What do asset prices have to say about risk appetite and uncertainty?

Implied volatility indices should have information about risk parameters, once they are cleansed of the influence of normal volatility dynamics and macro-economic uncertainty. Building on intuition from the dynamic asset pricing literature, we uncover unobserved risk aversion and fundamental uncertainty from the observed time series of the VIX and the credit spreads while controlling for realized volatility, expectations about the macroeconomic outlook, and interest rates. We apply this methodology to monthly data from both Germany and the US. We find that implied volatilities contain a substantial amount of information regarding risk aversion whereas credit spreads have a lot to say about both risk aversion and uncertainty. Moreover, there is a significant comovement in the German and US risk aversion. JEL Classification:Credit Spread, Economic uncertainty, risk aversion, Time variation in risk and return, Volatility dynamics

Assessing the benefits of international portfolio diversification in bonds and stocks.

This paper considers a stylized asset pricing model where the returns from exchange rates, stocks and bonds are linked by basic risk-arbitrage relationships. Employing GMM estimation and monthly data for 18 economies and the US (treated as the domestic country), we identify through a simple test the countries whose assets strongly comove with US assets and the countries whose assets might other larger diversification benefits. We also show that the strengthening of the comovement of returns across countries is neither a gradual process nor a global phenomenon, reinforcing the case for international diversification. However, our results suggest that fund managers are better other constructing portfolios selecting assets from a subset of countries than relying on either fully inter-nationally diversified or purely domestic portfolios. JEL Classification: F31, G10asset pricing, Exchange Rates, international parity conditions, market integration, stochastic discount factor

Environmental Determinants of the Distribution and Abundance of the Ants, Lasiophanes picinus and L. valdiviensis, in Argentina

The distribution and abundance variation of the terrestrial ants, Lasiophanes picinus and Lasiophanes valdiviensis Emery (Formicinae: Lasiini), which are endemic in Patagonia (Argentina and Chile), are described and a set of environmental factors are examined to explain the observed patterns. Ants were collected using 450 pitfall traps arranged in 50, 100 m2 grid plots each with nine traps within a roughly 150 × 150 km area representative of the subantartic-patagonian transition of Argentina. Five sampling periods each 8-days long were carried out between November 2004 and March 2006. To understand the distributional patterns and their link to environmental variables discriminant analysis was used. Path analysis was performed to test for direct and indirect effects of a set of environmental variables on species abundance variation. L. picinus was more frequently captured and attained higher abundance in the forests, while L. valdiviensis was more frequently captured and more abundant in the scrubs. The maximum daily temperature and mean annual precipitation explained L. picinus distribution (i.e. presence or absence) with an accuracy of 90%. L. valdiviensis distribution was predicted with almost 70% accuracy, taking into account herbal richness. The maximum daily temperature was the only climatic variable that affected ant abundance directly; an increase in temperature led to an increase of L. picinus abundance and a decrease of L. valdiviensis abundance. The amount of resources, as indicated by the percent plant cover, explained the variation of the abundance of both species better than the variety of resources as indicated by plant richness (i.e. models including plant richness had low fit or no fit at all). A direct effect of habitat use by cattle was found, as indicated by the amount of feces in the plots, only when variables related to the amount of resources were replaced by variables with less explanatory power related to the variety of resources. This study provides new data on the ecology of Lasiophanes species in relation to existing hypotheses proposed to explain patterns of abundance variation. Evidence is provided that changes in temperature (i.e. global climate change) may have important consequences on populations of these species

Essays on Estimating Production Functions

In the first essay I estimate production functions of multiproduct firms when technologies are product-specific but inputs are observable only at the firm-level. I provide an estimation strategy that solves for the unobservable inputs while correcting for the well-known simultaneity, collinearity and omitted price problems in production function estimation. The key insights of the estimation strategy are, first, using output demand estimates in identifying the product-level input allocations and production functions, and second, using an inverse of the production function to control for endogeneity. The second essay describes the biases that arise when production functions are estimated under the standard assumption of a firm-level technology, while the true technologies are product-specific. The assumption of a firm-level technology implies that the technology parameters are identical across the various goods produced in the industry, and that a multiproduct firm produces all of its output with a single technology. To examine the implications of these simplifying assumptions, I estimate a firm-level production function on a dataset generated of an industry where two types of goods are produced with product-specific Cobb-Douglas production functions. I find that the biases in the estimated firm-level parameters are substantial even when the true product-specific technologies are very similar. The directions and the magnitudes of the biases are determined by intricate functions of the true product-specific technologies and the product scopes of the firms in the industry. The estimated productivity levels have a relatively low correlation with the true firm-level productivity levels when the firms' product scopes are heterogeneous, as they usually are. The third essay estimates the range of productivity gains achieved by information technology investments in the Finnish manufacturing sector. The contribution is to provide estimates of IT's productivity effects while accounting for some of the key characteristics of IT, i.e., that returns to IT depend on previous IT or complementary investments, come with lags, and, due to the aforementioned factors, are heterogeneous across firms and over time. I find that the productivity effects of IT range from negative to positive. For example, most firms obtain a negative productivity effect in the first year after the investment, which may be due to disruption in the production process caused by the implementation of the IT investment. Two years after the IT investment was made, most firms attain a positive productivity effect. In the third year after the investment, almost all firms gain a positive productivity effect. The estimation results suggest that the common practice of estimating a single output elasticity for an IT stock that is constructed as a linear function of the IT investments is unlikely to provide a truthful description of the productivity effects of IT

The Maastricht Convergence Criteria and Optimal Monetary Policy for the EMU Accession Countries.

