gender inequality and economic development fertility education and norms we document the evolution of gender inequality in labour market outcomes earnings labour supply and wage rates over the path of economic development and present evidence on the potential reasons for this evolution to this end we have created a micro database that compiles 248 surveys from 53 countries between 1967 and 2014 covering a wide range of per capita income levels there is large convergence in the earnings of men and women over the path of development driven by female labour force participation and wage rates we argue that the single most important factor behind this convergence is demographic transition the effects of children on gender gaps child penalties are large at both low and high levels of development but fertility declines drastically over the growth process and thus reduces the aggregate implications of children we also document gender convergence in educational attainment and consider its effects on earnings inequality arguing that these are significant but less dramatic than the effects of fertility finally we document striking changes in the values or norms surrounding the role of women with children implying that such changes could serve as a reinforcing mechanism for gender convergence

optimal replication of contingent claims under portfolio constraints we determine the minimum cost of superreplicating a nonnegative contingent claim when there are convex constraints on portfolio weights we show that the optimal cost with constraints is equal to the price of a related claim without constraints the related claim is a dominating claim that is a claim whose payoffs are increased in an appropriate way relative to the original claim the results hold for a variety of options including some path dependent options constraints on the gamma of the replicating portfolio constraints on portfolio amounts and constraints on the number of shares are also considered article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

modeling and monitoring risk acceptability in markets the case of the credit default swap market abstract minimal discounted distorted expectations across a range of stress levels are employed to model risk acceptability in markets interactions between discounting and stress levels used in measure changes are accommodated by lowering discount rates for the higher stress levels acceptability parameters represent a maximal and minimal discount rate a maximal stress level and the speed of rate reduction in response to stress an explicit model relating credit default swap cds prices to default probabilities is formulated with a view to making the default risk market acceptable data on cds prices and default probabilities for the six major us banks obtained from the risk management institute of the national university of singapore is employed to estimate parameters defining acceptability and the movements in market implied recovery rates we observe that the financial crisis saw an increase in the maximal discount rate and its spread over the minimal rate along with an increase in the maximal stress level being demanded for acceptability and a stable pattern for the speed of rate adjustment through the period the maximal rate rate spread and stress levels have come down but with periods in the interim where they have peaked as they did in the crisis recovery rates have oscillated and they did fall substantially but have recovered towards 40 percent near the end of the period

factorization of european and american option prices under complete and incomplete markets abstract in a standard option pricing model with continuous trading and diffusion processes this paper shows that the price of one european style option can be factorized into two intuitive components one robust x 0 which is priced by arbitrage and a second 0 which depends on a risk orthogonal to the traded securities this result implies the following 1 in an incomplete market these parts represent the price of a hedging portfolio which is unique and a premium which depends only on the risk premiums associated with the residual risk respectively 2 in a complete market it allows factoring the contribution of the different sources of risk to the final option price for example in a stochastic volatility model we can quantify the impact on the option price of volatility risk relative to market risk 0 and x 0 respectively hence certain misspricings in option markets can be directly related to the premium 0 3 moreover these results extend to american securities which have a third component an additional early exercise premium

the gender gap fertility and growth changes in fertility have long been recognized as important correlates of economic growth with the relationship between the level of fertility and the level of income per capita being one of the strongest observable correlations in cross country data this paper examines the linkages between fertility and growth theory the structure of the model is presented in sections on production couples decision making system dynamics and steady state equilibria the first component of the model is that increases in capital per worker raise womens relative wages since capital is more complementary to womens labor input than to mens the second component is that increasing womens relative wages reduces fertility by raising the cost of children more than household income finally lower fertility raises the level of capital per worker a positive feedback loop generates demographic transition a rapid decline in fertility accompanied by accelerated output growth

do female gender role attitudes affect labour market participation in egypt abstractwe analyse the inter generational relationship of attitudes towards gender roles and their impact on individuals labour market participations in egypt we find a strong correlation between mothers and daughters perceptions of gender roles unlike the existing literature perceptions are not associated with the labour market status even if we control for endogeneity issues using an instrumental variable regression furthermore higher educated females are more likely to be unemployed in egypt these results imply that perceptions among females are not translated into their labour market behaviour and the supply side policies alone may not be sufficient for improving young women s employment opportunities

women s work and economic development using a cross country dataset and microdata from india and thailand we examine how women s work status changes with economic development several clear patterns emerge women s labor force participation first declines and then rises with development women move from work in family enterprises to work as paid employees fertility declines and gender gaps in education narrow women s education levels and those of their spouses appear to be important determinants of women s labor market activities broad welfare indicators such as mortality rates and education levels indicate that women s well being improves on average with development both in absolute terms and relative to men

firm location decisions regional grants and agglomeration externalities we examine whether discretionary government grants influence where domestic and multinational firms locate new plants and how the presence of agglomeration externalities interacts with these policy instruments we find that a region s existing industrial structure has an effect on the location of new entrants grants do have a small effect in attracting plants to specific geographic areas but importantly we find that firms are less responsive to government subsidies in areas where there are fewer existing plants in their industry this suggests that these subsidies are less effective in influencing firms location decisions in the face of countervailing co location benefits

