rational household labor supply traditionally household behavior is derived from the maximization of a unique utility function in this paper we propose an alternative approach in which the household is modeled as a two member collectivity taking pareto efficient decisions the consequences of this assumption are analyzed in a three good model in which only total consumption and each member s labor supply are observable if the agents are assumed egoistic i e they are only concerned with their own leisure and consumption it is possible to derive falsifiable conditions upon household labor supplies from both a parametric and nonparametric viewpoint if alternatively agents are altruistic restrictions obtain in the nonparametric context useful interpretation stems from the comparison with the characterization of aggregate demand for a private good economy

contagion volatility persistence and volatility spill overs the case of energy markets during the european financial crisis the aim of this paper is to investigate if and to what extent events in financially troubled eu markets greece ireland and portugal affected energy prices during the eu financial crisis more specifically i we test for contagion effects of bond prices on energy commodity prices ii we examine whether the nature of energy price volatility is affected and iii we investigate whether bond volatility from the financially distressed eu markets spills over to energy commodity return volatility our results indicate the existence of significant contagion effects notable changes in the nature of energy commodity volatility during the eu financial crisis and spill over effects the results are robust to the use of short term yields instead of long term bond price changes and to the inclusion of spain and italy in the sample

a time varying copula approach to oil and stock market dependence the case of transition economies abstract we employ the time varying copula approach to investigate the conditional dependence between the brent crude oil price and stock markets in the central and eastern european cee transition economies our results show evidence of a positive dependence between the oil and the stock markets of the six cee countries which is indicative of a contagion between those markets regardless of the changes in the oil price or the cee stock index moreover the dependence patterns in both the center and left tails of the return distributions change over time particularly during the heart of the financial crisis and are best described by the survival gumbel copulas the empirical evidence also suggests that the lower tail dependence is much stronger than that of the upper tail highlighting the importance of contagion during severe contractionary business cycles among the sample markets poland is shown to be particularly sensitive in this regard while hungary and slovenia are the least sensitive

contagion during the greek sovereign debt crisis abstract we examine the impact of news about greece and news about a greek bailout on bank stock prices in 2010 using data for 48 european banks we identify the twenty days with extreme returns on greek sovereign bonds and categorise the news events during those days into news about greece and news about the prospects of a greek bailout we find that except for greek banks news about greece does not lead to abnormal returns while news about a bailout does even for banks without any exposure to greece or other highly indebted euro countries this finding suggests that markets consider news about the bailout to be a signal of european governments willingness in general to use public funds to combat the financial crisis sovereign bond prices of portugal ireland and spain respond to both news about greece and news about a greek bailout

measuring contagion between energy market and stock market during financial crisis a copula approach abstract in this paper we apply time varying copulas to investigate whether a contagion effect existed between energy and stock markets during the recent financial crisis using the wti oil spot price the s p500 index the shanghai stock market composite index and the shenzhen stock market component index returns evidence was found for a significantly increasing dependence between crude oil and stock markets after the failure of lehman brothers thus supporting the existence of contagion in the sense of forbes and rigobon s 2002 definition moreover increased tail dependence and symmetry characterize all the paired markets this indicates that significant increases in tail dependence are an actual dimension of the contagion phenomenon and that crude oil and stock prices are linked to the same degree regardless of whether markets are booming or crashing during the sample period finally the contagion effect is found to be much weaker for china than the us the empirical results have potentially important implications for risk management

a quantitative theory of the gender gap in wages abstract this paper measures how much of the gender wage gap over the life cycle is due to the fact that working hours are lower for women than for men we build a quantitative theory of fertility labor supply and human capital accumulation decisions to measure gender differences in human capital investments over the life cycle we assume that there are no gender differences in the human capital technology and calibrate this technology using wage age profiles of men the calibration of females assumes that children involves a forced reduction in hours of work that falls on females rather than on males and that there is an exogenous gender gap in hours of work we find that our theory accounts for all of the increase in the gender wage gap over the life cycle in the nlsy79 data the impact of children on the labor supply of females accounts for 56 and 45 of the increase in the gender wage gap over the life cycle among non college and college females while the rest is due to the exogenous gender differences in hours of work

structural breaks dynamic correlations asymmetric volatility transmission and hedging strategies for petroleum prices and usd exchange rate abstract this paper investigates the influence of structural changes on the asymmetry of volatility spillovers asset allocation and portfolio diversification between the usd euro exchange market and each of six major spot petroleum markets including wti europe brent kerosene gasoline and propane using the bivariate dcc egarch model with and without structural change dummies the results provide evidence of significant asymmetric volatility spillovers between the u s dollar exchange rate and the petroleum markets moreover the model with the structural breaks reduces the degree of volatility persistence and leads to more appropriate hedging and asset allocation strategies for all pairs considered thus the findings have important implications for financial risk management

international evidence on crude oil price dynamics applications of arima garch models abstract we examine the usefulness of several arima garch models for modeling and forecasting the conditional mean and volatility of weekly crude oil spot prices in eleven international markets over the 1 2 1997 10 3 2009 period in particular we investigate the out of sample forecasting performance of four volatility models garch egarch and aparch and figarch over january 2009 to october 2009 forecasting results are somewhat mixed but in most cases the aparch model outperforms the others also conditional standard deviation captures the volatility in oil returns better than the traditional conditional variance finally shocks to conditional volatility dissipate at an exponential rate which is consistent with the covariance stationary garch models than the slow hyperbolic rate implied by the figarch alternative

gender differences in training capital and wages this paper constructs an equilibrium job matching model where workers differ in their attachment to the labor force the model predicts that workers with weaker attachment to the labor market will receive lower starting wages and lower post training wages and will be placed in jobs that offer less training and use less capital the implications of the model for gender differences in pay and job assignment are tested with the eopp data set ourfindings suggest that while training intensity during the first three months of employment is similar in positions filled by males and females females are employed in positions that have a shorter duration of on the job training and that use less capital these differences in on the job training and capital in positions filled by men and women as well as a lower market value for women s prior labor market experience account for a substantial part of the gap in wages between males and females

