sheepskin effects in the returns to education some previous discussions have dismissed screening theories of education partly on the ground that diploma years of education do not confer especially large earnings gains similarly most empirical research on earnings functions has assumed an absence of sheepskin effects we report evidence however of substantial and statistically significant sheepskin effects although this suggests that the previous dismissals of the screening hypothesis were premature our evidence of sheepskin effects is amenable to nonscreening interpretations also according to screening theories of education individuals with more schooling tend to earn more not because or at least not solely because schooling makes them more productive but rather because it credentiates them as more productive a frequently cited article by layard and psacharopoulos 1974 however dismissed the importance of the screening hypothesis on the grounds that several of its refutable predictions were not supported by available evidence one of these was the sheepskin prediction that wages will rise faster with extra years of education when the extra year also conveys a certificate after surveying a number of studies layard and psacharopoulous henceforth lp concluded that rates of return to dropouts are as high as to those who complete a course which refutes the sheepskin version of the screening hypothesis since publication of the lp paper an undergraduate labor economics textbook has cited lp s analysis of sheepskin effects as telling criticism of the screening hypothesis a prominent proponent of the screening hypothesis riley 1979 has accepted lp s summary of the empirical evidence but responded that some versions of the screening hypothesis do not imply sheepskin effects in the meantime the ongoing flood of empirical research on earnings functions typically has continued to treat the natural logarithm of the wage rate as a linear or occasionally quadratic function of years of education with no allowance for discontinuities in diploma years 2 the estimated rates of return used by lp were based on data that did not disaggregate dropouts earnings by how many years of school they had completed lp acknowledged we would have preferred to show the earnings gain associated with each year of the course including the year when it was successfully completed this note presents a reanalysis of sheepskin effects based on the type of data lp wished they had the results contain very strong evidence of sheepskin effects after all the next section describes our analysis and the following section summarizes and discusses our

jumps cojumps and macro announcements we use recently proposed tests to extract jumps and cojumps from three types of assets stock index futures bond futures and exchange rates we then characterize the dynamics of these discontinuities and informally relate them to us macroeconomic releases before using limited dependent variable models to formally model how news surprises explain co jumps nonfarm payroll and federal funds target announcements are the most important news across asset classes trade balance shocks are important for foreign exchange jumps we relate the size frequency and timing of jumps across asset classes to the likely sources of shocks and the relation of asset prices to fundamentals in the respective classes

information shocks liquidity shocks jumps and price discovery evidence from the u s treasury market in this paper we identify jumps in u s treasury bond t bond prices and investigate what causes such unexpected large price changes in particular we examine the relative importance of macroeconomic news announcements versus variation in market liquidity in explaining the observed jumps in the u s treasury market we show that while jumps occur mostly at prescheduled macroeconomic announcement times announcement surprises have limited power in explaining bond price jumps our analysis further shows that preannouncement liquidity shocks such as changes in the bid ask spread and market depth have significant predictive power for jumps the predictive power is significant even after controlling for information shocks finally we present evidence that post jump order flow is less informative relative to the case where there is no jump at announcement

the returns from schooling in a diversified rural economy controlling for the endogeneity of activity choice and considering both household head and family schooling we findevid ence of high returns from schooling in both crop andnoncrop activities as schooling levels increase the returns from schooling shift away from crop production failure to control for activity selection andfamily schooling is likely to result in biasedestimates of the returns from schooling in individual activities copyright 2000 oxford university press

a bivariate markov regime switching garch approach to estimate time varying minimum variance hedge ratios this article develops a new bivariate markov regime switching bekk generalized autoregressive conditional heteroscedasticity garch rs bekk garch model the model is a state dependent bivariate bekk garch model and an extension of gray s univariate generalized regime switching grs model to the bivariate case to solve the path dependency problem inherent in the bivariate regime switching bekk garch model we propose a recombining method for the covariance term in the conditional variance covariance matrix the model is applied to estimate time varying minimum variance hedge ratios for corn and nickel spot and futures prices out of sample point estimates of hedging portfolio variance show that compared to the state independent bekk garch model the rs bekk garch model improves out of sample hedging effectiveness for both corn and nickel data we perform white s 2000 data snooping reality check to test for predictive superiority of rs bekk garch over the benchmark model and find that the difference

hedging crude oil using refined product a regime switching asymmetric dcc approach abstract in this paper we explore the strategy on hedging crude oil using refined product we develop a regime switching asymmetric dcc rs adcc model by taking into account both of regime switching and asymmetry in correlations our out of sample findings indicate that rs adcc displays greater hedging effectiveness than some conventional multivariate garch heating oil can better hedge crude oil than gasoline

migration and income diversification evidence from burkina faso this paper uses limited dependent variable methods and new data from burkina faso to test the impact of inter continental and continental migration on activity choice and incomes in rural households econometric evidence supports our theoretical expectation that the impact of emigration varies both by migrant destination and production activity we find no evidence of either positive or negative effects of continental migration on agricultural or livestock activities and only a small negative impact on non farm activities however inter continental migration which tends to be long term and generates significantly larger remittances stimulates livestock production while being negatively associated with both staple and non farm activities

roughing it up including jump components in the measurement modeling and forecasting of return volatility a rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high frequency returns coupled with simple modeling procedures building on recent theoretical results in barndorff nielsen and shephard 2004a 2005 for related bi power variation measures the present paper provides a practical and robust framework for non parametrically measuring the jump component in asset return volatility in an application to the dm exchange rate the s p500 market index and the 30 year u s treasury bond yield we find that jumps are both highly prevalent and distinctly less persistent than the continuous sample path variation process moreover many jumps appear directly associated with specific macroeconomic news announcements separating jump from non jump movements in a simple but sophisticated volatility forecasting model we find that almost all of the predictability in daily weekly and monthly return volatilities comes from the non jump component our results thus set the stage for a number of interesting future econometric developments and important financial applications by separately modeling forecasting and pricing the continuous and jump components of the total return variation process

news announcements and price discovery in foreign exchange spot and futures markets abstract this paper studies competition in price discovery between spot and futures rates for the eur usd and jpy usd markets around scheduled macroeconomic announcements using both the information shares approach and the common factor component weight approach for futures prices from the chicago mercantile exchange cme as well as deal prices from spot trading on the electronic broking services ebs we gauge how foreign exchange spot and futures markets respond to news surprises the results show that the spot rates provide more price discovery than do the cme futures rates overall however the contribution of the futures rates to price discovery increases in the time surrounding macroeconomic announcement releases

