international capital market imperfections evidence from geographical features of international consumption risk sharing this article attempts to rationalize the validity of gravity variables to explain the degree of international consumption risk sharing we find that for a panel of 54 countries during 1950 2000 variables such as distance affluence a common language and the type of legal system are relevant in explaining not only cross country consumption and output correlations but consumption risk sharing common law countries share consumption risks more than civil law countries english speaking countries turn out to share consumption risks more than other language groups and show significantly higher consumption risk sharing even within the group of common law countries

testing predicted choices against observations in probabilistic discrete choice models probabilistic discrete choice models such as multinomial logit models are widely used to predict changes in market shares or total demand resulting from changes in policy variables under management control these models often are evaluated in terms of their ability to predict choices in a holdout sample this paper presents a new test for comparing predicted and observed choices the results of a monte carlo experiment indicate that the new test has good finite sample properties and high power in several circumstances likely to arise frequently in applications

the impact of adaptation on the stability of international environmental agreements we examine the stability of international environmental agreements that include clauses pertaining to both adaptation and mitigation measures we assume that adaptation requires a prior irreversible investment and presents the characteristics of a private good by reducing a country s vulnerability to the impact of pollution while mitigation policies produce a public good by reducing the total amount of pollution using a stylized model we show that adaptive measures can be used strategically and that their inclusion in environmental agreements enhances agreement stability and can even lead to full cooperation we examine the robustness of agreements including both adaptation and mitigation measures against renegotiation finally we evaluate how including adaptive measures for climate change in international environmental agreements affects welfare and overall pollution

weathering climate change some simple rules to guide adaptation decisions this paper discusses some of the elements that may characterise an efficient strategy to adapt to a changing climate such a strategy will have to reflect the long time horizon of and the prevailing uncertainties about climate change an intuitively appealing approach therefore seems to be to enhance the flexibility and resilience of systems to react to and cope with climate shocks and extremes as well as to improve information in addition in the case of quasi irreversible investments with a long lifetime e g infrastructure investments development of coastal zones precautionary adjustments may be called for to increase the robustness of structures or to increase the rate of depreciation to allow for earlier replacement many of these measures may already have to be considered now and could be worthwhile in their own right independent of climate change considerations

international stock market linkages evidence from the pre and post october 1987 period abstract this paper uses recent developments in the theory of cointegration to provide new methods of testing the linkage and dynamic interactions among stock market movements our findings are in sharp contrast with previous research which discovered strong interdependence among national stock markets prior to october 1987 for the post october 1987 period however our results show that the degree of international co movements among stock price indices has increased substantially with the nikkei index the only exception furthermore the us stock market is found to have a considerable impact on the french german and uk markets in the post crash period we also find the response of the french german and uk markets to us stock market innovations to be consistent with the view of cross border informationally efficient stock markets finally we find the japanese equity market performance to have no links with both the us stock market and the stock markets in france germany and uk during the pre and post october crash period

a two stage disaggregate attribute choice model a two stage disaggregate attribute choice model is proposed and empirically implemented the first stage of the model is attribute processing to screen the number of alternatives down to a lesser number the second stage is brand alternative processing which considers the attributes simultaneously while allowing for tradeoffs among the attributes this two stage approach is then applied to the same real world data set as two single stage disaggregate models logit and maximum likelihood hierarchical mlh which are state of the art models representing the alternative and attribute processing approaches respectively the predictive accuracy of the two stage approach compares favorably to the single stage models in addition it seems to offer diagnostic information that can provide managerial insights not found in the output of the single stage model

looking for a guide to protect the environment the development of the precautionary principle abstract if the precautionary principle is to become the guide of the international community for environmental protection policies an economic interpretation of the principle is in order the analysis of case studies and a survey of the recent decision theoretic literature show the lack of a fully satisfactory economic model more generally various theoretical and empirical results show that the principle cannot be assumed to apply a priori though it has been proposed by international treaties as a rule of thumb for situations of scientific uncertainty the precautionary principle could actually be inefficient