index investment and financialization of commodities the authors found that concurrent with the rapidly growing index investment in commodity markets since the early 2000s prices of non energy commodity futures in the united states have become incr

introducing household production in collective models of labor supply in a recent paper chiappori 1992 i proposed a model of labor supply based on a collective representation of household behavior in this framework each household member is characterized by his or her own utility function and decisions are only assumed to result in pareto efficient outcomes i showed that these simple assumptions were sufficient to i generate testable restrictions on labor supply functions and ii recover individual preferences and the outcome of the decision process from observed behavior for the sake of simplicity the results were derived in the simplest possible case namely a static labor supply model with private consumptions such a framework was appropriate only for the purpose of the paper that is a preliminary exploration of the properties of collective models of labor supply the next step is to evaluate the robustness of the results to various extensions of the basic model this opens a general research program and generates a wide range of particular problems that it is hoped will be considered in the future among the most serious shortcomings of the 1992 model is the absence of household production as in most labor supply models agents were assumed to divide their time between market activities and leisure as apps and rees 1997 in this issue very rightly point out in their comment the absence of domestic production is far from innocuous as soon as welfare issues are considered for instance a low level of market labor supply will automatically be interpreted as a large consumption of leisure whereas it may in fact reflect the specialization of one of the members in domestic

value line rank and firm size this paper studies the relation between value line s successful record in predicting relative stock price movements and the firm size effect the data suggest little direct relation between the two phen omena value line tends not to rank small firm stocks and small firm stocks that are ranked are more likely to receive a low rank than la rge firm stocks within each size sorted quintile of the market the mean payoffs on costless positions constructed according to value lin e s recommendations are positive copyright 1987 by the university of chicago

macro economy stock market and oil prices do meaningful relationships exist among their cyclical fluctuations this paper examines the relationship among consumer price index industrial production stock market and oil prices in greece initially we use a unified statistical framework cointegration and vecm to study the data in levels we then employ a multivariate var model to examine the relationship among the cyclical components of our series the period of the study is from 1996 1 to 2008 6 findings suggest that oil prices and the stock market exercise a positive effect on the greek cpi in the long run cyclical components analysis suggests that oil prices exercise significant negative influence to the stock market in addition oil prices are negatively influencing cpi at a significant level however we find no effect of oil prices on industrial production and cpi finally no relationship can be documented between the industrial production and stock market for the greek market the findings of this study are of particular interest and importance to policy makers financial managers financial analysts and investors dealing with the greek economy and the greek stock market

put call parity and expected returns this study examines the hypothesis that in the presence of market frictions relative put and call prices contain information concerning future returns of the underlying asset a measure of relative prices is derived from the put call parity relationship for index options and applied to a three year sample of oex option transactions the results show that the measure of relative index option prices leads the stock market by at least 15 minutes

does oil move equity prices a global view many studies indicate that oil price shocks have an adverse effect on real output and hence an adverse effect on corporate profits where oil is used as a key input the present study examines whether and to what extent the adverse effect of oil price shocks impacts stock market returns to this end we analyse 35 datastream global industry indices for the period from april 1983 to september 2005 our findings indicate that oil price rises have a negative impact on equity returns for all sectors except mining and oil and gas industries generally these results are consistent with economic theory and evidence provided by previous empirical studies little evidence of any asymmetry is detected in the oil price sensitivities in light of our findings we recommend that international portfolio investors consider hedging oil price risk

on gender gaps and self fulfilling expectations alternative implications of paid for training i introduction the recent literature on gender differences in the labor market has focused mainly on two issues the first one deals with the mechanisms e g adverse selection that can amplify initial differences in preferences or productivity across genders leading to sizeable gender gaps in wages labor force participation or working hours these models help us understand to what extent changes in gender gaps have been due to changes in fundamentals including differences in the pattern of endogenous accumulation of human capital by men and women 1 the second one is related to the channels explaining persistence in gender gaps even when exogenous differences across the sexes are of little importance or even absent 2 these studies tend to rely upon the existence of incentive problems in the labor market e g moral hazard leading to self fulfilling prophecies about differences in gender roles without assuming any initial comparative advantages our paper falls into this second strand of the literature by considering an alternative mechanism based on statistical discrimination by firms in the provision of paid for training to male and female workers this yields multiplicity of equilibria in gender gaps even in the absence of moral hazard 3 the basic idea in models of gender gaps relying upon self fulfilling prophecies is that employers beliefs about women s lower attachment to the labor market lead to wage differentials in favor of men hence since women expect to face a lower expected opportunity cost they end up devoting more time to housework validating in this way firms beliefs for example albanesi and olivetti 2009 propose a model where firms are subject to incentive compatible constraints due to their imperfect monitoring of workers effort a moral hazard problem and of hours of housework an adverse selection problem as a result different types of labor contracts are offered to men and women in a similar vein lommerud and vagstad 2007 deal with a model where firms allocate workers to fast and slow track jobs the former requiring a fixed investment cost if women have traditionally exerted primary major responsibility at home and wages are non contractible they will predominantly follow a mommy track in equilibrium while incentive problems often used to derive additional predictions on the structure of wages to be confronted with the data provide a useful modeling device they could be somewhat restrictive for instance concerning the difficulty of perfectly monitoring effort pay gaps should be negligible for routine tasks performed by less skilled employees for whom effort and output should be easily observable yet even after removing differences in observable characteristics and in the overall wage dispersion there is evidence about substantial gender gaps in hourly wages in these categories see e g blau and kahn 2000 bassanini and saint martin 2008 de la rica et al 2008 our paper contributes to this literature by proposing a novel mechanism which does not rely on incentive problems we consider a two period model in which firms initially offer paid for training to workers taking as given the division of housework between spouses in the second period spouses decide on how to split the certain and uncertain parts of housework where the latter is captured by the realization of a shock affecting household tasks during this period e g unexpected need of housework or events that require parental leave etc both decisions interact because the housework decision determines whether a spouse works or quits after receiving training and the firm chooses the amount of training without observing the household s housework allocation statistical discrimination arises in this setup as a result of firms prior beliefs about which spouse is more likely to quit the job under the key assumptions that wages are predetermined with respect to housework shocks and that the household does not re optimize after the shock is revealed asymmetric beliefs will induce differences in the provision of training across spouses

