cross border auction cycle effects of sovereign bond issuance in the euro area we provide evidence for the euro area of spillovers from foreign public debt auctions into domestic secondary market auction cycles we also confirm existing evidence of such spillovers from domestic issues into the domestic secondary market consistent with a theory of primary dealers limited risk bearing capacity we find that auction cycles from domestic issues are stronger during the recent crisis period whereas cross border effects are stronger in the precrisis period but this evidence is not strong this finding likely reflects the opposing effects of reduced sovereign bond market integration during the crisis and higher yield covariances caused by more market volatility

limit cycles in intertemporal adjustment models theory and applications this paper starts from well behaved i e concave one state variable optimal control models the crucial feature is that indigenous growth is present the replacement of the control by an adjustment process and presumably penalizing these adjustments may convert stable and only stable fixed point equilibria into limit cycles indeed given positive growth and proper externalities such that discounting exceeds growth one can generate stable limit cycles with ease e g for a separable framework examples from such diverse fields as renewable resources optimal saving and public choice highlight the economic applicability

on the indeterminacy of capital accumulation paths abstract in neoclassical optimal growth models the stability of the accumulation paths depends on the discount parameter we prove that for discount factors small enough the policy function which describes an optimal path can be of any type the result is achieved using the notion of concavity we adopt a constructive approach given any twice differentiable map we show how to construct an optimal growth problem which produces that map as the optimal policy function a consequence is that chaos can appear in these models we also provide bounds on the values of the discount parameter for which indeterminacy is possible

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

dynamic nonpoint source pollution control policy ambient transfers and uncertainty when a regulator cannot observe or infer individual emissions corrective policy must rely on ambient pollution data assuming this kind of environment we study a class of dierential games of pollution control with prot functions that are polynomial in the global pollution stock given an open loop emissions strategy satisfying mild regularity conditions an ambient transfer scheme is exhibited that induces it in markov perfect equilibrium mpe proposed transfers are a polynomial function of the dierence between actual and desired pollution levels moreover they are designed so that in mpe no tax or subsidy is ever levied their applicability under stochastic pollution dynamics is studied for a symmetric game of polluting oligopolists with linear demand we discuss a quadratic scheme that induces agents to adopt markovian emissions strategies that are stationary and linearly decreasing in total pollution total expected ambient transfers are non positive and their magnitude is linearly increasing in physical volatility the size of the economy and the absolute value of the slope of the inverse demand function however if the regulator is interested in inducing a constant emissions strategy then in expectation transfers vanish the total expected ambient transfer is compared to its point source equivalent

price and network dynamics in the european carbon market this paper presents an analysis of the european emission trading system as a transaction network it is shown that given the lack of a centralized market place industrial actors had to resort to local connections and financial intermediaries to participate in the market this gave rise to a hierarchical structure in the transaction network to empirically relate networks statistics to market outcomes a pls pm modeling technique is introduced it is shown that the asymmetries in the network induced market inefficiencies e g increased bid ask spread albeit the efficiency of the market has improved from the beginning of phase ii the asymmetry persists imposing unnecessary additional costs on agents and reducing the effectiveness of the market as a mitigation instrument

testing for imperfect competition at the fulton fish market in this article i report the results of a study of the prices paid by individual buyers at the fulton fish market in new york city in principle this is a highly competitive market in which there should be no predictable price differences across customers who are equally costly to service the results indicate that different buyers pay different prices for fish of identical quality for example asian buyers pay 7 less for whiting than do white buyers a result which is inconsistent with the model of perfect competition

ireland s 2010 eu imf intervention costs and benefits abstract this paper examines the costs and benefits of the eu imf rescue package for ireland on november 29 2010 we analyze the costs of the intervention and the subsequent increase in value of debt and or equity issued by irish banks the irish government and european banks with substantial holdings of irish debt the total initial value increase around the announcement amounts to 5 59bln at a realized taxpayers cost of 4 23bln while the value increase depends on somewhat generous assumptions it further increases by 2 8bln up to ireland s exit in december 2013 about 3 1bln of the value created indirectly supports the european banking sector indicating that substantial benefits arise from systemic risk containment

networks of collaboration in oligopoly abstract in an oligopoly prior to competing in the market firms have an opportunity to form pair wise collaborative links with other firms these pair wise links involve a commitment of resources and lead to lower costs of production of the collaborating firms we study the incentives of firms to form links and the architecture of the resulting collaboration network we find that incentives to form links are intimately related to the nature of market competition our analysis also suggests that collaborations are used by firms to generate competitive advantage and that strategically stable networks are often asymmetric with some firms having many links while others have few links or are isolated specifically we show that networks with the dominant group architecture stars and inter linked stars are stable we also present some results on the architecture of socially efficient networks

