the forecasting ability of correlations implied in foreign exchange options abstract this paper evaluates the forecasting accuracy of correlations derived from implied volatilities in dollar mark dollar yen and mark yen options from january 1989 to may 1995 as a forecast of realized correlation between the dollar mark and dollar yen implied correlation is compared against three alternative forecasts based on time series data historical correlation riskmetrics exponentially weighted moving average correlation and correlation estimated using a bivariate garch 1 1 model at the 1 month and 3 month forecast horizons we find that implied correlation outperforms often significantly these alternative forecasts in combinations implied correlation always incrementally improves the performance of other forecasts but not the converse in certain cases historically based forecasts contribute no incremental information to implied forecasts the superiority of the implied correlation forecast holds even when forecast errors are weighted by realized variances reflecting correlation s contribution to the dollar variance of a multicurrency portfolio

income inequality in france 1901 1998 this paper uses data from income tax returns 1915 98 wage tax returns 1919 98 and inheritance tax returns 1902 94 in order to compute homogeneous yearly estimates of income wage and wealth inequality for twentieth century france the main conclusion is that the decline in income inequality that took place during the first half of the century was mostly accidental in france and possibly in a number of other countries as well wage inequality has been extremely stable in the long run and the secular decline in income inequality is for the most part a capital income phenomenon holders of large fortunes were badly hurt by major shocks during the 1914 45 period and they were never able to fully recover from these shocks probably because of the dynamic effects of progressive taxation on capital accumulation and pretax income inequality

top income shares in the long run an overview this paper offers an overview of what we have learned from a collective research project on income distribution in the long run using historical income tax statistics and a common methodology we have constructed annual top income shares series often broken down by income source for over 20 countries covering most of the 20th century one important con clusion is that the decline in income inequality that took place during the first half of the 20th century was mostly accidental and does not seem to have much to do with a kuznets type process top capital incomes were hit by major shocks during the 1914 1945 period and were never able to fully recover from these shocks probably because of the dynamic impact of pro gressive income and estate taxation our database also allows us to readdress the cross country analysis of the interplay between inequality and growth with better prospects than with standard databases jel d31

how important is the term structure in implied volatility surface modeling evidence from foreign exchange options we claim that previously proposed parametric specifications that linearly approximate the term structure of the implied volatility surface ivs in option prices fail to capture important information regarding the expectations of market participants this paper proposes a parametric specification for describing the ivs that allows flexible modeling of the term structure through a nelson and siegel 1987 factorization recently proposed by diebold and li 2006 in the context of yield curve modeling the specification is tested on implied volatilities from the over the counter foreign exchange options market where contracts with long expiries are actively traded and thus the term structure dimension of the surface should be very important we first show that the proposed volatility specification can consistently and remarkably improve our ability to describe the surface on any given day we then establish the economic relevance of the incremental information captured by our proposed specification by showing that it can produce more accurate forecasts of implied volatility that can support long term profitable trading strategies in the absence of transaction costs

the term structure of volatility implied by foreign exchange options this paper illustrates regression and kalman filtering methods for estimating the time varying term structure of volatility expectations revealed by options prices short and long term expectations are estimated for four currencies using daily phlx options prices from 1985 to 1989 throughout this period there were important differences between shortand long term expectations the slope of the term structure changed frequently and there were significant variations in long term volatility expectations the expectation estimates can be used to value otc options to improve hedging strategies and to test the hypothesis that the options market overreacts

the evolution of high incomes in northern america lessons from canadian evidence this paper uses tax statistics to construct new series on canadian top income shares from 1920 to 2000 and provides a systematic comparison with the u s experience as in the united states top income shares in canada display a ushaped pattern over the century with a precipitous drop during world war ii followed by a slower decline until 1970 since the late 1970s top income shares have been increasing dramatically and the very top shares are now as high as in the pre war era as in the united states the recent increase in top income shares is the consequence of a surge in top wages and salaries the canadian experience since the late 1970s does not appear to be well explained by tax changes suggesting that the upward trend in canada derives from the united states perhaps because many high income canadians have an emigration option this in turn suggests that the recent increase in u s personal income top shares is not merely a change in tax reporting behavior the recent sharp increase in top income shares in canada is of the same magnitude at the individual and family level and is not due to an increase in income mobility