the returns to schooling a selectivity bias approach with a continuous choice variable the essence of selection bias is that we do not observe nonoptimal choices this applies whether the choice variable is discrete or continuous this paper extends the selection bias methodology to the case where the choice variable is continuous and the choice set is ordered the leading practical application of this analysis is the schooling choice problem schooling is treated as a continuous choice variable and selectivity corrected rates of return are estimated the findings suggest selectivity is of considerable importance and support the comparative advantage hypothesis of willis and rosen 18

bond pricing and the term structure of interest rates a new methodology for contingent claims valuation this paper presents a unifying theory for valuing contingent claims under a stochastic term structure of interest rates the methodology based on the equivalent martingale measure technique takes as given an initial forward rate curve and a family of potential stochastic processee for its subsequent movements a no arbitrage condition restricts this family of processes yielding valuation formulae for interest rate sensitive contingent claims which do not explicitly depend on the market prices of risk examples are provided to illustrate the key results in relation to the term structure of interest rates arbitrage pricing theory has two purposes the first is to price all zero coupon default free bonds of varying maturities from a finite number of economic fundamentals called state variables the second is to price all interest rate sensitive contingent claims taking as given the prices of the zero coupon bonds this paper presents a general theory and a unifying framework for understanding arbitrage pricing theory in this context of which all existing arbitrage pricing models are special cases in particular vasicek 1977 brennan and schwartz 1979 langetieg 1980 ball and torous 1983 ho and lee 1986 schaefer and schwartz 1987 and artzner and delbaen 1988 the primary contribution of this paper however is a new methodology for solving the second problem i e the pricing of interest rate sensitive contingent claims given the prices of all zero coupon bonds the methodology is new because i it imposes its stochastic structure directly on the evolution of the forward rate curve ii it does not require an inversion of the term structure to eliminate the market prices of risk from contingent claim values and iii it has a stochastic spot rate process with multiple stochastic factors influencing the term structure the model can be used to consistently price and hedge all contingent claims american or european on the term structure and it is derived from necessary and more importantly sufficient conditions for the absence of arbitrage the arbitrage pricing models of vasicek 1977 brennan and schwartz 1979 langetieg 1980 and artzner and delbaen 1988 all require an iformerly titled bond pricing and the term structure of interest rates a new methodology

resource wealth and women s economic and political power in the u s states ross argues that oil wealth reduces women s economic and political power but critics maintain that accounting for a community s attitudes toward gender equality makes the gendered resource curse disappear this article disentangles the two perspectives by studying the effects of resource wealth on women s economic and political status in the u s states where resource wealth varies significantly while cultural differences are comparatively small data between 1997 and 2012 reveal evidence of a gendered resource curse consistent with ross i also update the theory of the gendered resource curse by showing via a culture augmented labor leisure model of workforce participation that far from being irrelevant when accounting for varying attitudes toward gender roles resource wealth and those patriarchal attitudes combine to suppress even more women s economic and political influence data from the u s states support this expectation as well

misperceived social norms women working outside the home in saudi arabia we show that the vast majority of young married men in saudi arabia privately support women working outside the home wwoh and substantially underestimate support by other similar men correcting these beliefs increases men s costly willingness to help their wives search for jobs months later wives of men whose beliefs were corrected are more likely to have applied and interviewed for a job outside the home in a recruitment experiment with a local company randomly informing women about actual support for wwoh leads them to switch from an at home temporary enumerator job to a higher paying outside the home version of the job

the maximum entropy distribution of an asset inferred from option prices this paper describes the application ofthe principle of maximum entropy to the estimation of the distribution of an underlying asset from a set of option prices the resulting distri bution is least committal with respect to unknown or missing information and is hence the least prejudiced the maximum entropy distribution is the only information about the asset that can be inferred from the price data alone an extension to the principle of mini mum cross entropy allows the inclusion of prior knowledge of the asset distribution we show that the maximum entropy distribution is able to accurately fit a known density given simulated option prices at different strikes

gender and culture this paper reviews the literature on gender and culture gender gaps in various outcomes competitiveness labor force participation and performance in mathematics amongst many others show remarkable differences across countries and tend to persist over time the economics literature initially explained these differences by looking at standard economic variables such as the level of development women s education the expansion of the service sector and discrimination more recent literature has argued that gender differences in a variety of outcomes could reflect underlying cultural values and beliefs this article reviews the literature on the relevance of culture in the determination of different forms of gender gap i examine how differences in historical situations could have been relevant in generating gender differences and the conditions under which gender norms tend to be stable or to change over time emphasizing the role of social learning finally i review the role of different forms of cultural transmission in shaping gender differences distinguishing between channels of vertical transmission the role of the family horizontal transmission the role of peers and oblique transmission the role of teachers or role models

