devaluation expectations and speculative attacks on the currency balance of payments crises are studied in a framework where investors do not know the threshold level of foreign reserves the attainment of which implies that the central bank abandons its fixed exchange target investors are alternatively risk neutral or risk averse it is shown that depending on whether the threshold level is stochastic or fixed but unknown to investors currency speculation reveals itself as respectively a speculative outflow distributed over a longer time period or a sudden speculative attack on the currency

handling unobserved site characteristics in random utility models of recreation demand abstract this paper presents a new random utility model of recreation demand that addresses the unobserved characteristics of recreation sites most random utility recreation demand models implicitly assume that all relevant site characteristics are observed by the researcher or allow for the possibility of unobserved characteristics in a restrictive manner unlike traditional approaches the proposed model avoids the bias unobserved site characteristics can cause in welfare estimates and the travel cost parameter monte carlo simulations motivate the proposed model by showing that it provides more efficient parameter estimates in contrast existing methods yield less efficient estimates and biased standard errors that overstate precision an empirical application to recreational fishing in wisconsin illustrates the potential importance of this modeling innovation in this application controlling for unobserved characteristics is important for a range of model specifications

a utility consistent combined discrete choice and count data model assessing recreational use losses due to natural resource damage abstract a two stage budgeting approach can often be taken when analyzing consumer choice situations in this paper we examine the particular situation where a consumer makes purchases of a discrete commodity of which there are a number of brands in the first stage the consumer decides how many purchases to make in the second stage the consumer decides how to allocate these purchases across brands our econometric approach to this type of situation uses a utility consistent combined discrete choice and count data model the second stage which is specified as a multinomial choice model produces a price index for the commodity which is used to estimate the first stage which is specified as a count data model we apply the model to recreational demand behavior in alaska in order to estimate the welfare losses suffered by recreational users due to the exxon valdez oil spill these results may provide useful input to government agencies attempting to estimate the appropriate level of taxes fines or regulations for deterring damage to the environment

collusion and overlending i introduction for a long time have korean companies been engaged in unbridled expansionism financed through loans inefficient octopus style management and over and duplicate investment thus expediting the structural failure of the economy this failure to concentrate on profits consolidation and efficiency provided the fuse to the bankruptcy bombs that triggered the foreign exchange and economic crises the collusion between the conglomerates financial sector and politicians made this financial monopoly possible chosun ilbo december 26 1997 collusion and overlending in the korean financial sector may be best illustrated by the above editorial highlight of chosun ilbo the most read newspaper in korea its 1997 financial crisis is primarily triggered by continual bankruptcies of chaebols conglomerates which with assistance from politicians had borrowed heavily from financial institutions in financing their investment projects 1 unlike some other asian countries experiencing problems in their financial sector due to shifts in investment projects toward real estates such as japan hong kong and thailand chaebols in korea concentrated mostly on manufacturing activities 2 in this study we establish a tractable model of overlending with three key players namely chaebols financial institutions and politicians as highlighted in chosun ilbo the model is designed to achieve two primary goals that are crucial for matching some key observations during the korean turmoil first we illustrate how overlending can be an equilibrium outcome with collusion between chaebols and politicians when the economic environment is favorable this occurs despite that such a collusion distorts normal borrowing lending operation by causing a discernible shift in loan composition from more to less productive investment projects second we show that as the economic environment gradually deteriorates there can be a shift from a collusion to a no collusion equilibrium the combination of deterioration in fundamentals and expectations of an equilibrium shift can trigger economy wide financial crisis more specifically we construct a simple principal supervisor agent model of corruption and overlending the principal is the formal authority of loan decision making of a financial institution or in short the financial institution the supervisor is a politician who serves as the informational intermediary in the borrowing lending arrangement via his her connections and networking 3 the agent is a chaebol of an unknown type which seeks for external financing of a set of risky projects a politician s favorable signal about the borrowing chaebol s overall performance would grant the approval of the loan to finance an array of risky projects whose returns depend on idiosyncratic shocks that cannot be washed out in aggregation within the chaebol as an outside alternative to making the loan the financial institution can invest in the world capital market where a fixed rate of return is guaranteed this portfolio decision depends on a comparison of the expected average returns on the given set of risky projects with the safe returns on investments in the world capital market while both the chaebol s type and the state of nature are unobservable to the financial institution we for simplicity assume that politician s connections and networking can fully uncover the true type of the chaebol this valuable information possessed by the politician is one that the financial institution has an incentive to purchase but a low type chaebol has an incentive to conceal whether the politician ends up revealing truthfully this information depends on how much to obtain from the lender in terms of general support versus how much to gain from the borrower in terms of bribes or side payments when a low type chaebol has the politician on its side information is distorted and a collusion equilibrium arises