volatility spillovers between oil prices and stock sector returns implications for portfolio management abstract in this article we take a recent generalized var garch approach to examine the extent of volatility transmission between oil and stock markets in europe and the united states at the sector level the empirical model is advantageous in that it typically allows simultaneous shock transmission in the conditional returns and volatilities insofar as volatility transmission across oil and stock sector markets is a crucial element for portfolio designs and risk management we also analyze the optimal weights and hedge ratios for oil stock portfolio holdings with respect to the results our findings point to the existence of significant volatility spillover between oil and sector stock returns however the spillover is usually unidirectional from oil markets to stock markets in europe but bidirectional in the united states our back testing procedures finally suggest that taking the cross market volatility spillovers estimated from the var garch models often leads to diversification benefits and hedging effectiveness better than those of commonly used multivariate volatility models such as the ccc garch of bollerslev 1990 the diagonal bekk garch of engle and kroner 1995 and the dcc garch of engle 2002

impact of the financial crisis on indian commodity markets structural breaks and volatility dynamics the shocks transmitted across the financial markets during the financial crisis resulted in structural changes in commodity volatility hence understanding volatility dynamics in changing scenario is vital for derivative pricing risk management and monetary policy stabilization this paper studies the impact of the financial crisis by analyzing the following aspects 1 presence of structural break regime shift in volatility by deploying markov and wavelet model during financial crisis and 2 crisis impact on volatility dynamic behavior such as persistence leverage and long memory by deploying hybrid wavelet egarch and fractional integration spot prices of 18 commodities were examined including all sub sectors of energy metals and agriculture indian commodity indices sub indices global benchmark indices and also stock indices such as sp agricultural commodities showed faster convergence to long run equilibrium while metal and energy experienced higher persistence and attracted more financial speculation the impact of the crisis on agricultural commodities was limited to internationally traded commodities such as sugar and rubber the common breaks and different volatility dynamics have been attributed to systematic risk and to idiosyncratic components respectively it was also found that during and after the crisis more than idiosyncratic risk it was systematic risk that contributed significantly to the volatility patterns of indian commodity markets

index investment and the financialization of commodities the authors found that concurrent with the rapidly growing index investment in commodity markets since the early 2000s prices of non energy commodity futures in the united states have become increasingly correlated with oil prices this trend has been significantly more pronounced for commodities in two popular commodity indices this finding reflects the financialization of the commodity markets and helps explain the large increase in the price volatility of non energy commodities around 2008

gender discrimination estimation in a search model with matching and bargaining this article develops a search model of the labor market with matching bargaining and employers taste discrimination in which under necessary but standard distributional assumption it is possible to separately identify gender discrimination and unobserved productivity differences the equilibrium shows that both prejudiced and unprejudiced employers wage discriminate maximum likelihood estimates on cps data indicate that half of the employers are prejudiced average female productivity is 6 5 lower and two third of the gender earning differential may be explained by prejudice an affirmative action policy is implemented resulting in a redistribution of welfare from men to women at no cost for employers welfare

mommy tracks and public policy on self fulfilling prophecies and gender gaps in hiring and promotion abstract consider a model with two types of jobs the profitability of hiring a worker to a fast track job depends not only on his or her observable talent but also on incontractible effort we investigate whether self fulfilling expectations may lead to higher hiring or promotion standards for women if employers expect women to do more household work than men thereby exerting less effort in their paid job then women must be more talented to make it profitable to hire them specialization in the family will then result in women doing most of the household work such self fulfilling prophecies can be defeated by affirmative action or family policy however it is unlikely that temporary policy can move the economy to a symmetric equilibrium policy must be made permanent anti discrimination policy need not enhance efficiency and from a distribution viewpoint this is a policy with both winners and losers

taxation and household labor supply we evaluate reforms to the u s tax system in a life cycle setup with heterogeneous married and single households and with an operative extensive margin in labor supply we restrict our model with observations on gender and skill premia labor force participation of married females across skill groups children and the structure of marital sorting we concentrate on two revenue neutral tax reforms a proportional income tax and a reform in which married individuals flle taxes separately separate flling our flndings indicate that tax reforms are accompanied by large increases in labor supply that difier across demographic groups with the bulk of the increase coming from married females under a proportional income tax reform married females account for more than 50 of the changes in hours across steady states while under separate flling reform married females account for all the change in hours

subject of degree and the gender wage differential evidence from the uk and germany abstract we show that controlling for subject of degree explains a significant part of the male female gender wage differential amongst graduates using data from the labour force surveys of the united kingdom and germany we find similar results in these two countries subject of degree explains about 2 4 higher wages of male over female graduates after controlling for age industry region part time and public sector employment this is a significant part between 8 and 20 of the overall male female gender wage gap and an even larger amount of the part explained by factors entered into wage equations at around 24 30 of the explained component

the effect of value line investment survey rank changes on common stock prices abstract the information content of value line investment survey rank changes is investigated the results suggest rank changes affect common stock prices but the effect varies by the type of rank change changes from rank 2 to rank 1 have the most dramatic impact on prices a cross sectional analysis finds small firms have a greater reaction to a rank change than larger firms which supports theories on the frequency of report arrival and precision of information a speed of adjustment test concludes the prices of individual securities adjust to the information in a rank change over a multiple day period