the long run determinants of inequality what can we learn from top income data this paper studies determinants of income inequality using a newly assembled panel of 16 countries over the entire twentieth century we focus on three groups of income earners the rich p99 100

the volatility risk premium embedded in currency options this study employs a non parametric approach to investigate the volatility risk premium in the over the counter currency option market using a large database of daily delta neutral straddle quotes in four major currencies the british pound the euro the japanese yen and the swiss franc we find that volatility risk is priced in all four currencies across different option maturities we find that the volatility risk premium is negative with the premium decreasing in maturity finally we also find evidence that jump risk may be priced in the currency option market

wages and human capital in the u s financial industry 1909 2006 we study the allocation and compensation of human capital in the u s finance industry over the past century across time space and subsectors we find that financial deregulation is associated with skill intensity job complexity and high wages for finance employees all three measures are high before 1935 and after 1980 but not in the interim period workers in the finance industry earn the same education adjusted wages as other workers until 1990 and significantly more afterward by 2006 the premium is 40 on average and 200 for top earners and ceos earnings risk and firm size effects account for some of the premium but the majority does not appear to be sustainable

the informational content of implied volatility implied volatility is widely believed to be informationally superior to historical volatility because it is the markets forecast of future volatility but for s p 100 index options the most actively traded contract in the united states we find implied volatility in aggregate and across subsamples separated by maturity and strike price implied volatility has virtually no correlation with future volatility and it does not incorporate the information contained in recent observed volatility article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

levels and trends in u s income and its distribution a crosswalk from market income towards a comprehensive haig simons income approach recent research on u s levels and trends in income inequality varies substantially based on how these studies measure income we crosswalk move between standards from a market income of tax units to a more comprehensive measure of income including realized capital gains of households using a unified data set and replicate common findings in the literature by using a comprehensive income definition in the spirit of haig simons considering yearly accrued capital gains rather than focusing on the delayed reporting of capital gains that appear in internal revenue service tax return data the observed growth in income inequality and top income shares since 1989 is dramatically reduced

earnings inequality and mobility in the united states evidence from social security data since 1937 this paper uses social security administration longitudinal earnings micro data since 1937 to analyze the evolution of inequality and mobility in the united states annual earnings inequality is u shaped decreasing sharply up to 1953 and increasing steadily afterward short term earnings mobility measures are stable over the full period except for a temporary surge during world war ii virtually all of the increase in the variance in annual log earnings since 1970 is due to increase in the variance of permanent earnings as opposed to transitory earnings mobility at the top of the earnings distribution is stable and has not mitigated the dramatic increase in annual earnings concentration since the 1970s long term mobility among all workers has increased since the 1950s but has slightly declined among men the decrease in the gender earnings gap and the resulting substantial increase in upward mobility over a lifetime for women are the driving force behind the increase in long term mobility among all workers

cross country evidence on the distributional impact of fiscal policy abstractthis article provides new evidence on the distributional effects of fiscal policy using data on a panel of oecd economies over the last four decades we study how four measures of income in