male female differences in agricultural productivity methodological issues and empirical evidence abstract most estimates of male female differences in technical efficiency from production function studies show that male and female farmers are equally efficient farm managers controlling for levels of inputs and human capital there is some evidence however of allocative inefficiency within households marginal products of labor depend on the relative scarcities of labor and the gender division of labor in specific farming systems many of these studies however are methodologically flawed greater attention needs to be given to appropriate estimation methods endogenous input choice the use of headship as a stratifying variable and the implications of intrahousehold resource allocation

downside risk and the energy hedger s horizon abstract in this paper we explore the impact of investor time horizon on an optimal downside hedged energy portfolio the optimal heating oil hedge ratio is first calculated for a variety of downside risk objective functions at different time horizons using the wavelet transform next associated hedging effectiveness is contrasted for a range of risk metrics with all metrics showing increasing hedging effectiveness at longer horizons moreover decreased hedging effectiveness is demonstrated for increased levels of uncertainty at higher confidence intervals while small differences in effectiveness are found across the different hedging objectives time horizon effects are found to dominate confirming the importance of the hedging horizon the findings suggest that while downside risk measures are useful in determining an optimal futures hedge encompassing negative returns hedging horizon and confidence intervals should also be given careful consideration by the energy hedger

strategic ignorance and the robustness of social preferences participants in dictator games frequently avoid learning whether their choice to maximize their own earnings will help or hurt the recipient and then choose selfishly exploiting the moral wiggle room provided by their ignorance however this is found in an environment in which the dictator must actively learn the true payoffs so inaction means ignorance does this effect persist when one must actively choose either to be ignorant or to be informed or when one must actively choose to remain ignorant in fact whereas 45 of dictators remain ignorant when one must click to become informed this drops to 25 when one must click in either case and to 3 when one must click to remain ignorant although the exploitation of moral wiggle room is not merely an artifact it is much like social behavior itself subject to environmental and psychological factors that may reinforce or undermine its impact data as supplemental material are available at http dx doi org 10 1287 mnsc 2014 1989 this paper was accepted by uri gneezy behavioral economics

psychological expected utility theory and anticipatory feelings we extend expected utility theory to situations in which agents experience feelings of anticipation prior to the resolution of uncertainty we show how these anticipatory feelings may result in time inconsistency we provide an example from portfolio theory to illustrate the potential impact of anticipation on asset prices

futures hedging with markov switching vector error correction fiegarch and fiaparch abstract markov switching vector error correction asymmetric long memory volatility models with fat tailed innovations are proposed bivariate two state versions of the models are applied to a futures hedge of the s p500 regime switches occur between high and low cost of carry states via changes in the error correction term or basis regime identification is therefore dominated by switches in the mean not volatility relative to a number of alternatives the proposed models provide superior out of sample forecasts of the covariance matrix particularly for horizons greater than 10 days ahead when hedging markov switching with long memory improves the tail risk of hedged returns beyond 10 day horizons however there is mixed support for models with volatility asymmetries these findings have important implications for the development of multivariate models and other applications including portfolio management spread option pricing and arbitrage

cojumps and asset allocation in international equity markets abstract this paper examines the patterns of intraday cojumps between international equity markets as well as their impact on international asset holdings and portfolio diversification benefits using intraday index based data for exchange traded funds as proxies for international equity markets we document evidence of significant cojumps with the intensity increasing during the global financial crisis of 2008 2009 the application of the hawkes process also shows that jumps propagate from the us and other developed markets to emerging markets correlated jumps are found to reduce diversification benefits and foreign asset holdings in minimum risk portfolios whereas idiosyncratic jumps increase the diversification benefits of international equity portfolios in contrast the impact of higher order moments induced by idiosyncratic and systematic jumps on the optimal composition of international portfolios is not significant

transmission of prices and price volatility in australian electricity spot markets a multivariate garch analysis this paper examines the transmission of spot electricity prices and price volatility among the five regional electricity markets in the australian national electricity market namely new south wales queensland south australia the snowy mountains hydroelectric scheme and victoria a multivariate generalised autoregressive conditional heteroskedasticity model is used to identify the source and magnitude of price and price volatility spillovers the results indicate the presence of positive own mean spillovers in only a small number of markets and no mean spillovers between any of the markets this appears to be directly related to the physical transfer limitations of the present system of regional interconnection nevertheless the large number of significant own volatility and cross volatility spillovers in all five markets indicates the presence of strong autoregressive conditional heteroskedasticity and generalised autoregressive conditional heteroskedasticity effects this indicates that shocks in some markets will affect price volatility in others finally and contrary to evidence from studies in north american electricity markets the results also indicate that australian electricity spot prices are stationary

cross hedging jet fuel price exposure abstract this paper investigates the cross hedging performance of several oil forwards contracts using wti brent gasoil and heating oil to manage jet fuel spot price exposure we apply three econometric techniques that have been widely tested and applied in the cross hedging literature on foreign exchange and stock index futures markets using quotes from the financial industry on forward contracts we can show that the optimal cross hedging instrument depends on the maturity of the instrument s forwards contract the results highlight that the standard approach in the literature to use crude oil as a cross hedge is not optimal for time horizons of three months or less by contrast for short hedging horizons our results indicate that gasoil forwards contracts represent the highest cross hedging efficiency for jet fuel spot price exposure while for maturities of more than three months the predominance of gasoil diminishes in comparison to wti and brent

when do people exploit moral wiggle room an experimental analysis of information avoidance in a market setup abstract we investigate if decision makers avoid information to exploit moral wiggle room in green market settings we therefore implement a laboratory experiment in which subjects purchase products associated with externalities in six between subjects treatments we alter the availability of information on the externalities the price of revealing information as well as the nature of the externality which could either affect another subject or change the amount spent by the experimenters on carbon offsets we find that subjects do not strategically avoid information when revealing information is costless when a very small cost of revealing information is introduced their behavior depends on the relation between prices and externalities in situations in which it is relatively cheap to have a large impact on the recipient s payoff subjects avoid information in order to choose selfishly for other parameterizations subjects behave either honestly egoistically or altruistically