a new approach to measuring financial contagion this article proposes a new approach to evaluate contagion in financial markets our measure of contagion captures the coincidence of extreme return shocks across countries within a region and across regions we characterize the extent of contagion its economic significance and its determinants using a multinomial logistic regression model applying our approach to daily returns of emerging markets during the 1990s we find that contagion is predictable and depends on regional interest rates exchange rate changes and conditional stock return volatility evidence that contagion is stronger for extreme negative returns than for extreme positive returns is mixed

wti crude oil futures in portfolio diversification the time to maturity effect the aim of the paper is to analyze the diversification effect brought by crude oil futures contracts the most liquid commodity futures into a portfolio of stocks the studies that have documented the very low and essentially negative correlations between commodities and equities typically rely on normally distributed returns which is not the case for crude oil futures and stocks indexes moreover the particular time to maturity chosen for the future contract used as an investment vehicle is an important matter that needs to be addressed in presence of forward curves switching between backwardation and contango shapes our goal in this paper is twofold a we introduce copula functions to have a better representation of the dependence structure of oil futures with equity indexes b using this copula representation we are able to analyze in a precise manner the maturity effect in the choice of crude oil future contract with respect to its diversification benefits our finding is that in the case of distant maturities futures e g 18 months the negative correlation effect is more pronounced whether stock prices increase or decrease this property has the merit to avoid the hurdles of a frequent roll over while being quite desirable in the current trendless equity markets empirical evidence is exhibited on a database comprising the nymex wti crude oil futures and s p 500 index over a 15 year time period

the gender gap in early career wage growth in the uk the gender pay gap on entry to the labour market is approximately zero but ten years after labour market entry there is a gender wage gap of almost 25 log points this article explores the reason for this gender gap in early career wage growth considering three main hypotheses human capital job shopping and psychological theories human capital factors can explain about 11 log points job shopping about 1 5 log points and the psychological theories up to 4 5 log points depending on the specification but a substantial unexplained gap remains women who have continuous full time employment have had no children and express no desire to have them earn about 8 log points less than equivalent men after 10 years in the labour market

market efficiency and value line s record the value line investment record is frequently interpreted as evidence of market inefficiency this article reconciles the record with market efficiency as one implication of a model that assumes a semistrong form of market efficiency and autoregressive state variables which need not be identified in the model expected returns on assets depend on these state variables and can vary over time value line s rankings are assumed to reflect knowledge of these state variables the value line data are consistent with the model s implications suggesting the value line s rankings predict systematic marketwide factors the purported abnormal returns of positions based on value line s rankings are seen as compensation for the systematic risk associated with these positions copyright 1990 by the university of chicago

security price reactions to initial reviews of common stock by the value line investment survey this study examines daily price reactions to initial reviews of securities by the value line investment survey the reviews are found to convey information to the market as significant abnormal returns are found over a 3 day period around release of the information furthermore there is no statistically significant subsequent price reation after this 3 day period consistent with market efficiency

do energy prices stimulate food price volatility examining volatility transmission between us oil ethanol and corn markets this paper examines volatility transmission in oil ethanol and corn prices in the united states between 1997 and 2011 we follow a multivariate garch approach to evaluate the level of interdependence and the dynamics of volatility across these markets preliminary results indicate a higher interaction between ethanol and corn markets in recent years particularly after 2006 we only observe however significant volatility spillovers from corn to ethanol prices but not the converse we also do not find major cross volatility effects from oil to corn markets the results do not provide evidence of volatility in energy markets stimulating price volatility in grain markets

gender quotas and the quality of politicians we analyze the effects of the introduction of gender quotas in candidate lists on the quality of elected politicians as measured by the average number of years of education we consider an italian law which introduced gender quotas in local elections in 1993 and was abolished in 1995 as not all municipalities went through elections during this period we identify two groups of municipalities and use a difference in differences estimation we find that gender quotas are associated with an increase in the quality of elected politicians with the effect ranging from 0 12 to 0 24 years of education this effect is due not only to the higher number of elected women who are on average more educated than men but also to the lower number of low educated elected men the positive effect on quality is confirmed when we measure the latter with alternative indicators it persists in the long run and it is robust to controlling for political ideology and political competition

volatility persistence and stock valuations some empirical evidence using garch summary in this paper issues of volatility persistence and the changing risk premium in the stock market are investigated using the garch estimation technique we get a point estimate of the index of relative risk aversion of 4 5 and confirm the existence of changing equity premiums in the us during 1962 1985 the persistence of shocks to the stock return volatility is so high that the data cannot reject a non stationary volatility process specification the results of this paper are consistent with malkiel and pindyck s hypothesis that it is the unforseen rise ini the investment uncertainty during 1974 that causes the market to plunge

the value line enigma extended an examination of the performance of option recommendations the authors extend the research on the value line enigma by examining the performance of call recommendations in value line options d galai s hedge decomposition procedure identifies the components of the calls returns abnormal call returns were most pronounced immediately following the purchase which is consistent with studies of value line s stock rankings the largest and most significant abnormal performance was by calls assigned the highest rank written on stocks judged by value line to be correctly priced abnormal call return performance by joint call and stock ranks was consistent with hypothesis that value line identifies underpriced call options copyright 1993 by university of chicago press

macro determinants of volatility and volatility spillover in energy markets abstract we analyze the time varying volatility and spillover effects in crude oil heating oil and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather related events into the conditional variance equations we allow asymmetric responses to random disturbances in each market as well as to good and bad economic news related to the overall economy results show the presence of asymmetric effects in both random disturbances and macroeconomic variables a bidirectional volatility spillover effect is found between natural gas and crude oil and between the natural gas and heating oil markets crude oil volatility is found to increase following major political financial and natural events seasonality and day of the week effects are found in the crude oil and heating oil markets