top incomes and the measurement of inequality in egypt by all accounts income inequality in egypt is low and had been declining during the decade that preceded the 2011 revolution as the egyptian revolution was partly motivated by claims of social injustice and inequalities this seems at odds with a low level of income inequality moreover while income inequality shows a decline between 2000 and 2009 the world values surveys indicate that the aversion to inequality has significantly increased during the same period and for all social groups this paper utilizes a range of recently developed statistical techniques to assess the true value of income inequality in the presence of a range of possible measurement issues related to top incomes including item and unit non response outliers and extreme observations and atypical top income distributions the analysis finds that correcting for unit non response significantly increases the estimate of inequality by just over 1 percentage point that the egyptian distribution of top incomes follows rather closely the pareto distribution and that the inverted pareto coefficient is located around median values when compared with 418 household surveys worldwide hence income inequality in egypt is confirmed to be low while the distribution of top incomes is not atypical compared with what pareto had predicted and compared with other countries in the world this would suggest that the increased frustration with income inequality voiced by egyptians and measured by the world values surveys is driven by factors other than income inequality

using option prices to estimate realignment probabilities in the european monetary system the case of sterling mark abstract this paper describes a procedure for estimating the market s perceived probability distribution of future exchange rates from the prices of risk reversals strangles and other currency options and uses the procedure to estimate the risk neutral ex ante probability of a realignment of the pound sterling the procedure for estimating the realignment probabilities relies on the jump diffusion model of exchange rate behavior and the resulting option pricing formula by fitting this model to market option price data i retrieve the unobserved parameters of the jump diffusion process i then use these parameter estimates to estimate the ex ante probability distribution of exchange rates and thus the realignment probabilities

arbitrage based tests of target zone credibility evidence from erm cross rate options this paper introduces two arbitrage based tests of target zone credibility using a new data source exchange rate mechanism cross rate options using daily option prices from september 1991 to august 1994 the authors assess the credibility of the pound mark and mark lira target zones that collapsed in september 1992 and the ongoing mark french franc target zone these tests are based on restrictions that must apply to all option prices within a credible target zone and are free from specification error and estimation error the authors also identify a minimum intensity of realignment an expression indicating the probability weighted average realignment size copyright 1996 by american economic association

a theoretical foundation for the undercut proof equilibrium abstract this paper develops a theoretical foundation for the undercut proof equilibrium see shy 1996 shy 2002 morgan and shy 2015 in a general spatial setting the set of undercut proof prices is equivalent to the core of a non transferable utility coalitional game played on the set of outcomes that are feasible in bertrand competition the result depends critically on two conditions first firms must have unlimited capacity and constant marginal costs second the goods produced by firms must only be differentiated by the spatial characteristics of the market an application to network markets shows how the undercut proof equilibrium can be used to describe stable price dispersion and persistent performance differences

top incomes in sweden over three quarters of a century a micro data approach this paper aims to throw light on the development of top incomes in sweden as well as the causes for change using household income data we show that since the first half of the 1980s real income at the top of the distribution has developed more favourably than for other groups this contrasts with the changes which occurred prior to the 1980s reasons for the rise in the top income share are several the development of stock prices tax reforms and the labour market change of top wages increasing more rapidly than others

on the long run evolution of inheritance france 1820 2050 this paper attempts to document and account for the long run evolution of inheritance we find that in a country like france the annual flow of inheritance was about 20 25 of national income between 1820 and 1910 down to less than 5 in 1950 and back up to about 15 by 2010 a simple theoretical model of wealth accumulation growth and inheritance can fully account for the observed u shaped pattern and levels using this model we find that under plausible assumptions the annual bequest flow might reach about 20 25 of national income by 2050 this corresponds to a capitalized bequest share in total wealth accumulation well above 100 our findings illustrate the fact that when the growth rate g is small and when the rate of return to private wealth r is permanently and substantially larger than the growth rate say r 4 5 vs g 1 2 which was the case in the 19th century and early 20th century and is likely to happen again in the 21st century then past wealth and inheritance are bound to play a key role for aggregate wealth accumulation and the structure of lifetime inequality contrarily to a widely spread view modern economic growth did not kill inheritance

