education social mobility and religious movements the islamic revival in egypt muslim societies have been reshaped in recent decades by an islamic revival we document a contemporaneous decline in social mobility among educated youth in egypt the epicentre of the movement in the arab world we then develop a model to show how an unexpected decline in social mobility combined with inequality can produce a religious revival led by the educated middle class the principal idea is that religion helps individuals to cope with unfulfilled aspirations by adjusting their expectations based reference point by raising aspirations economic development may make societies more prone to religious revivals this article is protected by copyright all rights reserved

comparison of forecast performance for homogeneous heterogeneous and shrinkage estimators some empirical evidence from us electricity and natural gas consumption abstract maddala et al journal of business and economic statistics 15 1997 90 obtained short run and long run elasticities of energy demand for each of 49 us states over the period 1970 1990 they showed that heterogeneous time series estimates for each state yield inaccurate signs for the coefficients while panel data estimates are not valid because the hypothesis of homogeneity of the coefficients was rejected their preferred estimates are those obtained using the shrinkage estimator this paper contrasts the out of sample forecast performance of heterogeneous panel and shrinkage estimators using the maddala et al journal of business and economic statistics 15 1997 90 electricity and natural gas data sets our results show that the homogeneous panel data estimates give the best out of sample forecasts

household production and the short and long run demand for electricity this paper deals with the residential demand for electricity a theoretical model is formulated which is based on intertemporal optimization in a household production context the model is estimated using a dynamic version of the pls partial least squares approach most important determinants of electricity consumption are the prices of appliances and of those goods which can either be purchased in the market or produced at home the dynamic interrelationship between capital stock and electricity consumption is also an important element of the estimated model

sacrifice and stigma reducing free riding in cults communes and other collectives this paper presents an economic analysis of religious behavior that accounts for the continuing success of groups with strange requirements and seemingly inefficient prohibitions the analysis does not presuppose any special motives for religious activity rather religion is modeled as a club good that displays positive returns to participatory crowding the analysis demonstrates that efficient religions with perfectly rational members may benefit from stigma self sacrifice and bizarre behavioral restrictions the model also addresses sacrifice in nonreligious social clubs fraternities communes political parties work groups and families

bivariate cointegration among european monetary system exchange rates in past research on the long run behaviour of exchange rates the possibility of cointegration among spot rates has been rejected this rejection is surprising as some exchange rates are bound by official agreements to comove over time the european monetary system ems is an example of such an officially coordinating system in this paper we extend past research by focusing on only ems rates and use potentially more powerful cointegration tests to show that ems rates are cointegrated

international stock market efficiency a non bayesian time varying model approach this article develops a non bayesian methodology to analyse the time varying structure of international linkages and market efficiency in g7 countries we consider a non bayesian time varying vector autoregressive tv var model and apply it to estimate the joint degree of market efficiency in the sense of fama 1970 1991 our empirical results provide a new perspective that the international linkages and market efficiency change over time and that their behaviours correspond well to historical events of the international financial system

the market efficiency hypothesis the case of coffee and cocoa futures this study tests the market efficiency hypothesis for coffee and cocoa futures using daily data for contracts with a maturity of 2 and 6 months the hypothesis is tested sequentially the first condition is that future spot and futures prices be cointegrated if this condition is maintained market efficiency requires the cointegrating vector to support a 0 1 restriction that can be likened to an unbiasedness condition finally market efficiency imposes zero restrictions on the parameters of the variables expressed in first differences in the specification of the error correction representation of the relationship between future spot and futures prices brenner and kroner brenner r kroner k 1995 arbitrage cointegration and testing the unbiasedness hypothesis in financial markets journal of financial and quantitative analysis 30 pp 23 42 argue that the cointegration condition is rarely met in practice they attribute this outcome to potentially non stationary net cost of carry which would make the parameters of the cointegration relation unstable it is for this reason that hansen s tests hansen b e 1992 tests of parameter instability in regressions with i 1 processes journal of business and economic statistics 10 about the stability of the parameters in cointegration regressions were used to supplement more traditional cointegration tests johansen and juselius cointegration tests johansen s juselius k 1993 testing structural hypotheses in a multivariate cointegration analysis of the ppp and the uip for uk journal of econometrics 53 could not reject cointegration for all four contracts while hansen s lc test favored cointegration only for the cocoa contracts nested and non nested testing procedures were used to test the 0 1 restriction on the cointegration vector unbiasedness was found to be robust across testing procedures however further testing about the specification of the error correction representation revealed the existence of important short run deviations from unbiasedness even though these results hold strictly for a rather limited number of contracts and commodities they are encouraging for futures markets advocates in developing countries