nudges that hurt those already hurting distributional and unintended effects of salience nudges abstract nudges are becoming increasingly popular policy tools yet distributional effects of nudges are largely unknown we first design an economic laboratory experiment to examine the incidence of an opportunity cost reminder nudge a salience nudge designed to curb spending while accounting for heterogeneity in emotional responses specifically the pain of paying pain of paying is optimal for unconflicted consumers but too low for spendthrifts and too high for tightwads causing sub optimal spending our empirical results imply the nudge increases pain of paying for tightwads thereby reducing spending by tightwads who already spend too little while it entirely fails to reduce the spending of those who would have benefited from a spending reduction spendthrifts overall the nudge therefore might reduce consumer welfare we next examine if the adverse impact of the opportunity cost reminder nudge is explained by a general tendency for all nudges to exacerbate peoples underlying spending preferences we specifically test whether a salience nudge designed to boost spending correspondingly adversely affects spendthrifts we unexpectedly find that subjects perceive the spending booster nudge as a spending reminder which again reduces spending by tightwads only while not affecting spending by the other consumer types our results highlight two important aspects of salience nudges given the complexity of consumer emotions and information processing salience nudges can have undesired welfare effects and the direction of their impact may be the opposite of what was intended

jumps in financial markets a new nonparametric test and jump dynamics this paper introduces a new nonparametric test to detect jump arrival times and realized jump sizes in asset prices up to the intra day level we demonstrate that the likelihood of misclassiflcation of jumps becomes negligible when we use high frequency returns using our test we examine jump dynamics and their distributions in the u s equity markets the results show that individual stock jumps are associated with prescheduled earnings announcements and other company speciflc news events additionally s p 500 index jumps are associated with general market news announcements this suggests difierent pricing models for individual equity options versus index op

strategic ignorance as a self disciplining device we analyse the decision of an agent with time inconsistent preferences to consume a good that exerts an externality on future welfare the extent of the externality is initially unknown but may be learned via a costless sampling procedure we show that when the agent cannot commit to future consumption and learning decisions incomplete learning may occur on a markov perfect equilibrium path of the resulting intra personal game in such a case each agent s incarnation stops learning for some values of the posterior distribution of beliefs and acts under self restricted information this conduct is interpreted as strategic ignorance all equilibria featuring this property strictly pareto dominate the complete learning equilibrium for any posterior distribution of beliefs

empirical exchange rate models and currency risk some evidence from density forecasts a large literature in exchange rate economics has investigated the forecasting performance of empirical exchange rate models using conventional point forecast accuracy criteria however in the context of managing exchange rate risk interest centers on more than just point forecasts this paper provides a formal evaluation of recent exchange rate models based on the term structure of forward exchange rates which previous research has shown to be satisfactory in point forecasting in terms of density forecasting performance the economic value of the exchange rate density forecasts is investigated in the context of an application to a simple risk management exercise

modeling asymmetric comovements of asset returns existing time varying covariance models usually impose strong restrictions on how past shocks affect the forecasted covariance matrix in this article we compare the restrictions imposed by the four most popular multivariate garch models and introduce a set of robust conditional moment tests to detect misspecification we demonstrate that the choice of a multivariate volatility model can lead to substantially different conclusions in any application that involves forecasting dynamic covariance matrices like estimating the optimal hedge ratio or deriving the risk minimizing portfolio we therefore introduce a general model which nests these four models and their natural asymmetric extensions the new model is applied to study the dynamic relation between large and small firm returns article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

the hedge ratio and the empirical relationship between the stock and futures markets a new approach using wavelet analysis this paper examines the relationship between the stock and futures markets in terms of lead lag relationship correlation and the hedge ratio using wavelet analysis empirical results show that 1 there is a feedback relationship between the stock and futures markets regardless of time scales 2 wavelet correlation between two markets varies over investment horizons but remains very high and 3 hedge ratio and the effectiveness of hedging strategies increase as the wavelet time scale increases simulation for utility comparisons shows that hedging effectiveness depends not only on the time scale but also on the risk aversion coefficient of an individual investor

the effect of asymmetries on optimal hedge ratios there is widespread evidence that the volatility of stock returns displays an asymmetric response to good and bad news this article considers the impact of asymmetry on time varying hedges for financial futures an asymmetric model that allows forecasts of cash and futures return volatility to respond differently to positive and negative return innovations gives superior in sample hedging performance however the simpler symmetric model is not inferior in a hold out sample a method for evaluating the models in a modern risk management framework is presented highlighting the importance of allowing optimal hedge ratios to be both time varying and asymmetric

bivariate garch estimation of the optimal commodity futures hedge six different commodities are examined using daily data over two futures contract periods cash and futures prices for all six commodities are found to be well described as martingales with near integrated garch innovations bivariate garch models of cash and futures prices are estimated for the same six commodities the optimal hedge ratio ohr is then calculated as a ratio of the conditional covariance between cash and futures to the conditional variance of futures the estimated ohrs reveal that the standard assumption of a time invariant ohr is inappropriate for each commodity the estimated ohr path appears non stationary which has important implications for hedging strategies

hedging index exchange traded funds this paper presents an empirical comparison of the out of sample hedging performance from naive and minimum variance hedge ratios for the four largest us index exchange traded funds etfs efficient hedging is important to offset long and short positions on market maker s accounts particularly imbalances in net creation or redemption demands around the time of dividend payments our evaluation of out of sample hedging performance includes aversion to negative skewness and excess kurtosis the results should be of interest to hedge funds employing tax arbitrage or leveraged long short equity strategies as well as to etf market makers

the optimal value at risk hedging strategy under bivariate regime switching arch framework unlike the majority of other hedging literatures in which variance is taken as the risk indicator this article uses the value at risk var as the risk management tool of the hedged portfolio this article adopts a bivariate markov regime switching autoregressive conditional heteroscedastic swarch model to formulate the optimal var hedging strategy and then compares it with the other dynamic futures hedging strategies mentioned in the literature in hedging performance using taiwan stock exchange capitalization weighted stock index taiex futures data the in sample and out of sample results shows that when var is used as the criterion to measure the futures hedging effectiveness the performance of the dynamic hedging strategy is superior to that of the static hedging strategy and the performance of the optimal var hedging strategy is better than that of the minimum variance and mean variance hedging strategies besides from the standpoint that the volatility of hedge ratio and hedged portfolio var

prices and productivity in agriculture developing countries often tax agriculture heavily a practice that might affect the productivity as well as the quantity of resources allocated to agriculture a variable coefficient cross country agricultural production function is estimated with past price expectations among the determinants of the production coefficients productivity s responsiveness to those expectations implies that had these developing economies eliminated price interventions agricultural productivity would have increased on average by about a fourth copyright 1993 by mit press

