the effects of taxation price control and government contracts in oligopoly and monopolistic competition abstract many government contracts with or policies towards oligopolistic sectors essentially involve private firms selling a given proportion or quantity of output to the government at a fixed price p r with the remainder being sold on the open market often this is combined with consumer rationing examples include cement and sugar in india and health housing and defence in many countries the paper investigates the effects of these schemes including sales and excise taxation on prices output and household welfare under oligopoly and monopolistic competition less government control reduced may raise prices and tax shifting can be above or below 100 percent

heterogeneous information arrivals and return volatility dynamics uncovering the long run in high frequency returns recent empirical evidence suggests that the interdaily volatility clustering for most speculative returns are best characterized by a slowly mean reverting fractionally integrated process meanwhile much shorter lived volatility dynamics are typically observed with high frequency intradaily returns the present article demonstrates that by interpreting the volatility as a mixture of numerous heterogeneous short run information arrivals the observed volatility process may exhibit long run dependence as such the long memory characteristics constitute an intrinsic feature of the return generating process rather than the manifestation of occasional structural shifts these ideas are confirmed by our analysis of a one year time series of fiveminute deutschemark u s dollar exchange rates among the most puzzling issues is the behavior of volatility while the general properties of volatility remain elusive perhaps the most intriguing feature revealed by empirical work on volatility is its long persistence such behavior has sparked a search almost akin to that for the holy grail for the perfect garch model but the underlying question of why such volatility persistence endures remains unanswered we conjecture that the ability to analyze higher frequency data may be particularly useful in pursuing this issue goodhart and o hara 1997 the pronounced volatility clustering is arguably one of the most striking features of financial price series recorded at daily or weekly intervals and a large body of literature seeking to characterize this aspect of speculative returns has emerged over the past decade 1 at the same time convincing theoretical explanations for the underlying sources of long run persistence in volatility remain elusive the recent advent of comprehensive high frequency andersen is from the j l kellogg graduate school of management of northwestern university bollerslev is from the university of virginia and is a research associate at the national bureau of economic research we gratefully acknowledge the financial support provided by a research grant from the institute for quantitative research in finance the q group special thanks are due to olsen and associates for making the intradaily exchange rate quotes and reuter s news tape available we have received valuable comments from wake epps clive w j granger stephen f gray j huston mcculloch as well as seminar participants at the december 1996 triangle econometrics workshop the 1997 afa meetings in new orleans academia sinica the wharton school usc and georgetown and york universities we remain fully responsible for the content 1 see bollerslev chou and kroner 1992 for a survey of this literature using arch type

answering the skeptics yes standard volatility models do provide accurate forecasts a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using arch and stochastic volatility models while most of these studies have documented highly significant in sample parameter estimates and pronounced intertemporal volatility persistence traditional ex post forecast evaluation criteria suggest that the models provide seemingly poor volatility forecasts contrary to this contention we show that volatility models produce strikingly accurate interdaily forecasts for the latent volatility factor that would be of interest in most financial applications new methods for improved ex post interdaily volatility measurements based on high frequency intradaily data are also discussed

is volatility clustering of asset returns asymmetric abstract volatility clustering is a well known stylized feature of financial asset returns this paper investigates asymmetric pattern in volatility clustering by employing a univariate copula approach of chen and fan 2006 using daily realized kernel volatilities constructed from high frequency data from stock and foreign exchange markets we find evidence that volatility clustering is highly nonlinear and strongly asymmetric in that clusters of high volatility occur more often than clusters of low volatility to the best of our knowledge this paper is the first one to address and uncover this phenomenon in particular the asymmetry in volatility clustering is found to be more pronounced in the stock markets than in the foreign exchange markets further the volatility clusters are shown to remain persistent for over a month and asymmetric across different time periods our findings have important implications for risk management a simulation study indicates that models which accommodate asymmetric volatility clustering can significantly improve the out of sample forecasts of value at risk

evaluating interval forecasts a complete theory for evaluating interval forecasts has not been worked out to date most of the literature implicitly assumes homoskedastic errors even when this is clearly violated and proceed by merely testing for correct unconditional coverage consequently i set out to build a consistent framework for conditional interval forecast evaluation which is crucial when higher order moment dynamics are present the new methodology is demonstrated in an application to the exchange rate forecasting procedures advocated in risk management

