the retirement behaviour of the self employed in britain we analyze the retirement behaviour of older self employed workers using a life cycle framework and a multinomial logit model of dynamic employment and retirement choices using data from the two wave retirement survey we find that greater actual or potential earnings decrease the probability of retirement among the self employed in contrast to employees none of gender health or family circumstances appear to affect self employed retirement decisions the dynamic analysis reveals that relatively few employees and virtually no retirees switch into self employment in later life the switches that do occur are motivated less by attempts to use self employment as a bridge job or stepping stone to full retirement than by self employment being a last resort for less affluent workers with job histories of weak attachment to the labour market we compare self employed and employee retirement behaviour and discuss the policy implications of our results

dynamic programming model estimates of social security disability insurance application timing this paper develops a dynamic programming model of the social security disability insurance ssdi application timing decision we estimate the time to application from the point at which a health condition first begins to affect the kind or amount of work that a currently employed person can do we use health and retirement study hrs and restricted access social security earnings data for estimation our results show that the type of work limiting health condition presence of employer accommodation and the relative value of income in the application state to income in the work state significantly affect the timing of ssdi application copyright 2004 john wiley sons ltd

reference dependent preferences and labor supply the case of new york city taxi drivers i develop a model of daily labor supply where preferences are dependent on a reference daily income level and i apply this model to data on the labor supply of new york city taxi drivers i find that there may be a reference level of income on a given day that affects labor supply however there is substantial day to day variation in a given driver s reference level and most shifts end before reaching the reference income level this pattern is inconsistent with an important role for reference dependent preferences

monotone stochastic choice models the case of risk and time preferences suppose that when evaluating two alternatives x and y by means of a parametric utility function low values of the parameter indicate a preference for x and high values indicate a preference for y

stochastic convenience yield and the pricing of oil contingent claims this paper develops and empirically tests a two factor model for pricing financial and real assets contingent on the price of oil the factors are the spot price of oil and the instantaneous convenience yield the parameters of the model are estimated using weekly oil futures contract prices from january 1984 to november 1988 and the model s performance is assessed out of sample by valuing futures contracts over the period november 1988 to may 1989 finally the model is applied to determine the present values of one barrel of oil deliverable in one to ten years time

evaluating natural resource investments notwithstanding impressive advances in the theory of finance over the past 2 decades practical procedures for capital budgeting have evolved only slowly the standard technique which has remained unchanged in essentials since it was originally proposed see dean 1951 bierman and smidt 1960 derives from a simple adaptation of the fisher 1907 model of valuation under certainty under this technique expected cash flows from an investment project are discounted at a rate deemed appropriate to their risk and the resulting present value is compared with the cost of the project this standard textbook technique reflects modern theoretical developments only insofar as estimates of the discount rate may be obtained from crude application of single period asset pricing theory but see brennan 1973 bogue and roll 1974 turnbull 1977 constantinides 1978 the inadequacy of this approach to capital budgeting is widely acknowledged although not widely discussed its obvious deficiency is its the evaluation of mining and other natural resource projects is made particularly difficult by the high degree of uncertainty attaching to output prices it is shown that the techniques of continuous time arbitrage and stochastic control theory may be used not only to value such projects but also to determine the optimal policies for developing managing and abandoning them the approach may be adapted to a wide variety of contexts outside the natural resource sector where uncertainty about future project revenues is a paramount concern

expectations and realizations of work after retirement this paper analyzes a puzzling aspect of retirement behavior known as unretirement nearly 50 percent of retirees follow a nontraditional retirement path that involves partial retirement or unretirement and at least 26 percent of retirees later unretire i explore two possible explanations 1 unretirement transitions result from failures in planning or financial shocks and 2 unretirement transitions are anticipated prior to retirement reflecting a more complex retirement process i show that unretirement was anticipated for the vast majority of those returning to work and is not a result of financial shocks poor planning or low wealth accumulation

job exit behavior of older men a dynamic programming model of job exit behavior and retirement is constructed and estimated using the method of simulated moments the model and estimation method allow for both unobserved individual effects and unobserved job specific match effects the model is estimated using two different assumptions about individual discount factors first a static model with the discount factor equal to zero is estimated then a dynamic model with the discount factor equal to 95 is estimated in both models it is found that bad health age and lack of education increase the probability of retirement the dynamic model performs better than the static model and has different implications for retirement behavior the job specific effects are an important source of unobserved heterogeneity copyright 1991 by the econometric society