a note on exchange rate expectations and nominal interest differentials a test of the fisher hypothesis this note tests the hypothesis that nominal interest differentials between similar assets denominated in different currencies can be explained entirely by the expected change in the exchange rate over the holding period this proposition often called the fisher open hypothesis or the hypothesis of perfect asset substitutability has been a major component of recent theories of exchange rate determination and has important implications for monetary policy 1 the fisher hypothesis differs from the covered interest parity theorem enunciated by keynes 11 while covered interest parity equates the nominal interest differential between financial centers to a known premium or discount on forward foreign exchange and is thus in principle riskless fisher parity involves risk in an essential way the two conditions are equivalent only when forward exchange rates equal expected future spot rates recent theoretical work for example that of grauer litzenberger and stehle 8 kouri 12 and frankel 6 shows that this need not be the case when market participants are risk averse thus while covered interest parity must always hold exactly in an informationally efficient asset market with no transactions costs fisher parity need not nominal interest differentials may reflect risk premia in addition to expected exchange rate movements 2 it should be emphasized at the outset that the tests conducted in this paper are really joint tests of the fisher hypothesis and a weak form of foreign exchange market informational efficiency levich 14 has argued that tests of market efficiency are always joint tests involving some hypothesized structure of normal equilibrium returns below we assume informational efficiency and instead test fisher s hypothesized arbitrage condition that nominal interest differentials equal expected percentage changes in exchange rates

the demand for residential industrial and total electricity 1973 1998 this paper estimates residential industrial and total electricity demand by a partial adjustment approach and by a simultaneous equation approach simultaneous equation models are more appropriate since they provide negative price elasticity estimates for the residential industrial and total electricity samples flow adjustment models yield positive price elasticity estimates in some cases suggesting they fail to identify proper supply considerations that may be influencing prices the simultaneous equation approach suggests that residential customers are more price sensitive than industrial customers weather seems to have the greatest impact on the residential sector and cold weather appears to affect demand more than hot weather

foreign exchange market efficiency and cointegration in this note we examine an implication of the cointegration literature for the efficiency of foreign exchange markets in particular if foreign exchange markets are efficient then two spot exchange rates cannot be cointegrated this proposition is tested for 10 dollar bilateral exchange rates over the period january 1973 december 1985

sect subsidy and sacrifice an economist s view of ultra orthodox jews israeli ultra orthodox men study full time in yeshiva until age 40 on average why do fathers with families in poverty choose yeshiva over work draft deferments subsidize yeshiva attendance yet attendance typically continues long after exemption fertility rates are high tfr 7 6 and rising a social interaction approach explains these anomalies yeshiva attendance signals commitment to the community which provides mutual insurance to members prohibitions strengthen communities by effectively taxing real wages inducing high fertility historically the incursion of markets into traditional communities produces ultra orthodoxy subsidies induce dramatic reductions in labor supply and unparalleled increases in fertility illustrating extreme responses social groups may have to interventions

render unto caesar taxes charity and political islam abstract using an original nationally representative survey of 600 tunisians we show that support for the islamic party in the first post arab spring election came from wealthier districts and individuals we demonstrate that standard public finance arguments explain this voting pattern better than other available explanations our model predicts that a voter s probability of voting for a religious party i increases with income for the poorest voters but possibly decreases with income for the richest ii is greater for voters in richer districts and iii increases with the voter s religiosity our empirical results align with our predictions and suggest that individual and district wealth were key drivers of support for the islamic party we test for other possible factors affecting voting such as economic disgruntlement migration access to media or attitudes towards gender parity or towards the west finally we document similar patterns in other key elections in the muslim world

