the incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market abstract this paper aims to investigate whether investor fear gauge ifg contains incremental information content for forecasting the volatility of crude oil futures for this purpose we use oil volatility index ovx to measure the ifg adding the ifg to existing heterogeneous autoregressive har models we develop many har models with ifg subsequently we employ these har models to predict the volatility of crude oil futures the results from the parameter estimation and out of sample forecasting show that the in sample and out of sample performances of har models with ifg are significantly better than their corresponding har models without ifg the results are robust in different ways thus the har models with ifg are more beneficial to the decision making of all participants including financial traders manufacturers and policymakers in the crude oil futures market more importantly the results suggest that the investor fear gauge has a significant positive effect on volatility forecasting and can help improve the performances of almost all the existing har models

dynamic jump intensities and risk premiums evidence from s p500 returns and options we build a new class of discrete time models that are relatively easy to estimate using returns and or options the distribution of returns is driven by two factors dynamic volatility and dynamic jump intensity each factor has its own risk premium the models significantly outperform standard models without jumps when estimated on s p500 returns we find very strong support for time varying jump intensities compared to the risk premium on dynamic volatility the risk premium on the dynamic jump intensity has a much larger impact on option prices we confirm these findings using joint estimation on returns and large option samples

model complexity and out of sample performance evidence from s p 500 index returns abstract we apply a range of out of sample specification tests to more than forty competing stochastic volatility models to address how model complexity affects out of sample performance using daily s p 500 index returns model confidence set estimations provide strong evidence that the most important model feature is the non affinity of the variance process despite testing alternative specifications during the turbulent market regime of the global financial crisis of 2008 we find no evidence that either finite or infinite activity jump models or other previously proposed model extensions improve the out of sample performance further applications to value at risk demonstrate the economic significance of our results furthermore the out of sample results suggest that standard jump diffusion models are misspecified

the microfinance promise in the past decade microfinance programs have demonstrated that it is possible to lend to low income households while maintaining high repayment rates even without requiring collateral the programs promise a revolution in approaches to alleviating poverty and spreading financial services and millions of poor households are served globally a growing body of economic theory demonstrates how new contractual forms offer a key to microfinance success particularly the use of group lending contracts with joint liability for the most part however high repayment rates have not translated into profits and studies of impacts on poverty yield a mixed picture in describing emerging tensions the paper highlights the diversity of innovative mechanisms beyond group lending contracts the measurement of financial sustainability the estimation of economic and social impacts the costs and benefits of subsidization and the potential to reduce poverty through savings programs rather than just credit the promise of microfinance has pushed far ahead of the evidence and an agenda is put forward for addressing critical empirical gaps and sharpening the terms of policy discussion

nonparametric estimation of entry cost in first price procurement auctions summary in this paper i investigate samuelson s low price auction model with entry costs the model s equilibrium implies that the distribution of bids is truncated at the threshold for participation i use the model to estimate the cost of participation in michigan highway procurement auctions the null hypothesis of zero entry costs is rejected using my empirical results i then construct an estimate of the optimal auction which employs regular policy tools such as entry fees finally i demonstrate the savings that the michigan government could have made on payments if optimal auctions had been employed copyright 2012 john wiley sons ltd

what type of process underlies options a simple robust test we develop a simple robust method to distinguish the presence of continuous and discontinuous components in the price of an asset underlying options our method examines the prices of at the money and out of the money options as the option s time to maturity approaches zero we show that these prices converge to zero at speeds that depend upon whether the underlying asset price process is purely continuous purely discontinuous or a combination of both we apply the method to s p 500 index options and nd the existence of both a continuous component and a jump component in the index to effectively price or hedge derivative securities or to understand the behavior of nancial asset prices in general it is important to know if they are best modeled using a purely continuous process pc a pure jump process pj or a combination of both cj we develop a method to distinguish between these possibilities using options written on the asset in question speci cally we examine the market prices of at the money atm and out of the money otm options as the option s maturity date approaches the valuation date while the prices of all atm and otm options converge to zero as the time to maturity approaches zero our theoretical work shows that the speed of convergence diiers across the three possibilities pc pj or cj we can thus identify the type of an asset price process by examining the convergence speeds of these option prices the simplest approach for determining the type of process governing an asset price is to examine the time series of asset prices directly however the discretely sampled paths from the three types of processes look very similar unless the sampling frequency is extremely high furthermore increasing the sampling frequency introduces market microstructure eiects since our method does not examine the sample path of the underlying asset directly it circumvents these di culties our method is able to distinguish the type of process governing the price of an asset because diierent types of processes have dramatically diierent implications

gender norms in financial markets evidence from kenya abstract the role of institutions rules and norms in markets is increasingly recognized in development discourse this paper considers the role of gender relations for rules and norms in financial markets using evidence from central kenya it develops a framework for establishing the influence of gender on the demand for and access to financial services so explaining the gender differentiated use of rotating savings and credit associations roscas it first analyzes intrahousehold norms related to income and expenditure flows and their management so identifying gendered patterns of demand second by conceptualizing financial intermediaries as operating within rules and norms it allows the influence of gender relations on access to financial services to be more systematically investigated