common stochastic trends in international stock markets abstract this paper presents evidence concerning the number of common stochastic trends in the equity markets of the u s japan england germany and canada monthly and quarterly data from january 1974 through august 1990 on morgan stanley s capital international indices are used to compute johansen 1990 tests for common trends the results indicate the presence of a single common trend driving these countries stock markets estimates of the factor loadings suggest that this trend is most important in the japanese market and least important in the canadian market to interpret this evidence the paper demonstrates that under weak conditions the unit root and cointegration structure of stock prices should mirror the unit root and cointegration structure of their dividend payments the paper tests this prediction by constructing national dividend series from capital international s dividend yield data as well as by using gnp data as with stock prices the evidence points to a single common trend although the stochastic properties and relative importance of this trend differs somewhat from the trend in stock prices

an analysis of the spillover effects of exchange traded funds this article used the generalized autoregressive conditional heteroscedasticity autoregressive moving average garch arma and the exponentially generalized autoregressive conditional heteroscedasticity autoregressive moving average egarch arma models to study the impact of the spillover and the leverage effects on returns and volatilities of stock index and exchange trade fund etf for developed and emerging markets previous unexpected returns for developed and emerging markets which have an opposite influence pattern on etfs returns were identified the spillover effects from returns are excellent for hong kong followed by singapore meanwhile taiwan s stock index return was recorded to have a strong negative impact on etf return notably this article shows that the spillover effects on stock index and etf volatilities existed with bilateral influences despite a strong positive asymmetric volatility effect in korea s etf market the leverage effect appears to play important roles in the explana

the political economy of mitigation and adaptation abstract climate policies have very uneven effects in terms of their fiscal impact while mitigation of climate change typically raises revenues adaptation is costly to the taxpayer and the more so the more distortionary the tax system moreover the benefits and costs of mitigation and adaptation vary across generations in an olg model with majority voting we show that even in the absence of international pollution spillovers and strategic considerations neither mitigation nor adaptation can be expected to be set efficiently the reason is that voters have incentives to use climate policy as an instrument for redistribution we find that these incentives depend on the underlying tax system furthermore the chosen mitigation or adaptation level may be inefficiently high in a political equilibrium with a distortionary income tax system although not simultaneously this finding suggests that a distortionary income tax system favors one policy mitigation or adaptation at the expense of the other the calibration of our model to the german economy reveals that both mitigation and adaptation are lower than their socially optimal levels

the influence of involvement on disaggregate attribute choice models the state of the art in applying the various disaggregate choice algorithms is to assume homogeneity of choice process within the population being analyzed this article uses the involvement variable a priori to categorize the sample population into a high involvement segment using a model that assumes a simultaneous or alternative processing approach and a low involvement segment using a model that assumes a hierarchical or an attribute processing approach empirical results indicate increased predictive accuracy and diagnostic information that is more closely related to established consumer behavior theory

economic determinants of comovement across international stock markets the example of taiwan and its key trading partners this study uses the multinomial logit model in which comovements are categorized into three outcomes namely i negative comovements ii positive comovements and iii no comovements with the purpose of the empirical analysis being to investigate the economic determinants that affect the comovement relationships in the stock markets for taiwan and four major trading partners mainland china united states japan and hong kong using daily data covering the period from 1994 to 2004 the period under study is further divided into three sub periods i e the period before the asian financial crisis that during the asian financial crisis and that after the asian financial crisis in order to determine whether the factors influencing the comovements in the stock market returns of taiwan and its trading partners actually change over time in addition this study differs from earlier studies that only emphasized the analysis of statistical significance in that it attaches importanace to analysing both the s

international transmission of stock market movements this paper investigates the international transmission mechanism of stock market movements by estimating a nine market vector autoregression var system using simulated responses of the estimated var system we i locate all the main channels of interactions among national stock markets and ii trace out the dynamic responses of one market to innovations in another generally speaking a substantial amount of multi lateral interaction is detected among national stock markets innovations in the u s are rapidly transmitted to other markets in a clearly recognizable fashion whereas no single foreign market can significantly explain the u s market movements also the dynamic response pattern is found to be generally consistent with the notion of informationally efficient international stock markets