leverage effect volatility feedback and self exciting market disruptions equity index volatility variation and its interaction with the index return can come from three distinct channels first index volatility increases with the market s aggregate financial leverage second positive shocks to systematic risk increase the cost of capital and reduce the valuation of future cash flows generating a negative correlation between the index return and its volatility regardless of financial leverage finally large negative market disruptions show self exciting behaviors this article proposes a model that incorporates all three channels and examines their relative contribution to index option pricing and stock option pricing for different types of companies

slow boom sudden crash abstract many asset markets exhibit slow booms and sudden crashes this pattern is explained by an endogenous flow of information in the model agents undertake more economic activity in good times than in bad economic activity generates public information about the state of the economy if the economic state changes when times are good and information is abundant asset prices adjust quickly and a sudden crash occurs when times are bad scarce information and high uncertainty slow agents reactions as the economy improves a gradual boom ensues data from u s and emerging credit markets support the theory

wages and labor management in african manufacturing using matched employer employee data on 10 african countries this paper examines the relationship beween wages worker supervision and labor productivity in manufacturing wages increase with rm size for both production workers and supervisors we develop a two tier model of supervision that can account for this stylized fact and we t the structural model to the data employee data is used to derive a rm speci c wage premium that is purged of the effect of worker observables we nd as trong effect of both supervision and wages on effort and hence on labor productivity labor management in sub saharan africa appears problematic with much higher supervisor to worker ratios than in morocco and a higher elasticity of effort with respect to supervision

learning from private and public observations of othersʼ actions we study how a continuum of agents learn about disseminated information by observing others actions every period each agent observes a public and private noisy signal centered around the aggregate action taken by the population the public signal represents an endogenous aggregate variable such as a price or a quantity the private signal represents the information gathered through private communication and local interactions we identify conditions such that the average learning curve is s shaped learning is slow initially intensifies rapidly and finally converges slowly to the truth we show that increasing public information always slows down learning in the long run and under some conditions reduces welfare lastly optimal diffusion of information requires that agents strive to be different agents need to be rewarded for choosing actions away from the population average

tough love and intergenerational altruism tough love and intergenerational altruism this article develops and studies a tough love model of intergenerational altruism we model tough love by modifying the barro becker standard altruism model in two ways first the child s discount factor is endogenously determined so lower childhood consumption leads to a higher discount factor later in life second the parent evaluates the child s lifetime utility with a constant high discount factor our model predicts that parental transfers will fall when the child s discount factor falls this is in contrast with the standard altruism model which predicts that parental transfers are independent of exogenous changes in the child s discount factor

did women s suffrage change the size and scope of government this paper examines the growth of government during this century as a result of giving women the right to vote using cross sectional time series data for 1870 1940 we examine state government expenditures and revenue as well as voting by u s house and senate state delegations and the passage of a wide range of different state laws suffrage coincided with immediate increases in state government expenditures and revenue and more liberal voting patterns for federal representatives and these effects continued growing over time as more women took advantage of the franchise contrary to many recent suggestions the gender gap is not something that has arisen since the 1970s and it helps explain why american government started growing when it did

chronic disease burden and the interaction of education fertility and growth abstract this study considers the eradication of hookworm disease from the american south circa 1910 as a test of the quantity quality q q framework of fertility eradication was principally a shock to the price of quality because of three factors hookworm i depresses the return to human capital investment ii had a very low case fatality rate and iii had negligible prevalence among adults consistent with the q q model we find a significant decline in fertility associated with eradication

targeted business incentives and local labor markets this paper uses a regression discontinuity design to examine the effects of geographically targeted business incentives on local labor markets unlike elsewhere in the united states enterprise zone ez designations in texas are determined in part by a cutoff rule based on census block group poverty rates exploiting this discontinuity as a source of quasi experimental variation in investment and hiring incentives across areas i find that ez designation has a positive effect on resident employment increasing opportunities mainly in lower paying industries while business sitings spurred by the program are more geographically diffuse ez designation is associated with increases in home values

the trend in the male female wage gap in the united states despite the rise in the feminist movement the enactment of equal opportunity legislation and the rapid increase in women s labor force participation a substantial sex differential in wages has persisted in the united states for at least 4 decades measured by hourly earnings of year round workers this wage gap was 31 in 1955 widened to a 35 37 range by the 1960s and early 1970s and then narrowed to 33 by 1982 this paper examines the extent to which changes in the characteristics of men and women in the labor force and other factors can account for the observed pattern the main finding is that increases in women s labor force participation were initially associated with a declining skill level of employed women relative to employed men where skill is measured by years of schooling and job tenure more recently the work experience of employed women has been increasing which helps account for the recent narrowing trend in the wage gap during the 1970s the wage gap probably woul have narrowed m