testing for affiliation in first price auctions using entry behavior in this article we show that affiliation among potential bidders private information either private signals or entry costs leads to affiliation among their entry decisions we propose a test for affiliation among potential bidders private information based on the implication of affiliation on the entry behavior which is general and widely applicable to various scenarios the test is implemented using the simulation based method we then apply our method to timber sales in the oregon department of forestry and find a small but strongly significant level of affiliation among all timber companies

rotating and accumulating savings and credit associations a development perspective abstract financial self help groups in low income countries consist of two basic types rotating and accumulating savings and credit associations or roscas and ascras in the ascra funds are not immediately withdrawn but are left to grow for loan making comparing the two groups the author finds similarities and differences efforts to rectify the rosca s shortcomings have prompted many innovations and given birth to a hybrid preserving the best of both types in constant adaptation to changing environments

parametric inference and dynamic state recovery from option panels we develop a new parametric estimation procedure for option panels observed with error we exploit asymptotic approximations assuming an ever increasing set of option prices in the moneyness cross sectional dimension but with a fixed time span we develop consistent estimators for the parameters and the dynamic realization of the state vector governing the option price dynamics the estimators converge stably to a mixed gaussian law and we develop feasible estimators for the limiting variance we also provide semiparametric tests for the option price dynamics based on the distance between the spot volatility extracted from the options and one constructed nonparametrically from high frequency data on the underlying asset furthermore we develop new tests for the day by day model fit over specific regions of the volatility surface and for the stability of the risk neutral dynamics over time a comprehensive monte carlo study indicates that the inference procedures work well in empirically realistic settings in an empirical application to s p 500 index options guided by the new diagnostic tests we extend existing asset pricing models by allowing for a flexible dynamic relation between volatility and priced jump tail risk importantly we document that the priced jump tail risk typically responds in a more pronounced and persistent manner than volatility to large negative market shocks

assessing the impact of microcredit a zambian case study expectations are high but evidence of the impact of microcredit remains in short supply this article estimates the impact of an urban credit programme in zambia on business performance and on a range of indicators of wellbeing borrowers who obtained a second loan experienced significantly higher average growth in business profits and household income inflexible group enforcement of loan obligations resulted in some borrowers especially amongst those who had taken only one loan being made worse off our methodological investigations suggest that the supply of rigorous impact studies can be increased by basing them on data collection that serves a wider range of purposes including market research

cross country variation in household access to financial services abstract this paper presents estimates for more than 160 countries of the fraction of the adult population using formal financial intermediaries the estimates are constructed by combining information on account numbers at banks and microfinance institutions together with banking depth and gdp data with estimates from household surveys for a smaller set of countries an illustrative application of the data compares them with information on poverty there is a correlation but it is not clearly causal

bank privatization in sub saharan africa the case of uganda commercial bank previous empirical analyses have found that bank privatizations are more successful when the government fully relinquishes control when the bank is privatized to a strategic investor and when foreign owned banks are allowed to participate in the bidding the privatization of uganda commercial bank ucb to the south african bank stanbic met all these criteria suggesting that it is a likely candidate for success but other features suggest reasons for caution ucb dominated the ugandan banking sector prior to privatization and the institutional environment in uganda was less favorable than in many of the middle income countries looked at in earlier empirical studies despite these concerns the privatization appears to have been relatively successful the portfolio of the privatized bank which was cleaned prior to sale remains relatively strong and profitability and credit growth are now on par with other ugandan banks though market segmentation remains a concern since stanbic faces little or no direct competition in many remote areas some early results suggest that access to credit has improved for some hard to serve groups

early exercise decision in american options with dividends stochastic volatility and jumps using a fast numerical technique we investigate a large database of investors suboptimal nonexercise of short maturity american call options on dividend paying stocks listed on the dow jones the correct modeling of the discrete dividend is essential for a correct calculation of the early exercise boundary as confirmed by theoretical insights pricing with stochastic volatility and jumps instead of the black scholes merton benchmark cuts the amount lost by investors through suboptimal exercise by one quarter the remaining three quarters are largely unexplained by transaction fees and may be interpreted as an opportunity cost for the investors to monitor optimal exercise

econometric modeling of fisheries with complex life histories avoiding biological management failures abstract economics of the fishery has focused on the wastefulness of common pool resource exploitation pure open access fisheries dissipate economic rents and degrade biological stocks biologically managed fisheries also dissipate rents but are thought to hold biological stocks at desired levels we develop and estimate an empirical bioeconomic model of the gulf of mexico gag fishery that questions the presumptive success of biological management unlike previous bioeconomic life history studies we provide a way to circumvent calibration problems by embedding our estimation routine directly in the dynamic bioeconomic model we nest a standard biological management model that accounts for complex life history characteristics of the gag biological intuition suggests that a spawning season closure will reduce fishing pressure and increase stocks and simulations of the biological management model confirm this finding however simulations of the empirical bioeconomic model suggest that these intended outcomes of the spawning closure do not materialize the behavioral response to the closure appears to be so pronounced that it offsets the restriction in allowable fishing days our results indicate that failure to account for fishing behavior may play an important role in fishery management failures

social network effects on mobile money adoption in uganda abstractthis study analyses social network effects on the adoption of mobile money among rural households in uganda we estimate conditional logistic regressions controlling for correlated effects and other information sources results show that mobile money adoption is positively influenced by the size of the social network with which information is exchanged we further find that this effect is particularly pronounced for non poor households thus while social networks represent an important target for policy makers aiming to promote mobile money technology the poorest households are likely to be excluded and require more tailored policy programmes and assistance