to what extent did stock index futures contribute to the october 1987 stock market crash the authors examine the extent to which futures contributed to the stock market crash correcting for nonsynchronous trading they find that this explained little of the behavior of the markets leaving breakdown as the most probable explanation the authors investigate breakdown by analyzing the pricing relationship on the 19th and 20th of october 1987 they find that the arbitrage link broke on the 19th due to liquidity problems in the stock market this drove traders to the futures market alleviating the liquidity problem such that the link was restored on the 20th the implication is that the problem lay with the stock market copyright 1993 by royal economic society

predicting exchange rate crises mexico revisited abstract this paper predicts ex ante probabilities of currency crises and sizes of expected devaluations month by month for mexico between 1980 and 1986 the forces contributing to speculative attacks on the mexican peso include domestic fiscal and monetary shocks external credit shocks and relative price shocks reducing domestic credit growth increasing the uncertainty surrounding this growth and reducing the size and perhaps increasing the frequency of currency realignments might have greatly reduced the amount of currency speculation against the peso between 1980 and 1986 anticipated external credit supply shocks played a relatively minor role during mexico s balance of payments crises

revealing preferences for leisure time from stated preference data when consumer choice is constrained by time as well as money willingness to pay can be defined with respect to either numeraire the two measures can be related formally within a utility consistent model of choice subject to two constraints furthermore when information is collected on both the respondent s marginal value of time can be identified a system of willingness to pay time and money and the marginal value of leisure time is estimated jointly in an application to california whalewatching and whale stock enhancement the empirical approach can be applied with only minor additions to survey techniques for nonmarket valuation

using revealed preferences to estimate the value of travel time to recreation sites the opportunity value of travel time vtt is one of the most important elements of the total cost of recreation day trips and arguably the most difficult to estimate most studies build upon the theoretical framework proposed by becker 1965 by using a combination of revealed and stated preference data to estimate a value of time which is uniform in all activities and under all circumstances this restriction is relaxed by deserpa s 1971 model which allows the value of saving time to be activity specific we present the first analysis which uses actual driving choices between open access and toll roads to estimate a vtt specific for recreation trips thereby providing a value which conforms to both becker s and deserpa s theoretical models using these findings we conduct a monte carlo simulation to identify generalizable results for subsequent valuation studies our results indicate that 3 4 of the wage rate provides a reasonable approximation of the average vtt for recreation trips while the commonly implemented assumption of 1 3 of the wage rate generates downward biased results

assessing empirical approaches for analyzing taxes and labor supply recent surveys on the labor supply responses of men document a divergence in the estimates of substitution and income effects obtained using various estimation approaches generally studies accounting for nonlinear tax schedules in a static setting via a piecewise linear approach produce estimates that typically imply higher substitution and lower income responses than are suggested by empirical work applying other approaches this paper demonstrates that maximum likelihood estimation of a consumer choice problem with nonlinear budget sets implicitly relies on the satisfaction of inequality constraints that translate into behaviorally meaningful restrictions these constraints arise not as a consequence of economic theory but instead as a requirement to create a properly defined statistical model in the analysis of piecewise linear budget sets the implicit constraints required by maximum likelihood in estimation amount to imposition of slutsky conditions at all wage income combinations associated with kink points in the analysis of differentiable budget sets the tacit constraints invoked by maximum likelihood also involve inequality restrictions on slutsky terms the empirical work presented in this study supports the contention that these implicit constraints play a major role in explaining the discrepancies in estimates found in the literature on men s labor supply

estimating the cost of leisure time for recreation demand models abstract in this paper we propose a method of determining the opportunity cost of leisure time with an empirical recreation demand application typically the opportunity cost of leisure time is assumed to be some fraction of the wage rate this practice has limitations first it assumes that individuals can trade time for money at their wage second it offers no guidance about how to value the time of an individual who is not in the labor force this paper proposes a method of determining this cost that does not suffer from these drawbacks an empirical example is provided which demonstrates the proposed approach and contrasts it with commonly applied approaches

the individual travel cost method with consumer specific values of travel time savings the treatment of the opportunity cost of travel time in travel cost models has been an area of research interest for many decades our analysis develops a methodology to combine the travel distance and travel time data with respondent specific estimates of the value of travel time savings vtts the individual vtts are elicited with the use of discrete choice stated preference methods the travel time valuation procedure is integrated into the travel cost valuation exercise to create a two equation structural model of site valuation since the travel time equation of the structural model incorporates individual preference heterogeneity the full structure model provides a travel cost site demand model based upon individualized values of time the methodology is illustrated in a study of recreational birdwatching more specifically visits to a stork village in poland we show that the usual practice of basing respondents vtts on 1 3 of their wage rate is largely unfounded and propose alternatives including a separate component of the travel cost survey aimed at valuation of respondents vtts or as a second best asking if they wish if their journey was shorter and for those who do use full hourly wage as an indicator of their vtts

