, JP; Rosenthal, SS; Sirmans, CF
作者单位：University of Connecticut; Syracuse University
摘要：Although bargaining is common in markets for heterogeneous goods, it has largely been ignored in the hedonic literature. In a break from that tradition, we establish sufficient conditions that permit one to identify the effect of buyer and seller bargaining on hedonic models. Our model is estimated using a previously overlooked feature of the American Housing Survey that permits us to observe characteristics of both buyers and sellers. Results suggest that household wealth, gender, and other d...
-
作者：Wolff, EN
作者单位：New York University; National Bureau of Economic Research
摘要：Using U.S. input-output data for the period 1947-1996 and Dictionary of Occupational Titles skill scores, I find that U.S. exports have a high content in cognitive and interactive skills relative to imports, and a low content in motor skills. Moreover, the skill gap between exports and imports has widened over time. Imports are more capital- and equipment-intensive than exports, but the difference has fallen over time. By 1987 exports were more computer-intensive than imports. In contrast, tho...
-
作者：Harvey, A; Bernstein, J
作者单位：University of Cambridge
摘要：This article uses unobserved-components time series models to capture the underlying trends in the quarterly deciles of U.S. hourly wages. Tests of stability and divergence are developed as a means of assessing changes in inequality. The decrease in the wage gender gap is examined, and the impact of changes in the minimum wage is assessed.