a multivariate garch model of international transmissions of stock returns and volatility the case of the united states and canada this study examines the short run dynamics of returns and volatility for stocks traded on the new york and toronto stock exchanges the main finding is that inferences about the magnitude and persistence of return innovations that originate in either market and that transmit to the other market depend importantly on how the cross market dynamics in volatility are modeled moreover much weaker cross market dynamics in returns and volatility prevail during later subperiods and especially for canadian stocks with shares dually listed in new york implications for international asset pricing hedging strategies and regulatory policy are discussed

relationships between oil price shocks and stock market an empirical analysis from china this paper investigates the interactive relationships between oil price shocks and chinese stock market using multivariate vector auto regression oil price shocks do not show statistically significant impact on the real stock returns of most chinese stock market indices except for manufacturing index and some oil companies some important oil price shocks depress oil company stock prices increase in oil volatility may increase the speculations in mining index and petrochemicals index which raise their stock returns both the world oil price shocks and china oil price shocks can explain much more than interest rates for manufacturing index

u s stock returns and oil prices the tale from daily data and the 2008 2009 financial crisis abstract using daily data from january 1999 to december 2011 we examine u s stock returns s p 500 dow jones nasdaq and russell 2000 based on a wide range of information including equity vix volatility inflation expectations interest rates gold prices and the usd euro exchange rate the focus is on oil price returns which have been previously found to exert mostly negative effects on u s stock returns identifying the crisis of 2008 2009 as a significant period of economic contraction and subsequent recovery we check the stability of the stock oil relationship by garch and mgarch dcc models prior to the financial crisis stock returns are slightly negatively affected by oil prices and by the usd euro for the subsample of mid 2009 onwards however stock returns are positively affected by oil prices and a weaker usd euro as with inflation expectations we interpret these findings as u s stocks responding positively to expectations of recovery worldwide our proposed explanation is due to the changing correlation between stock markets and oil either by standard garch models or by mgarch dcc models allowing the implied correlation to vary over time

volatility transmission and volatility impulse response functions in crude oil markets abstract using daily data from july 2005 to february 2011 for wti dubai and brent futures contracts we employ a var bekk model to investigate crude oil markets integration on the second moment we also quantify the size and persistence of these connections through the analysis of volatility impulse response functions virf for two historical shocks namely the 2008 financial crisis and the bp deepwater horizon oil spill we observe that brent and dubai crude are highly responsive to market shocks whereas wti crude shows the least responsiveness of the three benchmarks which creates questions about its predominance as a benchmark crude oil furthermore we fit the density of the virf at different forecast horizons these fitted distributions are asymmetric showing that the probability of observing a large impact of a shock is lower while the probability of a relatively smaller impact is much higher finally we simulate the virf for a given probability of a random shock the virf shows that only a large shock derived from a smaller probability will result in an increase in expected conditional volatilities these results provide useful insights into the volatility transmission mechanism in crude oil markets and their associated risk estimation and may have significant implications for various market participants and regulators

oil prices and financial stress a volatility spillover analysis this paper examines whether there is a volatility transmission between oil prices and financial stress by means of the volatility spillover test we employ wti crude oil prices and cleveland financial stress index for the period 1991 2014 and divide the sample into pre crisis in crisis and post crisis periods due to the downward trend in oil price in 2008 the volatility model estimations indicate that oil prices and financial stress index are dominated by long run volatility the volatility spillover causality test supports evidence on risk transfer from oil prices to financial stress before the crisis and from financial stress to oil prices after the crisis the impulse response analysis shows that the volatility transmission pattern has similar dynamics before and after the crisis and is characterized by higher and long lived effects during the crisis our results have implications for both policy makers and investors and for future work

dynamic correlation analysis of financial contagion evidence from asian markets we apply a dynamic conditional correlation model to nine asian daily stock return data series from 1990 to 2003 the empirical evidence confirms a contagion effect by analyzing the correlation coefficient series we identify two phases of the asian crisis the first shows an increase in correlation contagion the second shows a continued high correlation herding statistical analysis of the correlation coefficients also finds a shift in variance during the crisis period casting doubt on the benefit of international portfolio diversification evidence shows that international sovereign credit rating agencies play a significant role in shaping the structure of dynamic correlations in the asian markets

will affirmative action policies eliminate negative stereotypes a key question concerning affirmative action is whether the labor market gains it brings to minorities can continue without it becoming a permanent fixture in the labor market the authors argue that this depends on how the policy affects employers beliefs about the productivity of minority workers they study the joint determination of employer beliefs and worker productivity in a model of statistical discrimination in job assignments the authors prove that even when identifiable groups are equally endowed ex ante affirmative action can bring about a situation in which employers correctly perceive the groups to be unequally productive ex post copyright 1993 by american economic association

a note on testing an aggressive investment strategy using value line ranks one of the better known investment advisory services is the value line investment survey an unresolved debate has been in progress in the literature for a decade as to whether the performance of the value line investment service is inconsistent with the efficient market hypothesis for example black 2 states that the vl system can produce extra returns even when transaction costs are considered but he does not report his exact test procedure or any quantitative results of his study on the other hand kaplan and weil 10 11 do not believe that vl can generate abnormal returns we shall show in the following sections that the vl system represents a borderline case when transaction costs are neglected abnormal returns are obtained when realistic transaction costs are used active trading according to vl recommendations does not yield abnormal returns for a buy and hold policy however vl recommendations do yield abnormal returns even when transaction costs are considered

systemic risk and international portfolio choice returns on international equities are characterized by jumps moreover these jumps tend to occur at the same time across countries leading to systemic risk we capture these stylized facts using a multivariate system ofjump diffusion processes where the arrival of jumps is simultaneous across assets we then determine an investor s optimal portfolio for this model of returns systemic risk has two effects one it reduces the gains from diversification and two it penalizes investors for holding levered positions we find that the loss resulting from diminished diversification is small while that from holding very highly levered positions is large returns on international equities are characterized by jumps 1 moreover these jumps tend to occur at the same time across countries implying that conditional correlations between international equity returns tend to be higher in periods of high market volatility or following large downside moves 2 our objective in