gender role attitudes and the labour market outcomes of women across oecd countries this paper uses data from the world value surveys 1990 1995 1999 to investigate the impact of gender role attitudes and work values on women s labour market outcomes across 25 oecd countries anti egalitarian views are found to display the strongest negative association with female employment rates and the gender pay gap these views are however softening among recent cohorts on the other hand perceptions of women s role as homemakers which are likely formed in youth and linked to religious ideology are more persistent over time they could be implicated in the recent slowdown of the gender convergence in pay finally the unavoidable clash between family values and egalitarian views that takes the form of an inner conflict for many women the so called mother s guilt is another obstacle in the path towards greater gender equality in the labour market copyright 2005 oxford university press

occupational choice and the spirit of capitalism the british industrial revolution triggered a socioeconomic transformation whereby the landowning aristocracy was replaced by industrial capitalists rising from the middle classes as the economically dominant group we propose a theory of preference formation under financial market imperfections that can account for this pattern parents shape their children s preferences in response to economic incentives middle class families in occupations requiring effort skill and experience develop patience and a work ethic whereas upper class families relying on rental income cultivate a refined taste for leisure these class specific attitudes which are rooted in the nature of preindustrial professions become key determinants of success once industrialization transforms the economic landscape i introduction the industrial revolution was more than capital accumulation and growth it also set off a social and political transformation that redefined hierarchies in society and reshaped the distribution of income and wealth before the onset of industrialization in eighteenth century britain wealth and political power were associated with the possession of land over the course of the nineteenth century a new class of entrepreneurs and businessmen emerged as the economic elite for the most part the members of this class rose from humble beginnings and had their social origins in the urban middle classes the landed elite was left behind and eventually lost its political and economic predominance many observers of the time linked this reversal in economic fortunes to differences in values attitudes and ultimately preferences across social classes there are countless examples both in scholarly and in fictional writing of portrayals of members of the landowning class as averse to work unwilling to save ill disposed tocommercialactivity andunabletoconsidermoneyassomething

from mill town to board room the rise of women s paid labor the widespread participation of women in paid labor outside of the home and in the highest echelons of society would have been unheard of a century ago this paper documents this dramatic change in women s social and economic status and argues that it was determined both by contemporaneous demand factors and by the characteristics expectations and social norms regarding work and family of different cohorts of women history suggests that change in women s labor force experiences may be slow because it must await the entry of new cohorts of women and also of men into the labor market

do low income housing subsidies increase the occupied housing stock abstract a necessary condition for justifying a policy such as subsidized low income housing either via tenant based rental assistance or construction of public or private projects is that it has a real effect on market outcomes in this paper we examine one aspect of the real effect of subsidized housing does it increase the housing stock if subsidized housing raises the quantity of occupied housing per capita either more people are finding housing or they are being housed less densely on the other hand if subsidized housing merely crowds out equivalent quality low income housing that otherwise would have been provided by the private sector the housing policy may have little real effect on housing consumption using both census place and msa level data from the decennial census and from the department of housing and urban development we ask whether housing markets with more subsidized housing also have more total housing after accounting for housing demand we find that government financed units raise the total number of units in a market although on average one government subsidized unit adds only one third to one half of a unit to the total housing stock there is less crowd out in more populous markets and more crowd out in places where there is less excess demand for subsidized housing as measured by the number of government financed units per eligible person tenant based housing programs such as section 8 certificates and vouchers seem to be more effective than project based programs at targeting subsidized housing units to people who otherwise would not have their own

changes in labor force participation in the united states the labor force participation rate in the united states increased almost continuously for two and a half decades after the mid 1960s pausing only briefly during economic downturns the pace of growth slowed considerably during the 1990s however and after reaching a record high of 67 3 percent in the first quarter of 2000 participation had declined by 1 5 percentage points by 2005 this paper reviews the social and demographic trends that contributed to the movements in the labor force participation rate in the second half of the twentieth century it also examines the manner in which developments in the 2000s reflect a break from past trends and considers implications for the future

local economic development agglomeration economies and the big push 100 years of evidence from the tennessee valley authority we study the long run eects of one of the most ambitious place based economic development policies in u s history the tennessee valley authority using a rich panel dataset of counties we conduct an evaluation of the dynamic eects of the tva on local economies in the seventy years following the program s inception we nd that the tva led to short run gains in agricultural employment that were eventually reversed while impacts on manufacturing employment continued to intensify well after the program s subsidies had lapsed a pattern consistent with the presence of strong agglomeration economies in the manufacturing sector economists have long cautioned that the local gains created by place based policies may be oset by losses elsewhere yielding ambiguous eects on the u s as a whole building on the framework in glaeser and gottlieb 2008 we develop a novel approach to assessing the aggregate consequences of shifting the spatial distribution of manufacturing employment our ndings suggest the aggregate productivity gains associated with relocating manufacturing activity to the tva region were probably minimal

time changed levy processes and option pricing abstract the classic black scholes option pricing model assumes that returns follow brownian motion but return processes differ from this benchmark in at least three important ways first asset prices jump leading to non normal return innovations second return volatilities vary stochastically over time third returns and their volatilities are correlated often negatively for equities time changed levy processes can simultaneously address these three issues we show that our framework encompasses almost all of the models proposed in the option pricing literature and it is straightforward to select and test a particular option pricing model through the use of characteristic function technology

