robust portfolio optimization with derivative insurance guarantees robust portfolio optimization aims to maximize the worst case portfolio return given that the asset returns are allowed to vary within a prescribed uncertainty set if the uncertainty set is not too large the resulting portfolio performs well under normal market conditions however its performance may substantially degrade in the presence of market crashes that is if the asset returns materialize far outside of the uncertainty set we propose a novel robust optimization model for designing portfolios that include european style options this model trades off weak and strong guarantees on the worst case portfolio return the weak guarantee applies as long as the asset returns are realized within the prescribed uncertainty set while the strong guarantee applies for all possible asset returns the resulting model constitutes a convex second order cone program which is amenable to efficient numerical solution procedures we evaluate the model using simulated and empirical backtests and analyze the impact of the insurance guarantees on the portfolio performance

analysis of the changing influences on traditional households ownership patterns abstract sociological and economic forces have begun to alter ownership patterns in ways not yet captured by movements in the aggregate ownership rate while demographic factors such as marital status and family structure remain influential in determining tenure choice their impact has waned particularly among the best educated households and those with rising real incomes labor market conditions as evidenced by increasing returns to skill are more strongly felt than ever before in the housing market the impact on owning of being highly educated now rivals the influence of being married with minor children increasingly delayed ownership is a reality even for traditional family units with 36 to 45 year old heads that have not prospered in the labor market the rising real cost of even relatively inexpensive suburban housing is also beginning to be reflected in a heightened impact for real family income on tenure choice finally race currently is more adversely influential in determining suburban ownership for young middle aged minority families than it was in 1960 particularly if the household head is not well educated we suspect this is due to racially disparate impacts of increasingly rigorous zoning regulations and higher impact fees in the suburbs

the distributional effects of imf programs a cross country analysis abstract this paper measures the effects of 58 international monetary fund programs during 1975 91 on gini coefficients and income of the poorest quintile these variables are traced over the two to five years following program initiation this research also presents a new technique to control for differences in countries initial economic circumstances the study finds evidence of a significant deterioration in income distribution and the incomes of the poor in fund program countries relative to their nonprogram counterparts when pre program external imbalance is severe in cases where prior external imbalance is not as great countries participating in fund programs actually show relative improvements in distributional indicators

caught in the housing bubble immigrants housing outcomes in traditional gateways and newly emerging destinations research has documented that immigrants have moved in large numbers to almost every metropolitan area and select rural areas in the us in the midst of these demographic shifts the country has experienced a profound recession to date there has been little research on the impact of the recession on immigrants across the us using 2006 and 2009 american community survey microdata the paper assesses how the recent economic crisis has affected latino and asian immigrants with respect to two housing outcomes homeownership and headship over two important time points in the recent economic cycle immigrants have worse housing outcomes and significantly lower mobility rates after the recession regression results suggest that the negative impacts from the recession are strongest in the gateway metropolitan areas and that after controlling for residence in the hardest hit areas increases in metropolitan level unemployment and mortgage delinquency rates have a negative impact on homeownership rates the results also suggest that even though the recession has disrupted immigrants upward trajectory in the housing markets the effect has not been as severe on immigrants as one might expect in particular the places where immigrant populations are newest have not experienced as large a reduction in homeownership as those in the large immigrant gateways even in the established gateways the decline in homeownership has been smaller for immigrants than for us born households

immigration and economic resilience in the great recession the 2007 2009 financial crisis has caused economic disruption in many us cities and has drawn considerable academic attention despite abundant evidence of immigrants economic and social value to

political regimes and economic growth arguments that relate regimes to growth focus on property rights pressures for immediate consumption and the autonomy of dictators while everyone seems to agree that secure property rights foster growth it is controversial whether democracies or dictatorships better secure these rights the main mechanism by which democracy is thought to hinder growth is pressure for immediate consumption which reduces investment only states that are institutionally insulated from such pressures can resist them and democratic states are not the main argument against dictatorships is that authoritarian rulers have no interest in maximizing total output these views are summarized in turn

the effects of imf programs in the third world debate and evidence from latin america abstract this article reviews the debate about the effects of imf sponsored stabilization programs in the third world after examining recent studies by fund economists results of a new study on a latin american country set are presented in this research imf programs are associated with insignificant changes in the current account significant improvements in the overall balance of payments increases in inflation mixed effects on growth and a strong and consistent pattern of reduction in labor share of income the latter result is incorporated into a distribution oriented critique of fund policy