optimal hedging under departures from the cost of carry valuation evidence from the spanish stock index futures market abstract we provide an analytical discussion of the optimal hedge ratio under discrepancies between the futures market price and its theoretical valuation according to the cost of carry model assuming a geometric brownian motion for spot prices we model mispricing as a specific noise component in the dynamics of futures market prices empirical evidence on the model is provided for the spanish stock index futures ex ante simulations with actual data reveal that hedge ratios that take into account the estimated time varying correlation between the common and specific disturbances lead to using a lower number of futures contracts than under a systematic unit ratio without generally losing hedging effectiveness while reducing transaction costs and capital requirements besides the reduction in the number of contracts can be substantial over some periods finally a mean variance expected utility function suggests that the economic benefits from an optimal hedge can be substantial

migration and rural welfare the impact of potential policy reforms in europe summary this paper uses an agricultural household model in an imperfect market environment and data from burkina faso to explore the impact of potential immigration policy reforms in europe on the welfare of rural households simulation results demonstrate that in contrast to continental migration increased intercontinental migration has strong positive household welfare effects similarly an increase in the stay abroad of intercontinental migrants impacts positively on welfare of the migrant sending household results of these simulations lend support to the introduction of a tmp which would in addition to facilitating migration control in host economies improve the welfare of sending households by allowing for increased engagement in intercontinental migration the temporary nature of such a program would ensure that dutch disease effects would be mitigated through eventual migrant return

the impact of short selling on the price volume relationship evidence from hong kong this paper considers the relationship between traded volume and volatility allowing for the impact of short sales the evidence supports a nonlinear bidirectional relationship between volume and volatility short selling is found to have a significant impact on this relationship and our results suggest i that the hong kong market displays greater volatility following a period of short selling and ii that asymmetric responses to positive and negative innovations to returns appear to be exacerbated by short selling

peasant household behaviour with missing markets some paradoxes explained a model of peasant household behavior under varying degrees of household specific food and labor market failures is constructed to show that these structural features can explain several well known patterns of peasant response which have often been attributed to peculiar motives presumed specific to peasants the model explains sluggish response to cash crops prices and high instability in perceived food and labor scarcities the key role of manufactured consumer goods prices in stimulating peasants effort in cash crops production the effectiveness of taxation as opposed to incentives in stimulating cash crops production and the key role of technological change in food production to enhance cash crop production results are obtained analytically in the case of one market failure and by numerical simulation with more than one

determinants and effects of income diversification amongst farm households in burkina faso using four years of household data from three agroecological zones in burkina faso sahelian sudanian and guinean the article examines the determinants and effects of household income diversification harvest shortfalls and terms of trade are found to drive diversification but land constraints do not income diversification is associated with higher incomes and food consumption and more stable income and consumption over years

simultaneously determined time varying hedge ratios in the soybean complex time varying hedge ratios are derived which account for the dynamic characteristics of prices in the soybean complex a multivariate generalized autogressive heteroskedastic mgarch model along with other conditional models is used to specify the relevant covariance matrix while the time varying representations of the variance matrix are statistically appropriateex anteand ex posthedging effectiveness indicate that they provide minimal gain to hedging in terms of mean return and reduction in variance over a constant conditional procedure whether similar findings arise from other applications of garch models to optimal hedging is a question for further research

the asymmetric effects of uncertainty on inflation and output growth we study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for post war us data our results suggest that increased growth uncertainty is associated with significantly lower average growth while higher inflation uncertainty is significantly negatively correlated with lower output growth and lower average inflation both inflation and growth display evidence of significant asymmetric response to positive and negative shocks of equal magnitude copyright 2004 john wiley sons ltd

riskiness minimizing spot futures hedge ratio abstract in this paper we propose a new spot futures hedging method that determines the optimal hedge ratio by minimizing the riskiness of hedged portfolio returns where the riskiness is measured by the index of aumann and serrano 2008 unlike the risk measurements widely used in the literature the riskiness index employed in our method satisfies monotonicity with respect to stochastic dominance we also provide an empirical example to demonstrate how to estimate and test this optimal hedge ratio in equity data by the method of moments

regime switching correlation hedging this paper investigates the hedging effectiveness of commodity futures when the correlations of spot and futures returns are subject to multi state regime shifts an independent switching dynamic conditional correlation garch is dcc which is free from the problems of path dependency and recombining is applied to model multi regime switching correlations the results of hedging exercises indicate that state dependent is dcc outperforms state independent dcc garch and three state is dcc exhibits superior hedging effectiveness illustrating importance of modeling higher state switching correlations for dynamic futures hedging

education in production measuring labor quality and management production function studies have used the education of the head of the household or the average education of farm workers to assess the contribution of schooling to farm efficiency in this paper i critically examine the information content of these measures by developing a team production model which suggests separate education measures to approximate labor quality and managerial skills empirical analyses based on chinese farm household data show that the new measures are statistically superior to the existing alternatives there is evidence of centralized decision making on the farms where the highest schooling contributes the most to production efficiency

arm s length relationships we show that lowering the cost of acquisition of information that a principal obtains about the performance of an agent may make it more difficult for the principal to commit to threats hence it will weaken incentives and can therefore be counterproductive this phenomenon is explored in a framework where improving the quality of information makes a commitment not to renegotiate less credible applications to the theory of the firm are briefly explored

is generosity involuntary abstract we estimate the distribution of exit reservation prices in a dictator game the mean exit reservation price equals 82 of the dictator game endowment and only 36 of subjects have exit reservation prices consistent with selfish or social preferences

sequential labor decisions under uncertainty an estimable household model of west african farmers this paper reports estimates of the structural parameters of a stochastic control model that describcs the labor decisions of small farmers in burkina faso west africa the focus of the estimation is on measuring flexibility in production and intertemporal substitutability in consumption full information maximum likelihood estimates of the primitive parameters of the model are computed even though optimal labor decision rules cannot be derived analytically vuong s non nested model specification test shows that this method yields parameter estimates that are superior to those derived by assuming that farmers solve a deterministic control problem the low levels of agricultural labor effort commonly observed in the survey area are shown to be a consequence both of the low productivity of labor in archaic rainfed agriculture and of farmers awareness that in the absence of a labor market overly ambitious production plans lead to seasonal manpower constraints to meet rainfed farmers concerns agricultural research institutes and extension services should factor flexibility into their research agendas