child care choices and children s cognitive achievement the case of single mothers we evaluate the effect of child care versus maternal time inputs on child cognitive development using single mothers from the nlsy79 to deal with nonrandom selection of children into child care we exploit the exogenous variation in welfare policy rules facing single mothers in particular the 1996 welfare reform and earlier state level policy changes generated substantial increases in their work child care use we construct a comprehensive set of welfare policy variables and use them as instruments to estimate child cognitive ability production functions in our baseline specification we estimate that a year of child care reduces child test scores by 2 1

gender economics an assessment concerns about gender equality have jumped to the forefront of public debate in recent years and gender economics is slowly affirming its place as a major field of study this assessment examines where we are in terms of gender equality it reviews the theoretical foundations that can explain existing inequalities and documents the empirical findings supported by the theories identifying avenues for future research and providing a fruitful framework to think about the effectiveness of policies and interventions targeting gender inequality in doing so i provide the foundations against which the contributions in this issue can be placed

the market work behavior and wages of women 1975 94 changes in the labor market participation and wages of women in the united states are analyzed over the period 1975 1994 using data from the current population survey women are organized into nine birth cohorts five schooling groups and each year of age from 25 to 60 years and their weekly and annual work hours their annual work weeks their employment population ratio and their real average hourly earnings tabulated schooling differences in work behavior have become wider in recent cohorts as have their wages the relationship between work and wages is estimated for women of different ages cohorts and marital status the gap between the work of unmarried and married women has narrowed and the role of wages both the wages of women and those of husbands is examined to determine the extent to which changes in wages account for these movements excerpt

gender segregation in occupations the role of tipping and social interactions this paper documents that the dynamics of occupational segregation are highly nonlinear and exhibit tipping patterns occupations experience discontinuous declines in net male employment growth at tipping points ranging from 25 to 45 from 13 to 30 female in white collar blue collar occupations from 1940 to 1990 these patterns appear consistent with a schelling 1971 social interaction model where tipping results from male preferences toward the fraction female in their occupation supporting the model s predictions evidence from the general social survey indicates that tipping points are lower in regions where males hold more sexist attitudes toward the appropriate role of women

pricing and hedging in incomplete markets abstract we present a new approach for positioning pricing and hedging in incomplete markets that bridges standard arbitrage pricing and expected utility maximization our approach for determining whether an investor should undertake a particular position involves specifying a set of probability measures and associated floors which expected payoffs must exceed in order for the investor to consider the hedged and financed investment to be acceptable by assuming that the liquid assets are priced so that each portfolio of assets has negative expected return under at least one measure we derive a counterpart to the first fundamental theorem of asset pricing we also derive a counterpart to the second fundamental theorem which leads to unique derivative security pricing and hedging even though markets are incomplete for products that are not spanned by the liquid assets of the economy we show how our methodology provides more realistic bid ask spreads

engines of liberation electricity was born at the dawn of the last century households were inundated with a flood of new consumer durables what was the impact of this consumer durable goods revolution it is argued here that the consumer goods revolution was conducive to liberating women from the home to analyse this hypothesis a beckerian model of household production is developed households must decide whether or not to adopt the new technologies and whether a married woman should work can such a model help to explain the rise in married female labour force participation that occurred in the last century yes the housewife of the future will be neither a slave to servants nor herself a drudge she will give less attention to the home because the home will need less she will be rather a domestic engineer than a domestic labourer with the greatest of all handmaidens electricity at her service this and other mechanical forces will so revolutionize the woman s world that a large portion of the aggregate of woman s energy will be conserved for use in broader more constructive fields thomas alva edison as interviewed in good housekeeping magazine lv no 4 october 1912 p 436

work environment and opt out rates at motherhood across high education career paths observing a sample of harvard alumnae in their late thirties the authors study the relationship between workplace flexibility and the labor force participation of mothers they first document a large variation in labor force participation rates across higher education fields mindful of the possibility of systematic patterns in the types of women who complete various graduate degrees they use the rich information available for the sample supplemented by the longitudinal nature of a subset of these data to assess the extent to which these labor supply patterns may reflect variation in the difficulty of combining work with family although ruling out systematic sorting entirely is not possible their evidence suggests that inflexible work environments push women out of the labor force at motherhood

gain loss and asset pricing we develop an approach to asset pricing in incomplete markets that bridges the gap between the two fundamental approaches in finance model based pricing and pricing by no arbitrage we strengthen the absence of arbtrage assumption by precluding investment opportunities whose attractiveness to a benchmark investor exceeds a specified threshold in our framework the attractiveness of an investment opportunity is measured by the gain loss ratio we show that a restriction on the maximum gain loss ratio is equivalent to a restriction on the ratio of the maximum to minimum values of the pricing kernel by limiting the maximum gainloss ratio we can restrict the admissible set of pricing kernels which in turn allows us to restrict the set of prices that can be assigned to assets we illustrate our methodology by computing price bounds for call options in a black scholes economy without intermediate trading when we vary the maximum permitted gainloss ratio these bounds can range from the exact prices implie