economic liberalization via imf structural adjustment sowing the seeds of civil war previous studies that have explored the effects of economic liberalization on civil war have employed aggregate measures of openness and have failed to account for potential endogeneity bias in this research note we suggest two improvements to the study of the relationship between liberalization and civil war first emphasizing that it is processes that systematically create new economic winners and losers rather than particular levels of economic openness that have the potential to generate conflict we consider the effects of one oft used means of liberalizing economies the adoption by countries of international monetary fund imf structural adjustment programs second we use a bivariate probit model to address issues of endogeneity bias analyzing all data available for the period between 1970 and 1999 we identify an association between the adoption of imf programs and the onset of civil war this finding suggests that imf programs to promote economic openness unintentionally may be creating an environment conducive to domestic conflict

economic stabilization conditionality and political stability imf conditionality is seldom so important that it dominates all other considerations for political stability imf stabilization programs often shift benefits from one group to another they expose elites to charges of selling the sovereignty of their countries the imposition of imf conditions particularly subsidy cuts may lead to sharp outbreaks of civil disorder nonetheless the imf provides resources that make adjustment easier and thus may lessen the chances of political instability for a country imf programs are seldom implemented fully as negotiated and the penalties for partial compliance are not great debtor countries have more flexibility in imposing austerity measures and the economic constraints are less binding than often assumed the very availability of alternatives to imf programs results in internal divisions because some favor debt repudiation and others oppose it groups now contend over solutions to the debt problems of their countries

investing in the peace economic interdependence and international conflict research appears to substantiate the liberal conviction that trade fosters global peace still existing understanding of linkages between cone ict and international economics is limited in at least two ways first cross border economic relationships are far broader than just trade global capital markets dwarf the exchange of goods and services and states engage in varying degrees of monetary policy coordination second the manner in which economics is said to inhibit cone ict behavior is implausible in light of new analytical insights about the causes of war we discuss and then demonstrate formally how interdependence can ine uence states recourse to military violence the risk of disrupting economic linkages particularly access to capital may occasionally deter minor contests between interdependent states but such opportunity costs will typically fail to preclude militarized disputes instead interdependence offers nonmilitarized avenues for communicating resolve through costly signaling our quantitative results show that capital interdependence contributes to peace independent of the effects of trade democracy interest and other variables students of world politics have long argued that peace is a positive externality of global commerce theorists like montesquieu and kant and practitioners like woodrow wilson asserted that economic relations between states pacify political interaction mounting evidence in recent years appears to substantiate these claims multiple studies many identie ed with the democratic peace link interstate trade with reductions in militarized disputes or wars 1 while we concur with the evolving

the eurotower strikes back crises adjustments and europe s austerity protests the 2008 global financial crisis came with fears and for some hopes that a new wave of public mobilization would emerge in industrialized countries especially throughout the european union eu the epicenter of the crisis large protests were expected yet the energy with which social groups mobilized against the proposed austerity measures quickly fizzled this article provides new evidence for why this was the case in line with neo keynesian theory we argue that the interest rate adjustments and political announcements of the european central bank ecb limited the potential for mass unrest in the member states of the economic and monetary union emu affected by the crisis we provide evidence for our argument with yearly panel data and a new original data set of monthly political protests between 2001 and 2013 our analyses support the hypothesis that the ecb was able to successfully assuage dissatisfaction with the limited reform options of the eurozone member states in the wake of the eurocrisis

flexible multivariate garch modeling with an application to international stock markets this paper offers a new approach to estimating time varying covariance matrices in the framework of the diagonal vech version of the multivariate garch 1 1 model our method is numerically feasible for large scale problems produces positive semidefinite conditional covariance matrices and does not impose unrealistic a priori restrictions we provide an empirical application in the context of international stock markets comparing the new estimator with a number of existing ones

misleading comparisons of homeownership rates when the variable effect of household formation is ignored explaining rising homeownership and the homeownership gap between blacks and asians in the us despite ominous signs of housing market stress in the us the homeownership rate reached an all time high in 2006 the conventional definition of homeownership which is based on the share of households and ignores the effects of variable household formation confounds the measurement of success in achieving homeownership it is found that from 1990 to 2006 declining household formation led to an elevated homeownership rate in the us and that this effect varies substantially between racial ethnic groups asians who achieve high homeownership rates have the lowest propensity to form independent households in sharp contrast to african americans asians do not have better access per capita to owner occupied housing than do blacks the conventional measure of homeownership is an incomplete measure of homeownership opportunity because it fails to account for variable household formation the changing population mix in the us includes groups with different propensities for household formation thus confusing future assessments of homeownership and the housing market