the polarization of the u s labor market this paper analyzes a marked change in the evolution of the u s wage structure over the past fifteen years divergent trends in upper tail 90 50 and lower tail 50 10 wage inequality we document that wage inequality in the top half of distribution has displayed an unchecked and rather smooth secular rise for the last 25 years since 1980 wage inequality in the bottom half of the distribution also grew rapidly from 1979 to 1987 but it has ceased growing and for some measures actually narrowed since the late 1980s furthermore we find that occupational employment growth shifted from monotonically increasing in wages education in the 1980s to a pattern of more rapid growth in jobs at the top and bottom relative to the middles of the wage education distribution in the 1990s we characterize these patterns as the u201cpolarization u201d of the u s labor market with employment polarizing into high wage and low wage jobs at the expense of middle wage work we show how a model of computerization in which computers most strongly complement the non routine abstract cognitive tasks of high wage jobs directly substitute for the routine tasks found in many traditional middle wage jobs and may have little direct impact on non routine manual tasks in relatively low wage jobs can help explain the observed polarization of the u s labor market this abstract was borrowed from another version of this item

inequality in indonesia what can we learn from top incomes abstract using taxation and household survey data this paper estimates top income shares for indonesia during 1920 2004 our results suggest that top income shares grew during the 1920s and 1930s but fell in the post war era we observe a sharp rise in top income shares during the late 1990s coinciding with the 1997 98 economic crisis where comparable data are available top income shares in indonesia are generally higher than in other countries a finding that is at odds with the view that indonesia is a relatively egalitarian society this suggests that top income shares may provide a more complete picture of developing country inequality in comparative perspective

income inequality in the united states 1913 1998 this paper presents new homogeneous series on top shares of income and wages from 1913 to 1998 in the united states using individual tax returns data top income and wages shares display a u shaped pattern over the century our series suggest that the large shocks that capital owners experienced during the great depression and world war ii have had a permanent effect on top capital incomes we argue that steep progressive income and estate taxation may have prevented large fortunes from fully recovering from these shocks top wage shares were flat before world war ii dropped precipitously during the war and did not start to recover before the late 1960s but are now higher than before world war ii as a result the working rich have replaced the rentiers at the top of the income distribution

top indian incomes 1922 2000 this article presents data on the evolution of top incomes and wages for 1922 2000 in india using individual tax return data the data show that the shares of the top 0 01 percent 0 1 percent and 1 percent in total income shrank substantially from the 1950s to the early to mid 1980s but then rose again so that today these shares are only slightly below what they were in the 1920s and 1930s this u shaped pattern is broadly consistent with the evolution of economic policy in india from the 1950s to the early to mid 1980s was a period of socialist policies in india whereas the subsequent period starting with the rise of rajiv gandhi saw a gradual shift toward more pro business policies although the initial share of the top income group was small the fact that the rich were getting richer had a nontrivial impact on the overall income distribution although the impact is not large enough to fully explain the gap observed during the 1990s between average consumption growths shown in national sample survey based data and the national accounts based data it is sufficiently large to explain a non negligible part of it

forecasting stock return variance toward an understanding of stochastic implied volatilities we examine the behavior of measured variances from the options market and the underlying stock market under the joint hypotheses that markets are informationally efficient and that option prices are explained by a particular asset pricing model forecasts from time series models of the stockreturn process should not have predictive content given the market forecast as embodied in option prices both in sample and out of sample tests suggest that this hypothesis can be rejected using simulations we show that biases inherent in the procedure we use to imply variances cannot explain this result thus we provide evidence inconsistent with the orthogonality restrictions of option pricing models that assume that variance risk is unpriced these results also have implicationsfor optimal variance forecast rules