a transactions data test of stock index futures market efficiency and index arbitrage profitability this paper investigates the efficiency of the market for stock index futures and the profitability of index arbitrage for the chicago board of trade s major market index contracts the spot value of the index is computed with transactions prices for the component shares of the index obtained from the fitch database the tests account for transaction costs execution lags and the uptick rule for short sales of stocks results indicate that the size and frequency of boundary violations are substantially smaller than those reported by earlier studies and have declined sharply with time index arbitrage is a strategy whereby institutions brokerage houses or other large investors seek to profit from the spread between prices in the spot and futures markets for stock indices for example an investor might purchase predetermined baskets of stocks on the floor of the new york stock exchange and simultaneously sell a related index futures contract on the floor of the chicago board of trade hoping to profit from the price differences on the two exchanges computer programs constantly monitor stock and futures prices and automatically execute buy and sell orders when it appears that a profit is possible stock index futures can be priced by a simple arbitrage argument if the dividends paid by the underlying basket of shares and interest rates are nonstochastic markets are perfect and there are no taxes the pricing equation is

the politics of speculative attacks in industrial democracies recent models of speculative currency crises contend that market expectations of policy behavior can trigger a speculative attack we argue that political processes and partisan objectives inform expectations about the government s commitment to the exchange rate first market actors anticipate periods when the partisan identity of a government may change through an election or a cabinet collapse second party labels provide information to currency traders about the policy objectives of a potential government consequently we contend that the probability of a speculative attack will be higher when markets expect the cabinet to end and when the cabinet dissolution is likely to produce a leftward shift in policy a discrete timesurvival model is used to estimate the probability that a cabinet will dissolve in any given month for sixteen parliamentary democracies from 1970 to 1995 the predicted values are then used as a proxy for market expectations in a model of speculative currency crises

the opportunity cost of travel time in recreation demand models deciding how to allocate forage among animals is a fundamentally important process in range management the wisdom of these decisions can be enhanced by estimating the marginal value of forage needed by competing species we present a method for

balance of payments crises in a cash in advance economy the author shows that a flexible prices sidrauski type model with a cash in advance constraint is capable of depicting some of the phenomena associated with a balance of payments crisis like the onesrecently observed in argentina and mexico current accounts deficits and appreciation of the real exchange rat e it is also shown that these phenomena become exacerbated as the rate of devaluation before the crisis occurs becomes smaller copyright 1987 by ohio state university press

the estimation of a joint wage hours labor supply model in this paper the standard cross sectional static model of labor supply is modified to make the wage endogenous and a joint wage hours model is estimated the econometric technique addresses the non linearity of the budget constraint by approximating the constraint by a series of discrete points the results show that the budget constraint is indeed nonlinear that hours affect the wage quadratically that true wage elasticities are lower as a result and that the model fits the hours distribution much better than the standard tobit model

the relationship between hours of work and labor force participation in four models of labor supply behavior this article analyzes the relationship between hours of work and labor force participation lfp in heckman s model cogan s fixed cost model moffitt s minimum hours constraint model and a generalized version of heckman s model first the parameter restrictions between the lfp and reduced form hours of work equations are compared the models are then estimated and the results support the weakening of the link between the lfp and hours of work decisions one implication of the analysis is that heckman s model overstates the standard labor supply elasticities because it confounds the direct effect on labor supply with the participation effect

political and institutional factors in regime changes in the erm an application of duration analysis this paper analyses the functioning of the european exchange rate mechanism erm to that end we apply duration models to estimate an augmented target zone model explicitly incorporating political and institutional factors into the explanation of european exchange rate policies the estimations are based on quarterly data of eight currencies participating in the erm covering the complete history of the european monetary system our results suggest that both economic and political factors are important determinants of erm currency policies concerning economic factors the money supply the real exchange rate the interest rate in germany and the central parity deviation would have negatively affected the duration of a given central parity while credibility and the price level in germany would have positively influenced such duration regarding political variables elections central bank independence and left wing administrations would have increased the probability of maintaining the current regime while unstable governments would have been associated with more frequent regime changes moreover we show how the political augmented model outperforms the model which just incorporates pure economic determinants both in terms of explanatory power and goodness of fit

combining revealed and stated preferences consistency tests and their interpretations this article models the recreation demand for iowa wetlands combining survey data on both actual usage patterns i e revealed preferences rps and anticipated changes to those patterns under hypothetical increases in trip costs i e stated preferences sps we formulate and test specific hypotheses concerning potential sources of bias in each approach and discuss what can be learned about the validity of the models from such tests

buying and selling attacks on fixed exchange rate systems abstract in this paper we show how rational expectations models of speculative attacks on fixed exchange rate systems can be extended to take into account the possibility that the central bank could be forced to either devalue or revalue essential to the analysis are the concepts of buying attack and selling attack by means of which we were able to describe how expectations about the future exchange rate are formed we also provide a discussion on the problem of uniqueness of the equilibrium that may arise in this kind of speculative attack models

speculative currency attacks and balance of payments crises abstract this paper reviews the recent theoretical literature on collapsing exchange rate regimes using a combination of technique intuition and realworld observation we discuss the literature s main insights point out some unresolved questions and offer suggestions for future research the survey should be of interest to both specialists and non specialists in the field of international macroeconomics