cointegration and market efficiency abstract recently many economists have asserted that asset prices determined in efficient asset markets cannot be cointegrated we show that there is no general equivalence between the existence of arbitrage opportunities and cointegration or for that matter a lack of cointegration whether asset prices are cointegrated is a function of the relevant model we first show a convenient way to calculate the cointegrating vector based on necessary and sufficient conditions for cointegration we then examine particular cases including exchange rates interest rates and spot and forward exchange rates and asset prices with incoem flows reinvested and not reinvested jel f31

an examination of the robustness of the weekend effect this paper analyzes the robustness of the day of the week dow and weekend effects to alternative estimation and testing procedures the results show that sample size can distort the interpretation of classical test statistics unless the significance level is adjusted down ward specification tests reveal widespread departures from ols assumptions hypothe sis tests results are reported using robust econometric methods and a garch model the strength of the dow and weekend effect evidence appears to depend on the estimation and testing method both effects seem to have disappeared by 1975

the institutional foundations of religious politics evidence from indonesia this paper explores the foundations of religious influence in politics and society we show that an important islamic institution fostered the entrenchment of islamism at a critical juncture in indonesia the world s largest muslim country in the early 1960s rural elites transferred large amounts of land into waqf inalienable charitable trusts in islamic law to avoid expropriation by the state regions facing a greater threat of expropriation exhibit more prevalent waqf land and islamic institutions endowed as such including mosques and religious schools these endowments provided conservative forces with the capital needed to promote islamist ideology and mobilize against the secular state we identify lasting effects of the transfers on the size of the religious sector electoral support for islamist parties and the adoption of local sharia laws these effects are shaped by greater demand for religion in government but not by greater piety among the electorate waqf assets also impose costs on the local economy particularly in agriculture where these endowments are associated with lower productivity overall our findings shed new light on the origins and consequences of islamism

social mobility and redistributive politics just like economists voters have conflicting views about redistributive taxation because they estimate its incentive costs differently we model rational agents as trying to learn from their dynastic income mobility experience the relative importance of effort and predetermined factors in the generation of income inequality and therefore the magnitude of these incentive costs in the long run left wing dynasties believing less in individual effort and voting for more redistribution coexist with right wing dynasties this allows us to explain why individual mobility experience and not only current income matters for political attiitudes and how persistent differences in perceptions about social mobility can generate persistent differences in redistribution across countries

cointegration market integration and market efficiency abstract this paper uses a standard dynamic general equilibrium asset pricing model to study the relationship among the concepts of efficient markets integrated markets and cointegrated prices within this setting we show that these concepts are independent of one another and any zero one two or three of these characteristics can emerge in equilibrium depending upon taste endowment and technology parameters in particular the results of tests of cointegration among asset prices have no implications about market efficiency or market integration without additional restrictions on the economy or economies

a note on cointegration and international capital market efficiency abstract in a recent paper in the jimf crowder 1994 claims that evidence that spot exchange rates are cointegrated and forward premiums are non stationary implies international capital markets are not efficient this note argues that the cointegration properties of spot exchange rates are independent of the efficiency or inefficiency of financial markets

club goods and group identity evidence from islamic resurgence during the indonesian financial crisis this paper tests a model in which group identity in the form of religious intensity functions as ex post insurance i exploit relative price shocks induced by the indonesian financial crisis to demonstrate a causal relationship between economic distress and religious intensity koran study and islamic school attendance that is weaker for other forms of group identity consistent with ex post insurance credit availability reduces the effect of economic distress on religious intensity religious intensity alleviates credit constraints and religious institutions smooth consumption shocks across households and within households particularly for those who were less religious before the crisis