credit spreads an empirical analysis on the informational content of stocks bonds and cds this paper explores the dynamic relationship between stock market implied credit spreads cds spreads and bond spreads a general vecm representation is proposed for changes in the three credit spread measures which accounts for zero one or two independent cointegration equations depending on the evidence provided by any particular company empirical analysis on price discovery based on a proprietary sample of north american and european firms and tailored to the specific vecm at hand indicates that stocks lead cds and bonds more frequently than the other way round it likewise confirms the leading role of cds with respect to bonds

cojumping evidence from the us treasury bond and futures markets the basis between spot and future prices will be affected by jump behavior in each asset price challenging intraday hedging strategies using formal cojumping tests this paper considers the cojumping behavior of spot and futures prices in high frequency us treasury data cojumping occurs most frequently at shorter maturities and higher sampling frequencies we find that the probability of cojumping is altered by the presence of an anticipated macroeconomic news announcement the probability of cojumping is particularly affected by news surprises in non farm payrolls cpi gdp and retail sales however the two cojumping tests are also more likely to provide contradictory results in the presence of surprises in non farm payrolls on these occasions the market does not clearly signal its short term pricing behavior

specific experience household structure and intergenerational transfers farm family land and labor arrangements in developing countries data from indian rural household survey was used to test th hypothesis that the coexistence in traditional rural societies of extended intergenerational families infrequent land sales and high reliance on family members as farm laborers is the result of the economic advantages which accrue from the knowledge gained by farming a particular ploy of land over a long period of time the land specific experience of elderly members of a intergenerational household who farmed the land as a child and then as an adult are expecially critical in adverse weather years most previous investigators attributed the existence of multigenerational households the use of family members rather than hired laboreds and the infrequency of land sales to deficiencies in the market i e labor market imperfections and an absence of capital insurance and asset markets in the present investigations these same characteristics are viewed as having an economic advantages a model for estimating the contribution of the experience of the elderly household members to agricultural profits was developed and applied to data from a 3 year panel study of 2900 indian rural farm households the data was collected between 1968 71 by the national council of applied economic research the survey collected information on farm profits farm inputs demographic characteristics and the effects of weather conditions on profits a major limitation of the study was a lack of information on the duration of land ownership age of household members was substituted as a proxy for duration of ownership findings were consistent withe the hypothesis in poor agricultural years gross returns for households which contained an elderly household member were greater than the gross returns for comparable households which did not contain an elderly member the economic advantages of specific knowledge embodied in the experienced elderly farmer were comparable to the economic advantages which accrued to households whose members were more educated the hypothesis cannot fully explain the existence of intergenerational families since there is a relatively large proportion of such families among nonfarm families in many countries including india findings suggest that intergenerational families may provide for more occupational diversity and thereby reduce income risks the specific experience hypothesis has policy implications if technological changes are introduced the value of specific experience may be lost and the frequency of intergenerational households may decline the hypothesis may also explain why farmers are reluctant to agree to land redistribution and consolidation schemes this reluctance may disappear after sufficient technological change has occurred

non agricultural earnings in peri urban areas of tanzania evidence from household survey data abstract this study draws on purposive survey data of approximately 600 households in peri urban tanzania to describe the degree and nature of non farm diversification in these settings with the exception of relatively dynamic cities such as dar es salaam and arusha overall non farm incomes shares are not unambiguously higher than in rural areas as a whole non farm income shares rise sharply and monotonically with quintiles defined in terms of per capita food consumption in that sense the sector appears to offer an important route out of poverty the evidence suggests that education and access to infrastructure are important determinants of non farm incomes in peri urban areas women appear to be poorly placed vis a vis the non farm sector even after controlling for education age and other characteristics kinship and tribal affinities and time devoted to communal activities appear to deter entrepreneurial activity and non farm employment but trust in officials and public servants and strong heterogeneous village associations are important in stimulating non farm activity

ecb monetary policy surprises identification through cojumps in interest rates this paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements based on cojumps in intraday tick data of a short and long term interest rate we develop a day wise test that detects the occurrence of a significant policy surprise and identifies the market perceived source of the surprise the new test is applied to 133 policy announcements of the european central bank ecb in the period from 2001 2012 our main findings indicate a good predictability of ecb policy decisions and remarkably stable perceptions about the ecb s policy preferences

excusing selfishness in charitable giving the role of risk decisions involving charitable giving often occur under the shadow of risk a common finding is that potential donors give less when there is greater risk that their donation will have less impact while this behaviour could be fully rationalized by standard economic models this article shows that an additional mechanism is relevant the use of risk as an excuse not to give in a laboratory study participants evaluate risky payoffs for themselves and risky payoffs for a charity when their decisions do not involve tradeoffs between money for themselves and the charity they respond very similarly to self risk and charity risk by contrast when their decisions force tradeoffs between money for themselves and the charity participants act more averse to charity risk and less averse to self risk these altered responses to risk bias participants towards choosing payoffs for themselves more often consistent with excuse driven responses to risk additional results support the existence of excuse driven types

volatility uncertainty time decay and option bid ask spreads in an incomplete market this paper documents the fact that in options markets the percentage implied volatility bid ask spread increases at an increasing rate as the option s maturity date approaches to explain this stylized fact this paper provides a market microstructure model for the bid ask spread in options markets we first construct a static equilibrium model to illustrate the aforementioned phenomenon where risk averse and competitive option market makers quote bid and ask prices to minimize their inventory risk in an incomplete market with both directional and volatility risk we extend this model to multiperiods and show that the same phenomenon occurs there as well two new implications are generated a volatility level effect and a volatility variance effect these implications are empirically tested and the empirical results confirm the model s validity finally we document the importance of detrending the maturity effect by showing that the detrended percentage volatility spread explains future jump intensit

education and technical efficiency in small farm production differences in technical efficiency are observed as differences in the physical output produced from a given bundle of physical inputs these differences are not considered in the traditional theory of the firm wherein the output resulting from a particular input bundle is specified as the maximum possible according to the latest technology presupposing technical efficiency the theory of the firm concentrates on allocative efficiency on the choice of the particular input bundle that maximizes profit given prices and the technically efficient production function the best utilization of any particular input combination according to henderson and quandt is a technical not an economic problem 1 economic theory notwithstanding empirical studies of production must take into account differences in the utilization of inputs since in the real world producers are not all equally efficient it is conceptually convenient to divide the output variation observed over a number of firms into two parts one that stems from variation in physical inputs and another that reflects differences in technical efficiency timmer has developed an approach by which to compare the technical efficiency of firms using linear programming he determines the function that relates physical inputs to output for the most efficient of a sample of firms in other words he finds the production surface that is the envelope of all the observation points he calls this function the technical frontier the relative tech