why do firms train theory and evidence this paper offers a theory of training whereby workers do not pay for the general training they receive the superior information of the current employer regarding its employees abilities relative to other firms creates ex post monopsony power and encourages this employer to provide and pay for training even if these skills are general the model can lead to multiple equlibria in one equilibrium quits are endogenously high and as a result employers have limited monopsony power and provide little training while in another equilibrium quits are low and training is high using microdata on german apprentices we show that the predictions of our model receive some support from the data

understanding different migrant selection patterns in rural and urban mexico abstract the productive characteristics of migrating individuals emigrant selection affect welfare the empirical estimation of the degree of selection suffers from a lack of complete and nationally representative data this paper uses a dataset that addresses both issues the enet mexican labor survey which identifies emigrants right before they leave and allows a direct comparison to non migrants this dataset presents a relevant dichotomy it shows negative selection for urban mexican emigrants to the united states for the period 2000 2004 together with positive selection in mexican emigration out of rural mexico to the united states in the same period three theories that could explain this dichotomy are tested whereas higher skill prices in mexico than in the us are enough to explain half of the negative selection result in urban mexico its combination with network effects and wealth constraints fully accounts for positive selection in rural mexico

on the origins of gender roles women and the plough the study examines the historical origins of existing cross cultural differences in beliefs and values regarding the appropriate role of women in society we test the hypothesis that traditional agricultural practices influenced the historical gender division of labor and the evolution of gender norms we find that consistent with existing hypotheses the descendants of societies that traditionally practiced plough agriculture today have less equal gender norms measured using reported gender role attitudes and female participation in the workplace politics and entrepreneurial activities our results hold looking across countries across districts within countries and across ethnicities within districts to test for the importance of cultural persistence we examine the children of immigrants living in europe and the united states we find that even among these individuals all born and raised in the same country those with a heritage of traditional plough use exhibit less equal beliefs about gender roles today jel codes d03 j16 n30 copyright 2013 oxford university press

performance replication of the spot energy index with optimal equity portfolio selection evidence from the uk us and brazilian markets abstract this paper reproduces the performance of a geometric average spot energy index by investing only in a subset of stocks from the dow jones composite average the ftse 100 and bovespa composite indexes and in two pools that include only energy sector stocks from the us and the uk respectively daily data are used and the index tracking problem for passive investment is addressed with two evolutionary algorithms the differential evolution algorithm and the genetic algorithm the performance of the suggested investment strategy is tested under three different scenarios buy and hold quarterly and monthly rebalancing accounting for transaction costs where necessary

human capital true love and gender roles is sex destiny abstract we assume optimal specialization in the nuclear family involves one partner doing homework and the other wagework basic human capital for one or the other is imparted to individuals through early childhood training mates are chosen on the basis of noneconomic criteria true love because love strikes randomly after basic human capital is acquired a coordination problem arises in choosing complementary specializations even with no discrimination there exist equilibria characterized by gender roles perfect correlation between sex and family roles there may also exist other equilibria in which the correlation between sex and family roles is imperfect and individuals are trained by aptitude we rank the equilibria when they coexist and demonstrate that affirmative action policies can increase average welfare by eliminating some equilibria the analysis is conducted in a framework which characterizes individuals by training by aptitude and by family role in a 2 2 2 model in this framework we formalize the equality of the sexes as well as the relative importance of nature versus nurture and various types of training

estimating a dynamic adverse selection model labour force experience and the changing gender earnings gap 1968 1997 this paper addresses two questions what accounts for the gender gap in labour market outcomes what are the driving forces behind the changes in the gender labour market outcomes over the period 1968 1997 it formulates a dynamic general equilibrium model of labour supply occupational sorting and human capital accumulation in which gender discrimination and an earnings gap arise endogenously it uses this model to quantify the driving forces behind the decline in the gender earnings gap and the increase in female labour force participation the proportion of women working in professional occupations and hours worked it finds that labour market experience is the most important factor explaining the gender earnings gap in addition statistical discrimination accounts for a large fraction of the observed gender earnings gap and its decline it also finds that a large increase in aggregate productivity in professional occupations plays a major role in the increase in female labourforce participation number of hours worked and the proportion of females working in professional occupations although of less importance demographic changes account for a substantial part of the increase in female labour force participation and hours worked whereas home production technology shocks do not

racial discrimination in labor markets with posted wage offers we analyze race discrimination in labor markets in which wage offers are posted if employers with job vacancies receive multiple applicants they choose the most qualified but may choose arbitrarily among equally qualified applicants in the model firms post wages workers choose where to apply and firms decide which workers to hire labor market frictions greatly amplify racial disparities so mild discriminatory tastes or small productivity differences can produce large wage differentials between the races compared with the nondiscriminatory equilibrium the discriminatory equilibrium features lower net output lower wages for both white and black workers and greater profits for firms this abstract was borrowed from another version of this item

the sensitivity of an empirical model of married women s hours of work to economic and statistical assumptions this study undertakes a systematic analysis of several theoretic and statistical assumption s used in many empirical models of female labor supply using a singl e data set psid 1975 labor supply data the author is able to replic ate most of the range of estimated income and substitution effects fo und in previous studies in this field he undertakes extensive specif ication tests and finds that most of this range should be rejected du e to statistical and model misspecifications the two most important assumptions appear to be the tobit assumption used to control for sel f selection into the labor force and exogeneity assumptions on the wi fe s wage rate and her labor market experience copyright 1987 by the econometric society

oil price shocks and stock markets in the u s and 13 european countries abstract oil price shocks have a statistically significant impact on real stock returns contemporaneously and or within the following month in the u s and 13 european countries over 1986 1 2005 12 norway as an oil exporter shows a statistically significantly positive response of real stock returns to an oil price increase the median result from variance decomposition analysis is that oil price shocks account for a statistically significant 6 of the volatility in real stock returns for many european countries but not for the u s increased volatility of oil prices significantly depresses real stock returns the contribution of oil price shocks to variability in real stock returns in the u s and most other countries is greater than that of interest rate an increase in real oil price is associated with a significant increase in the short term interest rate in the u s and eight out of 13 european countries within one or two months counter to findings for the u s and for norway there is little evidence of asymmetric effects on real stock returns of positive and negative oil price shocks for oil importing european countries