competition based environmental policy an analysis of farmland preservation in maryland policy makers have turned to competition based voluntary enrollment programs as a cost effective way to achieve preferred land uses this paper studies bidder behavior in an innovative auction based program in which farmers compete to sell and retire the right to develop their land we derive a reduced form bidding model that includes private and common values this model allows us to estimate the role of bidder competition winner s curse correction and the underlying distribution of private values we estimate that the auction enrolled as many as 3 000 acres 12 more than a take it or leave it offer would have enrolled for the same budgetary cost

an empirical study of an auction with asymmetric information this paper examines federal auctions for drain age leases on the outer continental shelf from 1959 to 1969 these are leases that are adjacent to tracts on which a deposit has been discovered the authors find that the data strongly support the hypotheses that neighbor firms are better informed about the value of a lease than nonneighbor firms that neighbor firms coordinate their bidding decisions and that both types of firms bid strategically in accordance with the bayesian nash equilibrium model for first price sealed bid auctions with asymmetric information

auctions versus posted price selling two popular selling methods posted price selling and auctions are compared here in an independent private values model without auctioning costs auctioning is always optimal when auctioning is costly auctions are still preferable if the marginal revenue curve is sufficiently steep the global steepness of the marginal revenue curve is found to coincide with the dispersion around the mean for a number of standard distributions finally the prices of the monopoly seller and of the social optimum are compared copyright 1993 by american economic association

spanning and completeness with options the role of ordinary options infacilitating the completion of securities markets is examined in the context of a model of contingent claims sufficiently general to accommodate the continuous distributions of asset pricing theory and option pricing theory in this context it is shown that call options written on a single security approximately span all contingent claims written on this security and that call options written on portfolios of call options on individual primitive securities approximately span all contingent claims that can be written on these primitive securities in the case of simple options explicit formulas are given for the approximating options and porfolios of options these results are applied to the pricing of contingent claims by arbitrage and to irrelevance propositions in corporate finance

the risk premia embedded in index options we study the dynamic relation between aggregate stock market risks and risk premia via an exploration of the time series of equity index option surfaces the analysis is based on estimating a general parametric asset pricing model for the risk neutral equity market dynamics using a panel of options on the s p 500 index while remaining fully nonparametric about the actual evolution of market risks we nd that the risk neutral jump intensity which controls the pricing of left tail risk cannot be spanned by the market volatility and its components so an additional factor is required to account for its dynamics this tail factor has no incremental predictive power for future equity return volatility or jumps beyond what is captured by the current and past level of volatility in contrast the novel factor is critical in predicting the future market excess returns over horizons up to one year and it explains a large fraction of the future variance risk premium we contrast our ndings with those implied by structural asset pricing models that seek to rationalize the predictive power of option data relative to those studies our ndings suggest a wider wedge between the dynamics of equity market risks and the corresponding risk premia with the latter typically displaying a far more persistent reaction following market crises

double dipping in environmental markets abstract there is an increasing tendency to use markets to induce the provision of environmental services as such markets increase in scope potential market participants might sell multiple environmental services the question we consider here is whether participants in such markets should be allowed to sell credits in more than one market simultaneously some have argued in favor of such double dipping because it would make the provision of environmental services more profitable in practice however most programs do not allow double dipping we show that if the optimal level of pollution abatement is sought then double dipping maximizes societal net benefits however if pollution policies are set in a piecemeal fashion then the caps for each market are unlikely to be optimal and in this second best setting a policy prohibiting double dipping can lead to greater social net benefits we explore conditions under which a single market policy is preferred or equivalently where piecemeal policies are likely to yield particularly inefficient outcomes

gender biases in bank lending lessons from microcredit in france the evidence on gender discrimination in lending remains controversial to capture gender biases in banks loan allocations we observe the impact on the applicants of a microfinance institution mfi and exploit the natural experiment of a regulatory change imposing a strict eur 10 000 loan ceiling on microcredit descriptive statistics indicate that the presence of the ceiling is associated both with bank mfi co financing and with harsher treatment of female borrowers to investigate causal links we develop an econometric approach that addresses the concerns of selection biases multicollinearity and endogeneity our empirical findings suggest that the change in the mfi s gender related attitude was triggered by banks through co financing hence we speculate that co financing pushes ceiling constrained mfis to import whatever biases in loan granting that the banks are prone to overall this paper stresses that apparently benign regulations such as loan ceilings can significantly harm the women s empowerment efforts made by mfis

mobile money remittances and household welfare panel evidence from rural uganda access to financial services is crucial for development as it enhances resource mobilization needed for productive investment and facilitates consumption smoothing with a vast majority of adult ugandans having no access to formal financial services mobile money is expected to bridge this gap especially in rural areas this financial product allows users to make financial transactions using their mobile phones within five years of its inception in uganda since 2009 the mobile money service has been used by over 35 of the adult population and the rate of penetration is rapidly increasing we investigate its impact on household welfare using panel data covering 846 rural households using a combination of household fixed effects instrumental variable and propensity score matching methods we find a positive and significant effect of mobile money access on household welfare measured by real per capita consumption the mechanism of this impact is the facilitation of remittances user households are more likely to receive remittances receive remittances more frequently and the total value received is significantly higher than that of non user households we attribute this impact on the reduction in transaction transport and time costs associated with mobile phone based financial transactions our results are robust to changes in model specifications and alternative explanations

