a test for risk averse expected utility we provide a universal condition for rationalizability by risk averse expected utility preference in a demand based framework with multiple commodities our test can be viewed as a natural counterpart of a classical test of expected utility due to fishburn 1975 in a demand setting

commodity price changes and the predictability of economic policy uncertainty in this study we forecast economic policy uncertainty epu using input on 23 commodity price changes we reveal the significant predictability of epu using three forecast combinations this indicates that commodity price changes can be taken as a leading indicator of epu

the impact of remanufacturing in the economy very few durable goods are recovered at the end of their useful lives however this situation could reverse with the development of a stronger remanufacturing industry in the economy this paper evaluates the impact of remanufacturing in a hypothetical situation where remanufacturing holds a significant share of the economy presently dominated by the original manufacturing industries it would have direct impacts on the demand for several inputs we adapt the inter industry input output framework with the development of a methodology to consider these changes subsequently we apply the model to the 30 sector aggregation of the french input output national data to illustrate the nethod and to evaluate the impact that remanufacturing may have on the economy the analysis assumes that remanufacturing sectors substitute labor and transport services for the usual inputs such as raw materials and semi finished goods we find that remanufacturing may satisfy the same final demand from all sectors requiring fewer intermediate resources with proportionally higher demand of labor

international economic policy uncertainty and stock prices revisited multiple and partial wavelet approach abstract this paper introduces a new dimension to the relationship between economic policy uncertainty epu and stock prices sp by extending the contributions of ko and lee 2015 by using multiple and partial wavelet coherence techniques the vulnerability of sp due to combined and isolated impact of international us epu and domestic policy uncertainty depu is investigated the main findings are a the combined effect of depu and us epu is more significant for developed market s sp b the emerging market s sp are more sensitive to depu and c amongst developed markets japan and european countries are more sensitive to us epu than depu

non parametric tests of consumer behaviour the neoclassical model of consumer behaviour postulates that a consumer s choice behaviour can be described as deriving from utility maximization subject to a budget constraint one is then naturally led to ask what this model implies about observed behaviour this question has been addressed from two quite distinct approaches the first approach originating in the work of slutsky 1915 and antonelli 1886 derives necessary and sufficient conditions involving the derivatives of the demand functions the second approach originating in the work of samuelson 1938 1947 1948 derives algebraic conditions on the demand functions implied by maximizing behaviour

can policy and financial risk predict stock markets abstract since higher risk should be rewarded with higher expected returns more risky time periods are expected to predict rising stock markets this paper focuses on implied volatility as a measure of financial risk and economic policy uncertainty epu which includes also regulatory risk we analyze twelve stock markets for which epu indices exist and find that even though there is no concurrent relationship between epu and market movements high epu indeed predicts subsequent stock market growth on the other hand implied volatility is high when markets are falling but is less informative about future market movements the economic significance of our results is illustrated by a highly profitable trading strategy which yields abnormal returns of 15 per year on average across countries

a comparison of implied and realized volatility in the nordic power forward market abstract in this paper we study implied and realized volatility for the nordic power forward market we create an implied volatility index with a fixed time to maturity this index is compared to a realized volatility time series calculated from high frequency data the results show that the implied volatility has a positive bias against the realized volatility measure indicating that there is a risk premium imposed by option traders the results are consistent with previous research in other markets

dynamic co movements of stock market returns implied volatility and policy uncertainty we examine time varying correlations among stock market returns implied volatility and policy uncertainty our findings suggest that correlations are indeed time varying and sensitive to oil demand shocks and us recessions

expected utility maximization and demand behavior abstract this paper extends the non parametric approach to consumer demand analysis to the case of expected utility maximization we provide necessary and sufficient conditions for a set of price quantity pairs to be consistent with expected utility maximization and investigate their relationship to revealed preference conditions extensions to incomplete markets and intertemporal resolution of uncertainty are also considered

grey input output analysis and its application for environmental cost allocation abstract deterministic input output analysis has been applied to solving a variety of economic problems nevertheless uncertainty plays an important role in decision making and should be properly addressed in future input output analysis this study therefore describes a method of including systematic parameter uncertainties in an input output model and develops its solution procedure using the genetic algorithm based ga based grey mathematical programming technique as a tool in particular the model for assessing the impacts of recent pollution charges and water resource fees to a textile dyeing factory is formulated and solved for the purpose of illustration to account for the gross impact from systematic variations most parameters are expressed as interval expressions as that are frequently used in the grey systems theory research findings indicate that the grey input output analysis is an applicable tool to evaluate various environmental cost impacts influential for corporate production planning and management

a theory of anticipated utility abstract a new theory of cardinal utility with an associated set of axioms is presented it is a generalization of the von neumann morgenstern expected utility theory which permits the analysis of phenomena associated with the distortion of subjective probability