dynamic spillovers between oil and stock markets in the gulf cooperation council countries this article exploits a new spillover directional measure proposed by diebold and yilmaz 2009 2012 to investigate the dynamic spillover of return and volatility between oil and equities in the gulf cooperation council countries during the period 2004 to 2012 our results indicate that return and volatility transmissions are bi directional albeit asymmetric in particular the oil market gives other markets more than it receives in terms of both returns and volatilities these trends were more pronounced in the aftermath of the global financial crisis in 2008 as the net contribution of oil has intensified after a burst during the crisis the empirical evidence from the sample is consistent with a system in which oil is playing the dominant role in the information transmission mechanism between oil and equities in the gcc countries

risk spillovers in oil related cds stock and credit markets abstract this paper examines risk transmission and migration among six us measures of credit and market risk during the full period 2004 2011 period and the 2009 2011 recovery subperiod with a focus on four sectors related to the highly volatile oil price there are more long run equilibrium risk relationships and short run causal relationships among the four oil related credit default swaps cds indexes the expected equity volatility vix index and the swaption expected volatility smove index for the full period than for the recovery subperiod the auto sector cds spread is the most error correcting in the long run and also leads in the risk discovery process in the short run on the other hand the cds spread of the highly regulated natural monopoly utility sector does not error correct the four oil related cds spread indexes are responsive to vix in the short and long run while no index is sensitive to smove which in turn unilaterally assembles risk migration from vix the 2007 2008 great recession seems to have led to localization and less migration of credit and market risk in the oil related sectors

crude oil and stock markets stability instability and bubbles abstract we analyze the long run relationship between the world price of crude oil and international stock markets over 1971 1 2008 3 using a cointegrated vector error correction model with additional regressors allowing for endogenously identified breaks in the cointegrating and error correction matrices we find evidence for breaks after 1980 5 1988 1 and 1999 9 there is a clear long run relationship between these series for six oecd countries for 1971 1 1980 5 and 1988 2 1999 9 suggesting that stock market indices respond negatively to increases in the oil price in the long run during 1980 6 1988 1 we find relationships that are not statistically significantly different from either zero or from the relationships of the previous period the expected negative long run relationship appears to disintegrate after 1999 9 this finding supports a conjecture of change in the relationship between real oil price and real stock prices in the last decade compared to earlier years which may suggest the presence of several stock market bubbles and or oil price bubbles since the turn of the century

taxing women a macroeconomic analysis based on well known evidence on labor supply elasticities several authors have concluded that women should be taxed at lower rates than men we evaluate the quantitative implications and merits of this proposition relative to the current system of taxation setting a proportional tax rate on married females equal to 4 8 increases output and married female labor force participation by about 3 9 3 4 and 6 9 4 0 respectively gender based taxes improve welfare and are preferred by a majority of households nevertheless welfare gains are higher when the u s tax system is replaced by a proportional gender neutral income tax 2011 published by elsevier b v

investment in new power generation under uncertainty benefits of chp vs condensing plants in a copula based analysis abstract in this paper we apply a spread based real options approach to analyze the decision making problem of an investor who has the choice between an irreversible investment in a condensing power plant without heat utilization and a plant with combined heat and power chp generation our investigation focuses on large scale fossil fueled generation technologies and is based on a stochastic model that uses copula functions to provide the input parameters of the real options model we define the aggregated annual spread as assessment criteria for our investigation since it contains all relevant volatile input parameters that have an impact on the evaluation of investment decisions we show that the specific characteristics of chp plants such as additional revenues from heat sales promotion schemes specific operational features and a beneficial allocation of co 2 allowances have a significant impact on the option value and therefore on the optimal timing for investment for the two fossil fueled chp technologies investigated combined cycle gas turbine and steam turbine we conclude from our analysis that a high share of chp generation reduces the risk exposure for the investor the maximal possible chp generation depends significantly on the local heat demand in the surroundings of the power plant considering this the size of the heat sink available could gain more relevance in the future selection process of sites for new large scale fossil power plants

transactions data tests of efficiency of the chicago board options exchange abstract this paper performs lower boundary condition tests based on rational pricing of call options and an implied standard deviation test based on the bid ask prices of options these efficiency tests attempt to closely approximate conditions in the option markets to avoid the pitfalls indicated by phillips and smith 1980 the tests use transactions data and account for the effects of stock and option bid ask prices simultaneity of stock and option prices depth of market execution lag and transaction costs the small and relatively infrequent profits due to market mispricing disappear in the lower boundary tests when transaction costs are taken into account frequent violations of the tighter boundary conditions in the implied standard deviation test are reported but the estimated profits cannot be unambiguously attributed to option market inefficiency

do higher oil prices push the stock market into bear territory this paper investigates whether a higher oil price pushes the stock market into bear territory by using time varying transition probability markov switching models it examines different measures of oil price shocks empirical evidence from monthly returns on the standard poor s s p 500 price index suggests that an increase in oil prices leads to a higher probability of a bear market emerging

a general equilibrium model of statistical discrimination we study a general equilibrium model with endogenous human capital formation in which ex ante identical groups may be treated asymmetrically in equilibrium the interaction between an informational externality and general equilibrium effects creates incentives for groups to specialize discrimination may arise even if the corresponding model with a single group has a unique equilibrium the dominant group gains from discrimination rationalizing why a majority may be reluctant to eliminate discrimination the model is also consistent with reverse discrimination as a remedy against discrimination since it may be necessary to decrease the welfare of the dominant group to achieve parity