itq s in chile measuring the economic benefits of reform in 2001 an individual operationally transferable quota system was introduced for all the most important industrial fisheries in chile this system was put in place after years of declining stocks and over investment in this paper we describe this reform and estimate related allocative efficiency benefits for the most important industrial fishery in the country the southern pelagic fishery benefits were estimated using a bioeconomic model estimated using data for the 1985 2004 period the estimated model was then used to generate simulated scenarios of the evolution of this fishery in a 20 year horizon with and without the itq system in place the benefits of the reform can then be estimated by comparing the fishery s costs in the scenarios with and without itqs this approach allows benefits to be estimated using more realistic counterfactual scenarios than just comparing the fishery before and after the reform estimated discounted net benefits reach us 166 million in the period 2001 2020 fleet size fell from 149 active boats in 2000 to 57 in 2004 as a direct consequence of the reform among the interesting features of the chilean experience is the way the political economy of the reform was facilitated by the prior introduction of de facto individual quotas within the framework of fishery experimental activities when the authorities closed the southern pelagic fishery because of biological problems between 1997 and 2000 they organized experimental fishing expeditions in which participant boats were given the right to fish a certain amount of resources per expedition this pseudo quota system allowed fishermen to experience directly the benefits of individual quotas and that was instrumental to the political agreement leading to the reform it is important to note that the chilean southern industrial pelagic fishery has average catches of over 1 4 million tons a year making it one of the largest fisheries in the world to be regulated by individual quotas

financial access and exclusion in kenya and uganda abstract policy emphasis has recently shifted to finance for all given evidence that financial sector development contributes to growth but effects on poverty do not arise from pro poor provision we argue that given this policy goal analyses of barriers to access must be country specific and go beyond the emphasis on transactions costs to incorporate the effects of social institutions since these contribute to discrimination this paper uses data from financial access surveys carried out in 2006 in kenya and uganda to investigate the socio economic demographic and geographical factors influencing access to and exclusion from formal semi formal and informal financial services

buyback programs in commercial fisheries effciency versus transfers a cournot model of investment is used to characterize the pre and post buyback investment equilibrium for vessels operating in a total allowable catch regulated fishery welfare effects the net welfare gains or losses and the distributional e ects that may be expected from vessel buyback programs are identifed net welfare effects depend on the ability of remaining vessels to replace buyback capital the speed of capital replacement and capital investment irreversibility net welfare effects are likely to be positive only under exceptional technological and capital market conditions a brief review of the british columbia pacific salmon revitalization plan is presented to anchor the theoretical model jel classification q28 d24 les auteurs utilisent un modele d qgainvestissement a la cournot pour analyser la situation d qga equilibre d investissement avant et apres le rachat de vaisseaux operant dans des peches ou le total des prises permises est reglemente les effets de bien etre les effets nets de gains ou de pertes et les effets de redistribution qu qgaon peut anticiper de programmes de rachats de vaisseaux sont identifies les effets nets de bien etre dependent de la capacite des vaisseaux qui restent en service a remplacer le capital rachete de la vitesse avec laquelle le capital est remplace et de l irreversibilite de la capitalisation les effets nets de bien etre sont susceptibles d etre positifs seulement dans des conditions exceptionnelles sur le plan technologique et pour ce qui est du marche du capital les auteurs examinent le plan de revitalisation du saumon du pacifique de la colombie britannique pour donner un point d qgaancrage au modele theorique

equilibria in first price auctions with participation costs this paper characterizes the equilibria of first price auctions with participation costs in the independent private values environment bidders use cutoff strategies to decide whether they will participate in the auction it is shown that when bidders are homogeneous there always exists a unique symmetric equilibrium and further there is no other equilibrium when valuation distribution functions are inelastic when distribution functions are elastic at the symmetric equilibrium there exists an asymmetric equilibrium inelasticity elasticity includes concavity convexity of distribution functions as a special case we find similar results when bidders are heterogeneous

economic incentives for environmental protection integrating theory and practice for decades economists have been extolling the virtues of market based or economic incentive approaches to environmental protection some 70 years ago arthur cecil pigou 1920 suggested corrective taxes to discourage activities that generate externalities a half century later j dales 1968 showed how the introduction of transferable property rights could work to promote environmental protection at lower aggregate cost than conventional standards from these two seminal ideas corrective taxes and transferable property rights a substantial body of research has developed both environmental taxes and marketable permits are coming of age in the policy arena examples include the introduction of marketable permits in the united states to control acid rain the use of changes in europe to limit air and water pollution and the employment of deposit refund schemes for products ranging from beverage containers to batteries the introduction of these tools on a large scale provides a unique opportunity to extend the frontiers of knowledge this essay strives to identify prominent issues that merit investigation 8 refs

endogenous participation in charity auctions abstract data from a recent field experiment suggests that differences in participation rates are responsible for much of the variations in charity auction revenues across formats we provide a theoretical framework for the analysis of this and other related results the model illustrates the limits of previous results that assume full participation and introduces some new considerations to the choice of auction mechanism it also implies however that the data cannot be explained in terms of participation costs alone there must exist mechanism specific obstacles to participation