adaptation and mitigation in global pollution problems economic impacts of productivity sensitivity and adaptive capacity this paper studies the influence of productivity pollution sensitivity and adaptive capacity on optimal mitigation and adaptation in a two country global pollution model we investigate the effects of changes of these parameters on the allocation of emissions adaptation expenditures and welfare in our analysis we distinguish between cooperative and non cooperative behavior our findings imply that unilateral improvements in productivity and adaptive capacity have strategic significance and do not necessarily lead to mutual welfare improvements they raise the emissions not only in the country where the technological improvement takes place but also globally an improvement in global welfare is guaranteed only under cooperative behavior with respect to emission and adaptation choices

financial integration and the asean 5 equity markets the existence of long run relationships among the asean 5 equity markets is empirically investigated this study utilized weekly data spanning january 1988 to august 1999 the results of granger noncausality test due to toda and yamamoto journal of econometrics 66 225 50 1995 reveal that the singapore equity market was not affected by other markets except by the philippines in the long run this result shows that there exist opportunities for beneficial international portfolio diversification within the context of the asean 5 equity markets

the causal relationships between equity indices on world exchanges the engle and granger cointegration analysis and granger causality tests are applied to monthly time series of nine major stock market indices over the period january 1982 to february 1991 to examine for causal linkages the empirical results indicate that there is adequate evidence to refute the notion of informationally efficient stock markets

the timing and strategic role of self protection self protection has private goods characteristics as it reduces own exposure to pollution given a certain level of pollution we study the effect of timing self protection before after or simultaneously with abatement we find that self protection when timed before abatements has strategic effects in this case self protection shifts the second stage subgame perfect nash equilibrium of abatements such that own contributions of abatement are decreased and those of the other country are increased thereby shifting future abatement costs to the other country when countries cooperate only on abatement the incentives to shift future abatement costs are greater contrary to intention cooperation on abatement may in fact worsen environmental quality if it does not include self protection

favorites and underdogs strategic behavior in an experimental contest conflicts between favorites and underdogs are everyday phenomena we examine their strategic behavior in an experimental contest and find behavior partially consistent with predictions favorites given a first mover advantage do overcommit effort relative to nash underdogs often select the best response effort level given the favorite s move overall dissipation of the prize was significantly higher with the strategic commitment relative to nash

time varying inter market linkage of international stock markets as a response to the growing concern on the interconnection of international stock markets this study uses the pena box model to capture time varying relationship of the returns of 13 stock indices during 1993 2002 the results indicate a dynamic relationship of world major stock markets over time which provide new but supplemental evidence on the conclusion derived from the conventional confirmatory factor analyses in literature

investment and adaptation as commitment devices in climate politics the strategic roles of adaptation and technological investment in international climate politics have been analyzed within various approaches what makes this paper unique is that we investigate the combined impact of adaptation and investment on global mitigation and we compare the subgame perfect equilibria for different sequences of decisions considering a purely non cooperative game theoretic framework we find that by investment countries commit to lower national contributions to the global public good of mitigation moreover the order of adaptation before mitigation might reinforce this strategic effect of technological investments as a consequence the subgame perfect equilibrium for symmetric countries yields a globally lower level of mitigation and higher global costs of climate change when countries engage in advanced adaptation besides this theoretical contribution the paper proposes some strategies to combat the unfortunate rush to adaptation which can be currently observed in climate politics

self insurance against natural disasters abstract expenditures on self insurance to mitigate the effects of natural disasters on the value of private assets are examined in a model where individuals are partially insured against financial loss by a public relief program and where private insurance is unavailable the model predicts that optimal private expenditures on self insurance will be excessive or insufficient according to the nature of the technology by which individuals protect their assets the comparative static effects of variations in the level of public compensation individual wealth and attitudes toward risk and the degree of environmental uncertainty on self insurance expenditures and on the magnitude and frequency of public compensation are also characterized and their implications for remedial government policies are examined

common stochastic trends in european stock markets the objective of the paper is to investigate whether price indices of different european stock markets display a common long run trending behaviour using cointegration analysis we provide empirical evidence of common stochastic trends among five important european stock markets over the period 1975 1991