what happens to household formation in a recession abstract while many studies have investigated the determinants of housing demand very few studies have focused on how economic conditions affect the formation of potential households directly potential households may choose to delay entry into the housing market by remaining with one s parents during times of economic hardship or by combining with other persons to share housing costs using a variety of modeling approaches we find that both the increase in the unemployment rate and the presence of recessions reduce the rate of household formation simulations suggest that these declines are substantively important for example in a recession the likelihood that a young adult will form an independent household falls by 1 9 points depending on the age of the person by way of comparison if an individual is unemployed the likelihood of leaving the parental home is up to 11 points lower

the economic determinants of young people s household formation the paper derives predictions about the impact of the price of housing young adults income and parental income on the probability that a young adult in the united kingdom lives apart from his her parents it shows that the predicted effect of the price of housing is intimately related to the price elasticity of housing demand it uses longitudinal data on a cohort of britons born in 1958 surveyed in the national child development study to estimate dynamic models of first departure from the parental home and particularly to estimate the impact of housing price on the timing and destination of first departure excerpt

the response of latino immigrants to the great recession occupational and residential im mobility during the great recession in the us there were distinct housing and labour markets that were particularly hard hit this was primarily due to the fact that the housing industry had fueled much of the recent economic growth this article takes advantage of the shock to the construction industry to investigate the responses of latino immigrants in metropolitan areas that were most heavily concentrated with latino immigrants in the construction industry as expected there were large declines in the proportion of the latino immigrant population that was working in the construction industry during the recession there were some shifts of employment in the industry after the recession but the biggest change was in the number of unemployed while declines in construction jobs did predict moving out of a metropolitan area decline in the overall job market had a larger impact on mobility finally we find evidence that those who moved out of the metropolitan area were less likely to be employed although it i

a field study of rental market discrimination across origins in france abstract discrimination against particular groups in the housing market increases search costs and limits optimal matching thus resulting in economic and social inefficiencies this paper tests for the existence of discrimination in the french rental market against individuals with names which signal their connection to five immigrant groups northern africa sub saharan africa turkey poland portugal spain by implementing an online field study using one of france s largest online advertisements website the results show that applicants with foreign sounding names coming from northern africa sub saharan africa and turkey are 16 to 22 percentage points less likely to receive a response than applicants with french names or names associated with poland portugal or spain in addition when applicants with foreign sounding names from any origin receive a response it is significantly more likely to be negative or include a request for more information than responses to emails including french sounding names finally we find some geographic differences in response rate differentials that are correlated with differences in the local income and share of immigrants this provides evidence that landlords use names as a proxy for economic and other sociodemographic characteristics

multistage optimization of option portfolio using higher order coherent risk measures abstract choosing a suitable risk measure to optimize an option portfolio s performance represents a significant challenge this paper is concerned with illustrating the advantages of higher order coherent risk measures to evaluate option risk s evolution it discusses the detailed implementation of the resulting dynamic risk optimization problem using stochastic programming we propose an algorithmic procedure to optimize an option portfolio based on minimization of conditional higher order coherent risk measures illustrative examples demonstrate some advantages in the performance of the portfolio s levels when higher order coherent risk measures are used in the risk optimization criterion

spatial housing economics a survey this introduction to the virtual special issue surveys the development of spatial housing economics from its roots in neoclassical theory through more recent developments in social interactions modelling and touching on the role of institutions path dependence and economic history the survey also points to some of the more promising future directions for the subject that are beginning to appear in the literature the survey covers elements of hedonic models spatial econometrics neighbourhood models housing market areas housing supply models of segregation migration housing tenure subnational house price modelling including the so called ripple effect and agent based models possible future directions are set in the context of a selection of recent papers that have appeared in urban studies nevertheless there are still important gaps in the literature that merit further attention arising at least partly from emerging policy problems these include more research on housing and biodiversity

why are hispanic and asian american homeownership rates so low immigration and other factors abstract the homeownership rates of hispanic and asian american households are significantly less than that of other demographic groups in the us especially after accounting for income and other characteristics this naturally leads to an investigation of the impact of immigration characteristics of various groups on the propensity for homeownership it is found that being an immigrant has a substantial negative effect on the probability of being a homeowner but that this effect dissipates over time the relative youth of these two groups in and of itself plays a significant role in lowering their homeownership rate as does the relatively high rate of residence in areas with high value rent ratios

the effect of imf programs on labor abstract previous studies find that imf programs have negative effects on income distribution the international monetary fund and latin america economic stabilization and class conflict westview press boulder 1987a world dev 15 1987b 365 world dev 28 2000 1031 no study however has used parametric methods to control for nonrandom selection using a dynamic version of the heckman selection model i study the effect of imf programs on the labor share of income from manufacturing my conclusions are supported by 2 095 observations of 110 countries during 1961 93