predicting volatility in the foreign exchange market measures of volatility implied in option prices are widely believed to be the best available volatility forecasts in this article we examine the information content and predictive power of implied standard deviations isds derived from chicago mercantile exchange options on foreign currency futures the article finds that statistical time series models even when given the advantage of ex post parameter estimates are outperformed by isds isds however also appear to be biased volatility forecasts using simulations to investigate the robustness of these results the article finds that measurement errors and statistical problems can substantially distort inferences even accounting for these however isds appear to be too variable relative to future volatility it is widely believed that the volatility implied in option prices is the market s best estimate of future volatility after all if it were not one could devise a trading strategy that could generate profits by identifying mispriced options the purpose of this article is to investigate the information content and predictive power of volatility implied in options on foreign currencies the paper focuses on options on currency futures traded on the chicago mercantile exchange cme because of the depth and liquidity of cme futures and options traded side by side in the same market implied standard deviations isds allow for clean tests of the predictive power of implied volatilities early studies of the information content of isds have generally found that these contain substantial information for future volatility latane and rendleman 1976 chiras and manaster 1978 and beckers 1981 for example regress future volatility on the weighted implied volatility across a broad sample of chicago board options exchange cboe stocks and find that options contain volatility forecasts that are more accurate than historical measures 1 these studies performed shortly after the 1973 beginning of the cboe option market could only use a relatively short time span and therefore focused on cross sections rather than time series predictions

recovering an asset s implied pdf from option prices an application to crude oil during the gulf crisis we develop a general method for estimating the implied martingale equivalent probability density function pdf for futures prices from american options prices the early exercise feature of american options precludes expressing the price of the option in terms of the pdf there exist tight bounds for the price of american options in terms of the pdf we demonstrate how these bounds together with observed option prices can be used to estimate the parameters of the pdf we estimate the distribution for crude oil during the persian gulf crisis and find the distribution differs significantly from that recovered using standard techniques

the elasticity of taxable income with respect to marginal tax rates a critical review this paper critically surveys the large and growing literature estimating the elasticity of taxable income with respect to marginal tax rates using tax return data first we provide a theoretical framework showing under what assumptions this elasticity can be used as a sufficient statistic for efficiency and optimal tax analysis we discuss what other parameters should be estimated when the elasticity is not a sufficient statistic second we discuss conceptually the key issues that arise in the empirical estimation of the elasticity of taxable income using the example of the 1993 top individual income tax rate increase in the united states to illustrate those issues third we provide a critical discussion of selected empirical analyses of the elasticity of taxable income in light of the theoretical and empirical framework we laid out finally we discuss avenues for future research jel h24 h31 j22

predictable dynamics in implied volatility surfaces from otc currency options recent empirical studies report predictable dynamics in the volatility surfaces that are implied by observed index option prices such as those prescribed by general equilibrium models using an extensive data set from the over the counter options market we document similar predictability in the factors that capture the daily variation of surfaces implied by options on 25 different foreign exchange rates we proceed to demonstrate that simple vector autoregressive specifications for the factors can help produce accurate out of sample forecasts of the systematic component of the surface at short horizons profitable delta hedged positions can be set up based on these forecasts however profits disappear when typical transaction costs are taken into account and when trading rules on wide segments of the surface are sought

the evolution of top incomes in an egalitarian society sweden 1903 2004 this study presents new homogenous series of top income shares in sweden over the period 1903 2004 we find that starting from levels of inequality approximately equal to those in other western countries at the time the income share of the swedish top decile drops sharply over the first eighty years of the twentieth century most of the decrease takes place before the expansion of the welfare state and by 1950 swedish top income shares were already lower than in other countries the fall is almost entirely due to a dramatic drop in the top percentile explained mostly by decreases in capital income while the lower half of the top decile consisting mainly of wage earners experiences virtually no change over this period in the past decades top income shares evolve very differently depending on whether capital gains are included or not when included sweden s experience resembles that in the u s and the u k with sharp increases in top incomes excluding capital gains sweden looks more like the continental european countries where top income shares have remained relatively constant a possible interpretation of our results is that sweden over the past 20 years has become a country where it is more important to make the right financial investments than to earn a lot to become rich