mobile money agricultural marketing and off farm income in uganda mobile money mm services can contribute to welfare gains in smallholder farm households previous research showed that one important pathway for these mm related welfare gains is through higher remittances received from relatives and friends here the role of other impact pathways is examined especially focusing on agricultural marketing and off farm economic activities the analysis builds on panel data from smallholder coffee farmers in uganda regression models show that the adoption of mm technology has contributed to higher household incomes and consumption levels off farm income gains are identified to be an important pathway also beyond remittances typical off farm income sources are small businesses in trade transport and handicrafts which benefit from novel savings and money transfer opportunities through mm in terms of agricultural marketing mm users sell a larger proportion of their coffee as shelled beans to buyers in high value markets instead of selling to local traders immediately after harvest mm services help to reduce cash constraints and facilitate transactions with buyers from outside local regions in conclusion mm can contribute to rural development through various important pathways analysis of adoption patterns suggests that mm services are socially inclusive

bidding behavior and decision costs in field experiments i introduction positive opportunity costs of mental effort may invalidate the predictions of traditional models of rational or hyperrational agents conlisk 1996 uses deliberation costs as a recurring theme when discussing four important reasons for incorporating bounded rationality in economic models smith and walker 1993 and smith and szidarovszky 1999 present effort models that predict individual behavior will more closely match the predictions of rational behavior theories as 1 the stakes of the decision increase and 2 the decision costs decrease smith and walker 1993 find evidence of these two effects in a comprehensive review of 31 published laboratory experiments camerer and hogarth 1999 extend smith and walker s survey by examining 74 experimental papers and find evidence in favor of the cognitive effort theory noting that higher levels of incentives have the largest effects in judgment and decision tasks p 34 although the laboratory evidence is compelling there has been little verificati on of these predictions outside the laboratory 1 the present article fills this gap by examining field data from 214 multiunit sports card auctions carried out in an active marketplace on the floor of a sports card show we auctioned four types of trading cards with book values ranging from 3 to 70 providing significant variation in the stakes of the auction our auctions also included two distinct types of subjects some auctions had sports card dealers bidding against each other whereas others had individual card collectors as the participants this variation allows us to explore the second dimension of decision cost theory do dealers who commonly participate in sports card auctions and therefore likely require less effort to bid optimally bid more rationally than nondealers our measure of rational bidding comes from multiunit auction theory which predicts strategic demand reduction in uniform price auctions 2 for each type of bidder and each type of card we measure this demand reduction behavior in the uniform price auction relative to a control the multiunit vickrey 1961 auction where bidders are predicted to fully reveal their demands our sports card data generated from sales of 428 cards with a combined book value of nearly 10 000 provide two major insights first we find that the predicted strategic behavior is considerably greater when the auctioned cards have higher values second dealers exhibit more of the predicted strategic behavior than do nondealers for both lower and higher priced cards one conjecture to explain this finding is that nondealers may find that the cognitive effort required to bid strategically exceeds the benefits especially for low valued cards by contrast dealers have more experience with auctions and make their living by buying selling trading cards so their cognitive costs are likely much lower than those of nondealers these two findings are consistent with recent theoretical models of monetary rewards and decision costs and extend previous experimental evidence from the laboratory into the field ii experimental design as mentioned recent theoretical literature has suggested that demand reduction inherent in uniform price auctions with multiunit demand can induce inefficient allocations and possible reductions in auction revenue to avoid the inefficiencies associated with the uniform price auction theorists have identified an alternative mechanism the generalized vickrey auction which gives bidders a dominant strategy of revealing their true valuations for all units of the good in this multiunit vickrey auction as in the uniform price auction each bidder can submit up to n different sealed bids on individual units and the highest n bids are declared winners if a bidder submits one or more of the winning bids his or her price for the first unit equals the highest rejected bid submitted by someone else and his or her price for the kth unit equals the kth highest of the rejected bids submitted by others

reaching out access to and use of banking services across countries the authors 1 present new indicators of banking sector penetration across 99 countries based on a survey of bank regulatory authorities 2 show that these indicators predict household and firm use of banking services 3 explore the association between the outreach indicators and measures of financial institutional and infrastructure development across countries and 4 relate these banking outreach indicators to measures of firms financing constraints in particular they find that greater outreach is correlated with standard measures of financial development as well as with economic activity controlling for these factors the authors find that better communication and transport infrastructure and better governance are also associated with greater outreach government ownership of financial institutions translates into lower access while more concentrated banking systems are associated with greater outreach finally firms in countries with higher branch and atm penetration and higher use of loan services report lower financing obstacles thus linking banking sector outreach to the alleviation of firms financing constraints

the impact of ethiopia s productive safety net programme and its linkages abstract this paper assesses the impact of ethiopia s productive safety nets programme psnp the largest social protection programme in sub saharan africa outside of south africa using propensity score matching techniques we find that the programme has little impact on participants on average due in part to transfer levels that fell far below programme targets participants with access to both the psnp and packages of agricultural support are more likely to be food secure to borrow for productive purposes use improved agricultural technologies and operate non farm own business activities however beneficiaries did not experience faster asset growth