discounting and long run behavior global bifurcation analysis of a family of dynamical systems abstract this paper is concerned with the relationship between the discount rate and the nature of long run behavior in dynamic optimization models the theory is developed under two conditions the first is history independence which rules out multiple limit sets the second is a condition that avoids the reversion to a stable steady state as the discount factor is lowered once cycles have emerged these conditions appear to be the minimal restrictions that would allow analysis by a bifurcation diagram the results are illustrated by two well known examples in this literature due to sutherland and weitzman samuelson journal of economic literature classification numbers c61 d90 041

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

a characterization of ramsey equilibrium abstract consider a perfect foresight equilibrium model with a single capital good a borrowing constraint and many infinitely lived households with fixed but different discount factors the steady state capital stock is held by the most patient household quart j econ 95 1980 375 382 econ j 38 1928 543 559 an example shows the total capital can exhibit an equilibrium cycle in contrast to the stability property of the one household case in the example only the most patient household saves and his income deceases in capital we give a condition implying income is increasing in capital and use it to show any equilibrium converges to the steady state

market organisation and trading relationships in this paper we give a theoretical model of buyers behaviour on a market for a perishable good where no prices are posted we show that if buyers learn from their own previous experience there is a sharp division between those who learn to be loyal to certain sellers and those who continue to shop around this feature remains in more general models which are simulated and is consistent with empirical data from the marseille fish market

bargaining in a network of buyers and sellers abstract we analyze bargaining between buyers and sellers who are connected by an exogenously given network players can make repeated alternating public offers that may be accepted by any of the responders linked to each specific proposer our purpose is to find the conditions of the network which drive the price distribution in equilibrium this paper uses graph theory tools to provide necessary and sufficient conditions regarding the architecture of networks for the subgame perfect equilibrium of the bargaining game to coincide with the walrasian outcome

equilibrium cycling with small discounting abstract a misinterpretation of turnpike theorems suggests that persistent cyclic behavior in optimal growth models is only possible with large discount rates this paper shows that for any positive discount rate there exists a large family of standard cobb douglas technologies with three sectors which have optimal growth paths of persistent cycles

nonlinearity and chaos in economic models implications for policy decisions this survey paper discusses the policy implications that can be expected from the recent research on nonlinearity and chaos in economic models expected policy implications are interpreted as a driving force behind the recent proliferation of research in this area in general it appears that no new justification for policy intervention is developed in models of endogenous fluctuations although this conclusion depends in part on the definition of equilibrium when justified however policy tends to be very effective in these models copyright 1993 by royal economic society

realized co variances of eurozone sovereign yields during the crisis the impact of news and the securities markets programme we use realized variances and covariances based on intraday data to measure the dependence structure of eurozone sovereign yields our analysis focuses on the impact of news obtained from the eurointelligence newsflash on the dependence structure more news tends to raise the volatility of yields of financially distressed countries and to decrease the covariance of distressed countries yields with german bond yields suggesting a potential flight to quality effect common news about the euro crisis and news about specific countries tend to raise the covariance of yields between distressed countries indicating potential crisis spill over effects however we do not detect spillover effects from news about third countries to the covariance between other country pairs bond purchases by the ecb under its securities markets programme smp mitigate the negative crisis spillovers among the distressed countries and reduce the potential flight to quality from the distressed countries to germany

volatility spillovers and the effect of news announcements we examine the effect of us and european news announcements on the spillover of volatility across us and european stock markets using synchronously observed international implied volatility indices at a daily frequency we find significant spillovers of implied volatility between us and european markets as well as within european markets we observe a stark contrast in the effect of scheduled versus unscheduled news releases scheduled unscheduled news releases resolve create information uncertainty leading to a decrease increase in implied volatility nevertheless news announcements do not fully explain the volatility spillovers although they do affect the magnitude of volatility spillovers our results are robust to extreme market events such as the recent financial crisis and provide evidence of volatility contagion across markets

dynamic monotonicity and comparative statics for real options abstract we analyze the relationship between complementarities and monotonicity in dynamic programs while complementarities supermodularity and nondecreasing differences are sufficient for monotonic statics in stochastic dynamic programs they are only robustly necessary in a limited way under heavy discounting monotonicity of the decision rule doesnotin general imply monotonicity of the optimal path in fact optimal paths in such models may exhibit extremely complex behavior for convex adjustment costs many real option models have monotone decision rules while for fixed costs they typically do not we also strengthen a well known characterization of complementarities due to milgrom and shannon 19 journal of economic literatureclassification numbers c61 d92 e22