male female wage differentials in job ladders much of the male female wage differential exists because men and women are assigned to different jobs within narrow job categories there is no male female differential only a tortured taste theory of discrimination can reconcile these facts we argue that differential movement along job ladders entails comparative advantage so the ability standard for promotion is higher for women this implies that more able women will be passed over in favor of less able men women assumed to have the same ability distribution as men earn less the differential reflects females lower promotion probability not within job discrimination

volatility spillover between oil and agricultural commodity markets abstract this study examines volatility transmission between oil and selected agricultural commodity prices wheat corn soybeans and sugar we apply the newly developed causality in variance test and impulse response functions to daily data from 01 january 1986 to 21 march 2011 in order to identify the impact of the food price crisis the data are divided into two sub periods the pre crisis period 01 january 1986 to 31 december 2005 and the post crisis period 01 january 2006 21 march 2011 the variance causality test shows that while there is no risk transmission between oil and agricultural commodity markets in the pre crisis period oil market volatility spills on the agricultural markets with the exception of sugar in the post crisis period the impulse response analysis also indicates that a shock to oil price volatility is transmitted to agricultural markets only in the post crisis period this paper thereby shows that the dynamics of volatility transmission changes significantly following the food price crisis after the crisis risk transmission emerges as another dimension of the dynamic interrelationships between energy and agricultural markets

affirmative action in a competitive economy abstract we consider a model of endogenous human capital formation with competitively determined wages discrimination is sustainable in equilibrium in the presence of two distinguishable but ex ante identical groups of workers an affirmative action policy consisting of a quota may fail in the sense that there still may be equilibria where groups are treated differently however the incentives to invest for agents in the discriminated group are improved by affirmative action if the initial equilibrium is the most discriminatory equilibrium in the model without the policy the welfare effects are ambiguous it is possible that the policy makes the intended beneficiaries worse off even if the starting point is the most discriminatory equilibrium the expected payoff may decrease for all agents in the target group

how do crude oil prices co move a copula approach abstract this paper examines the dependence structure between crude oil benchmark prices using copulas by considering several copula models with different conditional dependence structures and time varying dependence parameters we find evidence of significant symmetric upper and lower tail dependence between crude oil prices these findings suggest that crude oil prices are linked with the same intensity during bull and bear markets thus supporting the hypothesis that the oil market is one great pool in contrast with the hypothesis that states that the oil market is regionalized our findings on crude oil price co movements also have implications for risk management hedging strategies and asset pricing

options short sales and market completeness this paper presents empirical evidence that trading in options contributes to both transactional and informational efficiency of the stock market by reducing the effect of constraints on short sales the significantly higher average level of short interest exhibited by optionable stocks supports the argument that options facilitate short selling we also find significant effects on option prices related to the short interest in the underlying stock we then present evidence that options also increase information efficiency earlier work that is replicated and extended here has suggested that short sale constraints cause stock prices to underweight negative information options appear to reduce that effect

eurozone sovereign contagion evidence from the cds market 2005 2010 abstract this paper analyses the dynamics of the credit default swap cds market of piigs france germany and the uk for the period of 2005 2010 the study is performed on the basis of the datastream and dtcc data on cds spreads and the bis data on cross border exposures the analysis of the data shows that sovereign risk mainly concentrates in the eu countries the ewma correlation analysis and the granger causality test demonstrate that there was contagion effect since correlations and cross county interdependencies increased already after august 2007 furthermore the irf analysis shows that among piigs the cds markets of spain and ireland have the biggest impact on the european cds market whereas the cds market of the uk does not cause a big distress in the eurozone the adjusted correlation analysis confirms that greece and other piigs even spain and italy have lower capacity to trigger contagion than core eu countries besides portugal is the most vulnerable country in the sample whereas the uk is the most immune to shocks

the components of the return from hedging options against stocks in a previous paper galai 1977 i estimated the profits that could have been made by following a hedging strategy which consisted of a position in an option traded on the chicago board options exchange cboe and an offsetting position in a fraction of a share of the underlying stock the paper concluded that 1 the trading strategies based on the black scholes model black and scholes 1973 perform well in tests of the ex post hedge return 2 the market did not seem perfectly efficient to market makers the ex ante returns while usually statistically significant show a strong tendency to be positive p 195 in this article the profits from the hedging i strategies with options are further analyzed the returns are decomposed to a few components in order to achieve a better understanding and additional insight into their character two main factors will be shown to combine to give the hedge return the profits or losses from discrete ad

gender discrimination without gender difference theory and policy responses abstract this paper provides an explanation for the continued existence of gender discrimination in competitive labour markets and analyzes the effects of policies designed to alleviate it unlike previous explanations of gender discrimination this theory arises from the interaction between women and men within the household and does not rely on inherent asymmetries between women and men even though discrimination is seen to be related to factors which can be thought external to the labour market such as higher job turnover and labour market exit rates for women policies which target only labour market outcomes and do not deal with external factors can both lead to reduced discrimination and also alter external factors thereby reducing discrimination further however policies aimed at external factors will in general be less effective in reducing discrimination unless combined with more direct policies

do structural oil market shocks affect stock prices abstract this paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock market returns in a sample of eight countries australia canada france germany italy japan the united kingdom and the united states for each country the analysis proceeds in two steps first modifying the procedure of kilian kilian l forthcoming not all oil price shocks are alike disentangling demand and supply shocks in the crude oil market american economic review we employ a vector error correction or vector autoregressive model to decompose oil price changes into three components oil supply shocks global aggregate demand shocks and global oil demand shocks the last component relates to specific idiosyncratic features of the oil market such as changes in the precautionary demand concerning the uncertainty about the availability of future oil supplies second recovering the oil supply shocks global aggregate demand shocks and global oil demand shocks from the first analysis we then employ a vector autoregressive model to determine the effects of these structural shocks on the stock market returns in our sample of eight countries we find that international stock market returns do not respond in a large way to oil market shocks that is the significant effects that exist prove small in magnitude