the crash of ʼ87 was it expected the evidence from options markets transactions prices of s p 500 futures options over 1985 1987 are examined for evidence of expectations prior to october 1987 of an impending stock market crash first it is shown that out of the money puts became unusually expensive during the year preceding the crash second a model is derived for pricing american options on jump diffusion processes with systematic jump risk the jump diffusion parameters implicit in options prices indicate that a crash was expected and that implicit distributions were negatively skewed during october 1986 to august 1987 both approaches indicate no strong crash fears during the 2 months immediately preceding the crash attempts to explain what caused the stock market crashes around the world in october 1987 have suffered from the paucity of major economic developments occurring around that time that could have triggered the crashes shifting expectations regarding monetary policy foreign investors fears of a dollar decline increasing riskiness of assets none of these appeared major enough if present at all to explain the magnitude of the crashes and although portfolio insurance strategies could conceivably magnify the effects of a jump in fundamentals the initiating jump in fundamentals appears to be lacking

u s stock market crash risk 1926 2010 abstract this paper examines how well alternate time changed levy processes capture stochastic volatility and the substantial outliers observed in u s stock market returns over the past 85 years the autocorrelation of daily stock market returns varies substantially over time necessitating an additional state variable when analyzing historical data i estimate various one and two factor stochastic volatility levy models with time varying autocorrelation via extensions of the bates 2006 methodology that provide filtered daily estimates of volatility and autocorrelation the paper explores option pricing implications including for the volatility index vix during the recent financial crisis

mobile money adoption and households vulnerability to shocks evidence from togo we investigate the determinants of mobile money adoption process and whether its use helps households in togo to be resilient to predictable and unpredictable life events using ordered logit and s

can mobile phones improve gender equality and nutrition panel data evidence from farm households in uganda abstract since 2000 mobile phone technologies have been widely adopted in many developing countries existing research shows that use of mobile phones has improved smallholder farmers market access and income beyond income mobile phones can possibly affect other dimensions of social welfare such as gender equality and nutrition such broader social welfare effects have hardly been analyzed up till now here we address this research gap using panel data from smallholder farm households in uganda regression results show that mobile phone use is positively associated with household income women empowerment food security and dietary quality these results also hold after controlling for possible confounding factors in addition to the household level analysis we also look at who within the household actually uses mobile phones gender disaggregation suggests that female mobile phone use has stronger positive associations with social welfare than if males alone use mobile phones we cautiously conclude that equal access to mobile phones cannot only foster economic development but can also contribute to gender equality food security and broader social development further research is required to corroborate the findings and analyze the underlying causal mechanisms

monetary rewards and decision cost in experimental economics a survey of thirty one experimental studies which report data on the comparative effects of monetary rewards and opportunity cost shows 1 several studies in which increased rewards shift the central tendency of the data toward the predictions of rational models 2 in virtually all cases rewards reduce the variance of the data around the predicted outcome this is consistent with a model in which rewards are balanced against decision cost in agent behavior and explicates the argument that when rational models fail it can be attributed to low opportunity cost of deviations from the rational prediction

weather shocks and urban livelihood strategies the gender dimension of household vulnerability in the kumi district of uganda abstractthe teso sub region of uganda suffered numerous weather shocks in the past with devastating food security consequences using household fixed effects and propensity score matching methods we analyse the impact of exposure to drought flood and severe incidence of pests and diseases on household consumption expenditure per adult equivalent for a random sample of households from kumi town council we find that weather shocks reduce consumption by 17 per cent and that the consumption decline is significantly larger among female headed households we also find a higher likelihood of non farm employment borrowing and receiving remittances in order to cope with the shocks

the fine structure of asset returns an empirical investigation we investigate the importance of diffusion and jumps in a new model for asset returns in contrast to standard models we allow for jump components displaying finite or infinite activity and variation empirical investigations of time series indicate that index dynamics are devoid of a diffusion component which may be present in the dynamics of individual stocks this leads to the conjecture confirmed on options data that the risk neutral process should be free of a diffusion component we conclude that the statistical and risk neutral processes for equity prices are pure jump processes of infinite activity and finite variation

measuring the importance of transaction costs in cattle marketing transaction cost economics recognizes that transactions do not occur in a frictionless economic environment information negotiation and monitoring costs arise in any transaction and can influence the vertical coordination outcome this paper demonstrates a method for measuring the influence of transaction costs on slaughter cattle marketing the paper focuses on the factors affecting the choice between liveweight live ring auction and deadweight direct to packer sales using tobit limited dependent variable analysis data from a survey of uk farmers are used to estimate the relative importance of various transaction costs and farm characteristic variables for the choice of marketing channel

the price of the smile and variance risk premia using a new specification of multifactor volatility we estimate the hidden risk factors spanning s p 500 index spx implied volatility surfaces and the risk premia of volatility sensitive payoffs

a jump diffusion model for option pricing brownian motion and normal distribution have been widely used in the black scholes option pricing framework to model the return of assets however two puzzles emerge from many empirical investigations the leptokurtic feature that the return distribution of assets may have a higher peak and two asymmetric heavier tails than those of the normal distribution and an empirical phenomenon called volatility smile in option markets to incorporate both of them and to strike a balance between reality and tractability this paper proposes for the purpose of option pricing a double exponential jump diffusion model in particular the model is simple enough to produce analytical solutions for a variety of option pricing problems including call and put options interest rate derivatives and path dependent options equilibrium analysis and a psychological interpretation of the model are also presented