The EMU accession countries are obliged to fulfill the Maastricht convergence criteria prior to entering the EMU. This paper uses a DSGE model of a two-sector small open economy, to address the following question: How do the Maastricht convergence criteria modify optimal monetary policy in an economy facing domestic and external shocks? First, we derive the micro founded loss function that represents the objective function of the optimal monetary policy not constrained to satisfy the criteria. We find that the optimal monetary policy should not only target inflation rates in the domestic sectors and aggregate output fluctuations but also domestic and international terms of trade. Second, we show how the loss function changes when the monetary policy is constrained to satisfy the Maastricht criteria. The loss function of such a constrained policy is characterized by additional elements penalizing fluctuations of the CPI inflation rate, the nominal interest rate and the nominal exchange rate around the new targets which are potentially different from the steady state of the unconstrained optimal monetary policy. Under the chosen parameterization, the unconstrained optimal monetary policy violates two criteria: concerning the CPI inflation rate and the nominal interest rate. The constrained optimal policy results in targeting the CPI inflation rate and the nominal interest rate that are 0.7% lower (in annual terms) than the CPI inflation rate and the nominal interest rate in the countries taken as a reference. The welfare costs associated with these constraints need to be offset against credibility gains and other benefits related to the compliance with the Maastricht criteria that are not modelled. JEL Classification: F41, E52, E58, E61EMU accession countries, Maastricht convergence criteria, optimal monetary policy

Human and Professional Sustainable Development by Using the EFI ROM Creative Method

AbstractElaborated for the human and professional sustainable development of human resources within innovative enterprises by using creative techniques for rendering efficient own activities. A solution for promoting innovative management in the field of human resources in these units is the use of the own original creative method EFI-ROM. It can be applied to selfmanagement and all management hierarchical levels with responsibilities in short, medium and long-term decision. It was tested on the occasion of carrying out some innovative project. In the present paper we present an improved variant and adjusted to the specifics of innovative organizations

Risky single occasion drinking frequency and alcohol-related consequences: can abstinence during early adulthood lead to alcohol problems?

QUESTIONS UNDER STUDY: the main purpose of this longitudinal study was to determine the impact of risky single occasion drinking (RSOD) frequency on alcohol dependence and drinking consequences reported 15 months later. METHODS: As a baseline sample, 5,990 young men were assessed on their drinking habits including the frequency of RSOD. Of them, 5,196 were reassessed at follow-up 15 months later on RSOD frequency, alcohol dependence and alcohol related consequences in thze interceding year. Drop out biases were investigated. RESULTS: Around 45% of the baseline participants reported regular RSOD (every month or more frequently). Despite the fact that RSOD distribution was generally stable during the initial sample, 47.4% reported a variation of their RSOD frequency 15 months later. Around 25% of the sample reported reduced RSOD frequency. Nonetheless, occasional RS drinkers were more likely to become regular (monthly) RSO drinkers at follow up. Daily and weekly RSOD were associated with high proportions of alcohol dependence and detrimental consequences of drinking. Surprisingly, abstainers at baseline were more likely to be at risk of alcohol dependence and consequences at follow up than non-RSO drinkers. CONCLUSIONS: Despite the fact that alcohol abstinence is logically the best way to avoid the detrimental consequences of alcohol drinking, abstainers at baseline reported as many problems due to alcohol use at follow up as occasional or monthly RSO drinkers. The few participants who had become RSO drinkers during the follow up period were indeed likely to engage in detrimental behaviour. Non-RSO drinkers had the fewest problems due to alcohol use. This substantiates the early occurrence of drinking consequences among inexperienced RSO drinkers

Sticky wages: evidence from quarterly microeconomic data

This paper documents nominal wage stickiness using an original quarterly firm-level dataset. We use the ACEMO survey, which reports the base wage for up to 12 employee categories in French firms over the period 1998 to 2005, and obtain the following main results. First, the quarterly frequency of wage change is around 35 percent. Second, there is some downward rigidity in the base wage. Third, wage changes are mainly synchronized within firms but to a large extent staggered across firms. Fourth, standard Calvo or Taylor schemes fail to match micro wage adjustment patterns, but fixed duration "Taylor-like" wage contracts are observed for a minority of firms. Based on a two-thresholds sample selection model, we perform an econometric analysis of wage changes. Our results suggest that the timing of wage adjustments is not state-dependent, and are consistent with existence of predetermined of wage changes. They also suggest that both backward- and forward-looking behavior is relevant in wage setting. JEL Classification: E24, J3wage predetermination, Wage stickiness