financial incentives and retirement evidence from federal civil service workers we examine the retirement behavior of federal civil service workers employed by the department of defense these workers provide an interesting population for studying retirement because they face relatively simple financial incentives high quality administrative data are available and they are not covered by the social security system we find that these workers respond to their financial incentives in a similar manner to what others have found when analyzing much different retirement systems we also find no evidence of excess retirement at key ages of the social security system which does not support the existence of societal wide norms regarding retirement

transitive regret over statistically independent lotteries preferences may arise from regret i e from comparisons with alternatives forgone by the decision maker when each outcome in a random variable is compared with the parallel outcome in an alternative random variable regret preferences are transitive iff they are expected utility in this paper we show that when the choice set consists of pairwise statistically independent lotteries and the regret associated with each outcome is with respect to the entire alternative distribution then transitive regret based behavior is consistent with betweenness preferences and with a family of preferences that is characterized by a consistency property examples of consistent preferences include cara crra and anticipated utility

labor force dynamics of older married couples this article analyzes the dynamics of joint labor force behavior of older couples in the united states using the retirement history survey rhs i analyze the determinants of joint retirement and the effect of one spouse s labor force status on the labor force transitions of the other spouse the results reveal strong associations between the labor force transition probabilities of one spouse and the labor force status of the other spouse these result from structural differences in exit and entry behavior by the spouse s status several lagged endogenous variables have substantial effects on behavior even after controlling for unobserved heterogeneity

public pension programmes and the retirement of married couples in denmark in this paper we study the economic determinants of the joint retirement process of married couples we propose a tractable dynamic discrete choice model for retirement decisions which allows for non trivial saving behaviour we estimate the model on a 1 sample of danish couples of potential retirement age drawn from a population based administrative register the introduction and subsequent reforms of a publicly financed early retirement programme provide us with variation in the data to insure identification of the parameters of interest the elasticities of participation retirement with respect to income flows our estimates imply a significant asymmetry in the sensitivity of retirement behaviour of men and women with respect to variation in their own or their spouse s income flows

long term swings and seasonality in energy markets abstract this paper introduces a two factor continuous time model for commodity pricing under the assumption that prices revert to a stochastic mean level which shows smooth periodic fluctuations over long periods of time we represent the mean reversion price by a fourier series with a stochastic component we also consider a seasonal component in the price level an essential characteristic of many commodity prices which we represent again by a fourier series we obtain analytical pricing expressions for futures contracts using futures price data on natural gas we provide evidence on the presence of long term fluctuations and show how to estimate the long term component simultaneously with a seasonal component using the kalman filter we analyse the in sample and out of sample empirical performance of our pricing model with and without a seasonal component and compare it with schwartz and smith 2000 model our findings show the in sample and out of sample superiority of our model with seasonal fluctuations thereby providing a simple and powerful tool for portfolio management risk management and derivative pricing

welfare reform when recipients are forward looking in 1996 the aid to families with dependent children program was replaced with the temporary assistance for needy families tanf program this paper considers the effects of two specific components of tanf time limits and work requirements on employment marriage and welfare participation a discrete choice dynamic programming model is used and parameter estimates are obtained using data from the panel study of income dynamics policy simulations show that a five year lifetime time limit results in a 60 percent reduction in welfare use and that a substantial part of this reduction occurs because recipients are forward looking

job exit of men new job destination versus unemployment destination job exit of men over the age of forty is described and analysed using monthly observations derived from the 1988 89 uk retirement survey a competing risks model is described and estimated the results show that tenure and age determine transitions from a job to a new one whereas those transitions from a job to unemployment are also determined by business cycle variables

effects of social security policies on benefit claiming retirement and saving abstract an enhanced version of a structural model jointly explains benefit claiming wealth and retirement including reversals from states of lesser to greater work the model is estimated with health and retirement study data alternative beliefs about the future of social security affect claiming behavior effects of three potential policies are also examined increasing the early entitlement age increasing the full retirement age and eliminating the payroll tax for seniors predicted responses to increasing the full entitlement age are sensitive to beliefs