short term market risks implied by weekly options we study short maturity weekly s p 500 index options which provide a direct way to analyze volatility and jump risks unlike longer dated options they are largely insensitive to the risk of intertemporal shifts in the economic environment adopting a novel seminonparametric approach we uncover variation in the negative jump tail risk which is not spanned by market volatility and helps predict future equity returns as such our approach allows for easy identification of periods of heightened concerns about negative tail events that are not always signaled by the level of market volatility and elude standard asset pricing models

institutions for financial development what are they and where do they come from abstract among the fundamental causes of long run economic performance differences in institutions have received considerable attention in recent years at the same time a large body of theoretical and empirical work shows that financial development can have a big effect on economic performance this raises the more fundamental question as to why some countries have developed financial markets while others do not this paper reviews the theoretical and empirical research on this issue and shows that one of the channels whereby better institutions may have an effect on economic development is through the consolidation of larger and better financial markets an issue that is left aside in this paper relates to what regulations and policies lead to better functioning capital markets at some level one can think of regulations and policies as particular types of institutions nonetheless institutional problems are deeper causes leading to poor economic performance bad policies might simply be part of the channels through which they influence performance thus addressing the question of what determines the emergence of good institutions i e institutions that promote financial development seems particularly important recent research providing some answers to this question is also reviewed

too burdensome to bid transaction costs and pay for performance conservation in a world free of transaction costs reverse auctions can cost effectively allocate payment for environmental service contracts by targeting projects that provide the most benefit per dollar spent however auctions only succeed if enough farmers choose to bid so that the auctioneer can evaluate numerous projects for targeted funding a 2014 conservation auction to allocate payments for phosphorus reduction practices in nw ohio experienced very thin bidding according to a follow up survey auction participation was deterred by the complexity of the bidding process and the need to negotiate with renters due to low participation the actual conservation auction made payments for phosphorus reduction that were surprisingly costly at the margin applying a farmer behavioral model to the western lake erie basin we simulate participation choice and cost effectiveness of environmental outcomes in reverse auctions and uniform payment conservation programs results reveal that when perceived transaction costs of bid preparation are high reverse auctions are less cost effective than spatially targeted uniform payment programs that attract higher participation keywords reverse auctions transaction costs cost effective conservation programs endogenous participation

asymptotic efficiency for discriminatory private value auctions we consider discriminatory auctions for multiple identical units of a good players have private values possibly for multiple units none of the usual assumptions about symmetry of players distributions over values or symmetry of equilibrium play are made because of this equilibria will typically involve inefficient allocations equilibria also become very difficult to solve for using an approach which does not depend on explicit equilibrium calculations we show that such auctions become arbitrarily close to efficient as the number of players and possibly the number of objects grows large and provide a simple characterization of limit equilibria

the impact of mobile financial services usage on microfinance delinquency abstractthis paper studies the impact of mobile financial systems usage on microcredit delinquency ratios in tunisia by using either a two part model or matching econometric procedures our large dataset contains all of the administrative registers that belong to the six branches of enda the incumbent institution leader in tunisia we find a significant reduction of 4 92 days of late repayment for an average user of mfs in an environment where 15 of loans have been paid late at least once we foresee a tremendous opportunity to improve the mfis repayment ratios and consequently provide microcredit customers with more financing for income generating activities

access to finance in sub saharan africa is there a gender gap we show the existence of an unconditional gender gap in sub saharan africa however when key observable characteristics of the enterprises or individuals are taken into account the gender gap disappears in the case of enterprises we explain our finding with differences in key characteristics and a potential selection bias in the case of individuals the lower use of formal financial services by women can be explained by gender gaps in other dimensions related to the use of financial services such as their lower level of income and education and by their household and employment status

buybacks with costly participation abstract posted price offers and first price auctions along with the multi unit discriminatory auction extension are two widely used mechanisms for allocating conservation contracts the choice between the two typically hinges on the trade off between the posted price s simplicity and the potential revenue gains of the auction in this paper we introduce a novel mechanism that attempts to bridge the gap between the performance of posted price offers and auctions a two price and lottery schedule combines the simplicity of the former with some of the flexibility of the latter using a model that incorporates agents cognitive and information costs of bidding we analyze how the ranking of allocative efficiency and cost effectiveness between the mechanisms varies as the wedge of participation costs increases when the number of bidders is endogenously determined by participation costs bid shading associated with a lack of competition in the auction compromises its cost effectiveness vis a vis the posted price and the lottery schedule we use data from three recent buybacks for fishing licenses conducted in maryland to calibrate our model and identify conditions under which the two price schedule outperforms the other mechanisms

participation costs and efficient auctions abstract suppose that risk neutral agents have independently and perhaps asymmetrically distributed private valuations for an indivisible object a mechanism assigns the object but it is costly to send messages to the coordinator in these circumstances the second price auction has an equilibrium that is classicallyex anteefficient given general opportunities to invest in information about or enhancements of own valuations in contrast the first price sealed bid auction may have no efficient equilibrium even if buyers are symmetric other properties of the first price auction are proved a semirevelation principle is established for mechanisms with participation costs journal of economic literatureclassification numbers d44 d82