the welfare effects of different pricing schemes for electricity distribution in finland the main components of electricity prices can be divided into the wholesale price the price of network operations and taxes even if the wholesale price is determined efficiently total welfare can be significantly disturbed if network operations are priced inefficiently in this study we calculate network prices based on four alternative methods these are marginal cost pricing ramsey pricing fdc pricing and optimal two part tariffs the welfare effects on the prevailing pricing system are compared we show that potentially significant improvements in welfare can be achieved by using marginal cost prices or optimal two part tariffs also ramsey pricing indicates that prevailing prices are inefficient

corruption and the role of information several studies have explored how certain economic and cultural variables affect a country s corruption level this study extends previous research by not only considering these variables but also taking into account the impact that information and communication technology can have on corruption the results indicate that the greater the access to information the lower the corruption levels therefore bridging the digital disparity across countries can also serve to lessen national corruption levels

culture income and co2 emission given the devastating effects of global warming the problem of human induced climate change and in particular carbon dioxide emissions has been high on the global policy agenda in this study we examine the relationship between national culture carbon dioxide emissions and economic growth in the framework of the environmental kuznets curve ekc applying system gmm panel estimator across 69 developed and developing countries we confirm the existence of ekc and show that culture significantly affects the income emission relationship moreover the effects of the six cultural dimensions on ekc can be collapsed into two i masculinity power distance and indulgence move the ekc upward and shift the income turning point to the left and ii individualism uncertainty and long term orientation move the ekc downward while shifting the income turning point to the right the impact of culture on ekc remains also robust for alternative specifications future policy and global initiatives in sustainable development should incorporate the multidimensional impact of culture on national behavior towards environment and economic growth a relationship that has been largely ignored in economic decision making models

perceptions of country corruption antecedents and outcomes globalization has increased the need for managers and future managers to predict the potential for country corruption this study examines the relationship between hofstede s cultural dimensions and how country corruption is perceived power distance individualism and masculinity were found to explain a significant portion of the variance in perceived corruption a significant portion of country s risk trade flow with u s a foreign investment and per capita income was explained by perceived corruption

roughing it up including jump components in the measurement modeling and forecasting of return volatility a rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high frequency returns coupled with simple modeling procedures building on recent theoretical results in barndorff nielsen and shephard 2004a 2005 for related bi power variation measures the present paper provides a practical and robust framework for non parametrically measuring the jump component in asset return volatility in an application to the dm exchange rate the s p500 market index and the 30 year u s treasury bond yield we find that jumps are both highly prevalent and distinctly less persistent than the continuous sample path variation process moreover many jumps appear directly associated with specific macroeconomic news announcements separating jump from non jump movements in a simple but sophisticated volatility forecasting model we find that almost all of the predictability in daily weekly and monthly return volatilities comes from the non jump component our results thus set the stage for a number of interesting future econometric developments and important financial applications by separately modeling forecasting and pricing the continuous and jump components of the total return variation process

discriminatory nonlinear pricing fixed costs and welfare in intermediate goods markets abstract we investigate the welfare effects of third degree price discrimination in input markets when nonlinear wholesale tariffs are feasible after accepting their respective wholesale contracts two downstream firms have to pay a fixed cost in order to become active in the downstream market if the downstream firm with lower marginal cost has significantly higher fixed cost uniform pricing leads to lower marginal wholesale prices for all downstream firms and thus higher quantities of the final product being produced this in turn implies that banning price discrimination improves welfare and consumer surplus if the downstream firm with lower marginal cost has only weakly higher or even lower fixed cost banning price discrimination deteriorates welfare and consumer surplus

consumer ethics an empirical investigation of the ethical beliefs of austrian consumers business and marketing ethics have come to the forefront in recent years while consumers have been surveyed regarding their perceptions of ethical business and marketing practices research has been minimal with regard to their ethical beliefs and ideologies in addition no study has examined the ethical beliefs of austrian consumers even though austria maintains a unique status of political neutrality nonalignment stability economic prosperity and geographical proximity to the east and west european countries this research investigates the relationship between machiavellianism ethical ideology and ethical beliefs of austrian consumers the results indicate that austrian consumers are mostly situationists who while rejecting moral rules judge the ethics of a behavior by the consequences and outcomes of the situation

covariance breakdowns and connectedness of crude oil futures markets with non synchronous data this article identifies the breakdowns in the covariance of three benchmark crude oil futures markets wti brent and dubai and investigates the changes of market connectedness across the breakdow