monitored financial equilibria abstract the financial monitoring system is formalized as an economic primitive in addition to preferences endowments production sets and asset spans new definitions of budget constraints and economic equilibria follow the concept of a general equilibrium is then appropriately revised to accommodate this perspective on the role of a financial monitoring system implications for asset pricing are derived and the relationship of equilibria to risk management considerations is discussed

measuring economic insecurity we provide a systematic treatment of the notion of economic insecurity assuming that an individual s sentiment of insecurity depends on the current wealth level and its variations experienced in the past we think of wealth as a comprehensive variable encompassing anything that may help in coping with adverse occurrences the current wealth level could also be interpreted as incorporating the individual s evaluation of future prospects variations in wealth experienced in the recent past are given higher weight than experiences that occurred in the more distant past two classes of measures are characterized with sets of plausible and intuitive axioms

estimating a dynamic adverse selection model labour force experience and the changing gender earnings gap 1968 1997 this paper addresses two questions what accounts for the gender gap in labour market outcomes what are the driving forces behind the changes in the gender labour market outcomes over the period 1968 1997 it formulates a dynamic general equilibrium model of labour supply occupational sorting and human capital accumulation in which gender discrimination and an earnings gap arise endogenously it uses this model to quantify the driving forces behind the decline in the gender earnings gap and the increase in female labour force participation the proportion of women working in professional occupations and hours worked it finds that labour market experience is the most important factor explaining the gender earnings gap in addition statistical discrimination accounts for a large fraction of the observed gender earnings gap and its decline it also finds that a large increase in aggregate productivity in professional occupations plays a major role in the increase in female labourforce participation number of hours worked and the proportion of females working in professional occupations although of less importance demographic changes account for a substantial part of the increase in female labour force participation and hours worked whereas home production technology shocks do not

monetary intervention mitigated banking panics during the great depression quasi experimental evidence from a federal reserve district border 1929 1933 the federal reserve act divided mississippi between the 6th atlanta and 8th st louis districts during the great depression these districts policies differed atlanta championed monetary activism and the extension of aid to ailing banks st louis eschewed expansionary initiatives during a banking crisis in 1930 atlanta expedited lending to banks in need st louis did not outcomes differed across districts in atlanta banks survived at higher rates lending continued at higher levels commerce contracted less and recovery began earlier these patterns indicate that central bank intervention influenced bank health credit availability and business activity

expected gain loss pricing and hedging of contingent claims in incomplete markets by linear programming abstract we analyze the problem of pricing and hedging contingent claims in the multi period discrete time discrete state case using the concept of a gain loss ratio opportunity pricing results somewhat different from but reminiscent of the arbitrage pricing theorems of mathematical finance are obtained our analysis provides tighter price bounds on the contingent claim in an incomplete market which may converge to a unique price for a specific value of a gain loss preference parameter imposed by the market while the hedging policies may be different for different sides of the same trade the results are obtained in the simpler framework of stochastic linear programming in a multi period setting and have the appealing feature of being very simple to derive and to articulate even for the non specialist they also extend to markets with transaction costs

unequal laws and the disempowerment of women in the labor market evidence from firm level data institutions are defined as the set of rules that govern human interactions when these rules are discriminatory they may disempower segments of a population in the economic spheres of activity this study explores whether laws that discriminate against women influence their engagement in the economy the study adopts a holistic approach exploring an overall measure of unequal laws also known as legal gender disparities and relates it to several labor market outcomes for women using data for more than 60 000 firms across 104 economies the study finds that unequal laws not only discourage women s participation in the private sector workforce but also their likelihood to become top managers and owners of firms suggestive evidence indicates that access to finance and corruption are pathways by which legal gender disparities disempower women in the labor market

crowd out effects of place based subsidized rental housing new evidence from the lihtc program abstract since its inception in 1987 the low income housing tax credit lihtc program has ballooned into the largest ever source of subsidized construction of low income housing in the united states accounting for one third of all recent multi family rental construction this paper examines the crowd out effects of this increasingly important source of low moderate income housing to do so we analyze the impact of lihtc construction at three different levels of geography msa county and 10 mile radius circles this allows us to employ increasingly extensive geographic fixed effects that help to difference away unobserved factors political variables are also used as instruments to further facilitate identification in all of our models iv estimates yield substantially greater crowd out than ols confirming the endogenous attraction of lihtc development to areas ripe for new construction our most robust iv estimates indicate that nearly 100 of lihtc development is offset by a reduction in the number of newly built unsubsidized rental units although the confidence band around this point estimate allows for less dramatic assessments additional estimates suggest that lihtc development has a much more moderate impact on construction of owner occupied housing but these estimates are imprecise overall while lihtc development may well affect the location of low moderate income rental housing opportunities our estimates suggest that the impact of the program on the number of newly developed rental housing units appears to be small

