almost budget balanced vcg mechanisms to assign multiple objects subsidy free vcg mechanisms assign p identical objects to n agents the efficiency loss is the largest ratio of budget surplus to efficient surplus over all profiles of non negative valuations the smallest efficiency loss l n p satisfies l n p l n n2 43n if pn is bounded away from 12 l n p converges to zero exponentially in n participation is voluntary in the optimal mechanism achieving l n p if p 1 but not if p 2 among voluntary mechanisms the optimal efficiency loss is not significantly larger than l n p if pn 12 but it does not converge to zero in n if pn 12

black swan events and safe havens the role of gold in globally integrated emerging markets there is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years and particularly during crises periods our work extends the recent literature on

financialization in commodity markets a passing trend or the new normal abstract in this paper we show that large inflows into commodity investments a recent phenomenon known as financialization has changed the behavior and dependence structure between commodities and the general stock market the common perception is that the increase in comovements is the result of distressed investors selling both assets during the 2007 2009 financial crisis we show that financial distress alone cannot explain the size and persistence of comovements instead we argue that commodities have become an investment style for institutional investors given that institutional investors continue to target funds into commodities we predict spillovers between commodities and the stock market to remain high in the future

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

non radial cost luenberger productivity indicator abstract this study decomposes cost inefficiency into technical and allocative components in a more general way based on the directional russell measure drm of fukuyama and weber 2009 with the allocative component being completely clear of technical inefficiency based on this decomposition we develop a cost oriented productivity indicator the cost luenberger productivity indicator cl which completely embraces the concept of cost minimization and provides four sources of productivity change technical efficiency change the change in allocative efficiency the shift of technology and the effect of input price change to illustrate the above decompositions of cost inefficiency and productivity change and to investigate whether the establishment of a financial holding company fhc offers a bank greater operating efficiency and an improvement in productivity change this study employs data on taiwan s banking industry covering the period 2006 2012

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

should investors include commodities in their portfolios after all new evidence abstract this paper investigates whether an investor is made better off by including commodities in a portfolio that consists of traditional asset classes first we revisit the posed question within an in sample setting by employing mean variance and non mean variance spanning tests then we form optimal portfolios by taking into account the higher order moments of the portfolio returns distribution and evaluate their out of sample performance under the in sample setting we find that commodities are beneficial only to non mean variance investors however these benefits are not preserved out of sample our findings challenge the alleged diversification benefits of commodities and are robust across a number of performance evaluation measures utility functions and datasets the results hold even when transaction costs are considered and across various sub periods not surprisingly the only exception appears over the 2005 2008 unprecedented commodity boom period

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

interaction protection and epidemics abstract individuals respond to the risk of contagious infections by restricting interaction and by investing in protection we develop a model that examines the trade off between these two actions and the consequences for infection rates there exists a unique equilibrium individuals who invest in protection choose to interact more relative to those who do not invest in protection changes in the contagiousness of the disease have non monotonic effects as a result interaction initially falls and then rises while infection rates too may initial increase and then decline we then consider a society with two communities that differ in their returns from interaction high and low individuals in isolated communities exhibit different behavior the high community has a higher rate of protection and interaction and a lower rate of infection integration amplifies these differences

the demand revealing process to distribute the surplus contrary to established frequently repeated proposition that its budget surplus cannot be distributed to taxpayers without disturbing the incentive compatibility of the demand revealing process drp the surplus can be distributed by reapplying the key concept of the drp there will remain an aggregate refund error that in a bayesian sense is random with zero mean and which vanishes o 1 n 2 as the economy becomes large through replication to dela with income effects when one does not restrict the domain of the mechanism to separable utility functions i suggest a variation of the drp that preserves its incentive compatibility wgeb n is finite

productivity growth in large us commercial banks the initial post deregulation experience abstract we explore productivity growth for a group of 201 large us commercial banks over the initial post deregulation period from 1984 to 1990 using data envelopment analysis dea we measure productivity growth using malmquist productivity indexes and isolate the contributions of technical change technical efficiency change and scale change to productivity growth we find overall productivity growth at the rate of about 4 5 per year on average but productivity declined by 7 61 between 1984 and 1985 and by 0 33 between 1988 and 1989 our second stage panel regressions reveal that larger asset size and specialization of product mix associate with higher productivity growth while higher equity to assets associates with lower productivity growth

deviations between china s and international gold price role of fundamentals contagion and financial shocks china has been the world s largest gold producer since 2007 and the world s largest gold consumer since 2013 however despite it being the second largest exchange traded market in the world gold

indian bank efficiency and productivity changes with undesirable outputs a disaggregated approach the objective of this study is to examine technical efficiency and productivity growth in the indian banking sector over the period from 2004 to 2011 we apply an innovative methodological approach introduced by chen et al 2011 and barros et al 2012 who use a weighted russell directional distance model to measure technical inefficiency we further modify and extend that model to measure tfp change with npls we find that the inefficiency levels are significantly different among the three ownership structure of banks in india foreign banks have strong market position in india and they pull the production frontier in a more efficient direction spbs and domestic private banks show considerably higher inefficiency we conclude that the restructuring policy applied in the late 1990s and early 2000s by the indian government has not had a long lasting effect