health insurance and retirement of married couples summary most health insurance in the usa is provided by employers until eligibility for public health insurance medicare begins at age 65 retiring before 65 exposes workers who lack retiree health insurance coverage to the risk of catastrophic medical expenditure we solve and estimate a dynamic model of the employment behavior of older married couples that includes risky medical expenditure and health insurance parameter estimates imply that the risk reducing feature of health insurance can account for about half of the observed association between retiree health insurance and employment for married men but can account for only one tenth of the much larger observed association for married women policy simulations imply very small effects on employment of changing the age of eligibility for medicare from 65 to 67 copyright 2006 john wiley sons ltd

cohabitation marriage and divorce in a model of match quality the objective of this research is to further our understanding of how and why individuals enter and leave coresidential relationships we develop and estimate an economic model of nonmarital cohabitation marriage and divorce that is consistent with current data on the formation and dissolution of relationships jovanovic s journal of political economy 87 1979 972 90 theoretical matching model is extended to help explain household formation and dissolution behavior implications of the model reveal what factors influence the decision to start a relationship what form this relationship will take and the relative stability of the various types of unions the structural parameters of the model are estimated using longitudinal data from a sample of female high school seniors from the united states new numerical methods are developed to reduce computational costs associated with estimation the empirical results have interesting interpretations given the structural model they show that a significant cause of cohabitation is the need to learn about potential partners and to hedge against future bad shocks the estimated parameters are used to conduct several comparative dynamic experiments for example we show that policy experiments changing the cost of divorce have little effect on relationship choices

explaining applications to the u s disability system a semiparametric approach this study investigates the determinants of applications for u s disability benefits between 1986 and 1993 using a semiparametric discrete factor procedure separately for men and women approximating a dynamic optimization model the estimation accounts for a variety of potential biases that were unaddressed in prior studies our results indicate different responses of men and women to variations in policy measures past labor earnings and fringe benefits as well as benefit eligibility and benefit amounts clearly affect application behavior

short term variations and long term dynamics in commodity prices in this article we develop a two factor model of commodity prices that allows meanreversion in short term prices and uncertainty in the equilibrium level to which prices revert although these two factors are not directly observable they may be estimated from spot and futures prices intuitively movements in prices for long maturity futures contracts provide information about the equilibrium price level and differences between the prices for the short and long term contracts provide information about short term variations in prices we show that although this model does not explicitly consider changes in convenience yields over time this short term long term model is equivalent to the stochastic convenience yield model developed in gibson and schwartz 1990 we estimate the parameters of the model using prices for oil futures contracts and apply the model to some hypothetical oil linked assets to demonstrate its use and some of its advantages over the gibson schwartz model

a dynamic analysis of educational attainment occupational choices and job search this article examines career choices using a dynamic structural model that nests a job search model within a human capital model of occupational and educational choices wage growth occurs in the model because workers move between firms and occupations as they search for suitable job matches and because workers endogenously accumulate firm and occupation specific human capital simulations performed using the estimated model reveal that both self selection in occupational choices and mobility between firms account for a much larger share of total earnings and utility than the combined effects of firm and occupation specific human capital

dynamic inefficiencies in an employment based health insurance system theory and evidence we investigate the effects of the institutional settings of the us health care system on individuals life cycle medical expenditures health is a form of general human capital labor turnover and labor market frictions prevent an employer employee pair from capturing the entire surplus from investment in an employee s health thus the pair underinvests in health during working years thereby increasing medical expenditures during retirement we provide empirical evidence consistent with the comparative statics predictions of our model using the medical expenditure panel survey meps and the health and retirement study hrs our estimates suggest significant inefficiencies in health investment in the united states

analysis of commodity prices with the particle filter the behavior of commodities prices is fundamental to real asset investment decisions hedging and pricing financial derivatives schwartz and smith schwartz e s smith j e 2000 short term variations and long term dynamics in commodity prices management science 46 893 911 proposed a two factor model for describing the stochastic processes of commodity prices in which the two factors are short term variations and equilibrium prices these are both unobserved state variables that are estimated using the kalman filter the estimation is based on the observation of future prices for different maturities the authors have carried out this process without incorporating jumps in the short term variation of prices here we aim to demonstrate that the inclusion of jumps better explains the behavior of oil prices and in fact creates difficulties in the estimation of state variables this is because the variables become non gaussian so the kalman filter is not recommended another methodology called the particle filter is more suitable in this case and we describe its application in this article