wealth concentration in a developing economy paris and france 1807 1994 using large samples of estate tax returns we construct new series on wealth concentration in paris and france from 1807 to 1994 inequality increased until 1914 because industrial and financial estates grew dramatically then adverse shocks rather than a kuznets type process led to a massive decline in inequality the very high wealth concentration prior to 1914 benefited retired individuals living off capital income rentiers rather than entrepreneurs the very rich were in their seventies and eighties whereas they had been in their fifties a half century earlier and would be so again after world war ii our results shed new light on ongoing debates about wealth inequality and growth

a utility based comparison of some models of exchange rate volatility abstract when estimates of variances are used to make asset allocation decisions underestimates of population variances lead to lower expected utility than equivalent overestimates a utility based criterion is asymmetric unlike standard criteria such as mean squared error to illustrate how to estimate a utility based criterion we use five bilateral weekly dollar exchange rates 1973 1989 and the corresponding pair of eurodeposit rates of homoskedastic garch autoregressive and non parametric models for the conditional variance of each exchange rate garch models tend to produce the highest utility on average a mean squared error criterion also favors garch but not as sharply

top incomes in the long run of history a recent literature has constructed top income shares time series over the long run for more than twenty countries using income tax statistics top incomes represent a small share of the population but a very significant share of total income and total taxes paid hence aggregate economic growth per capita and gini inequality indexes are sensitive to excluding or including top incomes we discuss the estimation methods and issues that arise when constructing top income share series including income definition and comparability over time and across countries tax avoidance and tax evasion we provide a summary of the key empirical findings most countries experience a dramatic drop in top income shares in the first part of the twentieth century in general due to shocks to top capital incomes during the wars and depression shocks top income shares do not recover in the immediate postwar decades however over the last thirty years top income shares have increased substantially in english speaking countries and in india and china but not in continental european countries or japan this increase is due in part to an unprecedented surge in top wage incomes as a result wage income comprises a larger fraction of top incomes than in the past finally we discuss the theoretical and empirical models that have been proposed to account for the facts and the main questions that remain open

the evolution of income concentration in japan 1886 2005 evidence from income tax statistics abstract this paper studies the evolution of income concentration in japan from 1886 to 2005 by constructing long run series of top income shares and top wage income shares using income tax statistics we find that i income concentration was extremely high throughout the pre wwii period during which the nation underwent rapid industrialization ii a drastic de concentration of income at the top took place in 1938 1945 iii income concentration remained low during the rest of the century but shows some sign of increase in the last decade and iv top income composition in japan has shifted dramatically from capital income to employment income over the course of the twentieth century we attribute the precipitous fall in income concentration during wwii primarily to the collapse of capital income due to wartime regulations and inflation we argue that the change in the institutional structure under the occupational reforms made the one time income de concentration difficult to reverse in contrast t

institutions partisanship and inequality in the long run it has been widely suggested by political scientists and economists based on empirical evidence for the period since 1970 that the institution of centralized wage bargaining and the presence of a government of the left are associated with lower levels of income inequality the authors make use of new data on top income shares as well as long run series on wage inequality to examine the effects of partisanship and wage bargaining over a much longer time period nearly the entire twentieth century their empirical results provide little support for the idea that either of these two factors is correlated with income inequality over this period they then show that a closer look at the introduction of centralized wage bargaining in individual countries during the middle part of the twentieth century reveals that in countries that moved to centralize wage bargaining income inequality had already been trending downward well before the institutional change that the move to centralized bargaining did not alter this trend and that these changes in income inequality were also observed in countries that did not adopt centralized wage bargaining at this time the results suggest that there were alternative institutional paths to reduced income inequality during most of the twentieth century this raises the possibility that either structural economic changes or commonly shared economic and political events such as world wars and economic crises may ultimately be more important for understanding the evolution of income inequality than are the institutional or partisan characteristics commonly considered to be decisive by political scientists