malmquist indices of productivity growth during the deregulation of norwegian banking 1980 89 productivity growth during the deregulation of the norwegian banking industry is studied within the framework of data envelopment analysis which explicitly allows for multiple outputs introducing malmquist indices for productivity growth total growth can be decomposed into frontier growth and change in each bank s distance to the frontier both the total growth index and its components can be consistently chained over time we find productivity regress at the average bank prior to the deregulation but rapid growth when deregulation took place deregulation also led to less dispersion of productivity levels within the industry

justifying the first order approach to principal agent problems it is of interest to know when the incentive compatibility conditio n in principal agent problems can be replaced by the condition that the agent s expected utility be stationary in effort the mirrlees rogerson conditions do not work if the principal can observe more than one observable statistic also the mirrlees rogerson assumption that the distribution function of output is convex in the agent s action is unsatisfactory even in the context of the basi c model it is too restrictive the paper presents a suite of conditio ns that are applicable to the multistatistic case and replaces the objectionable convex distribution function assumption copyright 1988 by the econometric society

the effects of reform on china s bank structure and performance abstract this paper investigates the relationship between market structure and performance in china s banking system from 1985 to 2002 a period when this sector was subject to gradual but notable reform using panel data estimation techniques both the market power and efficient structure hypotheses are tested in addition the model is extended to consider issues such as the impact of bank size ownership and whether the big four banks enjoy a quiet life on average x efficiency declined significantly and most banks were operating below scale efficient levels estimation of the structure performance models lends some support to the relative market power hypothesis in the early period the reforms had little impact on the structure of china s banking sector though the joint stock banks became relatively more x efficient there was no evidence to support the quiet life hypothesis probably because strict interest rate controls prevented the state banks from earning monopoly profits thus the ongoing liberalisation of interest rates should be accompanied by reduced concentration overall to improve competitive structure new policies should be directed at encouraging market entry and increasing the market share of the most efficient banks

tax subsidy policies toward vector borne infectious diseases abstract vector borne diseases especially rife in poor countries pose sectoral tax subsidy issues preventions and therapies mitigate these diseases in a numerical optimization model combining dynamic epidemiology and economics the medical distinction between prevention and therapy does not distinguish economic properties of preventions and therapies some interventions increase and others decrease moving to the steady state depending on the utility function the targeting of interventions and the disease process interventions display negative own price but indeterminate cross price effects juxtaposing the social planner s with decentralized choices quantifies externalities and shows how subsidies implement the first best one prevention and the therapy are equally subsidized

efficiency and productivity growth in the banking industry of central and eastern europe abstract we employ the directional technology distance function and provide estimates of bank efficiency and productivity change across central and eastern european cee countries and across banks with different ownership status for the period 1998 2003 our results demonstrate the strong links of competition and concentration with bank efficiency they also show that productivity for the whole region initially declined but has improved more recently with further progress on institutional and structural reforms input biased technical change has been consistently positive throughout the entire period suggesting that the reforms have induced favorable changes in relative input prices and input mix however we find evidence of diverging trends in productivity growth patterns across banking industries and that foreign banks outperform domestic private and state owned banks both in terms of efficiency and productivity gains overall we find that productivity change in cee is driven by technological change rather than efficiency change

information diffusion cluster formation and entropy based network dynamics in equity and commodity markets this paper investigates the dynamic causal linkages among u s equity and commodity futures markets via the utilization of complex network theory we make use of rolling estimations of extended mat

the sources of bank productivity growth in china during 2002 2009 a disaggregation view this study investigates the sources of bank productivity growth in china over the period 2002 2009 in order to perform this research we propose an advanced index input slack based productivity index isp a model that disaggregates total factor productivity growth into each input productivity change funds capital and employees are chosen as the inputs whereas loans and other earning assets are outputs in this study our results show that technological gains transcend the efficiency regressions and result in total factor productivity growth more specifically technical progress in capital productivity reveals the dominant force behind the total factor technical change and productivity improvement in addition this paper uses these disaggregation terms to find out the competitive advantages and disadvantages of input usages for each chinese bank these findings indicate that the isp index provides more insights than traditional total factor productivity indices

equilibrium vaccination patterns in incomplete and heterogeneous networks abstract under vaccination is a usual concern of disease control studies but this paper employs a simultaneous move game in a three agent contagion network to show that it is only one of the three inefficient patterns when the network structure is incomplete or individual characteristics are heterogeneous there exist new types of nash equilibrium outcomes with either the right number but wrong set of people getting vaccinated or too many vaccinations and these equilibria are robust to standard refinements while untargeted policies can correct the standard under vaccination problem targeted policies are more palatable for correcting the new inefficiencies universal mandates can never improve on any nash equilibria