equilibrium models displaying endogenous fluctuations and chaos abstract this paper surveys current developments in dynamic general equilibrium theory concerned with conditions under which endogenous fluctuations are possible existing contributions are divided into two classes the larger one consists of models with a unique perfect foresight equilibrium while the second includes models where equilibrium is indeterminate and the set of equilibria involving endogenous fluctuations includes sunspots equilibria while the two classes of models involve oscillations of different natures and with different policy implications we show that both are consistent with optimizing behavior and competitive equilibrium

price formation on the marseille fish market evidence from a network analysis abstract the empirical analysis of fish markets always reveals strong price dispersion for homogeneous or very similar goods the problem is how to explain this price dispersion on a market where there is no evident arbitrage explanations proposed by different authors include differences in organization the characteristics of the good and the influences of social interactions between buyers and sellers in line with the last of these three approaches we consider the fish market of marseille as a seller seller network we start by examining the influence of market interactions through a static and then a dynamic econometric model we then analyze the role of the seller s position in the network we bring to light a surprising paradox in that the sellers who share the most buyers with competitors i e the most central sellers charge the highest prices

a theory of buyer seller networks this paper introduces a new model of exchange networks rather than markets of buyers and sellers it begins with the empirically motivated premise that a buyer and seller must have a relationship a link to exchange goods networks buyers sellers and the pattern of links connecting them are common exchange environments this paper develops a methodology to study network structures and explains why agents may form networks in a model that captures characteristics of a variety of industries the paper shows that buyers and sellers acting strategically in their own self interests can form the network structures that maximize overall welfare

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

stabilizing chaos in a dynamic macroeconomic model abstract within a macroeconomic disequilibrium model it turns out that stationary and simple adaptive policies are not capable of stabilizing efficient steady states and lead to periodic or irregular fluctuations for large sets of policy parameters the application of recent control methods for chaotic dynamical systems shows that the government can in principle stabilize an unstable walrasian equilibrium in a short time by varying income tax rates or government expenditures different stabilizing policies are analyzed and compared with regard to their efficiency

spread the news the impact of news on the european sovereign bond markets during the crisis we investigate how news affected domestic interest spreads vis a vis germany and how it propagated to other countries during the recent crisis period thereby distinguishing between the so called giips countries and other european countries we make original use of the eurointelligence newsflash to construct news variables based on the amount of news that is released on a country on a given date we find that more news on average raises the domestic interest spread of giips countries since september 2009 in addition we find that it leads to an increase in the interest spreads of other giips countries the magnitude of this effect is related to cross border bank holdings a split of news into bad and good news shows that the upward pressure on domestic and foreign interest spreads is driven by bad news we also find spillovers of bad news from giips countries onto non giips countries however the magnitude of these spillovers is substantially smaller than that to other giips countries

perfectly competitive models of endogenous business fluctuations the endogenous hypothesis is not new at a pre analytic level it is based on the simple intuition that market mechanisms are inherently dynamically unstable at least around their stationary positions in this note i want to stress the theoretical point that there is nothing in the working of a perfectly competitive market system that prevents it from displaying persistent and endogenous fluctuations and that moreover such fluctuations may have their origins in market fundamentals such as factor intensities factor substitutability degree of impatience and so forth nevertheless macroeconomic models of endogenous fluctuations still have to prove that apart from being very beautiful they can also be useful to understand the so called heal world hit sunt leones this article is not intended to be a survey of all that has been written in this area in the last decade i have no title whatsoever to talk about empirical studies chera sayers contribution in this same volume addresses that guestion scheinkman 1990 is a readily available survey of nonlinear statistical methods that are relevant to this debate as for the theory incompetence recommends that i avoid touching on sunspot equilibria olg models and more generally expectations driven cycles they are instead discussed in jean michel grandmont s article finally marketing awareness implies recommending boldrin and woodford 1990 as a reasonably complete survey of what the endogenous cycle research program has recently produced at a theoretical level

evaluating the law of one price using micro panel data the case of the french fish market this paper investigates spatial variations in product prices using an exhaustive micro dataset on fish transactions the data includes all transactions between vessels and wholesalers that occurred within local fish markets in france during 2007 spatial disparities in fish prices are sizable even after taking into account fish quality time and unobserved seller and buyer heterogeneity the price difference between local fish markets can be explained to some extent by distance but mostly by a coast effect related to market locations on the atlantic and mediterranean coasts we also propose a new approach for identifying groups of interconnected local fish markets based on the activity of sellers and buyers within these markets we show that most markets on the atlantic coast are well connected and that variation in prices across these markets is very small and in line with the law of one price