a review of multi criteria decision making mcdm towards sustainable renewable energy development abstract in the current era of sustainable development energy planning has become complex due to the involvement of multiple benchmarks like technical social economic and environmental this in turn puts major constraints for decision makers to optimize energy alternatives independently and discretely especially in case of rural communities in addition topographical limitations concerning renewable energy systems which are mostly distributed in nature the energy planning becomes more complicated in such cases decision analysis plays a vital role for designing such systems by considering various criteria and objectives even at disintegrated levels of electrification multiple criteria decision making mcdm is a branch of operational research dealing with finding optimal results in complex scenarios including various indicators conflicting objectives and criteria this tool is becoming popular in the field of energy planning due to the flexibility it provides to the decision makers to take decisions while considering all the criteria and objectives simultaneously this article develops an insight into various mcdm techniques progress made by considering renewable energy applications over mcdm methods and future prospects in this area an extensive review in the sphere of sustainable energy has been performed by utilizing mcdm technique

the role of pensions in the labor market a survey of the literature because employer sponsored group pension plans entail agreements between workers and their employers explicitly linking future payment and employment they offer an unusual window into long term employment relationships this review of recent research on pensions explores how pensions influence employee compensation retirement turnover and other matters central to the determination of labor s price and quantity over time the authors also outline some unanswered questions and difficult to reconcile findings because the pension promise involves an explicit and relatively well documented set of statements regarding future contingent payment and employment an examination of the design and operation of employersponsored group pension plans can yield important insights into the long term employment relationship specifically pension research illuminates some important labor market questions in two ways it offers insight into an important element of compensation in its own right and it furthers our understanding of labor markets in which long term

social security and cross country differences in hours a general equilibrium analysis abstract i develop a general equilibrium life cycle model with an intensive and extensive margin of labor supply and endogenous human capital accumulation i use the model to assess the effects of changes to various features of social security on labor supply outcomes of particular interest are changes to the scale of the program and to the relevant eligibility rules i find that the cross country differences in social security programs account for at least 79 of the differences in employment rates of people aged 55 64 and 17 31 of the differences in aggregate hours worked between the us and continental europe

policy variation labor supply elasticities and a structural model of retirement this paper exploits a combination of policy variation from multiple pension reforms in austria and administrative data from the austrian social security database using the policy changes for identification we estimate social security wealth and accrual elasticities in individuals retirement decisions next we use these elasticities to estimate a dynamic programming model of retirement decisions finally we use the estimated model to examine the labor supply and welfare consequences of potential social security reforms

measuring the effect of disability on labor force participation this paper estimates the effect of disability on labor force participation by using symptoms or diseases as instruments in a simultaneous equations model of endogenous reported disability and labor force participation the results show that each measure of disability explains a significant amount of variation in labor force participation though the two are not perfect substitutes there is only weak evidence of endogeneity of the disability variables for cases where there is evidence of endogeneity the bias it causes has the opposite effect of that hypothesized in the literatute i e stress causes health to deteriorate with labor force participation furthermore it has only insignificant effects on the coefficients for other variables

a life cycle model of health and retirement the case of swedish pension reform abstract sweden is one of the few western economies to have undertaken a large pension reform in recent years this was done with great expectations but little formal analysis in this paper we develop a life cycle labor supply model to quantify the predicted labor supply implications of this reform in our framework individuals choose when to stop working and given eligibility criteria when if to apply for disability and pension benefits agents are heterogeneous in skills and receive exogenous shocks to health throughout their life we find that the new pension system creates large incentives for the continued employment of older workers this is promising news for countries grappling with pension reform and indicates that there are significant lessons to be learned from the swedish case