balance of payments crises and devaluation the collapse of a fixed exchange rate is typically marked by a sudden balance of payments crisis in which speculators fleeing from the domestic currency acquire a large portion of the central bank s foreign exchange holdings faced with such an attack the central bank often withdraws temporarily from the foreign exchange market allowing the exchange rate to float freely before devaluing and returning to a fixed rate regime this paper links the timing of the initial speculative attack to the magnitude of the expected devaluation and to the length of the transitional period off loating an implication of the analysis is that there exist devaluations so sharp and transition periods so short that acrisis must occur the moment the market first learns that the current exchange parity will eventually be altered for sufficiently long transition periods the floating exchange rate overshoots its new peg before appreciating back toward it for shorter periods the rate depreciates monotonically to its new fixed level accordingly the central bank s return tothe foreign exchange market can occasion a capital outflow or a capital inflow this abstract was borrowed from another version of this item

correlations in price changes and volatility across international stock markets the short run interdependence of prices and price volatility across three major international stock markets is studied daily opening and closing prices of major stock indexes for the tokyo london and new york stock markets are examined the analysis utilizes the autoregressive conditionally heteroskedastic arch family of statistical models to explore these pricing relationships evidence of price volatility spillovers from new york to tokyo london to tokyo and new york to london is observed but no price volatility spillover effects in other directions are found for the pre october 1987 period article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

the dynamics of stock index and stock index futures returns in rational efficiently functioning markets the returns on stock index and stock index futures contracts should be perfectly contemporaneously correlated this study investigates the time series properties of 5 minute intraday returns of stock index and stock index futures contracts and finds that sp however the effect is not completely unidirectional with lagged stock index returns having a mild positive predictive impact on futures returns

working wives and food away from home the box cox double hurdle model household expenditures on food away from home are analyzed with the use of the bls 1989 consumer expenditure survey parameterization and distributional assumptions of cragg s double hurdle model are generalized for this purpose and the resulting model outperforms the more traditional ones results suggest households with working wives and those with higher income are more likely to consume food away from home and also to consume more than others wife s age and household size increase the conditional level of consumption education has conflicting effects on probability and conditional level of consumption

collapsing exchange rate regimes shocks and biases abstract patterns in domestic credit creation stemming from inconsistent fiscal policies have received widespread attention for their role in aggrevating speculative attacks on central bank foreign exchange reserves and contributing to the collapse of exchange rate regimes this paper acknowledges the importance of monetary and fiscal discipline but also emphasizes the importance of other random shocks to the domestic money market most notably shocks from external credit supplies and relative prices policies of the domestic fiscal authorities are only partial catalysts for speculative attacks on a currency expansion of domestic credit stemming from the monetization of fiscal imbalances may be dominated by involuntary domestic credit expansions which are necessitated by surprise shortages in supplies of external capital further the unexpected availability of external capital translates into a lower net critical reserve floor making the depletion of central bank reserves by a speculative attack more difficult to accomplish relative price shocks also randomize the demand for nominal money balances and therefore may also have a strong direct influence on the probability of an exchange regime collapse empirical studies of exchange rate crises that neglect these considerations will produce biased estimates of both expected collapse probabilities and anticipated post collapse exchange rates

the recreational value of lake mckenzie fraser island an application of the travel cost method lake mckenzie is one of the most highly used and popular visitor destinations of all fraser island s natural sites attracting 2000 visitors a day in peak periods many consider this level of visitation to be unsustainable and the management authority is currently considering a range of management options to address this issue in assessing the alternatives it is useful to have some idea of the recreational use value of the lake under the current regime as it is this value that is at risk if visitor numbers are to be reduced this paper using the zonal travel cost method estimates the recreational use value of fraser island and lake mckenzie for australian resident independent visitors

willingness to pay for snowmobile recreation travel cost method models with and without post season resurvey of trip count annual willingness to pay wtp for snowmobile recreation in idaho is estimated using the travel cost method tcm on site snow conditions are important and erratic thus we collect two measures o

speculative attacks and macroeconomic fundamentals evidence from some european currencies abstract this paper evaluates the role of macroeconomic fundamentals in generating episodes of speculative pressures on six currencies of the european exchange rate mechanism erm the observed regime changes are first estimated by a set of speculative pressure indicators the contribution of economic fundamentals are then examined by using the implications of the basic speculative attack literature in general episodes of speculative pressures appear to be associated with a deterioration in economic fundamentals only for some of the sample currencies confirming the view that consistent macro policies are necessary but not sufficient to ensure the maintenance of an exchange rate peg

