An Investigation of Thresholds in Air Pollution-Mortality Effects

In this paper we introduce and implement new techniques to investigate threshold effects in air pollution-mortality relationships. Our key interest is in measuring the dose-response relationship above and below a given threshold level where we allow for a large number of potential explanatory variables to trigger the threshold effect. This is in contrast to existing approaches that usually focus on a single threshold trigger. We allow for a myriad of threshold effects within a Bayesian statistical framework that accounts for model uncertainty (i.e. uncertainty about which threshold trigger and explanatory variables are appropriate). We apply these techniques in an empirical exercise using daily data from Toronto for 1992-1997. We investigate the existence and nature of threshold effects in the relationship between mortality and ozone (O3), total particulate matter (PM) and an index of other conventionally occurring air pollutants. In general, we find the effects of our considered pollutants on mortality to be statistically indistinguishable from zero with no evidence of thresholds. The one exception is ozone, for which results present an ambiguous picture. Ozone has no significant effect on mortality when we exclude threshold effects from the analysis. Allowing for thresholds we find a positive and significant effect for this pollutant when the threshold trigger is the average change in ozone two days ago. However, this significant effect is not observed after controlling for PM.Threshold-air pollution mortality effects; Bayesian model; averaging; PM; O3

Higher-Order Risk Preferences, Constant Relative Risk Aversion and the Optimal Portfolio Allocation

We derive the conditions for optimal portfolio choice within an expected utility framework considering alternative probability distributions that are able to capture the stylized features of asset returns at different degrees of accuracy. We show the importance of higher-order moments in the optimal decision on liquidity and relate them with the risk preference properties of riskiness, prudence and temperance

Fraud, investments and liability regimes in payment platforms

In this paper, we discuss how fraud liability regimes impact the price structure that is chosen by a monopolistic payment platform, in a setting where merchants can invest in fraud detection technologies. We show that liability allocation rules distort the price structure charged by platforms or banks to consumers and merchants with respect to a case where such a responsibility regime is not implemented. We determine the allocation of fraud losses between the payment platform and the merchants that maximises the platform's profit and we compare it to the allocation that maximises social welfare. JEL Classification: G21, L31, L42fraud, interchange fees, liability, Payment card systems, two-sided markets

Country and industry equity risk premia in the euro area: an intertemporal approach

This paper provides new evidence on the dynamics of equity risk premia in euro area stock markets across country and industry portfolios. We develop and estimate a conditional intertemporal CAPM where returns on aggregate euro area, country and industry portfolios depend on the market risk as well as on the risk that the investment opportunity set changes over time. Prices of risks are time-varying, according to a Kalman filter approach. We find that both market and intertemporal risks are significantly priced. When we include country and industry-specific risk factors they turn out to be not significantly priced for most industries, suggesting that euro area equity markets are well integrated. Overall, the analysis indicates that omitting the intertemporal factor leads to mispricing and misleading conclusions regarding the degree of financial integration across sectors and countries. JEL Classification: G12, F37, C32conditional asset pricing, financial integration, intertemporal risk, Kalman filter, multivariate GARCH

Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation

Derivamos las condiciones para la elección óptima de cartera bajo una utilidad con aversión al riesgo relativo constante y distribuciones de probabilidad alternativas que son capaces de capturar las caraterísticas de asimetría y curtosis de los rendimientos de los activos financieros. Ilustramos el papel —más allá de la aversión al riesgo— que desempeñan los momentos de orden superior en la decisión de formar una cartera de activos. En particular, demostramos que las actitudes de orden superior, tales como la prudencia y la temperancia, asociadas a los momentos tercero y cuarto de la distribución, definen diferentes carteras óptimas a las restringidas bajo aversión al riesgoWe derive the conditions for the optimal portfolio choice within a constant relative risk aversion type of utility function considering alternative probability distributions that are able to capture the asymmetric and leptokurtic features of asset returns. We illustrate the role —beyond risk aversion— played by higher-order moments in the optimal decision to form a portfolio of risky assets. In particular, we show that higher-order risk attitudes such as prudence and temperance associated with the third and fourth moments of the distribution define different optimal portfolios than those constrained under risk aversio

Short-run forecasting of the euro-dollar exchange rate with economic fundamentals

Incluye bibliografíaWe propose a fundamentals-based econometric model for the weekly changes in the euro-dollar rate with the distinctive feature of mixing economic variables quoted at different frequencies. The model obtains good in-sample fi t and, more importantly, encouraging outof- sample forecasting results at horizons ranging from one week to one month. Specifi cally, we obtain statistically signifi cant improvements upon the hard-to-beat random walk model using traditional statistical measures of forecasting error at all horizons. Moreover, our model improves greatly when we use the direction-of-change metric, which has more economic relevance than other loss measures. With this measure, our model performs much better at all forecasting horizons than a naive model that predicts the exchange rate has an equal chance to go up or down, with statistically signifi cant improvementsSe propone un modelo econométrico basado en fundamentales para el cambio semanal del tipo de cambio del euro frente al dólar con la característica diferencial de mezclar variables con diferentes frecuencias. El modelo obtiene buenas predicciones en la muestra, y, lo que es más importante, mejoras en predicción fuera de la muestra a horizontes entre una semana y un mes. Específi camente, obtenemos mejoras estadísticamente signifi cativas frente al difícil de batir paseo aleatorio, usando las medidas tradicionales basadas en error de predicción cuadrático medio a todos los horizontes. Las ganancias son mayores cuando utilizamos la métrica basada en la dirección del cambio, que tiene más sentido económico en un modelo como este. Con esta medida, nuestro modelo predice los movimientos alcistas y bajistas del tipo de cambio mucho mejor que un modelo basado en igual probabilidad de bajadas y subida