health insurance and the labor supply decisions of older workers evidence from a u s department of veterans affairs expansion this paper exploits a major mid 1990s expansion in the u s department of veterans affairs health care system to provide evidence on the labor market effects of expanding health insurance availability using data from the current population survey we employ a difference in differences strategy to compare the labor market behavior of older veterans and non veterans before and after the va health benefits expansion to test the impact of public health insurance on labor supply we find that older workers are significantly more likely to decrease work both on the extensive and intensive margins after receiving access to non employer based insurance workers with some college education or a college degree are more likely to transition into self employment a result consistent with job lock effects however less educated workers are more likely to leave self employment a result suggesting that the positive income effect from receiving public insurance dominates the job lock effect for these workers some relatively disadvantaged sub populations may also increase their labor supply after gaining greater access to public insurance consistent with complementary positive health effects of health care access or decreased work disincentives for these groups we conclude that this reform has affected employment and retirement decisions and suggest that future moves toward universal coverage or expansions of medicare are likely to have significant labor market effects

a theory of anticipated utility abstract a new theory of cardinal utility with an associated set of axioms is presented it is a generalization of the von neumann morgenstern expected utility theory which permits the analysis of phenomena associated with the distortion of subjective probability

on transition probabilities of regime switching in electricity prices we analyze the transition probabilities of regime switching in electricity prices by explicitly incorporating the underlying demand supply structure we show that the transition probabilities of electricity prices cannot be constant and depend on both the current demand level relative to the supply capacity and the trends of demand fluctuation these results not only contrast with the assumption of constant transition probabilities on which many regime switching models are built but also provide new insights on the determinants of the state dependent transition probabilities of regime switching

challenges in the wind turbines location process in central europe the use of spatial decision support systems abstract the implementation of a framework for climate and energy policies in europe entails a number of development projects connected to renewable energy resources as far as many western countries have realized some of those investments during recent decades and have more experience in that field most of the countries in central europe have to face that challenge right now however a rapid increase in renewable energy production in those countries can cause some dysfunctions in the investment process national control authorities in poland marked that the decision making process concerning the location of wind turbines has not been carried out properly the paper presents a review of the studies regarding the use of spatial analysis in renewable energy policy implementation and a proposition for the use of the multi criteria spatial decision support system based on geographical information systems the presented model has a character of an open framework which allows a user to add any location parameter or factor which is possible to be represented as a metric value the spatial character of the proposed solution exceeds only mathematical models in the way of interpretation of the results an intuitive model supports communication with stakeholders and helps to explain the correlations between human activity and the location of power plants the model was tested on the case study of wroclaw agglomeration area poland and includes 13 location factors the use of a multi criteria model guaranteed a broader point of view in comparing five different scenarios of wind farms development in the decision making process as it combines conflicted interests groups minimalizes subjective assessment and enables to define priorities while setting weights of factors

work and the accommodation of chronic illness a re examination of the health labour supply relationship this study uses a data set of over 14000 households from the state of new jersey in the usa to estimate the impact of specific chronic health conditions on the probability of employment and finds wide variation of employment impacts across chronic conditions additionally the elasticity of the employment response is generally greater for women and lower skilled workers most notable is the role of comorbidity individuals with multiple conditions have markedly lower probability of employment and chronic illness explains virtually all of the large gap in employment probability for those who have multiple conditions this is shown using a summary index of disease status that correlates closely with employment rates across age groups in the aggregate chronic disease striking in adulthood explains about 10 of the total non employment in the new jersey among those aged 35 74 finally cross sectional evidence gives little support for health as a primary determinant of the aggregate age employment profile

quantifying the laffer curve on the continued activity tax in a dynastic framework it is argued that the tax on continued activity should be removed by implementing actuarially fair schemes however these schemes cannot fund the expected social security ss deficit this article proposes to give individuals a fraction of the actuarially fair incentives in the case of postponed retirement ss faces a trade off between giving enough incentives to make individuals delay retirement and giving little increase in pensions in order to help finance its expected deficit this trade off is captured by a laffer curve finally when the ss system aims to maximize welfare the optimal tax on postponed retirement is still strictly positive erratum vol 49 issue 4 1539

workers compensation moral hazard and the composition of workplace injuries this paper provides evidence that workers compensation insurance wc affects not only the occurrence but also the composition of reported injuries in our theoretical approach wc is the source of two interrelated moral hazard problems underprovision of accident preventing efforts by the insured worker ex ante moral hazard and false reporting of injuries ex post moral hazard our model predicts that under certain assumptions the impact of wc benefits is stronger on the probability of reporting a difficult to diagnose injury than on the probability of reporting an injury that is easy to diagnose panel data on 9 800 workers in the quebec construction industry over each month of the period 1977 86 combining administrative data from the quebec construction board with data from the quebec workers compensation board are used for the estimates the parameters of the model are estimated using a threealternative logit kernel hybrid multinomial probit mnp framework with individual random effects our results confirm our theoretical pre