the opportunity cost of travel time as a noisy wage fraction few issues are more important to welfare estimation with recreation demand models than the specification of the opportunity cost of travel time the two most common approaches to specifying this cost treat it as a fixed fraction of the recreationist s wage and either estimate the fraction done infrequently or assume it takes some value done commonly with references to results from the commute time literature used to justify the latter however these approaches lack firm conceptual rationales and the consequences of using them are not fully understood recognizing that information limitations often preclude more general approaches we use a joint recreation travel labor supply model to show that under relatively modest assumptions the opportunity cost of travel time can be expressed as a wage fraction with noise this formulation is straightforward to implement as part of random parameters based recreation demand models we then evaluate the welfare consequences of using the two approaches noted above which are special cases of the noisy wage fraction specification our results suggest that the more critical restriction to relax in opportunity cost of travel time specifications is the absence of noise rather than the specific level of the wage fraction

interest rate policy with expectations of devaluation the problem of recurrent devaluations in the nordic countries is dealt with using a simple rational expec tations model given imperfect international asset substitutability a nd sufficient foreign exchange reserves a small open economy can use interest rate policies geared to competitiveness to put an end to re current devaluations if this policy is known and credible no intere st rate adjustments are called for except shortly before and during the expected devaluation phase in contrast a completely unanticipat ed interest rate policy requires that the rate of interest be raised continuously as the expected devaluation date is approached copyright 1988 by the editors of the scandinavian journal of economics

up the proverbial creek without a paddle accounting for variable participant skill levels in recreational demand modelling we adapt the standard random utility model to take account of the heterogeneity of recreational preferences by using what we call a skilled based conditional logit framework by separating out our sample of whitewater kayakers into two exogenously identifiable groups based on their skill level and running separate conditional logits for each group we are able to take account of the fact that kayakers of different skill levels are looking for different characteristics from the whitewater site they choose to visit we find that not taking into account the differences in the skill of the kayakers and the grade of the river will result in an overestimation of the welfare estimates associated with improvements to lower grade whitewater sites which are frequented by basic intermediated proficiency level kayakers and underestimating welfare estimates associated with changes in the attributes of higher grade whitewater sites which are frequented by advanced proficiency level kayakers

separability and the shadow value of leisure time recreation choices are often viewed as short run decisions conditioned on longer run labor supply using weak separability to reflect this relationship the wage rate is the shadow value of time for individuals who get no utility from work whether or not they are observed to be trading time for money in the short run this result widens the circumstances under which the wage rate not some fraction thereof is the theoretically correct shadow value of time modifications to such a conclusion are developed for cases in which work is a source of utility and in which the first stage choice is not continuous

recreational value user heterogeneity and site characteristics in contingent valuation abstract we propose an adaptation of the dichotomous choice contingent valuation method applied to the recreational quality of a site and to heterogeneity between visitors tourists and residents this method is based on a set of repeated valuation questions and is used to study relations between the components of environmental goods we propose its application to public coastal sites in south western france we show that programmes regarding the ocean beaches and forests are generally independent of one another in order to stress the heterogeneity of users two separate models are assessed the way time is taken into account then appears to be one of the most interesting sources of divergence between tourists and residents individual wtp per day also varies this confirms that beaches used by residents provide high economic benefits although they generate little indirect revenue finally contingent valuation appears to be a useful alternative for analyzing the multiple dimensions of a public policy

learning large deviations and recurrent currency crises this article studies a version of obstfeld s journal of international economics 43 1997 61 77 escape clause model the model is calibrated to produce three rational expectations equilibria two of these equilibria are e stable and one is unstable dynamics are introduced by assuming that agents must learn about the government s decision rule it is assumed they do this using a stochastic approximation algorithm it turns out that as a certain parameter describing the sensitivity of beliefs to new information gets small the algorithm converges to a small noise diffusion process the dynamics of exchange rate changes are then characterized using large deviation techniques from freidlin and wentzell random perturbations of dynamical systems second edition berlin springer verlag 1998 these methods describe the sense in which the limiting distribution of exchange rate changes is approximated by a two state markov switching process where the two states correspond to the two e stable equilibria the model is calibrated to the exchange rate histories of argentina brazil and mexico currency crises in these countries resemble the predicted escape routes of the model a key feature of these escape routes is that expectations of a devaluation erupt suddenly without large contemporaneous shocks this is consistent with evidence showing that crises are often poorly anticipated by financial markets

specification of driving costs in models of recreation demand existing recreation demand models have paid much attention to the heterogeneous nature of the opportunity cost of time but generally stipulate constant per mile costs in access price specifications this study proposes two alternative approaches to introduce user specific driving costs into recreation demand models the first approach is based on a refined measurement of driving costs based on engineering considerations the second strategy estimates perceived per mile cost as a function of vehicle attributes in an empirical framework we find strong evidence that driving costs are a visitor specific concept and that prescribed and perceived costs differ substantially however welfare measures generated by these alternative specifications are not statistically different from those produced by the standard model in our application of jet skiing in the lake tahoe region

calibrating benefit function transfer to assess the conservation reserve program benefit transfer offers an inexpensive alternative to conducting an original study to determine economic value unfortunately benefit transfers can also result in biased welfare estimates in this paper we suggest a method of calibrating the benefit transfer to reduce this bias an empirical example to determine the benefits of the conservation reserve program on water based recreation illustrates the potentially large biases that can result if the transfer is not calibrated