good bad cojumps and volatility forecasting new evidence from crude oil and the u s stock markets abstract in this article we investigate the impacts of jumps cojumps and their signed components on forecasting oil futures price volatility in the framework of the heterogeneous autoregressive realized volatility model our empirical results reveal several noteworthy findings first the effects of signed jumps and cojumps based on the daily and intraday jump tests on future volatility are asymmetric and the negative components are much more powerful in forecasting volatility moreover our proposed models including the signed jump and cojump components are able to generate higher forecasting accuracy and we find that disentangling the effects of positive and negative jumps and cojumps can significantly improve forecasts of future volatility lastly our findings are reliable for various robustness checks and our study provides some new insights into forecasting oil price realized volatility which are useful for researchers market participants and policymakers

a word of caution on calculating market based minimum capital risk requirements this paper demonstrates that the use of garch type models for the calculation of minimum capital risk requirements mcrrs may lead to the production of inaccurate and therefore inefficient capital requirements we show that this inaccuracy stems from the fact that garch models typically overstate the degree of persistence in return volatility a simple modification to the model is found to improve the accuracy of mcrr estimates in both back and out of sample tests given that internal risk management models are currently in widespread usage in some parts of the world most notably the usa and will soon be permitted for ec banks and investment firms we believe that our paper should serve as a valuable caution to risk management practitioners who are using or intend to use this popular class of models

hedging with futures does anything beat the naive hedging strategy this paper investigates out of sample performance of the naive hedging strategy relative to that of the minimum variance hedging strategy in which the covariance parameters are estimated from 18 e

asymmetric effect of basis on dynamic futures hedging empirical evidence from commodity markets abstract the dynamic minimum variance hedge ratios mvhrs have been commonly estimated using the bivariate garch model that overlooks the basis effect on the time varying variance covariance of spot and futures returns this paper proposes an alternative specification of the bgarch model in which the effect is incorporated for estimating mvhrs empirical investigation in commodity markets suggests that the basis effect is asymmetric i e the positive basis has greater impact than the negative basis on the variance and covariance structure both in sample and out of sample comparisons of the mvhr performance reveal that the model with the asymmetric effect provides greater risk reduction than the conventional models illustrating importance of the asymmetric effect when modeling the joint dynamics of spot and futures returns and hence estimating hedging strategies

moral hypocrisy power and social preferences abstract we study how individuals adjust their judgment of fairness and unfairness when they are in the position of spectators before and after making real decisions and how this adjustment depends on the actions they take in the game we find that norms that appear universal instead take into account the players bargaining power also individuals adjust their judgments after playing the game for real money when they behaved more selfishly and only in games where choices have no strategic consequence we interpret this possibly self deceptive adjustment of judgments to actions as moral hypocrisy this behavior appears produced by the attempt to strike a compromise between self image and payoffs so as to release oneself of one s responsibility for selfish behavior

distributional predictability between commodity spot and futures evidence from nonparametric causality in quantiles tests abstract unbiasedness and informational efficiency of futures markets under different market conditions is a claim that still remains unsettled in the theory of non arbitrage and asset pricing and in empirics as well this study investigates this claim using a novel causality in quantile model of balcilar et al 2016 for two energy commodities crude oil and natural gas and two precious metals gold and silver the model estimates causalities in mean and variance between spot and futures market in a time varying context conditioning on the states of the markets represented by the quantiles of the conditional distribution of the dependent variable the causality in return is asymmetric and unidirectional from futures to spot market for all commodities that means the predictability of the futures market due to its informational efficiency is strong in the normal market and declines when the spot market enters into extreme bearish and bullish conditions the causality in variance is bi directional in the normal to bull markets except for natural gas where it is unidirectional from futures to spot only it is a confirmation of the risk management and price discovery role of futures market lack of causality in the bear market entails some kind of disconnectedness between the spot and futures markets in a bad market where intervention is called for from the exchange and regulators to restore stability in the spot and futures market dynamics although economic uncertainty is found to have no impact on the causality in mean except gold however the causality in variance is influenced in the case of gold and crude this is a kind of reaffirmation of the fact that under economic uncertainty futures contracts are used for hedging under different market conditions however the causality between commodity spot and futures are resilient to exchange rate

generalized optimal hedge ratio estimation a generalized approach to estimating optimal hedge ratios on futures markets is developed the generalized approach is not difficult to apply and provides a framework for evaluating the appropriateness of conventional simple regression approaches to optimal hedge ratio estimation in an application to storage hedging of corn soybeans and wheat it is found that simple regression using price levels or returns leads to errors in optimal hedge ratio estimation but that simple regression using price changes provides reasonably accurate estimates

some recent developments in futures hedging the use of futures contracts as a hedging instrument has been the focus of much research at the theoretical level an optimal hedge strategy is traditionally based on the expected utility maximization paradigm a simplification of this paradigm leads to the minimum variance criterion although this paradigm is quite well accepted alternative approaches have been sought at the empirical level research on futures hedging has benefited from the recent developments in the econometrics literature much research has been done on improving the estimation of the optimal hedge ratio as more is known about the statistical properties of financial time series more sophisticated estimation methods are proposed in this survey we review some recent developments in futures hedging we delineate the theoretical underpinning of various methods and discuss the econometric implementation of the methods

gender agricultural production and the theory of the household virtually all models of the household assume that the allocation of resources is pareto efficient within many african households agricultural production occurs on many plots controlled by different members of the household pareto efficiency implies that factors should be allocated efficiently across these plots i find in contrast that plots controlled by women are farmed much less intensively than similar plots within the household controlled by men the estimates imply that about 6 percent of output is lost because of inefficient factor allocation within the household the paper suggests a new approach to modeling intrahousehold allocation consistent with the empirical results