foreign exchange market efficiency revisited abstract the cointegration of spot rates is neither a necessary nor a sufficient condition to account for the lack of foreign exchange market efficiency instead crowder crowder w 1994 1996 j int money finance 13 551 564 15 661 664 and engel engel c 1996 j int money finance 15 557 560 claimed that the stationarity of the forward premium is crucial to the hypothesis of market efficiency in this paper we employ the panel unit root test of im et al to examine the stationarity of forward premia and interest differentials among nine oecd countries we reject the unit root null for both the time series of the forward premium and interest differential which in turn supports the hypothesis of foreign exchange market efficiency

disappointment and dynamic consistency in choice under uncertainty the central proposition of disappointment theory is that an individual forms expectations about uncertain prospects and that if the actual consequence turns out to be worse than or better than that expectation the individual experiences a sensation of disappointment or elation generating a decrement or increment of utility which modifies the basic utility derived from the consequence by incorporating a simple disappointment elation function into a model of individual choice many observed violations of conventional expected utility axioms including violations of savage s sure thing principle and the isolation effect can be predicted and defended as rational and dynamically consistent behaviour

the foreign exchange market efficiency hypothesis revisiting the puzzle abstract the engle granger bivariate strong form and the johansen juselius multivariate weak form cointegration tests are performed between the spot and forward rate series over multiple horizons to test the market efficiency hypothesis meh

the effects of public sector hiring and compensation policies on the egyptian labor market this article examines the combined impact of the employment guarantee for graduates and public sector compensation policies on the egyptian labor market besides contributing to an unsustainable rate of growth in the government labor force these policies have encouraged queuing for government jobs contributed to high graduate unemployment rates and reduced the employment of graduates in the private sector despite substantial wage erosion in the public sector in recent years government wages when appropriately corrected for observed heterogeneity and sample selection are on a par with or higher than private sector wages especially for graduates when combined with the more desirable nonwage aspects of government jobs these compensation levels explain the attractiveness of public sector employment to graduates government pay scales are especially advantageous to female secondary school graduates who appear to face considerable discrimination in the private sector

measuring global money market interrelationships an investigation of five major world currencies abstract this paper extends the study of global money market integration in two primary directions first a technique which combines stationarity and cointegration tests as a basis for constructing an error correction model is applied to assess the existence of long run equilibrium relationships between money market series second analysis for the increasingly significant asian offshore markets of singapore and hong kong is added to traditional european and national markets analysis major findings are 1 the error correction model is an appropriate technique for identifying causality relationships and 2 major domestic markets and included offshore markets are partially segmented

cointegration based tests of daily foreign exchange market efficiency abstract an immediate implication of cointegration is the existence of granger causal orderings among cointegrated series this implies that asset prices determined in a weakly efficient market cannot be cointegrated this proposition is tested using daily data for 18 foreign currencies tests are conducted for both pairwise combinations of currencies and higher order systems no significant evidence of cointegration among exchange rates is found

cointegration among southeast asian and japanese currencies preliminary evidence of a yen bloc abstract financial integration in asia is assessed in this paper by examining the time series stochastic behavior and cointegration in a set of five asian currencies the japanese yen jy hong kong dollar hk malaysian ringgit mr philippines peso pp and the singapore dollar sd for the last eight years of the decade of the 1980s significant non stationarity deviations from normality and the presence of unit roots were documented for each currency furthermore in contrast to the findings for developed country liquid currencies these five currencies were found to be cointegrated these findings have important implications for understanding the expanding international role of the japanese yen and the nature of international financial integration in asia as well as for developing hedging strategies for investments and cash flows denominated in these southeast asian currencies

cointegration and predictability of asset prices abstract this article argues that whatever concerns one might have about the identification of a cointegrating relationship with market inefficiency cointegration tests can still be usefully employed to investigate the predictability of asset prices we examine the case of n dimensional systems and show that the standard assumption made in the literature that cointegration implies predictability of all n asset prices is not valid in the presence of r cointegrating vectors only r prices are predictable and standard wald or lm tests carried out within johansen s maximum likelihood ml framework can be used to establish for which prices unpredictability does not hold similarly one can distinguish between joint unpredictability in the short and long run when asset prices are driven by fundamentals