Applying cognitive perspectives on decision-making to the policy advice process: a practitioner's view

Behavioural economics and the related fields of cognitive and social psychology are now very much in the mainstream, as the highly visible success of the Behavioural Insights Unit in the United Kingdom attests. A robust and diverse range of findings about the limits of human thinking challenges policy practitioners to reconsider how they both design and advise on policies. This challenge is particularly relevant given that the training and background of policy advisors typically does not include these fields, with political science, law and conventional economics much more common. A range of recent books have popularised many concepts from these fields and are leading an increasing number of people outside academia to revisit the way we conceive of thinking and decision-making. For example, The Wisdom of Crowds (Surowiecki, 2004), Blink (Gladwell, 2005), The Black Swan (Taleb, 2007), Predictably Irrational (Ariely, 2008), Nudge (Thaler and Sunstein, 2008), Thinking Fast and Slow (Kahneman, 2011) and The Signal and the Noise (Silver, 2012) all underline the limitations of rational accounts of thinking and decision-making. Perhaps reflecting the new public popularity of these fields, it has become fashionable in certain circles to consider ways to incorporate the findings of cognitive psychology and behavioural economics into the design of policies (e.g. Ministry of Economic Development, 2006; Dolan et al., 2010), often under the label libertarian paternalism or choice architecture (Thaler, Sunstein and Balz, 2010). The argument is often that small changes in the design of policies can nudge choices in a desired direction without the need for compulsion. Perhaps the best known example is the design of KiwiSaver, where the default option is automatic enrolment, with people required to opt out instead of opt in. • Tim Hughes studied economics at the University of Auckland and has worked in policy roles at the Department of Corrections and the Ministry of Social Development. He is currently working in the sector investment team at the Ministry of Justice

Eighteenth century female authors: women and science in the Coruña Corpus of English Scientific Writing

[Abstract] This paper explores the use of linguistic features characteristic of impersonal or personal style in scientific writing by female authors in the eighteenth century. Variables such as discipline, subject-matter and genre are used to assess the ways in which abstract thought and argumentation are expressed by women, given that, even when these works were accepted by the scientific establishment, such modes of expression were more typical of men and men's writing in the context of the Modern Age. Data from different genres and disciplines (History, Philosophy, Astronomy and Life Sciences) will be used in order to obtain more reliable findings

Country and industry equity risk premia in the euro area: an intertemporal approach

This paper provides new evidence on the dynamics of equity risk premia in euro area stock markets across country and industry portfolios. We develop and estimate a conditional intertemporal CAPM where returns on aggregate euro area, country and industry portfolios depend on the market risk as well as on the risk that the investment opportunity set changes over time. Prices of risks are time-varying, according to a Kalman filter approach. We find that both market and intertemporal risks are significantly priced. When we include country and industry-specific risk factors they turn out to be not significantly priced for most industries, suggesting that euro area equity markets are well integrated. Overall, the analysis indicates that omitting the intertemporal factor leads to mispricing and misleading conclusions regarding the degree of financial integration across sectors and countries

PHYSICAL MODEL OF SI-ENGINE PROCESS AND GAS EXCHANGE FOR REAL-TIME IMPLEMENTATION IN ENGINE MANAGEMENT SYSTEM

This paper presents a physical, crank angle resolved model of spark ignited (SI) engine process and gas exchange developed by Continental AG for real‐time engine management system. Transient 1D flow in pipe systems is the most time‐consuming part of the numerical solution. A so‐called detailed model, including intake and exhaust pipe components, is defined and reduced to its fast‐running version where pipes are neglected. Experimental validation confirms that the detailed model captures transient effects and fulfills accuracy targets over the entire engine operation range, while the fast‐running model requires additional empirical parameterization. Both models, however, provide more detailed information on dynamic gas exchange process and the in‐cylinder state for each individual engine cycle than today’s data driven models do (e.g., transient gas states and internal engine exhaust gas recirculation). Finally, simplifications according to classical acoustic theory are proposed for pipe components to solve the conflict between accuracy and real‐time capability.Tento článek prezentuje fyzikální model čtyřdobého procesu a výplachu zážehového spalovacího motoru. Model byl vyvinut u Continental AG pro účely sériových řídících jednotek. Nestacionární 1D proudění v potrubních systémech je časově nejnáročnější součástí numerického řešení. Proto je nejprve definován podrobný model, zahrnující řešení sacích a výfukových potrubí, který je dále zjednodušen na rychle fungující verzi se zanedbáním zákona zachování impulsu v potrubních systémech. Experimentální ověření potvrzuje, že podrobný model zachycuje přechodové jevy a splňuje cíle přesnosti v celém rozsahu provozu motoru, zatímco zjednodušený model vyžaduje další empirickou parametrizaci. Oba modely však poskytují podrobnější informace o výplachu a termodynamickém stavu ve válcích než to činí běžné datově orientované modely (např. přechodné stavy plynu, nebo vnitřní recirkulace výfukových plynů motoru). Nakonec jsou navržena zjednodušení řešení proudění v potrubích podle klasické akustické teorie s cílem vyřešení rozporu mezi přesností a schopností dosáhnout řešení v reálném čase na daném hardwaru (ECU 240 MHz)