the influence of country and industry on ethical perceptions of senior executives in the u s and europe this paper reports the results of a large scale survey among senior executives in the u s the u k germany and austria the research provides empirical evidence on the variation of perceptions of ethical issues by country and type of firm our findings suggest that country and industry type have significant effects both with regard to identification of ethical problems and the comprehensiveness of written ethics policies and ethics training

optimal nonuniform prices we consider optimal nonuniform pricing schedules where the price depends upon the amount purchased such schedules are regularly used by public utilities and other services welfare optimal nonuniform prices are related to the theory of optimal uniform prices developed by ramsey we characterize situations in which upward or downward discontinuities in pricing schedules are optimal our results are applicable to a number of related problems including optimal taxation insurance and incentives economic theory has confined most of its attention to markets with uniform prices in which the price per unit charged is invariant to the level of a customer s purchases this focus is warranted when goods are resellable since any attempt to charge nonuniform prices could be circumvented by reselling amongst customers but when goods are not resellable nonuniform prices are not only possible but common public utilities have declining block pricing with lower unit charges for large levels of consumption many agencies providing services including communications transportation even education use two part pricing with a fixed entry or retainer charge and a further charge per unit consumption nonuniform price schedules can be expected to be ever more common as services become a larger fraction of total output the increasing prevalence of nonuniform pricing policies have made them the focus of recent public and economic attention oi 1971 feldstein 1972 and ng and weisser 1974 have examined optimal two part pricing policies leland and meyer 1976 examine block pricing and show by example that optimal welfare policies may require nonuniform prices if zero profit constraints are binding in this paper we consider arbitrary nonuniform pricing policies using variational techniques two part and block pricing schedules are of course special cases of the environment we consider the work most closely related to our examination is the seminal paper by spence 1978 and subsequent analysis by roberts 1979 spence however does not pay explicit attention to the key role played by constraints on optimal pricing schedules roberts considers upward price discontinuities which lead to bunching of consumers at a given level of consumption but not downward price discontinuities which lead to regions in which no consumer chooses to consume gaps bunching or gaps may appear in the optimal price schedule even when underlying demand and cost functions are smooth and well behaved the prevalence of discontinuous pricing schedules e g the block pricing structures of public utilities argues that these questions are of practical as well as theoretical interest

wealth culture and corruption this paper examines the impact of national wealth income distribution government size and four cultural variables on the perceived level of corruption in a country the study finds that corruption is significantly correlated to gnp per capita power distance masculinity and uncertainty avoidance significant interaction effects occur in collectivistic and high power distance countries suggestions for future research are developed

tax design in the presence of imperfect competition an example abstract this paper studies the effects upon price output and entry in an oligopolistic market induced by tax policy elsewhere in the economy the results derived are applied to a model of copying to find conditions for which subsidisation of the manufacturers of originals is welfare improving the critical factor is found to be the distribution of consumers tastes

the copula garch model of conditional dependencies an international stock market application abstract modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics when returns are non normal it is often simply impossible to specify the multivariate distribution relating two or more return series in this context we propose a new methodology based on copula functions which consists in estimating first the univariate distributions and then the joining distribution in such a context the dependency parameter can easily be rendered conditional and time varying we apply this methodology to the daily returns of four major stock markets our results suggest that conditional dependency depends on past realizations for european market pairs only for these markets dependency is found to be more widely affected when returns move in the same direction than when they move in opposite directions modeling the dynamics of the dependency parameter also suggests that dependency is higher and more persistent between european stock markets

optimal two part tariffs for inputs the case of imperfect competition abstract traditionally the analysis of optimal two part tariffs has assumed that the regulated firm is selling directly to final consumers in this paper the authors take account of the fact that many of the utility s customers are firms which use the utility s output as an input in their own production process and then sell to final consumers the downstream firms are assumed to be imperfectly competitive and the optimal two part tariff is affected by the need to correct for the consequent divergence between price and marginal cost in the downstream industry

who buys overpackaged grocery products and why understanding consumers reactions to overpackaging in the food sector while most studies dealing with waste reduction at the consumer level focus on recycling this paper rather concentrates on precycling strategies and purchasing behaviors in order to understand how to promote waste reduction at the source more specifically the purpose of this work is to grasp consumers perceptions of overpackaging and understand the mechanisms underlying their choice of overpackaged versus non overpackaged food products based on the different themes that emerged from a qualitative study study 1 n 11 a quantitative research was conducted among french interviewees study 2 n 327 in order to identify relevant groups of consumers five profiles emerged from the cluster analysis the supporters the self sacrificing the detractors the indifferent and the self centered finally an experiment was conducted study 3 n 808 that highlights the influence of range positioning and salience of non overpackaging on consumer choice implications for public policy makers and companies are discussed