the impact of sovereign risk on the market valuation of u s bank equities abstract this paper tests whether the august 1982 advent of the latin american debt crisis affected the implicit value of commercial bank loans to major latin american debtors and hence the value of equities in contrast to previous studies the analysis provides an explicit derivation of the theoretical impact of such an effect uses a more efficient pooled cross sectional time series estimating technique addresses the question of whether ex ante required returns on bank equities also were affected and compares the estimates to the behavior of the direct market for latin american bonds the results imply that the crisis did cause significant debt discounting as well as an increase in required returns however unlike the bond market most of this equity effect was delayed 6 9 months

on the minimum rate of impatience for complicated optimal growth paths the occurrence of complex dynamics in economic models has received wide attention by the economic profession during the last decade see boldrin and woodford 1990 for a recent survey one of the most interesting and surprising results obtained so far is the indeterminacy theorem of boldrin and montrucchio 1986b which implies that virtually every dynamical behavior is fully compatible with the standard assumptions of decreasing returns competitive markets and perfect foresight deneckere and pelikan 1986 have used a related approach to derive similar results for the special case of one dimensional dynamics whereas the analysis in boldrin and montrucchio 1986b and deneckere and pelikan 1986 is restricted to optimal growth models formulated in discrete time an analogous result holds also for the continuous time case see montrucchio 1988 and sorger 1990 all of these indeterminacy theorems have been proved by a constructive approach which requires a sufficiently high rate of impatience on the side of the decision maker in particular to construct optimal growth models exhibiting some well known chaotic maps like the logistic map or the henon map as optimal policy functions one needs time preference rates of more than 400

competitive equilibrium cycles recently there has been a surge of interest in endogenous business cycles that arise in competitive laissez faire economies in the context of standard overlapping generations economies conditions for the existence of equilibrium cycles have been given by grandmont 1983 and by benhabib and day 1982 models of the economy with extrinsic uncertainty or sunspots that have been developed by shell 1977 and by cass and shell 1983 see also balasko 1983 can also lead to equilibrium cycles

the unholy trinity of financial contagion over the last 20 years some financial events such as devaluations or defaults have triggered an immediate adverse chain reaction in other countries which we call fast and furious contagion yet on other occasions similar events have failed to trigger any immediate international reaction we argue that fast and furious contagion episodes are characterized by the unholy trinity i they follow a large surge in capital flows ii they come as a surprise and iii they involve a leveraged common creditor in contrast when similar events have elicited little international reaction they were widely anticipated and took place at a time when capital flows had already subsided

sentiment spillover effects for us and european companies abstract the fast growing literature on news analytics provides evidence that financial markets are partially driven by sentiments in contrast with previous studies that have almost exclusively focused on the direct effects of the news related to single companies or sectors we investigate the time varying dynamics of news cross industry influences for a set of us and european stocks over a period of 10 years the graphical granger causality of the news sentiments excess return networks is estimated by applying the adaptive lasso we find significant spillover effects and show the importance of sentiments related to certain sectors for the whole cross section of stocks

anonymous market and group ties in international trade abstract history provides many examples of cohesive groups dispersed over several countries who exploit the ties between their members to gain entry into foreign markets the phenomenon is well established empirically and noteworthy because it suggests the importance of informational barriers in international transactions we present a simple model where output is produced through a joint venture and agents have complete information domestically but are unable to judge the quality of their match abroad a minority of individuals otherwise identical to all others can exploit complete information in international matches between group members if they so choose group ties increase aggregate trade and income but hurt the anonymous market because they deprive it disproportionately of the group s more productive members

information on sellers and buyers characteristics added value to explain price formation at primary fish markets in managed french scallop fisheries the aim of this article is to explore through a hedonic approach the factors that might explain the price variability for the french managed fishery of scallop at primary fish markets in addition to factors classically identified in the current literature like intrinsic product characteristics or markets situation the characteristics of operators are tested the relationships of loyalty between sellers and buyers and market assiduity are notably considered

what drives private saving around the world the authors investigate the policy and non policy factors behind saving disparities using a large panel data set and an encompassing approach including several relevant determinants of private saving they extend the literature in several dimensions by 1 using the largest data set on aggregate saving assembled to date 2 using panel instrumental variable techniques to correct for endogeneity and heterogeneity 3 performing robustness checks on changes in estimation procedures data samples and model specification their main empirical findings a private saving rates show considerable inertia are highly serially correlated even after controlling for other relevant factors b private sector rates rise with the level and growth rate of real per capita income so policies that spur development are in indirect but effective way to raise private saving rates c predictions of the life cycle hypothesis are supported in that dependency ratios generally have a negative effect on private saving rates d the precautionary motive for saving is supported by the finding that inflation conventionally taken as a summary measure of macroeconomic volatility has a positive impact on private saving holding other facts constant e fiscal policy is a moderately effective tool for raising national saving f the direct effect of financial liberalization are largely detrimental to private saving rates greater availability of credit reduces the private saving rate financial depth and higher real interest rates do not increase saving