the predictive power of the implied volatility of options traded otc and on exchanges abstract this paper investigates the efficiency of stock index options traded over the counter otc and on the exchanges in hong kong and japan our findings suggest that implied volatility is superior to either historical volatility or a garch type volatility forecast in predicting future volatility in both the otc and exchange markets this paper is also one of the first to compare the predictive power of the implied volatility of stock index options traded otc to that of exchange traded stock index options our evidence suggests that the otc market is more efficient than the exchanges in japan but that the opposite is true in hong kong

the performance of alternative valuation models in the otc currency options market abstract we compare option valuation models based on regime switching garch and jump diffusion processes to a standard smile model in which black and scholes 1973 implied volatilities are allowed to vary across strike prices the regime switching garch and jump diffusion models provide significant improvement over a fixed smile model in fitting gbp and jpy option prices both in sample and out of sample the jump diffusion model achieves the tightest fit a time varying smile model however provides hedging performance that is comparable to the other models for the gbp options this result suggests that standard option valuation techniques may provide a reasonable basis for trading and hedging strategies

forecasting the comovements of spot interest rates abstract time varying covariance models are compared in the french and german interest rate markets of the pre euro period a bivariate asymmetric dynamic covariance model with level effect best characterizes the in sample variance covariance dynamics model comparison using economic loss functions raises some doubts with alternative models performing similarly out of sample results show that the variance covariance matrix is best forecasted using a vech model with level effect but no volatility spillover not entirely confirming the in sample evidence simple models using exponentially weighted moving averages of past observations perform similarly to the best bivariate model thus some features required to obtain a good in sample fit do not have additional out of sample forecasting power due to overfitting

modeling heteroscedasticity in daily foreign exchange rates this article estimates autoregressive conditionally heteroscedastic arch and generalized arch garch models for five foreign currencies using 10 years of daily data a variety of arch and garch specifications a number of nonnormal error densities and a comprehensive set of diagnostic checks it finds that arch and garch models can usually remove all heteroscedasticity in price changes in all five currencies goodness of fit diagnostics indicate that exponential garch with certain nonnormal distributions fits the canadian dollar extremely well and the swiss franc and the deutsche mark reasonably well only one nonnormal distribution fits the japanese yen reasonably well none fit the british pound

how progressive is the u s federal tax system a historical and international perspective this paper provides estimates of federal tax rates by income groups in the united states since 1960 with special emphasis on very top income groups we include individual and corporate income taxes payroll taxes and estate and gift taxes the progressivity of the u s federal tax system at the top of the income distribution has declined dramatically since the 1960s this dramatic drop in progressivity is due primarily to a drop in corporate taxes and in estate and gift taxes combined with a sharp change in the composition of top incomes away from capital income and toward labor income the sharp drop in statutory top marginal individual income tax rates has contributed only moderately to the decline in tax progressivity international comparisons confirm that is it critical to take into account other taxes than the individual income tax to properly assess the extent of overall tax progressivity both for time trends and for cross country comparisons the pattern for the united kingdom is similar to the u s pattern france had less progressive taxes than the united states or the united kingdom in 1970 but has experienced an increase in tax progressivity and has now a more progressive tax system than the united states or the united kingdom

top incomes in the netherlands and the united kingdom over the 20th century a method is developed for using income tax data to investigate the evolution of the highest incomes over virtually the entire 20th century the income shares of the top 10 5 1 0 5 0 1 and 0 05 percent are analysed for the uk and the netherlands for considering the top shares among themselves the pareto lorenz coefficient is proposed between the two countries the top shares appear to undergo a strikingly similar and strong decline up to the mid 1970s since then british top shares have increased significantly while dutch shares remained basically unchanged this outcome parallels similar results for the us and france obtained by piketty and saez and poses interesting questions for research jel n34 d31 o15