system wide tail comovements a bootstrap test for cojump identification on the s p 500 us bonds and currencies this paper studies bivariate tail comovements on financial markets that are of crucial importance for the world economy the s p 500 us bonds and currencies we propose to study that form of dependence under the lens of cojump identification in a bivariate brownian semimartingale with idiosyncratic jumps as well as cojumps whereas univariate jump identification has been widely studied in the high frequency data literature the multivariate literature on cojump identification is more recent and scarcer cojump identification is of interest as it may identify comovements which are not trivially visible in a univariate setting that is price changes can be small relative to local variation but still abnormal relative to local covariation this paper investigates how simple parametric bootstrapping of the product of assets intraday returns can help detect cojumps in a multivariate brownian semi martingale with both idiosyncratic jumps and cojumps in particular we investigate how to disentangle idiosyncratic jumps from common jumps at an intraday level for pairs of assets the approach is flexible trivial to implement and yields good power properties it allows to shed new light on extreme dependence at the world economy level we detect cojumps of heterogeneous size which are partly undetected with a univariate approach we find an increased cojump intensity after the crisis on the s p 500 us bonds pair before a return to normal

optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions this article proposes to use the three multivariate skew distributions generalized hyperbolic distribution multivariate skew normal distribution and multivariate skew student t distribution for estimating the minimum variance hedge ratio in a dynamic setting three criteria for measuring hedge effectiveness are employed hedging instrument effectiveness overall hedge effectiveness and relative to optimal hedge ratio effectiveness rhre three portfolios of spot and futures series are formed for empirical analysis the outcomes confirm that the three multivariate skew distributions are more helpful in deciding the minimum variance hedge ratio especially the generalized hyperbolic distribution than the symmetrical normal and student t distributions this outperformance is significant especially at critical market moments and it is indicated by three hedge effectiveness measures this advantage is held without the cost of lowering portfolio return in addition there is speculation possibility exist

implications of nonlinear dynamics for financial risk management this paper demonstrates that when log price changes are not iid their conditional density may be more accurate than their unconditional density for describing short term behavior using the bds test of independence and identical distribution daily log price changes in four currency futures contracts are found to be not iid while there appear to be no predictable conditional mean changes conditional variances are predictable and can be described by an autoregressive volatility model that seems to capture all the departures from independence and identical distribution based on this model daily log price changes are decomposed into a predictable part which is described parametrically by the autoregressive volatility model and an unpredictable part which can be modeled by an empirical density either parametrically or nonparametrically this two step seminonparametric method yields a conditional density for daily log price changes which has a number of uses in financial risk management

the hedging performance of electricity futures on the nordic power exchange the nordic power exchange nord pool the first multinational exchange for electricity trading has existed since january 1996 spot and futures contracts are traded on this exchange and its typical characteristics are very high volatilities as well as non normally distributed returns this article looks at electricity futures and how they can be used for short term hedging of positions taken in the spot market it studies the minimum variance hedge ratio and how it can be estimated in different ways the traditional naive hedge and the ols hedge are compared out of sample to more elaborate moving average and garch hedges and the empirical results indicate some gains from hedging with futures despite the lack of straight forward arbitrage possibilities in the electricity market furthermore we find a slightly better performance of the simple ols hedge compared to the conditional hedges

trading asymmetric trend and volatility by leverage trend garch in taiwan stock index this article develops a leverage trend generalized autoregressive conditional heteroscedasticity garch model by incorporating asymmetric trend of returns of the exponential autoregressive and asymmetric volatility of garch models to study the asymmetric effects using in sample daily data of taiex over the period 4 january 1980 to 25 august 1997 and postsample daily data over the period 26 august 1997 to 10 september 2007 the evidence reveals that a curvaceous risk return relationship and both asymmetric volatility and asymmetric trend of returns are significant in taiex the episode of asymmetric trend of returns is that the positive information creates a higher return trend than the negative information of the same amount while similarly to most studies the evidence of asymmetric volatility appears that the negative information makes a higher volatility than the positive information of the same size most remarkably we evidence that the volatility asymmetry effect is a conservative trading factor

the impact of farmers health and nutritional status on their productivity and efficiency evidence from ethiopia this article focuses on the link between agricultural productivity and health and nutrition status of peasants in ethiopia the data come from the first round of the ethiopian rural household survey conducted in 1994 the sites selected were those in which farmers practice ox plow cultivation of cereals a stochastic frontier approach was adopted for the agricultural production the findings of the study show that the distance to the source of water as well as nutrition and morbidity status affect agricultural productivity the market wage rate is also very responsive to the weight for height as well as the body mass index and height in a context where separability between consumption and production decisions of the household is rejected elasticities of labor productivity with respect to nutritional status are noted to be strong and similar in technology estimates and wage equations moreover returns to investment in nutrition are clearly high in the ethiopian context overall the results indicate substantial loss in output due to technical inefficiency even after accounting for the health and nutrition of workers

performance of utility based hedges abstract hedgers as investors are concerned with both risk and return however when measuring hedging performance the role of returns and investor risk aversion has generally been neglected in the literature by its focus on minimum variance hedging in this paper we address this by using utility based performance metrics to evaluate the hedging effectiveness of utility based hedges for hedgers with both moderate and high risk aversion together with the more traditional minimum variance approach to examine this for an energy hedger we apply our approach to wti crude oil for three different hedging horizons daily weekly and monthly we find significant differences between the minimum variance and utility based hedging strategies in sample for all frequencies however performance differentials between the different strategies are small and not economically significant out of sample results support these findings across all frequencies

economic development and the return to human capital a smooth coefficient semiparametric approach this paper investigates the impact of human capital on the process of economic growth by allowing the contribution of traditional inputs capital and labour as well as that of human capital to vary both across countries and time the former is accomplished by constructing an index of tfp growth for traditional inputs while the latter through semiparametric methods we derive estimates of the output elasticity and social return to human capital for 51 countries at various stages of economic development copyright 2005 john wiley sons ltd

estimation of the optimal futures hedge standard approaches to designing a futures hedge often suffer from two major problems first they focus only on minimizing risk so no account is taken of the impact on expected return second in estima ting the hedge ratio no allowance is made for time variation in the distribution of cash and futures price changes this paper describes a technique for estimating the optimal futures hedge that corrects these problems and illustrates its use in hedging treasury bonds with t bond futures copyright 1988 by mit press

continuous time models realized volatilities and testable distributional implications for daily stock returns we provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous time jump diffusion models traditionally used in asset pricing finance our approach builds directly on recently developed realized variation measures and non parametric jump detection statistics constructed from high frequency intra day data a sequence of simple to implement moment based tests involving various transformations of the daily returns speak directly to the importance of different distributional features and may serve as useful diagnostic tools in the specification of empirically more realistic continuous time asset pricing models on applying the tests to the 30 individual stocks in the dow jones industrial average index we find that it is important to allow for both time varying diffusive volatility jumps and leverage effects to satisfactorily describe the daily stock price dynamics copyright 2009 john wiley sons ltd

