the forward market in emerging currencies less biased than in major currencies abstract many studies have replicated the finding that the forward rate is a biased predictor of the future change in the spot exchange rate usually the forward discount actually points in the wrong direction but at least until recently those studies applied only to advanced economies and major currencies we apply the same tests to a sample of 14 emerging market currencies we find a smaller bias than for advanced country currencies the coefficient is on average positive i e the forward discount at least points in the right direction it is never significantly less than zero to us this suggests that a time varying exchange risk premium may not be the explanation for traditional findings of bias the reasoning is that emerging markets are probably riskier yet we find that the bias in their forward rates is smaller emerging market currencies probably have more easily identified trends of depreciation than currencies of advanced countries

decomposition of moral hazard this study seeks to simulate the portion of moral hazard that is due to the income transfer contained in the coinsurance price reduction healthcare spending of uninsured individuals from the meps with a priority health condition is compared with the predicted counterfactual spending of those same individuals if they were insured with either 1 a conventional policy that paid off with a coinsurance rate or 2 a contingent claims policy that paid off by a lump sum payment upon becoming ill the lump sum payment is set to be equal to the insurer s predicted spending under the coinsurance policy the proportion of moral hazard that is efficient is calculated as the proportion of total moral hazard that is generated by this lump sum payment we find that the efficient proportion of moral hazard varies from disease to disease but is the highest for those with diabetes and cancer

cash rents and land values in u s agriculture a firm level land valuation model is deduced which depends on the expected growth rate in net cash returns to land inflation expectations and property income and capital gains taxes it is then aggregated to obtain an aggregate two sector land valuation model that model is then estimated for twenty four individual states for the period 1960 81 in addition a pooled cross sectional regression model is estimated combining the twenty four state data the model results demonstrate that significant state differences exist in the land market and that in many states agricultural land values are influenced by nonagricultural demand for land

is welfare reform responsible for low skilled women s declining health insurance coverage in the 1990s we use data from the 1989 2001 march supplements to the current population survey to determine whether welfare reform contributed to declines in health insurance coverage experienced by low skilled women between 1988 and 2000 women with less than a high school education experienced an 8 0 percentage point decline in the probability of having health insurance against this backdrop of large declines welfare waivers and tanf are associated with modest increases in coverage for low skilled women of 2 3 and 3 6 percentage points respectively overall our findings suggest that welfare reform did not contribute to declines in coverage but rather offset them somewhat

the great recession and workers health benefits during a recession cost sharing of employer sponsored health benefits could increase to reduce labor costs in the u s using a variation in the severity of recession shocks across industries i find evidence that the enrollment rate of high deductible health plans hdhps among workers covered by employer sponsored health benefits increased more among firms in industries that experienced severe recession shocks as potential mechanisms i study employer side and worker side mechanisms i find that employers changed health benefit offerings to force or incentivize workers to enroll in hdhps but i find little evidence of an increase in workers demand for hdhps due to a reduction in income these results suggest that the hdhp enrollment rate increased during the great recession as employers tried to save costs of offering health benefits

measuring international capital mobility a review many barriers to the international movement of capital across national boundaries have been dismantled over the course of the last 20 years financial integration was greatly enhanced by the removal of capital controls on the part of the united states germany canada switzerland and the netherlands after 1973 the recycling of surpluses to developing countries through the euromarkets in the 1970 s the removal of capital controls in the united kingdom and japan beginning in 1979 financial integration among european community countries including france and italy in preparation for 1992 recent moves toward financial liberalization in smaller countries in the pacific and the steady process of technical and institutional innovation that has proceeded around the world some popular tests of international capital mobility however appear to show anomalous results martin feldstein and charles horioka upset conventional wisdom in 1980 when they concluded that changes in countries rates of national saving had very large effects on their rates of investment and interpreted this finding as evidence of low capital mobility the argument

the performance of ndf carry trades this paper investigates the performance of carry trade strategies for currencies with non deliverable forward ndf contracts we find that carry trades for currencies with ndf contracts are associated with higher sharpe ratios compared to carry trades for currencies with deliverable forward df contracts we also find that during the recent financial crisis df carry trades incur heavy losses while ndf carry trades realize insignificant losses df carry trade payoffs are shaped by credit risk global foreign exchange fx volatility and crash risk in contrast ndf carry trade payoffs are driven by global fx volatility and crash risk liquidity risk and currency convertibility risk measured by deviations from covered interest parity in offshore markets while global convertibility risk has a limited effect on carry trades