economics and identity this paper considers how identity a person s sense of self affects economic outcomes we incorporate the psychology and sociology of identity into an economic model of behavior in the utility function we propose identity is associated with different social categories and how people in these categories should behave we then construct a simple game theoretic model showing how identity can affect individual interactions the paper adapts these models to gender discrimination in the workplace the economics of poverty and social exclusion and the household division of labor in each case the inclusion of identity substantively changes conclusions of previous economic analysis

time consistency in managing a commodity portfolio a dynamic risk measure approach we address the problem of managing a storable commodity portfolio that includes physical assets and positions in spot and forward markets the vast amount of capital involved in the acquisition of a power plant or storage facility implies that the financing period stretches over a period of several quarters or years hence an intertemporally consistent way of optimizing the portfolio over the planning horizon is required we demonstrate the temporal inconsistency of static risk objectives based on final wealth and advocate the validity in our setting of a new class of recursive risk measures introduced by epstein and zin epstein g zin s 1989 substitution risk aversion and the temporal behavior of consumption and asset returns a theoretical framework econometrica 57 4 937 969 and wang wang t 2000 a class of dynamic risk measures university of british columbia these risk measures provide important insights on the trade offs between date specific risks i e losses occurring at a point in time and time duration risks represented by the pair return risk over a planning horizon in a number of situations they dramatically improve the efficiency of static risk objectives as exhibited in numerical examples

the baby boom and world war ii a macroeconomic analysis we argue that one major cause of the u s postwar baby boom was the rise in female labor supply during world war ii we develop a quantitative dynamic general equilibrium model with endogenous fertility and female labor force participation decisions we use the model to assess the impact of the war on female labor supply and fertility in the decades following the war for the war generation of women the high demand for female labor brought about by mobilization leads to an increase in labor supply that persists after the war as a result younger women who reach adulthood in the 1950s face increased labor market competition which impels them to exit the labor market and start having children earlier the effect is amplified by the rise in taxes necessary to pay down wartime government debt in our calibrated model the war generates a substantial baby boom followed by a baby bust

a risk reserve model for hedging in incomplete markets abstract this paper presents a new approach to the pricing and hedging problem for contingent claims in incomplete markets we assume that traders wish to maximize the expected final payoff of the hedging portfolio and the claims and we avoid the use of utility functions instead we model how traders are punished when taking excessive risks in practice to do so we introduce an extra reserve bank account which earns a smaller rate of return than a standard deposit bank account the reserve account should always contain a minimal amount of money which depends on the risk that the trader s portfolio is exposed to we focus on a specific example which uses option price sensitivities the greeks to specify the risk the resulting optimization problem can then be solved in a rather explicit form and we show how the solution naturally leads to bid ask spreads prices which depend on the trader s current position and implied volatility smiles

sorting through affirmative action three field experiments in colombia the use of affirmative action policies to promote female employment remains debated do affirmative action policies attract female applicants and does that come at the expense of deterring highly

mothers and sons preference formation and female labor force dynamics this paper argues that the growing presence of a new type of man one brought up in a family in which the mother worked has been a significant factor in the increase in female labor force participation over time we present cross sectional evidence showing that the wives of men whose mothers worked are themselves significantly more likely to work we use variation in the importance of world war ii as a shock to women s labor force participation as proxied by variation in the male draft rate across u s states to provide evidence in support of the intergenerational consequences of our propagation mechanism

identification of endogenous social effects the reflection problem this paper examines the reflection problem that arises when a researcher observing the distribution of behaviour in a population tries to infer whether the average behaviour in some group influences the behaviour of the individuals that comprise the group it is found that inference is not possible unless the researcher has prior information specifying the compisition of reference groups if this information is available the prospects for inference depend critically on the population relationship between the variables defining reference groups and those directly affecting outcomes inference is difficult to implossible if these variables are functionally dependent or are statistically independent the prospects are better if the variables defining reference groups and those directly affecting outcomes are moderately related in the population

a simple nonparametric approach to derivative security valuation canonical valuation uses historical time series to predict the probability distribution of the discounted value of primary assets discounted prices plus accumulated dividends at any future date then the axiomatically rationalized maximum entropy principle is used to estimate risk neutral equivalent martingale probabilities that correctly price the primary assets as well as any predesignated subset of derivative securities whose payoffs occur at this date valuation of other derivative securities proceeds by calculation of its discounted risk neutral expected value both simulation and empirical evidence suggest that canonical valuation has merit since the advent of the justly celebrated black scholes option pricing formula intense interest has focused on testing its implications there is consensus