electricity futures price models calibration and forecasting a new one factor model with a random volatility parameter is presented in this paper for pricing of electricity futures contracts it is shown that the model is more tractable than multi factor jump diffusion models and yields an approximate closed form pricing formula for the electricity futures prices on real market data it is shown that the performance of the new model compares favourably with two existing models in the literature viz a two factor jump diffusion model and its jump free version i e a two factor linear gaussian model in terms of ability to predict one day ahead futures prices further a multi stage procedure is suggested and implemented for calibration of the two factor jump diffusion model which alleviates the difficulty in calibration due to a large number of parameters and pricing formulae which involve numerical evaluation of integrals we demonstrate the utility of our new model as well as the utility of the calibration procedure for the existing two factor jump diffusion model by model calibration and price forecasting experiments on three different futures price data sets from nord pool electricity data for the jump diffusion model we also investigate empirically whether it performs better in terms of futures price prediction than a corresponding jump free linear gaussian model finally we investigate whether an explicit calibration of jump risk premium in the jump diffusion model adds value to the quality of futures price prediction our experiments do not yield any evidence that modelling jumps leads to a better price prediction in electricity markets

conflicts between decentralized renewable electricity production and landscape services a spatially explicit quantitative assessment for switzerland abstract the production of decentralized renewable electricity often collides with provisioning regulating and cultural services of the landscape in this paper we operationalize the landscape service approach and generate conflict maps between three renewable energies wind pv forest biomass and six competing landscape services nutrition and materials aesthetics physical and experiential interactions heritage and symbolic content water and liquid flows lifecycle maintenance habitat and gene pool protection media content analysis and expert interviews were used to ground truth the national conflict maps in several swiss regions and to understand to what degree the national conflict assessments match the regional and local perceptions of these conflicts in switzerland approximately 40 000 km 2 biomass from forests is by far the least conflicting renewable energy followed by pv on roofs for the latter 68 of the technically feasible energy potential can be generated with low conflicts and more is expected with new materials wind has a high conflict potential only 12 of the technically feasible energy potential is low conflict pv on open land marginal land and shrubland is at the moment not currently feasible in switzerland the accuracy of our conflict assessment is sufficiently high to estimate the proportion that socially sustainable energy could cover of the overall energy gap of 22 25 twh yr caused by the phase out of swiss nuclear plants by 2050 low conflict solar energy from rooftops could contribute approximately 30 of the required 22 25 twh yr intensified wood production and wind energy could add another 40 the gap of approximately 30 must come from undisputed energy sources such as biogas from recycled organic material from centralized renewable energies such as geothermal or large hydropower or from new or technologically improved renewable energies the presented decision support tools are a timely contribution to the designation of legally binding zones for renewable energy production

developments in non expected utility theory the hunt for a descriptive theory of choice under risk this article reviews recent developments in the economic theory of individual decision making under risk since the 1950s it has been known that individual choices violate the standard model of expected utility in predictable ways considerable research effort has now been devoted to the project of developing a superior descriptive model following an overview of non expected utility theories which distinguishes between conventional and non conventional approaches the paper seeks to assess these alternative models in terms of empirical success using laboratory and field data and theoretical usefulness the closing sections reflect on some new directions emerging in this literature

choice under uncertainty problems solved and unsolved ffifteen years ago the theory of choice under uncertainty could be considered one of the success stories of economic analysis it rested on solid axiomatic foundations it had seen important breakthroughs in the analytics of risk risk aversion and their applications to economic issues and it stood ready to provide the theoretical underpinnings for the newly emerging information revolution in economics 1 today choice under uncertainty is a field in flux the standard theory is being challenged on several grounds from both within and outside economics the nature of these challenges and of our profession s responses to them is the topic of this paper