economic conditions and alcohol problems this study investigates the relationship between macroeconomic conditions and two alcohol related outcomes liquor consumption and highway vehicle fatalities fixed effect models are estimated for the 48 contiguous states over the 1975 1988 time period alcohol consumption and traffic deaths vary procyclically with a major portion of the effect of economic downturns attributed to reductions in incomes rather than employment the intake of hard liquor is the most sensitive to the state of the macroeconomy there is no evidence however that fluctuations in economic conditions have a disproportionate impact on the drunk driving of young adults

modeling supply response in a multiproduct framework the paper models multiproduct supply response in agriculture and tests key assumptions traditionally maintained in supply response studies the technology is approximated by a restricted profit function the properties of the restricted profit function are imposed during estimation the hypothesis that maintains the existence of output price and quantity indexes that satisfy the adding up property is rejected the existence of individual production functions for each output is also rejected unless joint production is permitted the estimates of responsiveness of a particular commodity to changes in own price or prices of competing outputs are likely to be considerably understated

empirical evidence on the currency carry trade 1900 2012 abstract most of the currency literature investigates the risk and return characteristics of the currency carry trade after the collapse of the bretton woods system in order to gauge the long term currency carry premium we extend the sample to 20 currencies over the period 1900 to 2012 we find modest sharpe ratios in the range of 0 2 0 4 for carry trading over this period this is markedly lower than the sharpe ratios above 0 6 reported for recent sample periods we document that carry trading occasionally incurs substantial losses which fits well with risk based explanations for deviations from uncovered interest parity we find that large carry trading losses do not necessarily coincide with large losses in global equity markets our results help to better understand the source and nature of excess returns on the carry trade

political vs currency premia in international real interest differentials a study of forward rates for 24 countries abstract different approaches to quantifying the degree of capital mobility for a cross section of currencies particularly saving investment correlations and tests of real interest parity have appeared to show a surprisingly low degree of financial integration we use a new data set forward rate data for 24 countries including many small industrialized countries and seven ldcs to decompose the real interest differential into two parts the covered interest differential or political premium and the real forward discount or currency premium the latter in turn can be decomposed into the exchange risk premium and expected real depreciation we find a high degree of capital mobility across political boundaries for most of the g 11 countries plus hong kong and singapore for our sample period of 1982 to 1987 even for most of the other ldcs and smaller industrialized countries for which covered interest parity clearly fails the political premium is not as big a component of the real interest differential as the currency premium france would appear to have higher capital mobility than most by the criterion of real interest differentials but is seen in fact to have low capital mobility by the criterion of covered interest differentials a clear example of the superiority of the latter criterion

can implied volatility predict returns on the currency carry trade abstract currency carry strategies have long positions in currencies with a high interest rate and short positions in currencies with a low interest rate currency carry strategies have generated about 5 4 return per annum sharpe ratio 0 57 over the period december 1996 to may 2014 however during the recent financial crisis the carry strategy suffered losses of up to 20 on invested capital we investigate whether investors could have used the implied option volatility index on the us equity market the vix or the option implied volatility index from g7 currencies the vxy to time the currency carry trade we examine a large set of timing strategies and find that for some specific settings excess returns can be as large as 2 5 per annum however when we take into account that we investigated many trading strategies these excess returns turn out not to be statistically significant hence our findings cast doubt on implied volatility as a stand alone timing indicator for currency carry trading in real life portfolio decisions

demand for beef and chicken products separability and structural change several studies have indicated that the recent shift from beef to poultry in consumption is not entirely caused by changes in rela tive prices or income braschler chavas dahlgran hudson and vertin moschini and meilke frank thurman most studies of structural change have focused on red meat consumption only thurman has looked closely at the poultry market and no one has considered poultry products yet the mix of chicken products marketed changed dramat ically during the last twenty years and should have influenced aggregate meat demand the share of broiler slaughter marketed as whole birds declined from 74 in 1965 to 28 in 1985 while cut up parts and processed chick en products increased from 26 to 72 whole birds are inferior goods and cut up parts and processed chicken are normal goods haidacher et al the shift in chicken prod uct mix away from whole birds should have increased the preference for total chicken in this article two related questions are ad dressed first do consumers allocate expendi tures among meats by animal origin or by product type second does disaggregation of meat into products in a meat demand model give insight into the causes of structural