how closely do top income shares track other measures of inequality in recent years researchers have used taxation statistics to estimate the share of total income held by the richest groups such as the top 10 or the top 1 compiling a standardised top income shares dataset for 13 developed countries i find that there is a strong and significant relationship between top income shares and broader inequality measures such as the gini coefficient this suggests that panel data on top income shares may be a useful substitute for other measures of inequality over periods when alternative income distribution measures are of low quality or unavailable

the road less travelled institutional aspects of data and their influence on empirical estimates with an application to tests of forward rate unbiasedness the difference between data used in empirical studies and that envisioned in the theory can influence empirical estimates sometimes by enough that the direction of future research is altered this paper illustrates how in the context of tests of forward rate unbiasedness a lack of articulation about the mechanics underlying foreign exchange market speculation and about the institutional aspects governing spot and forward rate contracts leads to sampling of the data in a way that is not consistent with the theory the authors find that the sampling problems account for some but not all of the bias in the coefficient on the forward premium copyright 1996 by royal economic society

taxation and top incomes in canada we estimate the elasticity of reported income with respect to tax rates for high earners using sub national variation across canadian provinces we argue this allows for better identification of tax elasticities than the existing literature we find that elasticities of reported income at the provincial level are large for incomes in the top 1 but small for lower earners there are strong indications that the response happens both through earned and capital income while our estimated elasticities are large changes in tax rates cannot explain much of the overall long run trend of higher income concentration in canada resume fiscalite et revenus les plus eleves au canada les auteurs evaluent l elasticite du revenu declare par rapport aux taux d imposition pour les revenus les plus eleves en utilisant les variations intra nationales a travers les provinces du canada ils suggerent que cela produit une meilleure identification des elasticites que ce que contient la litterature pour le moment on decouvre que les elasticites du revenu declare sont elevees pour les 1 au sommet mais faibles pour les revenus plus bas il appert fortement que la reponse se produit tant pour les revenus gagnes que pour les revenus d investissement meme si les elasticites mesurees sont elevees les changements dans les taux d imposition ne peuvent pas expliquer beaucoup de la tendance a long terme vers une plus forte concentration des hauts revenus au canada

stability and forecasting of the comovement measures of international stock market returns abstract the potential benefits to international diversification may be less if the comovement structure of international equity returns is non stationary than if it is this paper examines the intertemporal stability of the correlation and the covariance structure of the returns of ten major stock markets whilst empirical evidence supports the hypothesis that the correlation structure is stable over time the empirical support for the stability of the covariance matrix is much weaker alternative forecasting models of the comovement structure are examined

recent trends in top income shares in the usa reconciling estimates from march cps and irs tax return data although the majority of research on us income inequality trends is based on public use march cps data a new wave of research using irs tax return data reports substantially higher levels of inequality and faster growing trends we show that these apparently inconsistent estimates are largely reconciled if the inequality measure and the income distribution are defined in the same way using internal cps data for 1967 2006 we closely match irs data based estimates of top income shares reported by piketty and saez 2003 our results imply that any inequality increases since 1993 are concentrated among the top 1 percent of the distribution

standard deviations implied in option prices as predictors of future stock price variability abstract standard deviations implied in option prices have recently been introduced as being better than average predictors of future stock price variability this article specifically studies the predictive ability of implicit standard deviations taking into account the dividend problem and the problem of optimal weighting schemes of the standard deviations when there are several options on the same stock transaction data information was used to study the importance of non simultaneities in observing stock and option prices

inequality among world citizens 1820 1992 this paper investigates the distribution of well being among world citizens during the last two centuries the estimates show that inequality of world distribution of income worsened from the beginning of the 19th century to world war ii and after that seems to have stabilized or to have grown more slowly in the early 19th century most inequality was due to differences within countries later it was due to differences between countries inequality in longevity also increased during the 19th century but then was reversed in the second half of the 20th century perhaps mitigating the failure of income inequality to improve in the last decades jel d31 f0 n0 o0