dependence structure between the equity market and the foreign exchange market a copula approach abstract this paper investigates the dependence structure between the equity market and the foreign exchange market by using copulas in particular several copulas with different dependence structure are compared and used to directly model the underlying dependence structure we find that there exists significant symmetric upper and lower tail dependence between the two financial markets and the dependence remains significant but weaker after the launch of the euro our findings have important implications for both global investment risk management and international asset pricing by taking into account joint tail risk

portfolio optimization in the presence of dependent financial returns with long memory a copula based approach abstract in this paper we seek to examine the effect of the presence of long memory on the dependence structure between financial returns and on portfolio optimization first we focus on the dependence structure using copulas to select the best copula in addition to the goodness of fit tests we employ a graphical method based on visual comparison of the fitted copula density and the smoothed copula density estimated by wavelets moreover we check the stability of the copula parameter the empirical results show that the long memory affects the dependence structure second we analyze the impact of this dependence structure on the optimal portfolio we propose a new approach based on minimizing the conditional value at risk and assuming that the dependence structure is modeled by the copula parameter the empirical results show that our approach outperforms the traditional minimizing variance approach where the dependence structure is represented by the linear correlation coefficient

realized garch a joint model for returns and realized measures of volatility summary we introduce a new framework realized garch for the joint modeling of returns and realized measures of volatility a key feature is a measurement equation that relates the realized measure to the conditional variance of returns the measurement equation facilitates a simple modeling of the dependence between returns and future volatility realized garch models with a linear or log linear specification have many attractive features they are parsimonious simple to estimate and imply an arma structure for the conditional variance and the realized measure an empirical application with dow jones industrial average stocks and an exchange traded index fund shows that a simple realized garch structure leads to substantial improvements in the empirical fit over standard garch models that only use daily returns copyright 2011 john wiley sons ltd

values versus regulations how culture plays its role this study examines the impact of culture on regulation and corruption our empirical results suggest that cultural values have significant effects on countries regulatory policies levels of corruption and economic development contrary to the conclusions drawn by others this study shows no significant relationship between the regulatory policies of countries and their perceived levels of corruption thus evidence of the public choice view toward entry regulation derived in related studies seems to be at least attenuated

estimating quadratic variation using realized variance this paper looks at some recent work on estimating quadratic variation using realised variance rv that is sums of m squared returns this econometrics has been motivated by the advent of the common availability of high frequency financial return data when the underlying process is a semimartingale we recall the fundamental result that rv is a consistent as m estimator of quadratic variation qv we express concern that without additional assumptions it seems difficult to give any measure of uncertainty of the rv in this context the position dramatically changes when we work with a rather general sv model which is a special case of the semimartingale model then qv is integrated variance and we can derive the asymptotic distribution of the rv and its rate of convergence these results do not require us to specify a model for either the drift or volatility functions although we have to impose some weak regularity assumptions we illustrate the use of the limit theory on some exchange rate data and some stock data we show that even with large values of m the rv is sometimes a quite noisy estimator of integrated variance

measuring unethical consumer behavior across four countries the huge amounts spent on store security and crime prevention worldwide not only costs international businesses but also amounts to a hidden tax on those law binding consumers who bear higher prices most previous research has focused on shoplifting and ignored many other ways in which consumers cheat businesses using a hybrid of both qualitative research and survey approaches in four countries an index of 37 activities was developed to examine consumers unethical activities across uk us france and austria the findings indicate that around three quarters of consumers in all four countries can be classified as heavy offenders for these minor cheats the paper argues that government agencies marketers and retailers should adopt more pro active preventative approaches rather than reactive loss limitation measures to combat unethical behavior

a cross national investigation on how ethical consumers build loyalty toward fair trade brands although fair trade has recently experienced rapid growth around the world there is lack of consumer research that investigates what determines consumers loyalty toward fair trade brands in this research we investigate how ethical consumption values ecv and two mediating variables fair trade product beliefs ftpb and fair trade corporate evaluation ftce determine fair trade brand loyalty ftbl on the basis of two empirical studies that use samples from the u s and korea we provide evidence demonstrating that the manner in which ecv influence ftbl differs in the u s and korea in the u s ecv determine ftbl only indirectly via ftpb whereas in korea they determine ftbl directly as well as indirectly via ftce we discuss theoretical and managerial implications of these findings