uncertain health and survival effects on end of life consumption this article analyzes the impact of health and survival uncertainty on the saving and consumption decisions of retirees a dynamic programming approach is used to model the household s planning problem the utility parameters are estimated using panel data we find that a fall into poor health raises the marginal utility from consumption simulations are used to indicate the effects of falling into poor health and loss of spouse they reveal a large transfer from the healthy to the sick partner and a strong dependence of saving on the survivor benefits suggesting that concern about the surviving spouse is an important motive for saving

patents as options some estimates of the value of holding european patent stocks in many countries holders of patents must pay an annual renewal fee in order to keep their patents in force this paper uses data on the proportion of patents renewed and the renewal fees faced by post world war ii cohorts of patents in france the united kingdom and germany in conjunction with a model of patent holders renewal decisions to estimate the returns earned from holding patents in these countries since patents are often applied for at a nearly stage in the innovation process the model allows agents to be uncertain about the sequence of returns that will be earned if the patent is kept inforce formally then the paper presents and solves a discrete choice optimal stochastic control model derives the implications of the model on aggregate behaviour and then estimates the parameters of the model from aggregate data the estimates enable a detailed description of the evolution of the distribution of returns earned from holding patents over their life spans and calculations of both the annual returns earned from holding the patents still in force or the patent stocks in the alternative countries and the distribution of the discounted value of returns earned from holding the patents in a cohort this abstract was borrowed from another version of this item

on the comparison of schwartz and smith s two and three factor models on commodity prices since schwartz and smith 2000 published their study on two factor model on commodity prices many studies have used this model and others have extended it the authors also proposed the three factor model due to the poor fitting of the two factor one on long term futures prices at that time the authors had only long term prices from a private source to calibrate test and compare these models no public data on long term future contracts were available on the other hand during the last decade the commodity prices soared as did the liquidity of long term contracts this means that the interest of the agents in the management of their risk on long term positions increased the same way and this is the motivation for this study in this article we revisit the comparison between two and three factor models using public data for short and long term contracts we use up to the 67 month ahead contract we also provide a detailed derivation of the three factor model differently from that of the original a

evaluating the risk premium in the u s a natural gas market evidence from low price regime abstractin recent years the u s a natural gas market has seen enormous changes the expectations of abundant supply of shale gas and the slow u s a economic recovery have pushed gas prices below us 4 mmbtu although shale gas is a new promising source of unconventional energy investors face uncertain investment plans in this study we investigate the risk premium by comparing behaviour before and after the change point in agents risk perception unlike traditional empirical research on risk premium we use the parametric two factor model of schwartz and smith 2000 to evaluate the implied risk premium term structure from futures prices traded on the new york mercantile exchange nymex we compare our findings with other empirical results and find that the change point lies at the beginning of the low price regime when we compare periods before and after the change point we observe that the risk premium changed not only in sign but also in magnitude

a structural retirement model the life cycle model analyzed here constrains most work on the main job to be full time partial retirement entails a wage reduction and frequently a job change maximum likelihood estimates of utility function parameters are designed to incorporate information on the age of leaving full time work and the age of full retirement the model closely tracks retirement behavior including peaks in retirement activity at 62 and 65 the paper explores the relation of these peaks to nonlinearities in the budget constraint created by various retirement programs policy analyses based on this and on earlier models with simpler structures are compared the retirement choice is one of the more prominent manifestations of life cycle behavior the decision is the result of an interplay between an individual s preferences and a set of incentives which change in complicated ways as the individual progresses through his or her late 50 s and 60 s the purpose of this study is to formulate and estimate a structural model which incorporates in a fundamental way this interplay between lifetime preferences and incentives and to illustrate how such a model may be used to investigate retirement behavior a structural model of this type is essential for analyzing potential policy changes which can be expected to affect incentives in varying ways over a number of years in the life cycle the current study incorporates two structural features which have frequently been omitted from previous studies first the model requires that an individual who wishes to reduce work effort below full time must accept a reduced hourly wage rate in order to do so this reflects empirical evidence from micro data sets which indicates that around one third of older individuals engage in part time work at one time or another and that regardless of whether or not these older workers change jobs to obtain part time work they usually take wage cuts as compared to their previous full time work 2 the fact that an individual is willing to accept a lower wage rate in return for the opportunity to work fewer than full time hours contains important information about the preferences of the