structural models of family labor supply a discrete choice approach a static neoclassical structural model is presented explaining labor supply of both spouses in two adult households in the netherlands family preferences are described with a direct translog utility function with the husbands leisure the wifes leisure and family income as its arguments we assume that the choice set of each family is finite account is taken of the dutch tax and benefits system we allow for hours restrictions and random preferences and account for unobserved wages of nonworkers the models are estimated using smooth simulated maximum likelihood results based upon dutch cross section data from 1987 are illustrated by confidence intervals for elasticities and by several policy simulations excerpt

on site time in the demand for recreation the standard travel cost model has treated on site time ambiguously over the years this paper shows how to handle on site time by exploring the implications of two assumptions in the travel cost model first people choose the amount of time that they spend on a site and second the time spent on site is exogenous this paper uses a duality result to show that when on site time is chosen the standard travel cost demand function takes a particularly simple form with slight modification standard estimation and welfare calculations continue to hold

time is money improved valuation of time and transportation costs the proper valuation of time isimportant for estimating the demand for severaleconomic goods this paper explores the propervaluation of time when estimating recreationaldemand where time costs represent asubstantial portion of the purchase price toestimate demand this paper uses a travel costframework to analyze actual behavior revealedpreference data and hypothetical behavior stated preference data which is induced byhypothetical increases in access fees traveltime and travel distance by comparing theresponses to these three contingencies theanalysis adjusts and improves the valuation oftime costs as evidence of this improvement this analysis demonstrates a great increase inthe consistency between the revealed and stateddata similarly this paper improves thevaluation of transportation related costs

speculative attacks with unpredictable or unknown foreign exchange reserves during a currency crisis speculators usually do not know the value of a central bank s foreign exchange reserves in this paper i show that modelling speculators as having imperfect knowledge of reserves enriches the predictions of the classical model of specula tive attacks with realistic lags in reserve reporting and costs to unsuccessful speculation successful speculative attacks will involve a jump depreciation unsuccessful attacks may occur attacks may occur when fundamentals are improving attacks may not be preceded by large increases in interest rates and fixed exchange rates may be abandoned with no attack and no decline in the money supply jel classification f3 1 attaques speculatives quand les reserves de devises etrangeres sont soit imprevisibles soit inconnues au cours d une crise monetaire les speculateurs ne connaissent pas normalement la valeur des reserves de devises etrangeres que la banque centrale a en main ce memoire montre qu une modelisation des speculateurs en postulant qu ils ont une connaissance imparfaite des reserves permet d enrichir les predictions du modele classique des attaques speculatives a partir d une evaluation realiste des delais dans les rapports sur la quantite de reserves et des couits d une speculation ratee on deter mine que les attaques speculatives reussies vont impliquer que se produise une deprecia tion discontinue que des attaques speculatives ratees puissent se produire que des attaques peuvent se produire quand les donnees fondamentales s ameliorent que des at taques ne peuvent pas etre precedees par de fortes augmentations des taux d interet et que des taux de change fixes peuvent etre abandonnes sans attaques et sans chute dans

gold monetization and gold discipline gold and its price have emerged as frequent topics of both academic and government debate 2 public attention focused on the gold market since gold s price began fluctuating violently in 1980 and 1981 has turned to gold as a possible means of removing some discretion inherent in the current fiat money system since lack of adherence to monetary rules can lead to problems of dynamic policy inconsistency academic economists have begun seriously to reconsider monetary standards based either on gold or on some other commodity as politically feasible methods of establishing rules 3

short run constraints and the increasing marginal value of time in recreation leisure activities such as local recreation trips usually take place in discrete blocks of time that are surrounded by time devoted to other commitments it can be costly to transfer time between blocks to allow for longer outings these observations affect the value of time within those blocks and suggest that traditional methods for valuing time using labor markets miss important considerations this paper presents a new model for time valuation that uses non employment time commitments to infer the shadow value of time spent in recreation a unique survey that elicited revealed and stated preference data on household time allocation is used to implement the model the results support the conclusion that there is an increasing marginal value of time for recreation as the trip length increases

accounting for stochastic shadow values of time in discrete choice recreation demand models abstract in this paper a discrete choice recreation demand model that explicitly accounts for a stochastic shadow value of time function is proposed using data from a survey of san diego beach users the stochastic shadow value of time labor supply and beach choice are jointly estimated results from this joint estimation approach are compared with the familiar two step approach that estimates labor supply first and uses predicted values of time in the recreational site choice model the approaches produce markedly different welfare measures with the two step model which does not account for unobserved variability of time values predicting significantly higher values a monte carlo simulation illustrates how ignoring the stochastic nature of shadow value of time in discrete choice recreation demand models can bias model parameters and hence welfare estimates