supply demand and technology in a multiproduct industry texas field crops the purpose of this paper is to examine the structure of agricultural production for six texas field crops cotton grain sorghum wheat corn rice and hay which account for nearly 95 of recent field crop value specific objectives are to a test the structure of technology to determine i if output and input utilization choices for individual products are independent of production decisions about other outputs and ii if products and or inputs can be consistently aggregated b estimate a coherent set of interrelated supply functions for the six commodities and input demand functions for fertilizer and hired labor because the empirical focus of this paper is specific to one state the results will be of limited value for interpreting specific production relationships elsewhere however the problem is of common interest in production agriculture and the techniques used demonstrate an important application of dual modeling

health insurance eligibility utilization of medical care and child health two economists applied data from the current population survey and the national health interview survey and state level data on child mortality to a simulation model of utilization of medical care that varies only with the states legislative environment to examine the utilization of medical care and health effects of medicaid eligibility on low income children the models took into consideration the recent expansions of medicaid to low income children 38 of those ineligible for medicaid in 1984 who became eligible due to changes during 1984 1992 were uninsured between 1984 and 1992 expansions of the medicaid program increased the proportion of children eligible for medicaid almost two fold 16 1 vs 31 2 yet coverage rates were always lower than eligibility rates 13 2 vs 16 1 in 1984 and 20 3 vs 31 2 in 1992 and the increase in coverage rates was only about 50 of the increase in eligibility rates during 1984 1992 the probability that a child was eligible for medicaid increased the probability of health insurance coverage by 29 77 when the model considered bias in variables e g a recession in a state the take up rate was only 22 73 nevertheless medicaid markedly increased use of medical care for example eligibility for medicaid increased the likelihood of making a visit to a physicians office in the last two weeks by about 50 it also increased the probability of a child visiting the hospital suggesting inefficiency in the way that providers deliver care to medicaid enrollees medicaid eligibility had a significant effect on reducing child mortality the 15 1 percentage point increase in eligibility during 1984 1992 reduced child mortality by 4 5 when the researchers examined parent assessed subjective health measures medicaid eligibility had no effect on child health medicaid eligibility reduced race and education based disparities in the number of visits and racial differences in mortality yet it may actually intensify current disparities in health care delivery site

econometric estimation of producers risk attitudes general methods are proposed for the identification and econometric estimation of the parameters of the distribution of risk attitudes in a producer population the proposed methods also provide the basis for the development of statistical tests of model specification and of behavioral hypotheses econometric risk attitude estimation is shown to be possible under less restrictive conditions than previously believed a moment based version of the general model is applied to indian data and the econometrically estimated risk attitudes are presented and compared to experimental results for a similar group of producers

the impact of increased tax subsidies on the insurance coverage of self employed families evidence from the 1996 2004 medical expenditure panel survey the share of health insurance premiums that self employed workers can deduct when computing federal income taxes rose from 30 percent in 1996 to 100 percent in 2003 data from the 1996 2004 medical expenditure panel survey are used to show that the increased tax subsidy was associated with substantial increases in private coverage among self employed workers and their spouses estimated effects on public coverage and the coverage of children were smaller in magnitude and less precisely estimated simulation results show that much of the post 1996 subsidy increase represented an inframarginal transfer to persons who would have had held private insurance anyway nevertheless increased subsidization expanded private coverage by 1 1 to 1 7 million persons at a cost per newly insured person less than 2 300 in all simulations a cost below that found in simulations of more broadly based subsidies