a comprehensive analysis of the effects of risk measures on bank efficiency evidence from emerging asian countries this study investigates the role of risk in determining the cost efficiency of international banks in eight emerging asian countries researchers of this paper consider three distinct risk aspects under a total of eight risk measures credit risk operational risk and market risk we apply a heteroscedastic stochastic frontier model to estimate bank cost efficiency in our analysis additionally this study analyzes the marginal effects of all risk measures on the inefficiency effect in order to explore a more detailed relationship between risks and efficiency the empirical results indicate that the risk measures represent significant effects on both the level and variability of bank efficiency we also find that these effects vary across countries and over time

externalities and compulsary vaccinations abstract this paper challenges the conventional wisdom that because of the free rider problem a case can be made for compulsary vaccination against infectious disease for a very general class of models requiring that all individuals be vaccinated is strictly dominated by free choice the market allocation is not optimum and in the full information optimum some individuals would be compelled to be vaccinated this allocation can be achieved by taxes and subsidies however the government can exploit the revelation properties of vaccination and achieve an even better allocation than the full information optimum

dynamic epidemiology and the market for vaccinations abstract the intent of this paper is to raise the question of how and when externalities can arise in the market for vaccinations static and dynamic models of such markets are developed and compared a special case in a continuous time dynamic framework is examined and is found to be efficient i e there is no externality this is in contrast to the results from the static formulation raising doubts about the suitability of a static approach these results indicate that the question of whether there are externalities in individual immunization decisions is more involved than is generally supposed

the multiscale causal dynamics of foreign exchange markets abstract this paper relies on wavelet multiresolution analysis to investigate the dependence structure and predictability of currency markets across different timescales it explores the nature and direction of causality among the exchange rates with respect to the us dollar of the most widely traded currencies namely euro great britain pound and japanese yen the timescale analysis involves the estimation of linear nonlinear and spectral causal relationships of wavelet components and aggregate series as well as the investigation of their out of sample predictability moreover this study attempts to probe into the micro foundations of across scale causal heterogeneity on the basis of trader behavior with different time horizons the examined period starts from the introduction of the euro and covers the dot com bubble the financial crisis of 2007 2010 and the eurozone debt crisis technically this paper presents an invariant discrete wavelet transform that deals efficiently with phase shifts dyadic length and boundary effects it also proposes a new entropy based methodology for the determination of the optimal decomposition level and a wavelet based forecasting approach overall there is no indication of a global causal behavior that dominates at all timescales in the out of sample analysis wavelets clearly outperform the random walk for the volatility series moreover the synergistic application of wavelet decomposition and artificial neural networks provided with an enhanced predictability in many forecast horizons for the returns these results may have important implications for market efficiency and predictability

a nonparametric approach for assessing productivity dynamics of large u s banks the 1980s marked an era of substantial change for the us commercial banking industry an issue of considerable interest to banking analysts and economists alike is whether the intensified competitive pressure generated by deregulation and notable financial innovations enhanced productivity to investigate the response to these changes the non parametric malmquist index is used to evaluate productivity dynamics a statistically significant productivity surge found between 1983 and 1984 is followed by productivity regress the next period post 1985 sustained productivity progress is observed for the remainder of the decade productivity movements are primarily attributable to technological changes rather than scale changes or convergence to the production frontier

quantifying the social welfare loss in moral hazard models abstract the main aim of this paper is to measure the social welfare loss for a continuous moral hazard model when a set of minimal assumptions are fulfilled by using a new approach we are able to reproduce the results of balmaceda balseiro correa and stier moses 2010 pertaining to the social welfare loss for discrete and continuous models respectively previous studies rely on the validity of the first order approach at the expense of strong assumptions in particular the convexity of the distribution function condition while we do not make such a restrictive assumption in our developments in addition we obtain new bounds for the social welfare loss that are both tight and easy to compute

price and capacity competition we study the efficiency of oligopoly equilibria in a model where firms compete over capacities and prices our model economy corresponds to a two stage game first firms choose their capacity levels second after the capacity levels are observed they set prices given the capacities and prices consumers allocate their demands across the firms we establish the existence of pure strategy oligopoly equilibria and characterize the set of equilibria we then investigate the efficiency properties of these equilibria where efficiency is defined as the ratio of surplus in equilibrium relative to the first best we show that efficiency in the worst oligopoly equilibria can be arbitrarily low however if the best oligopoly equilibrium is selected among multiple equilibria the worst case efficiency loss is 2 n 1 n 1 with n firms and this bound is tight we also suggest a simple way of

geometric representation of the mean variance skewness portfolio frontier based upon the shortage function the literature suggests that investors prefer portfolios based on mean variance and skewness rather than portfolios based on mean variance mv criteria solely furthermore a small variety of methods have been proposed to determine meanvariance skewness mvs optimal portfolios recently the shortage function has been introduced as a measure of e ciency allowing to characterize mvs optimal portfolios using non parametric mathematical programming tools while tracing the mv portfolio frontier has become trivial the geometric representation of the mvs frontier is an open challenge a hitherto unnoticed advantage of the shortage function is that it allows to geometrically represent the mvs portfolio frontier the purpose of this contribution is to systematically develop geometric representations of the mvs portfolio frontier using the shortage function and related approaches