response of residential electricity demand to price in this paper we present an empirical analysis of the residential demand for electricity using annual aggregate data at the state level for 48 us states from 1995 to 2007 we estimate a dynamic partial adjustment model using the kiviet corrected lsdv 1995 and the blundell bond 1998 estimators in addition to the lagged dependent variable our equation includes energy prices income cooling and heating degree days and average household size we find that the short run own price elasticity of consumption is similar across ldsv bias corrected lsdv and the variant of the blundell bond where we instrument for price the short run elasticity is the lowest when we use the blundell bond gmm approach that treats the price of electricity as exogenous the long term elasticities produced by the blundell bond system gmm methods are largest and that from the bias corrected ldsv is greater than that from the conventional lsdv from an energy policy point of view the results obtained using the blundell bond estimator where we instrument for price imply that there is room in an electricity system mainly based on coal and gas power plants for discouraging residential electricity consumption and curbing greenhouse gas emissions by imposing a carbon tax

manufacturing output and labor productivity further evidence for the united states abstract formulating the so called verdoorn s law in terms of cointegration and granger causality between manufacturing output and labor productivity quaterly u s data for 1950 1988 are used to test the pattern implied by the law evidence is lacking to support the predicted pattern

perception of price when price information is costly evidence from residential electricity demand a bstract residential electricity consumption is an example of a good for which it is costly to determine marginal price since price changes with the quantity purchased according to multistep block rate schedules this paper investigates the effect of the price information problem on consumers price perceptions an alternative hypothesis of average price perception is tested against the marginal price postulate which assumes wellinformed consumers the model which includes a price perception variable allows the estimation of the price to which consumers actually respond the empirical results support the hypothesis that consumers respond to average price perceived from the electricity bill

snapshots versus movies empirical studies of the intergenerational inheritance of economic status should use observations on complete lifetime status profiles of parents and children to be consistent with underlying theory but they cannot only snapshots rather than movies on status are currently available in samples estimates of the degree of intergenerational inheritance may therefore be subject to lifecycle biases the paper investigates these in the context of a lifecycle earnings model and shows that these biases may be large that their direction varies and that correction methods suggested hitherto have questionable reliability until more complete data sets become available researchers should be more temperate in the conclusions they draw

are foreign exchange markets really efficient asset prices determined in a weakly efficient market cannot be cointegrated because cointegration implies a granger causal link however strong evidence of cointegration in currency markets is found using johansen s multivariate procedure on london daily closing rates for the six major currencies in dollar terms an error correction based trading model is implemented

introduction to the economics of religion after a very long hiatus economists have begun again to study the relationship between economics and religion this article seeks to summarize and evaluate the principal themes and empirical findings that have appeared in some 200 recent papers on the economics of religion although some of the research concerns the economic consequences of religiosity most applies standard economic theory to the study of individual religious activity the characteristics of religious groups and the impact of regulation and competition on religious markets

short and long run time of use price elasticities in swiss residential electricity demand abstract this paper presents an empirical analysis on the residential demand for electricity by time of day this analysis has been performed using aggregate data at the city level for 22 swiss cities for the period 2000 2006 for this purpose we estimated two log log demand equations for peak and off peak electricity consumption using static and dynamic partial adjustment approaches these demand functions were estimated using several econometric approaches for panel data for example lsdv and re for static models and lsdv and corrected lsdv estimators for dynamic models the attempt of this empirical analysis has been to highlight some of the characteristics of the swiss residential electricity demand the estimated short run own price elasticities are lower than 1 whereas in the long run these values are higher than 1 the estimated short run and long run cross price elasticities are positive this result shows that peak and off peak electricity are substitutes in this context time differentiated prices should provide an economic incentive to customers so that they can modify consumption patterns by reducing peak demand and shifting electricity consumption from peak to off peak periods