input output simulations of energy environment economy interactions in the uk this paper shows how a number of the complex interrelationships between energy environment and economic welfare can be investigated with the aid of a 10 sector input output i o model of the uk with pollution emission coefficients and a european sulphur deposition vector the paper reviews relevant past applications of i o analysis in the energy environment area and describes the endam program and its operation it is used to simulate the effects of a variety of policies and possibilities not only through changes in exogenous variables final demand and income taxes and transfers but also through changes in the structural matrices and their coefficients in each case the full effects direct indirect and income induced can be traced and the changes in comparative static equilibrium values discovered in this way policy issues connected with energy use and environmental impacts employment and economic welfare have been investigated

savage in the market we develop a behavioral axiomatic characterization of subjective expected utility seu under risk aversion given is an individual agent s behavior in the market assume a finite collection of asset purchases with corresponding prices we show that such behavior satisfies a revealed preference axiom if and only if there exists a seu model a subjective probability over states and a concave utility function over money that accounts for the given asset purchases

afriat s theorem and some extensions to choice under uncertainty the first part of the paper reviews the methodology developed by sydney afriat for determining whether a finite set of price and quantity data are consistent with utility maximizing behavior by a consumer some extensions of his basic model to models of consumer behavior where the structure of preferences is restricted in some way are also explained examples of special structures are homotheticity separability and quasilinearity of the utility function the second half of the paper is devoted to developing afriat type consistency tests for expected and nonexpected utility maximizing behavior

revealed preferences over risk and uncertainty ludovic renou would like to acknowledge financial support from the french national research agency anr under the grant cigne anr 15 ce38 0007 01

asset demand based tests of expected utility maximization we provide conditions under which contingent claim and asset demands are consistent with state independent expected utility maximization the paper focuses on the case of a single commodity and demands are allowed to be functions of probabilities and not just prices and income we extend prior analyses by deriving three distinct tests for demands to be rationalized by expected utility i a contingent claim analogue to the certainty strong axiom of revealed preference ii a characterization of the functional form for demand and iii necessary and sufficient conditions based on the slutsky matrix jel d01 d11 d81 the neoclassical certainty model of consumer behavior postulates that a consum er s demand can be described as having been derived from utility maximization sub ject to a budget constraint one is then naturally led to ask what this model implies about observed demand behavior this question has been addressed using two quite distinct approaches the first originating in the work of slutsky 1915 and antonelli 1886 derives necessary and sufficient conditions for utility maximization assum ing knowledge of the consumer s demand functions the second approach known as revealed preference following the classic work of samuelson 1938 provides necessary and sufficient restrictions on a finite set of demand price pairs such that the demand behavior of a consumer is consistent with utility maximization in this paper we extend both approaches to a classic portfolio choice problem where consumers possess state independent expected utility preferences and there is a single commodity in each state we focus only on the complete market case where the financial asset setting is equivalent to the contingent claim setting and hence it is only necessary to discuss demand tests for the latter we depart from the standard contingent claim theory by assuming that state of nature probabilities are not fixed and we model demand as a function of probabilities as well as prices and income for the revealed preference approach with the restriction of a single commodity in each state we derive a much simpler test for expected utility maximization than those that currently exist in the literature for example the formulation of green and

consistency and heterogeneity of individual behavior under uncertainty by using graphical representations of simple portfolio choice problems we generate a very rich dataset to study behavior under uncertainty at the level of the individual subject we test the data for consistency with the maximization hypothesis and we estimate preferences using a two parameter utility function based on faruk gul 1991 this specification provides a good interpretation of the data at the individual level and can account for the highly heterogeneous behaviors observed in the laboratory the parameter estimates jointly describe attitudes toward risk and allow us to characterize the distribution of risk preferences in the population

determination of income production and employment under pollution control an input output approach it can be shown that a variation of the multiplier approach solves the leontief pollution model in a more directly interpretable and computationally efficient manner than the conventional method of directly using the augmented leontief inverse matrix the solution of each endogenous variable of the model can be expressed in terms of the non augmented leontief inverse exogenous variables and two important multipliers the pollution control multiplier and a modified keynesian multiplier modified by pollution control the so called induced effect and the effect of pollution control on a given economy can be separated from the model 6 references 5 footnotes 1 table

why do markets move together an investigation of u s japan stock return comovements this article explores the fundamental factors that affect cross country stock return correlations using transactions data from 1988 to 1992 we construct overnight and intraday returns for a portfolio of japanese stocks using their nyse traded american depository receipts adrs and a matched sample portfolio of u s stocks we find that u s macroeconomic announcements shocks to the yen dollar foreign exchange rate and treasury bill returns and industry effects have no measurable influence on u s and japanese return correlations however large shocks to broadbased market indices nikkei stock average and standard and poor s 500 stock index positively impact both the magnitude and persistence of the return correlations stock return cross country covariances play a key role in international finance changes in these covariances affect the volatility of portfolios and asset prices as these covariances increase one expects that a fewer domestic risks are internationally diversifiable so portfolio volatility increases b the risk premium on the world market portfolio increases 1 c the cost of capital increases for individual firms and d the domestic version of the capm becomes increasingly inadequate 2 despite the important economic consequences of changes in cross country covariances the determinants of the levels and dynamics of these covariances have been little studied from an academic