the de merits of minimum variance hedging application to the crack spread we study the empirical performance of the classical minimum variance hedging strategy comparing several econometric models for estimating hedge ratios of crude oil gasoline and heating oil crack spreads given the great variability and large jumps in both spot and futures prices considerable care is required when processing the relevant data and accounting for the costs of maintaining and re balancing the hedge position we find that the variance reduction produced by all models is statistically and economically indistinguishable from the one for one naive hedge however minimum variance hedging models especially those based on garch generate much greater margin and transaction costs than the naive hedge therefore we encourage hedgers to use a naive hedging strategy on the crack spread bundles now offered by the exchange this strategy is the cheapest and easiest to implement our conclusion contradicts the majority of the existing literature which favours the implementation of garch based hedging strategies

a markov regime switching approach for hedging energy commodities abstract this paper estimates constant and dynamic hedge ratios in the new york mercantile exchange oil futures markets and examines their hedging performance we also introduce a markov regime switching vector error correction model with garch error structure this specification links the concept of disequilibrium with that of uncertainty as measured by the conditional second moments across high and low volatility regimes overall in and out of sample tests indicate that state dependent hedge ratios are able to provide significant reduction in portfolio risk

women s empowerment in agriculture implications for technical efficiency in rural bangladesh although a great deal of research exists on gender and agriculture few studies investigate the implications of reduced gender disparities in households for technical efficiency in this article i compare the levels of technical efficiency achieved on plots operated by households with different levels of gender disparities using plot level data from the 2011 2012 bangladesh integrated household survey and drawing on indicators derived from the women s empowerment in agriculture index i estimate a stochastic frontier production function model which includes women s empowerment in agriculture as an exogenous determinant of technical inefficiency i find that reduced gender disparities within households measured in terms of the empowerment gap between spouses are associated with higher levels of technical efficiency this result extends to plots that women jointly manage with their spouses as well as those that women do not actively manage

flexible multivariate garch modeling with an application to international stock markets this paper offers a new approach to estimating time varying covariance matrices in the framework of the diagonal vech version of the multivariate garch 1 1 model our method is numerically feasible for large scale problems produces positive semidefinite conditional covariance matrices and does not impose unrealistic a priori restrictions we provide an empirical application in the context of international stock markets comparing the new estimator with a number of existing ones

does better nutrition raise farm productivity household level data from sierra leone are used to test whether higher caloric intake enhances family farm labor productivity this is the notion behind the efficiency wages hypothesis which has found only weak empirical support a farm production function is estimated accounting for the simultaneity in input and calorie choice instruments include prices household demographic characteristics and farm assets the latter two sets of instruments are later dropped to explore the robustness of the results to different specifications of exogeneity the exercise shows a highly significant effect of caloric intake on labor productivity providing solid support for the nutrition productivity hypothesis the marginal effect on productivity falls drastically as calorie consumption rises but remains positive at moderately high levels of intake one result is a fall in the effective price of food a decline that is larger for households that consumer fewer calories

information shares in the us treasury market abstract this paper highlights the previously neglected role of the futures markets in us treasury price discovery the estimates of 5 and 10 year govpx spot market information shares typically fail to reach 50 from 1999 on the govpx information shares for the 2 year contract are higher than those of the 5 and 10 year maturities but also decline after 1998 relative bid ask spreads number of trades and realized volatility are statistically significant and explain up to 21 of daily information shares in roughly 1 4 of cases when public information is released the futures market gains information share but macroeconomic announcements rarely explain information shares independently of liquidity

sudden changes in variance and time varying hedge ratios abstract this paper analyzes the influence of sudden changes in the unconditional volatility on the estimation and forecast of volatility and its impact on futures hedging strategies we employ several multivariate garch models to estimate the optimal hedge ratios for the spanish stock market including in each one some well known patterns that may affect volatility forecasts asymmetry and sudden changes the main empirical results show that more complex models including sudden changes in volatility outperform the simpler models in hedging effectiveness both with in sample and out of sample analysis however the evidence is stronger when the loss distribution tail is used as a measure for the effectiveness value at risk var and expected shortfall es suggesting that traditional measures based on the variance of the hedged portfolio should be used with caution

a markov model of switching regime arch in this article i present a new approach to model more realistically the variability of financial time series i develop a markov arch model that incorporates the features of both hamilton s switching regime model and engle s autoregressive conditional heteroscedasticity arch model to examine the issue of volatility persistence in the monthly excess returns of the three month treasury bill the issue can be resolved by taking into account occasional shifts in the asymptotic variance of the markov arch process that cause the spurious persistence of the volatility process i identify two periods during which there is a regime shift the 1974 2 1974 8 period associated with the oil shock and the 1979 9 1982 8 period associated with the federal reserve s policy change the variance approached asymptotically in these two episodes is more than 10 times as high as the asymptotic variance for the remainder of the sample i conclude that regime shifts have a greater impact on the properties of the data and i ca

deception the role of uncertain consequences abstract we study how decisions to lie extend to risky environments we provide experimental evidence from a sender receiver game where there is uncertainty over the amount by which a sender s lie reduces its receiver s payoff which is known only to potential liar even though all reduction amounts are equiprobable ex post beliefs elicited from senders suggest that unlike truth tellers most liars underestimate the extent of the actual reduction in the receiver s payoff and appear to exploit this self serving bias resulting in substantially more lying relative to a baseline treatment without the uncertainty subsequent treatments confirm the bias by either providing additional evidence or by removing possible confounds an intervention treatment nudging senders toward correcting the bias reduces lying

the role of responsibility in strategic risk taking we explore play between groups where one member of each 2 person group dictates the play of that group and is therefore responsible for the payoff of the other group member we compare this to play when the game is the same but each person is playing only for herself consistent with the principle of responsibility alleviation described by charness charness g 2000 responsibility and effort in an experimental labor market journal of economic behavior and organization 42 375 384 we find that a sense of responsibility for the welfare of others has an effect while the issue of responsibility does not appear to influence the decisions of 2 3 of the population almost 90 percent of the remaining 1 3 of the population plays a less risky strategy when choosing for a group than when playing only for herself