tests of exchange market efficiency fragile evidence from cointegration tests abstract several recent papers have employed engle and granger 1987 cointegration tests to determine whether or not markets are efficient we use a new test for cointegration due to johansen 1988 to examine market efficiency with respect to the us dollar exchange rates for canadian japanese and west german currencies the fragile nature of the test indications suggests that cointegration methodologies cannot be relied upon to provide reliable evidence on market efficiency

testing the hypothesis of market efficiency in the taiwan us forward exchange market since 1990 this article examines the applicability of the hypothesis of market efficiency in taiwan s foreign exchange market using daily data instead of linear regression based models we consider the possibility that the true data generating process may come from two different distributions and we employ the markov switching approach to analyse this from the results of the two state markov switching model we define state 1 as the efficient state and state 2 as the inefficient one only the 30 day forward rate is able to differentiate between the two states based on the unconditional probabilities from the markov switching model we also find that the 30 day forward rate has a 70 probability in the efficient state which indicates that 70 of all speculators fully extract information when predicting future spot rates while 30 of all investors do not

on the specification of granger causality tests using the cointegration methodology the application of granger causality tests to macroeconomic time series frequently necessitates filtering the data to induce stationarity if the relevant variables are cointegrated granger causality tests are misspecified if applied in standard vector autoregressive format to differenced data a common application is illustrated

revolt on the nile economic shocks religion and political power using centuries of nile flood data i document that during deviant nile floods egypt s highest ranking religious authority was less likely to be replaced and relative allocations to religious structures increased these findings are consistent with historical evidence that nile shocks increased this authority s political influence by raising the probability he could coordinate a revolt i find that the available data provide support for this interpretation and weigh against some of the most plausible alternatives for example i show that while nile shocks increased historical references to social unrest deviant floods did not increase a proxy for popular religiosity together the results suggest an increase in the political power of religious leaders during periods of economic downturn publication abstract

interdependence and dynamics in currency futures markets a multivariate analysis of intraday data abstract this paper investigates long term interdependencies and short term dynamics in currency futures utilizing intraday data for six major foreign currencies the british pound deutsche mark swiss franc australian dollar canadian dollar and japanese yen lack of cointegration ci among the foreign exchange futures is found to be the prevailing mode of behavior but some temporary deviations from the no ci condition are detected there is a notable overlap between detected ci relationships and the timing of policy changes world events and regime shifts indicating that the observed cis are event driven the robustness of the ci results is checked with respect to variations in the model lag structure data period sample horizon and currency basket grouping impulse response functions irfs reveal that currency markets are in general efficient and absorb new information within the day the interdependence among currencies is found to be asymmetric

common stochastic trends between forward and spot exchange rates abstract the common trend analyses between the forward rate f t and the corresponding future spot rate of the same currency s t 1 have raised several issues notably the sensitivity of the cointegrating relation to a constant term and lag lengths and the non stationarity of the risk premium this paper addresses these issues more rigorously using the daily exchange rate of the pound sterling vis a vis five major currencies viz the canadian dollar french franc german mark japanese yen and us dollar the appropriate deterministic term in the cointegrating space is identified through empirical tests a robust cointegrating relation is found between f t and s t 1 however the hypothesis of unbiasedness of forward rate could not be sustained an alternative measure of risk premium is suggested and its stationarity is confirmed

does comovement among exchange rates imply market inefficiency abstract this paper argues that contrary to what has been reported in the empirical literature previously cointegration between pairs of exchange rates does not necessarily rule out informational efficiency in currency markets the basic reason is that market efficiency does not rule out predictable exchange rate movements but only rules out arbitrage opportunities from predictable exchange rate movements as the usual parity conditions dictate

reference dependent risk attitudes we use koszegi and rabin s 2006 model of reference dependent utility and an extension of it that applies to decisions with delayed consequences to study preferences over monetary risk because our theory equates the reference point with recent probabilistic beliefs about outcomes it predicts specific ways in which the environment influences attitudes toward modest scale risk it replicates classical prospect theory including the prediction of distaste for insuring losses when exposure to risk is a surprise but implies first order risk aversion when a risk and the possibility of insuring it are anticipated a prior expectation to take on risk decreases aversion to both the anticipated and additional risk for large scale risk the model allows for standard consumption utility to dominate reference dependent gain loss utility generating nearly identical risk aversion across situations