family structure and female labour supply in mexico city this paper investigates labour supply of the wives of the heads of households in mexico city with a focus on the impact of family structure a static neoclassical structural model is used we assume that each woman chooses her labour supply and corresponding income so that her utility is maximized conditional upon her husband s labour supply and earnings we use a direct translog specification and include family composition variables as taste shifters also taken into account are fixed costs of working nonlinear taxes unobserved preference variation prediction errors in wages of nonworkers and potential endogeneity of wages the models are estimated by smooth simulated maximum likelihood using data from mexico s urban employment survey drawn in 1992 we find income elasticities of labour supply of about 0 35 and wage elasticities of about 0 5 the latter is substantially overestimated if wage rate endogeneity is not taken into account the results are robust with respect to other specification choices we find that the impact of family structure variables on participation is different from that on hours worked so that their total effect is ambiguous

filtering and forecasting commodity futures prices under an hmm framework abstract we propose a model for the evolution of arbitrage free futures prices under a regime switching framework the estimation of model parameters is carried out using the hidden markov filtering algorithms comprehensive numerical experiments on real financial market data are provided to illustrate the effectiveness of our algorithm in particular the model is calibrated with data from heating oil futures and its forecasting performance as well as statistical validity is investigated the proposed model is parsimonious self calibrating and can be very useful in predicting futures prices

on the brazilian fuel pricing policy a gaussian factor model approach in this paper we investigate the oil spot price dynamics and volatility in brazilian reais the local currency the current policy on price adjustments of refined products caused enormous turmoil

how social security and medicare affect retirement behavior in a world of incomplete markets this paper provides an empirical analysis of how the u s social security and medicare insurance system affect the labor supply of older males in the presence of incomplete markets for loans annuities and health insurance we estimate a detailed dynamic programming dp model of the joint labor supply and social security acceptance decision focusing on a sample of males in the low to middle income brackets whose only pension is social security the dp model delivers a rich set of predictions about the dynamics of retirement behavior and comparisons of actual vs predicted behavior show that the dp model is able to account for wide variety of phenomena observed in the data including the pronounced peaks in the distribution of retirement ages at 62 and 65 the ages of early and normal eligibility for social security benefits respectively we identify a significant fraction of health insurance constrained individuals who have no form of retiree health insurance other than medicare and who can only obtain fairly priced private health insurance via their employer s group health plan the combination of significant individual risk aversion and a long tailed pareto distribution of health care expenditures implies that there is a significant security value for these individuals to remain employed until they are eligible for medicare coverage at age 65 overall our model suggests that a number of heretofore puzzling aspects of retirement behavior can be viewed as artifacts of particular details of the social security rules whose incentive effects are especially strong for lower income individuals and those who do not have access to fairly priced loans annuities and health insurance

job matching and occupational choice this paper presents a model of job matching the generalizes the existing literature by allowing for different jobs types or occupations such differences affect the value of job specific experience inducing a career profile where certain types are sampled before others more specifically the analysis shows that it is optimal for the young and inexperienced to gravitate toward jobs exhibiting a certain kind of risk then after deriving the equilibrium job turnover rate for an economy in which people do not switch occupations panel data are used to estimate its underlying parameters the hypothesis that people do not switch occupations is rejected against the alternative that they do thus providing empirical support for the theoretical extension undertaken here

occupational pensions and job mobility in britain estimation of a random effects competing risks model we analyse transitions between pensionable jobs non pensionable jobs and other labour market states using the 1988 9 uk retirement survey we focus on the positive association between length of job tenure and pensionable status allowing for the possibility that pension scheme members are less mobile than other workers because they have persistent unobserved characteristics that predispose them towards a high degree of security in both employment and retirement we use a competing risks model with state specific random effects the model is estimated by simulated maximum likelihood

back to work expectations and realizations of work after retirement this paper analyzes a puzzling aspect of retirement behavior known as unretirement nearly 50 percent of retirees follow a nontraditional retirement path that involves partial retirement or unretirement and at least 26 percent of retirees later unretire i explore two possible explanations 1 unretirement transitions result from failures in planning or financial shocks and 2 unretirement transitions are anticipated prior to retirement reflecting a more complex retirement process i show that unretirement was anticipated for the vast majority of those returning to work and is not a result of financial shocks poor planning or low wealth accumulation