formal choice models in marketing the paper gives an overview and evaluates the theoretical traditions underlying choice models that are used in marketing in particular the emphasis of this essay is on the underlying assumptions limitations and empirical demands of these choice models four fundamental choice models are used as a basis to analyze this complex field the neoclassical economic theory as extended by lancaster the risk preference theory of choices under uncertainty the strict utility theory and the random utility theory these four choice models and their extensions are compared and contrasted along the three critical steps in the model building process theory generation parameterization and estimation

the use of linear logit models in marketing research the author discusses the use of the linear logit model in marketing research a brief review of the linear logit model focuses on model formulation estimation evaluation and inference procedures

cooperative and noncooperative protection against transferable and filterable externalities given self protection from an undesirable environmental externality we examine under several conditions the efficiency properties of cooperative and noncooperative behavior we demonstrate that if self protection can transfer the externality to another agent then noncooperative behavior will lead to overprotection if self protection filters or dilutes the externality then noncooperation leads to underprotection in addition overprotection will worsen if an agent with more relative power is allowed a first mover advantage or if the damage function is elastic and transferability is uncertain finally a reduction in uncertainty about transferability will accentuate overprotection if the damage function is inelastic our results suggest that coordination of protection activities among agents will enhance the overall gains from environmental policy in the european single internal market of 1992 coordination minimizes the costs of environmental protection thereby reducing the public credibility of its foes

an international tax on pollution and natural resource depletion abstract during 1989 we witnessed a surge in top level political concern for environmental problems expressed in major green speeches from politicians such as thatcher gorbachev and bush advocating the strengthening of international environmental cooperation when it comes to actual implementation however policies adopted are comparatively weak as illustrated by insufficient support for the united nations environment programme unep which still carries a vast responsibility and work load with a completely undersized budget and staff it is now time to start discussing concrete issues such as increased finance and the use of more efficient policies

does inequality lead to greater efficiency in the use of local commons the role of strategic investments in capacity abstract this paper examines how inequality in access to credit affects the strategic behavior of users of a common resource in their investment and extraction decisions a dynamic two stage game is developed in which agents choose the level of sunk investment in capacity and the consequent extraction path the results show that agents invest in excess capacity except when inequality is very high the relation between inequality and efficiency in resource extraction is found to be non monotonic with the steady state resource stock being closest to the optimal level when either inequality is very high or very low

strategic enhancement and destruction of fisheries and the environment in the presence of international externalities abstract this paper considers enhancement of fisheries and the environment in the presence of international externalities by enhancement we refer to investments which affect the costs and benefits of controlling fish harvest rates or pollution emission levels in a two country two period model it is shown that enhancement may be used strategically to influence the behavior of rival governments and that the strategic effect may either offset or reinforce the standard free rider problem associated with such investment in some cases countries may have an incentive to invest in environmental destruction i e negative enhancement if policies are not coordinated internationally

climate agreements in a mitigation adaptation game abstract we analyze the strategic interaction between mitigation public good and adaptation private good strategies in a climate agreement we show the fear that adaptation will reduce the incentives to mitigate carbon emissions may be unwarranted adaptation can lead to larger self enforcing agreements associated with higher global mitigation levels and welfare if it causes mitigation levels between different countries to be no longer strategic substitutes but complements we argue that our results extend to many public goods the well known problem of easy riding may turn into easy matching if the marginal utility of public good consumption is strongly influenced by private consumption

mitigating strategies for carbon dioxide problems society can take steps to enhance our ability to adapt more easily to carbon dioxide induced changes given the rapidity of social and technological change in the twentieth century facilitating adjustment is important with the exception of data collection and analysis focused on climate enhancing each of these functions will be to the general benefit of society but will not be unique to carbon dioxide induced problems carbon dioxide issues can provide a rationale but more probably will be a catalyst for pushing society to enhance its ability to adapt to and exploit change carbon dioxide is but one of many factors which will have an enormous impact on the economic and social institutions of the united states in the twenty first century if carbon dioxide induced changes were as large as now appears possible and if they were the only major change then it would be worthwhile to invest in enhancing education and capital formation so that we could minimize the effects of adverse changes and take advantage of beneficial ones since carbon dioxide induced changes are likely to be only one possibly small source of change there is all the more reason to devote resources to making our economic and social institutionsmore more flexible and adaptable 7 references less