do consumers care about ethical luxury this article explores the extent to which consumers consider ethics in luxury goods consumption in particular it explores whether there is a significant difference between consumers propensity to consider ethics in luxury versus commodity purchase and whether consumers are ready to purchase ethical luxury prior research in ethical consumption focuses on low value commoditized product categories such as food cosmetics and high street apparel it is debatable if consumers follow similar ethical consumption patterns in luxury purchases findings indicate that consumers propensity to consider ethics is significantly lower in luxury purchases when compared to commoditized purchases and explores some of the potential reasons for this reduced propensity to identify or act upon ethical issues in luxury consumption

international diversification a copula approach abstract the viability of international diversification involves balancing benefits and costs this balance hinges on the degree of asset dependence in light of theoretical research linking diversification and dependence we examine international diversification using two measures of dependence correlations and copulas we document several findings first dependence has increased over time second we find evidence of asymmetric dependence or downside risk in latin america but less in the g5 the results indicate very little downside risk in east asia third east asian and latin american returns exhibit some correlation complexity interestingly the regions with maximal dependence or worst diversification do not command large returns our results suggest international limits to diversification they are also consistent with a possible tradeoff between international diversification and systemic risk

a revisit to the dependence structure between the stock and foreign exchange markets a dependence switching copula approach abstract this paper develops a dependence switching copula model to examine dependence and tail dependence for four different market statuses namely rising stocks appreciating currency falling stocks depreciating currency rising stocks depreciating currency and falling stocks appreciating currency the model is then applied to daily stock returns and exchange rate changes for six major industrial countries over the 1990 2010 period the dependence and tail dependence among the above four market statuses are asymmetric for most countries in the negative correlation regime but symmetric in the positive correlation regime these results enrich the findings in the existing literature and suggest that analyzing cross market linkages within a time invariant copula framework may not be appropriate

long range dependence in daily stock volatilities recent empirical studies show that the squares of high frequency stock returns are long range dependent and can be modeled as fractionally integrated processes using for example long memory stochastic volatility models are such long range dependencies common among stocks are they caused by the same sources of variation in this article we classify daily stock returns of standard and poor 500 companies on the basis of a company s size and its business or industrial sector and estimate the strength of long range dependence in the stock volatilities using two different methods almost all of the companies analyzed exhibit strong persistence in volatility we then use a canonical correlation method to identify common long range dependent components in groups of companies finding strong evidence in support of common persistence in volatility finally we use a chi squared test to study the effects of company size and sector on the number of common long range dependent volatility components detected in g

to pirate or not to pirate a comparative study of the ethical versus other influences on the consumer s software acquisition mode decision consumers of software often face an acquisition mode decision namely whether to purchase or pirate that software in terms of consumer welfare consumers who pirate software may stand in opposition to those who purchase it marketers also face a decision whether to attempt to thwart that piracy or to ignore if not encourage it as an aid to their software s diffusion and policymakers face the decision whether to adopt interventionist policies which are government centric or laissez faire policies which are marketer centric here in order to assess the decision making of all three of these stakeholders we focus on the consumer s point of view as central and examine it by considering on a comparative basis the ethical dimension versus other dimensions including economic legal and other salient consumer behavior considerations based on a survey of 689 software consumers conducted over the internet the results indicate that ethics as a factor is embedded in a multidimensional set of determinant factors influencing software piracy including attitudes legal aspects social support perceptions of economic loss and age policy and research implications based on these findings are provided

consumer ethics an assessment of individual behavior in the market place a national sample of 362 respondents assessed the ethical predisposition of the american marketplace by calculating a consumer ethics index the results indicate that the population is quite intolerant of perceived ethical abuses the situations where consumers are ambivalent tend to be those where the seller suffers little or no economic harm from the consumer s action younger more educated and higher income consumers appear more accepting of these transgressions the results provided the basis for developing a four group taxonomy of consumers which retailers should find insightful in assessing potential consumer actions in a variety of situations

political variables in cross country growth analysis the recent boom in cross country growth analysis has renewed the empirical interest in political sources of economic growth a large number of studies have tested political variables in growth regressions and a very heterogenous set of variables has been proposed to measure economically relevant differences in the political systems of countries this paper distinguishes five categories of relevant political variables democracy government stability political violence policy volatility and subjective perception of politics for each of these categories the specification testing method and results of the most relevant studies are presented and are critically discussed the paper concludes that measures of democracy are least successful and measures of policy volatility and subjective perception of politics most successful as explanatory variables in cross country growth regressions