stability and limit cycles in competitive equilibria subject to adjustment costs and dynamic spillovers abstract this paper derives conditions for hopf bifurcations in a general class of competitive equilibria where individual actions i lead to a dynamic spillover or an externality that is found e g in environmental economics and in the endogenous growth literature and ii these actions can be only sluggishly adjusted it turns out that only one and particularly simple to check condition allows for a hopf bifurcation in both instances of perfect foresight and myopic expectations growth of the spillover at the steady state in fact this condition ensures the existence of a bifurcation if the adjustment costs are sufficiently convex

systemic risk in european sovereign debt markets a covar copula approach abstract we studied systemic risk in european sovereign debt markets before and after the onset of the greek debt crisis taking the conditional value at risk covar as a systemic risk measure characterized and computed using copulas we found that before the debt crisis sovereign debt markets were all coupled and systemic risk was similar for all countries however with the onset of the greek crisis debt markets decoupled and the systemic risk of the countries in crisis excepting spain for the european debt market as a whole decreased whereas that of the non crisis countries increased to a small degree the systemic risk of the greek debt market for other countries in difficulties increased especially for portugal where systemic risk tripled after the onset of the crisis whereas the systemic impact on the non crisis countries decreased

a strategic model of social and economic networks we study the stability and efficiency of social and economic networks when self interested individuals can form or sever links first for two stylized models we characterize the stable and efficient networks there does not always exist a stable network that is efficient next we show that this tension persists generally to assure that there exists a stable network that is efficient one is forced to allocate resources to nodes that are not responsible for any of the production we characterize one such allocation rule the equal split rule and another rule that arises naturally from bargaining of the players

network effects market structure and industry performance abstract this paper analyzes oligopolistic markets with network externalities exploiting a minimal complementarity structure on the model primitives that allows for pure network goods we prove existence of non trivial fulfilled expectations equilibrium we formalize the concept of industry viability investigate its determinants and show that it improves with more firms in the market and or by technological progress these results enlighten some well known conclusions from case studies in the management strategy literature we also characterize the effects of market structure on industry performance which depart substantially from ordinary markets the approach relies on lattice theoretic methods supplemented with basic insights from nonsmooth analysis

an exact discount factor restriction for period three cycles in dynamic optimization models consider a standard aggregative dynamic optimization framework u where is the transition possibility technology set u is a reduced form utility function defined on this set and 0 1 a discount factor can an optimal program in this framework exhibit a period three cycle

formation of buyer seller trade networks in a quality differentiated product market we examine the formation of buyer seller links when exchange can take place only if such a link exists sellers produce products of different qualities and multiple sellers can form a sellers association to pool their customers setting uniform prices buyers form trade links with individual sellers or sellers associations we show which buyer seller links will form and find the set of links that are stable and show how these links influence prices we also show that a trade network mismatch may occur where a high quality good remains unsold even without an economy wide excess supply of goods jel classification d40 d51 d82

rolling planning optimality and decentralization abstract rolling planning is a procedure of continual revision of dynamic programs such that the horizon n lying ahead at the time of each revision remains constant since in a rolling plan the decisions about current resource allocation are implemented without being verified by future agents this procedure is viewed as a realization of an evolutionary mechanism of intertemporal decentralization the possibility of designing an evolutionary mechanism leading to optimal intertemporal allocations is generally an open question the paper establishes such a possibility for a multi sector ramsey model it proves that rolling plans with the horizon n 2 maximize the average utility over the infinite time interval

news spillovers from the greek debt crisis impact on the eurozone financial sector abstract we examine the impact of changes in greek sovereign yield spreads on abnormal returns of financial sector stocks for a sample of eurozone countries during the greek debt crisis we find that increases in yield spreads are associated with negative abnormal returns on financial stocks in the portugal spain and netherlands these abnormal returns are driven in part by ratings downgrades and other unfavorable news announcements about greece we isolate the effects of known transmission channels impairment of financial firms asset base due to cross holdings of greek bonds from increases in domestic interest rates and higher funding costs our analysis indicates that news events lead to spillovers in excess of what can be explained by these channels of transmission