self confidence and personal motivation the maintenance and enhancement of self esteem has always been identified as a fundamental human impulse philosophers writers educators and of course psychologists have all emphasized the crucial role played by self image in motivation affect and social interactions the aim of this chapter is to bring these concerns into the realm of economic analysis and show that this has important implications for how agents process information and make decisions conversely the tools of economic modelling can help shed light on a number of apparently irrational behaviours documented by psychologists

intergenerational occupational mobility in great britain and the united states since 1850 abstract the us tolerates more inequality than europe and believes its economic mobility is greater than europe s though they had roughly equal rates of intergenerational occupational mobility in the late twentieth century we extend this comparison into the nineteenth century using 10 000 nationally representative british and us fathers and sons the us was more mobile than britain through 1900 so in the experience of those who created the us welfare state in the 1930s the us had indeed been exceptional the us mobility lead over britain was erased by the 1950s as us mobility fell from its nineteenth century levels jel j62 n31 n32 n33 n34

covered interest parity a high frequency high quality data study profitable deviations from covered interest parity cip represent riskless arbitrage opportunities and so indicate market ineffic iency previous empirical work on cip uses noncontemporaneously sampl ed data and reports mixed results this paper uses high frequency te n minute high quality data gathered personally by the author in th e london foreign exchange market to test the cip condition the resu lts overwhelmingly support the market efficiency hypothesis copyright 1987 by the review of economic studies limited

emulation inequality and work hours was thorsten veblen right we investigate the manner in which a desire to emulate the rich influences individuals allocation of time between labour and leisure greater inequality inducing longer work hours as a result data on work hours in ten countries over the period 1963 98 show that greater inequality is indeed associated longer work hours these veblen effects are large and the estimates are robust using country fixed effects and other specifications because consumption inequality is a public bad a social welfare optimum cannot be implemented by a flat tax on consumption but may be accomplished by more complicated progressive consumption taxes at the close of the nineteenth century thorsten veblen proposed what he termed pecuniary emulation as the foundation of a theory of consumption spending he maintained is driven by relative status considerations that is by the desire to be a particular type of person as much as bythedesire to enjoytheconsumer goodsper se the joneses with whom one had to keep up were not the neighbours but the rich theirleveloflivingbecamethenever attainableobjectiveinaconsumptionarmsrace among the less well to do in the theory of the leisure class he wrote the motive is emulation the stimulus of an invidious comparison especially in any community in which class distinctions are quite vague all canons and reputability and decency and all standards of consumption are traced back by insensible gradations to the usages and thoughts of the highest social and pecuniary class the wealthy leisure class 1934 p 81 while valued by some economists as capturing common sense aspects of consumption as a form of status seeking veblen s view of social preferences was soon eclipsed by the simpler and more tractable neoclassical theory of the consumer relegated to the underworld of economics veblen s ideas have nonetheless resonated over the ensuing years in the writing of duesenberry 1949 leibenstein 1950 and galbraith 1958 at the middle of the past century and schor 1998

option valuation with co integrated asset prices abstract this paper investigates theoretical and practical aspects of options that are based upon two or more assets which are co integrated for this purpose a new discrete time model of asset prices is developed a model featuring both the co integration property as well as stochastic volatilities using a garch equilibrium based option pricing approach it is shown that when volatilities are deterministic the option prices do not depend on the co integration parameters except for the mis specification effect as to the manner in which the volatilities are estimated however with stochastic volatilities the option prices explicitly depend upon the co integration parameters in order to understand these results better this paper also examines a continuous time diffusion limit of the asset price system and empirically studies the co integration effect using spread options based upon the s p500 and the nasdaq100 these numerical results suggest that consideration of co integration can substantially alter the value delta and vega of a spread option