testing for consistent aggregation this paper designs workable empirical procedures for testing or imposing supply demand price aggregators only single equation methods are considered to shift the focus from any particular optimizing paradigm toward the necessities for correctly tabulating firm level supplies demands and aggregate supply demand both macro and micro level tests for consistent aggregation are developed and constructive rules for aggregation based upon empirically observed micro behavior are provided in tabular form empirical tests reveal no support for the aggregate price most commonly reported by usda the constructive rules are then used to develop a new wheat price index consistent with supply aggregation

the effect of premiums on the small firm s decision to offer health insurance many small firms fewer than 50 employees do not offer health insurance we investigated the role of premiums in the small firm s decision to offer health insurance using data from a 1993 survey of 2 000 small firms in minnesota selectively corrected equations were estimated to predict the premiums faced by firms offering and not offering insurance the elasticity of demand for health insurance calculated at the mean of the data was 3 91 for single coverage and 5 82 for family coverage we contrast these results to the much lower responsiveness found in experimental studies and suggest that our findings are more likely to model the small firm s demand for health insurance

homogeneity and supply supply functions in the ubiquitous gorman class are examined for their homogeneity properties homogeneity places surprisingly strong restrictions on functional forms these forms facilitate testing of aggregability given homogeneity or homogeneity given aggregability or testing both

the impact of state tax subsidies for private long term care insurance on coverage and medicaid expenditures abstract in spite of the large expected costs of needing long term care only 10 12 of the elderly population has private insurance coverage medicaid which provides means tested public assistance and pays for almost half of long term care costs spends more than 100 billion annually on long term care in this paper i exploit variation in the adoption and generosity of state tax subsidies for private long term care insurance to determine whether tax subsidies increase private coverage and reduce medicaid s costs for long term care the results indicate that the average tax subsidy raises coverage rates by 2 7 percentage points or 28 however the response is concentrated among high income and asset rich individuals populations with low probabilities of relying on medicaid simulations suggest each dollar of state tax expenditure produces approximately 0 84 in medicaid savings over half of which funnels to the federal government

the economic value of fundamental and technical information in emerging currency markets abstract we measure the economic value of information derived from macroeconomic variables and from technical trading rules for emerging markets currency investments our analysis is based on a sample of 21 emerging markets with a floating exchange rate regime over the period 1997 2007 and explicitly accounts for trading restrictions on foreign capital movements by using non deliverable forward data we document that both types of information can be exploited to implement profitable trading strategies in line with evidence from surveys of foreign exchange professionals concerning the use of fundamental and technical analysis we find that combining the two types of information improves the risk adjusted performance of the investment strategies

multiple input multiple output production choices and technology in the u s wheat region duality theory motivates a translog expected profit function consistent with multiple products price uncertainty preseason climate constraints acreage control policies and possibly nonhomothetic technology although multiple outputs are allowed enterprise specific data is not necessary instead time series measures of output revenues and expected prices input expenses and prices and fixed input flows are employed appropriate measures of elasticities of choice returns to size and biases in technological change are derived results indicated decreasing returns to size rather limited though complementary responsiveness of choices to price changes and the nature of biases in technological changes

how elastic is the firm s demand for health insurance abstract we investigate the impact of tax subsidies on the firm s decision to offer insurance and on conditional firm spending on insurance we do so using the micro data underlying the employment cost index which has a major advantage for this exercise the matching of very high quality compensation data with information on a sample of workers in the firm we find that overall there is a moderately sized elasticity of insurance offering with respect to after tax prices 0 25 and a larger elasticity of insurance spending 0 7 we also find that the elasticities are driven primarily by small firms for whom the elasticity is larger and we find that there is significant value added to this employer based data replicating methods from standard micro data sources in our data lead to misleading estimates of these key parameters our simulation results suggest that major tax reform could lead to an enormous reduction in employer provided health insurance spending

a nonparametric analysis of agricultural technology u s agricultural technology and technical change are analyzed nonparametrically under cost minimization and profit maximization based on annual data for 1948 83 various separability hypotheses concerning the aggregate production function for u s agriculture are investigated the proposed nonparametric approach also provides some insights into the nature of technical change

aggregation of price risk over commodities an economic index number approach this article extends the economic theory of index numbers to the aggregation of price risk over commodities in production superlative indexes of aggregate price risk are related to tornqvist and fisher type output quantity indexes an application to major crops in manitoba illustrates the empirical importance of the analysis