auctions with resale markets an application to u s forest service timber sales when bidders anticipate an opportunity for resale trade the value of winning an auction is determined in part by the option values of buying and selling in the secondary market one implication is that a bidder s willingness to pay at an auction increases with the expected level of competition between resale buyers empirical evidence from auctions of timber contracts supports this prediction and rejects standard models that ignore resale the estimated effect is smaller after policy changes expected to diminish the prevalence of resale additional evidence supports the predicted presence of a common value element introduced by the resale opportunity

does financial development contribute to poverty reduction the article examines the contribution of financial development to poverty reduction in developing countries building on earlier research which has established links between financial development and economic growth and between economic growth and poverty reduction the article tests for a causal process linking financial sector growth and poverty reduction the empirical results indicate that up to a threshold level of economic development financial sector growth contributes to poverty reduction through the growth enhancing effect the impact of financial development on poverty reduction will be affected however by any change in income inequality resulting from financial development

does mobile money use increase firms investment evidence from enterprise surveys in kenya uganda and tanzania private investment can be an important engine of economic growth in east african countries which despite recent growth rates are still plagued with adverse economic conditions against this backdrop there has been substantial penetration of mobile money moving beyond simple person to person exchanges toward adoption by private firms this study explores whether there is a relationship between firm adoption of mobile money and firm investment using firm level data that are nationally representative of the private sector in three east african countries kenya tanzania and uganda a positive relationship is found between mobile money use and the probability of a firm s purchase of fixed assets this relationship is attributed to reduced transaction costs increased liquidity and increased credit worthiness associated with the use of mobile phone financial services

managing credit for the rural poor lessons from the grameen bank abstract this paper based on a detailed study of the grameen bank in bangladesh suggests that the credit policies of the bank do not constitute a sufficient explanation for the bank s success and that its acclaimed policy of replacing individual collateral with group guarantee is in fact not practiced the paper presents an alternate explanation for the success of the grameen bank in addition it explains how the grameen bank has been able to overcome typical problems of implementing development programs by sustaining good performance from its large work force and keeping to a minimum the tendency of a few target beneficiaries to corner program benefits and flout organizational norms for their personal benefit

spanning and completeness in markets with contingent claims abstract we characterize financial markets that are complete or that contain portfolios which span all measurable functions of a particular asset payoffs either finite and infinite dimensional these results are then employed to describe the extent to which options trading is sufficient to complete markets to investigate the existence of efficient funds and to establish the extent of market completeness required to ensure the unanimity and irrelevance results of modern corporation finance

to bid or not to bid the role of participation rates in conservation auction outcomes in this article i jointly analyze stated willingness to accept values with revealed auction bids from fishing license buybacks in the chesapeake bay blue crab fishery in order to better understand the link between participation decisions and conservation outcomes in contrast with theoretical expectations i find individuals with the lowest willingness to accept participated in these reverse auctions at lower rates than other eligible individuals all else being equal this suggests that who bids in an auction plays an important role in the success of conservation outcomes these results indicate that market design should expand to consider how and whether the economic incentives underlying auction participation align with desired conservation outcomes both within fisheries and in natural resource management more broadly

identification of maximal affine term structure models building on duffie and kan 1996 we propose a new representation of affine models in which the state vector comprises infinitesimal maturity yields and their quadratic covariations because these variables possess unambiguous economic interpretations they generate a representation that is globally identifiable further this representation has more identifiable parameters than the maximal model of dai and singleton 2000 we implement this new representation for select three factor models and find that model independent estimates for the state vector can be estimated directly from yield curve data which present advantages for the estimation and interpretation of multifactor models

transaction costs in payment for environmental service contracts citation jeffrey m peterson craig m smith john c leatherman nathan p hendricks john a fox transaction costs in payment for environmental service contracts american journal of agricultural economics volume 97 issue 1 1 january 2015 pages 219 238 https doi org 10 1093 ajae aau071

risk sharing and transactions costs evidence from kenya s mobile money revolution we explore the impact of reduced transaction costs on risk sharing by estimating the effects of a mobile money innovation on consumption in our panel sample adoption of the innovation increased from 43 to 70 percent we find that while shocks reduce consumption by 7 percent for nonusers the consumption of user households is unaffected the mechanisms underlying these consumption effects are increases in remittances received and the diversity of senders we report robustness checks supporting these results and use the four fold expansion of the mobile money agent network as a source of exogenous variation in access to the innovation jel e42 g22 o16 o17 z13 in developing countries informal networks provide an important means by which individuals and households share risk though the insurance they provide is often incomplete economists have proposed a number of reasons for this incompleteness including information asymmetries which manifest in problems of moral hazard and limited commitment both of which induce positive correlations between realized income and consumption in this article we emphasize a complementary source of incompleteness transaction costs literally the costs of transferring resources between individuals we test the impact of transaction costs on risk sharing by analyzing data from a large panel household survey that we designed and administered in kenya over a three year period to capture the expansion of mobile money this financial innovation has allowed individuals to transfer purchasing power by simple short messaging service sms technology and has dramatically reduced the cost of sending money across large distances mobile money is a recent innovation in developing economies one of the first and most successful examples to date is kenya s m pesa 1 in just four years after its