time and the recreational demand model in this paper a theoretically consistent approach to including time costs in recreational demand models is developed the demand model is conditional on the recreationist s labor market situation for individuals at corner solutions in the labor market utility maximization is subject to two constraints leading to a demand function with travel costs and travel time as independent variables with interior solutions in the labor market time is valued at the wage rate and combined with travel costs to produce one full cost variable in an illustration welfare measures based on the new model are estimated for a sample of sportfishermen

reserve accumulation and financial crises from individual protection to systemic risk abstract this paper provides a new perspective on the relationship between countries international reserve holdings and financial crises while the local view holds that reserves may prevent domestic crises it overlooks that the accumulation of reserves relaxes the financing constraint of the reserve currency country and may cause a financial crisis in the centre which is transmitted globally according to this global view reserve accumulation might destabilize the international financial system since the crisis affects all countries alike the accumulation of reserves imposes a negative externality on non accumulating countries we integrate this idea in a theoretical model of the optimal amount of reserves and illustrate the gap between local and global optimality the consideration of systemic risk lowers the demand for reserves moreover if a supranational authority determines the optimal level of reserves it internalizes the negative externality and accumulates fewer reserves a macroprudential tax on reserve hoardings might implement the socially optimal solution our calibration analysis shows that these considerations are economically significant they lower the optimal amount of reserves in the benchmark case by 45

speculative attack and the external constraint in a maximizing model of the balance of payments balance of payments models of speculative attack differ from non renewable resource models in that foreign exchange reserves may be borrowed from abroad this paper shows that in an idealized world where all private income is subject to lump sum taxation central bank reserves can become infinitely negative without violating the government s intertemporal budget constraint none the less a growth rate of domestic credit exceeding the world interest rate if maintained indefinitely leads to violation of the constraint in the paper s model given an assumed limit to official external borrowing the paper next analyses inevitable transitions between fixed and floating exchange rate regimes when individual preferences are explicitly specified in a discrete time deterministic model the collapse of a fixed rate may be characterized by two successive speculative attacks

financial policy and speculative runs with a crawling peg argentina 1979 1981 abstract in this paper we present a model of a balance of payments crisis and examine the argentine experiment with a crawling peg between december 1978 and february 1981 the approach taken allows us to examine the evolution of a crisis when a collapse is not perfectly foreseen and yields plausible estimates of one month ahead probabilities of a collapse of the crawling peg the results suggest that the viability of an exchange rate regime depends on the consistency of exchange rate policy with domestic credit policy if the two are not consistent confidence in exchange rate policy is undermined

a discrete count model of recreational demand abstract discrete choice models generate welfare measures resulting from environmental quality changes on a per trip basis instead of over a longer more policy relevant time period seasonal or annual welfare measures resulting from a quality change are often computed by multiplying each individual s per trip welfare measure by the number of trips the individual is forecasted to take at the new quality level these models are typically formulated so that increases in the quality of any site causes every individual to increase his or her participation this paper presents an alternative method of linking the discrete choice model to a demand model enabling welfare changes to be estimated in a conventional manner

rational and self fulfilling balance of payments crises speculative attacks on a pegged exchange rate must sometimes occur ifasset price paths are to be free of abnormal profit opportunities suchattacks are fully rational as they reflect the market s response to aregime breakdown that is inevitable the authors shows that under someexpectations about policy balance of payments crises can also be purely self fulfilling events in such cases even a permanently viableregime may collapse and the economy will possess multiple equilibriacorresponding to different subjective assessments of the probability ofa crisis the behavior of the domestic interest rate will naturally reflect the possibility of a speculative attack copyright 1986 by american economic association

managing exchange rate crises evidence from the 1890s abstract this paper investigates the effectiveness of the monetary authority s borrowing policies in resolving exchange rate cises it shows why obtaining loans or lines of credit in foreign currency may avoid at least temporarily the devaluation of a fixed rate and discusses the problem of the optimal size of the loan and or the line of credit the analysis focuses on a particular episode of foreign exchange rate pressure during the troubled years between 1894 to 1896 the results suggest that the borrowing policy followed by the us treasury in those years was effective in avoiding the collapse of the united states gold standard and that the amount of the borrowing undertaken by the treasury might have been optimal

taxes and the pricing of stock index futures stock index futures prices are generally below the level predicted by simple arbitrage models this paper suggests that the discrepancy between the actual and predicted prices is caused by taxes capital gains and losses are not taxed until they are realized as constantinides demonstrates in a recent paper this gives stockholders a valuable timing option if the stock price drops the investor can pass part of the loss on to the government by selling the stock on the other hand if the stock price rises the investor can postpone the tax by not realizing the gain since this option is not available to stock index futures traders the futures prices will be lower than standard no tax models predict on 24 february 1982 the kansas city board of trade began trading futures contracts on the value line average stock index during the next two months both the chicago mercantile exchange and the new york futures exchange also initiated trading in stock index futures although these contracts are actively traded their prices have puzzled both practitioners and academics the observed