how the data we make can unmake us annals of factology scrutiny we give to propositions derived from theory claims of statistical significance of a regression result or a bald assertion consider why do people still ranch and why lately have more ranchers started to write poetry about their lives new york times july 5 1992 if you were to make such a poetical claim you could expect to be asked for supporting data but to take an example of the other kind after you quote world bank gdp tables to show real income growth in developing countries slowing up in the 1980s your assertion that real income growth slowed in the 1980s is likely to be unchallenged this is wrong for the supine acceptance of data can cause scientific mischief of the worst kind believing we know things that aren t so the purposes of this paper are to show how the data agricultural economists use can mislead and to discuss what might be done about it

engel s law and linear in moments aggregation aggregation of individual engel curves is considered such that aggregate food demand depends on the moments of the distribution of income across individuals given that aggregate demand is the sum of individual demands consistent aggregation imposes a structure called the linear in moments form this form is used to test whether the mean and second moment of income must be used to capture aggregate food demand empirical analysis strongly supports the proposition that both the mean and variance of income are required hence our results show that aggregate food demand under consistent aggregation is inherently sensitive to changes in the distribution of income

elasticities in aids models in the literature a variety of approaches have been used to calculate demand elasticities in almost ideal demand system aids models of demand it is common to estimate the linear approximate almost ideal demand system la aids instead of the aids when the la aids is estimated all of the previously reported approaches to compute elasticities are theoretically incorrect this paper presents correct formulas for la aids elasticities and illustrates the potential errors from using incorrect computing the almost ideal demand system aids of deaton and muellbauer 1980a b has become popular in recent years anderson and blundell blanciforti and green 1983a b blanciforti green and king chalfant eales and unnevehr fujii khaled and mak fulponi heien and willett murray parsons ray a variety of approaches to computing elasticities has been used and some of the approaches may lead to significant errors this paper clarifies the differences between alternative approaches to estimating demand elasticities in aids models

the returns to currency speculation in emerging markets the carry trade strategy involves selling forward currencies that are at a forward premium and buying forward currencies that are at a forward discount we compare the payoffs to the carry trade applied to two different portfolios the first portfolio consists exclusively of developed country currencies the second portfolio includes the currencies of both developed countries and emerging markets our main empirical findings are as follows first including emerging market currencies in our portfolio substantially increases the sharpe ratio associated with the carry trade second bid ask spreads are two to four times larger in emerging markets than in developed countries third and most dramatically the payoffs to the carry trade for both portfolios are uncorrelated with returns to the u s stock market this abstract was borrowed from another version of this item

testing a theory of exact aggregation this article analyzes the importance of exact aggregation restrictions and the modeling of demographic effects in jorgenson lau and stoker s 1982 model of aggregate consumer behavior these issues are examined at the household level using canadian cross sectional microdata exact aggregation restrictions and some implicit restrictions on household demographic effects are strongly rejected by our data these results do not preclude pooling aggregate time series data with cross sectional microdata to estimate a model of aggregate consumer behavior they do suggest however an alternative basis for the aggregate model

health insurance coverage and the macroeconomy this paper investigates the relationship between the macroeconomy and health insurance coverage for non elderly americans we find that for men state unemployment rate is positively correlated with the probability of health insurance coverage in general and through an employer in particular and that these correlations are only partly explained by changes in employment status in contrast the insurance coverage of women and children appears to be insulated from fluctuations in the unemployment rate by public health insurance programs like medicaid and state children s health insurance program schip we estimate that 984 000 americans nearly all of whom were adult men lost health insurance due to macroeconomic conditions alone during the 2001 recession

employment based health insurance and the effectiveness of intrafirm competition between insurance providers this paper examines the effects of competition between insurers for the patronage of a firm s employees since for employment based health insurance the employee choice of health insurance plans is often limited the availability of competing plans in the market does not necessarily reflect competition within the firm we utilize data from the 1987 national medical expenditures survey nmes to examine the effect of intrafirm competition in the employment based health insurance market using switching regression models we explore the process that sets premiums and the process that sets the net premium medical cost margins we find that greater choice results in higher margins and lower premiums we also find significantly negative health maintenance organization choice effects on both premiums and margins

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