empirical specification requirements for two constraint models of recreation choice two constraint models are common in recreation demand analysis because of the important role time can play in consumer choices two versions of roy s identity hold for these models and imply coefficient restrictions on empirical demand functions the two constraint restrictions are fully observable and can be expressed in a form analogous to the slutsky hicks equations in single constraint consumer models empirical specifications that use full prices and full budgets can be consistent with the two constraint models when the marginal value of time is either exogenous or endogenous but models with full prices and money income alone are not copyright 2001 oxford university press

devaluation risk in target zones evidence from the nordic countries in this paper the authors estimate devaluation risk in denmark finland norway and sweden the target exchange ra te is modeled as a censored variable a shadow peg that is only observed when the equilibrium floating rate is too far from the prevailing peg using a two step procedure the authors are able to calculate time series of the probability and expected size of devaluations th e probability as well as the size of devaluations seem to be systematically related to a relation between the money stock industrial production foreign exchange reserves and the prevailing central parity copyright 1993 by royal economic society

labor supply preferences hours constraints and hours wage tradeoffs in a labor market with tied hours wage packages and wage dispersion for a particular type of job constrained workers may be willing to sacrifice wage gains for better hours when changing jobs likewise workers may accept jobs offering undesirable hours only if the associated wage gains are large we investigate this issue empirically by examining whether overemployment and underemployment on the initial and new job affects the relation between hours changes and wage changes for quitters our results generally support the view that an individual requires compensation to work in a job that given the individual s particular preferences offers unattractive hours

the international monetary system forty years after bretton woods review essay in may 1984 a distinguished group of central bankers and economists gathered for a conference at bretton woods to consider the evolution of the world monetary system that was born at that location forty years earlier this volume contains nine essays with accompanying discussion on issues of performance and reform of current international monetary arrangements these papers deal with problems facing the industrialized and the lessdeveloped countries and assess the institutions that have been set up to accommodate these problems the major accomplishments of the original bretton woods conference were of course the establishment of the system of payments based on fixed exchange rates and the organization of the world bank and the international monetary fund as the order developed in the late 40 s and early 50 s each central bank saw it as its duty to intervene in foreign exchange markets to ensure an essentially fixed parity of their currency with respect to the dollar the role of the u s was to guarantee the dollar price of gold at 35 an ounce the system has been called a dollar standard because the dollar played the role of a reserve currency one of the paradoxes of the system as robert triffin pointed out in the early 60 s is that in order to produce a continuing and rapid enough expansion of world reserves the u s had to run balance of payments deficits yet continued deficits by the u s threatened the convertibility of the dollar into gold as it happened the system of fixed parities broke down in the early 70 s not because of a lack of reserves but because a glut of dollars made the bretton woods dollar exchange rates untenable the system eventually evolved into one in which most of the industrialized countries currencies more or less are determined by the market while the currencies of most second and third world countries are pegged to a major currency the floating period has been

collapsing exchange rate regimes some linear examples abstract we construct a pair of linear examples to study the collapse time of a fixed exchange rate regime the first example is a perfect foresight continuous time model which allows calculation of the exact collapse time and the tracking of reserves the second example is a discrete time stochastic model which yields an endogenous probability distribution over the collapse time and produces a forward discount of the exchange rate

borrowing to defend the exchange rate and the timing and magnitude of speculative attacks abstract the paper analyses the implications for the timing and magnitude of a speculative attack on a fixed exchange rate of government borrowing to increase the stock of international reserves it is shown that such borrowing reduces the likelihood of an early collapse and increases the likelihood of an eventual collapse the magnitude of the speculative attack also increases

stabilization with exchange rate management stabilization programs in open economies typically consist of two stages in the first stage the rate of currency devaluation is reduced but the fiscal adjustment does not eliminate the fiscal deficit that causes growth of debt and loss of reserves making a future policy change necessary only later at a second stage is this followed by either an abandonment of exchange rate management or by a sufficiently large cut in the fiscal deficit we study how different second stage policy changes affect economic dynamics during the first stage these changes include tax increases budget cuts on traded and nontraded goods and increases in the growth rate of money

a demand theory for number of trips in a random utility model of recreation we present a simple random utility model of recreation site choice that incorporates an aggregate demand function for number of trips during a season we derive the trip demand function using conventional demand theory and use it to calculate seasonal welfare changes due to improvements in site characteristics or addition of new sites the model is based on bockstael et al s participation function

estimation of a labour supply model with censoring due to unemployment and underemployment this study proposes and implements a method of labour supply estimation which is appropriate when the sample contains unemployed and underemployed workers the estimation method consists of excluding unemployed and underemployed workers from the sample and then using to avoid selection bias an extension of heckman s approach to the case where two correlated selection rules generate the sample hausman s specification test is then used to determine whether ignoring constrained workers has led to biases in traditional labour supply estimates and the empirical results suggest that previous estimates of several important parameters are biased since the biases go in the direction that would be predicted by the hypothesis that the unemployed and underemployed are constrained the results support this hypothesis