nature or nurture learning and the geography of female labor force participation one of the most dramatic economic transformations of the past century has been the entry of women into the labor force while many theories explain why this change took place we investigate the process of transition itself we argue that local information transmission generates changes in participation that are geographically heterogeneous locally correlated and smooth in the aggregate just like those observed in our data in our model women learn about the efiects of maternal employment on children by observing nearby employed women when few women participate in the labor force data is scarce and participation rises slowly as information accumulates in some regions the efiects of maternal employment become less uncertain and more women in that region participate learning accelerates labor force participation rises faster and regional participation rates diverge eventually information difiuses throughout the economy beliefs converge to the truth participation attens out and regions become more similar again to investigate the empirical relevance of our theory we use a new county level data set to compare our calibrated model to the time series and geographic patterns of participation

how much does sorting increase inequality some commentators argue that increased sorting into internally homogeneous neighborhoods schools and marriages is radically polarizing society calibration of a formal model however suggests that the steady state standard deviation of education would increase only 1 7 percent if the correlation between neighbors education doubled and would fall only 1 6 percent if educational sorting by neighborhood disappeared the steady state standard deviation of education would grow 1 percent if the correlation between spouses education increased from 0 6 to 0 8 in fact marital and neighborhood sorting have been stable or even decreasing historically sorting has somewhat more significant effects on intergenerational mobility than on inequality

pricing catastrophe options with stochastic claim arrival intensity in claim time abstract we model claim arrival and loss uncertainties jointly in a doubly binomial framework to price an asian style catastrophe cat option with a non traded underlying loss index using the no arbitrage martingale pricing methodology we span these uncertainties by benchmarking to the shadow price of a one claim bond and the premium of a reinsurance contract we implement a stochastic time change from calendar time to claim time to more efficiently price the cat option as a random sum a binomial sum of claim time binomial asian option prices this choice of the operational time dimension allows us to incorporate different patterns of catastrophe arrivals by adjusting the claim arrival probability we demonstrate this versatility by incorporating a mean reverting ornstein uhlenbeck intensity arrival process simulation results verify our model predictions and demonstrate how the claim arrival probability varies with the expected claim arrival intensity

on the regional labour market determinants of female university enrolment in europe casarico a profeta p and pronzato c d on the regional labour market determinants of female university enrolment in europe regional studies this paper empirically investigates how young women s decisions of investing in post secondary education are affected by labour market outcomes of older women living in the same region eu silc data on educational decisions of women who completed secondary schooling are used and indicators of the regional labour market are constructed exploiting regional and time variability it is found that the share of working women with young children of women with managerial positions and the self employed positively affect the probability to enrol significant effects of these variables for men are not found

more power to the pill the impact of contraceptive freedom on women s life cycle labor supply the release of enovid in 1960 the first birth control pill afforded u s women unprecedented freedom to plan childbearing and their careers this paper uses plausibly exogenous variation in state consent laws to evaluate the causal impact of the pill on the timing of first births and extent and intensity of women s labor force participation the results suggest that legal access to the pill before age 21 significantly reduced the likelihood of a first birth before age 22 increased the number of women in the paid labor force and raised the number of annual hours worked

persistence in industrial policy impacts evidence from depression era mississippi this paper studies the effects of a large scale industrial policy implemented in 1930s mississippi on contemporaneous and modern day labor market outcomes attracted by unprecedented government incentives under mississippi s balance agriculture with industry bawi program 13 large manufacturing plants established operations in the state between 1936 and 1940 using difference in differences and synthetic control matching techniques i find that counties that received these plants experienced an over 15 increase in female labor force participation on average in the short run moreover these effects persisted decades into the future well after many of the original companies shut down i also find suggestive evidence of an increase in educational attainment among women in counties where bawi investment occurred the results highlight the potential for even transitory government interventions to have long lived effects on labor markets

optimal replication of options with transactions costs and trading restrictions this paper analyzes the strategy that minimizes the initial cost of replicating a contingent claim in a market with transactions costs and trading constraints the linear programming and two stage backward recursive models developed are applicable to the replication of convex as well as nonconvex payoffs and to a portfolio of options with different maturities the paper s formulation conveniently accounts for fixed and variable transactions costs lot size constraints and position limits on trading the article shows that in the presence of trading frictions it is no longer optimal to revise one s portfolio in each period at the optimum cash flows in excess of the desired ones may be generated the optimal policy trades off the curvature of the payoff that is generated against the terminal slack

pricing interest rate derivative securities this article shows that the one state variableinterest rate models of vasicek 1977 and cox ingersoll and ross 1985b can be extended sothat they are consistent with both the current termstructure of interest rates and either the currentvolatilities of all spot interest rates or the currentvolatilities of all forward interest rates theextended vasicek model is shown to be very tracta ble analytically the article compares option pricesobtained using the extended vasicek model withthose obtained using a number of other models

identifying the local economic development effects of million dollar facilities presented on february 22 2013 from 12 35 pm 2 00 pm in the architecture east building room 217 on the georgia tech campus

teaching new markets old tricks the effects of subsidized investment on low income neighborhoods abstract this paper examines the effects of investment subsidized by the federal government s new markets tax credit nmtc program which provides tax incentives to encourage private investment in low income neighborhoods i identify the impacts of the program by taking advantage of a discontinuity in the rule determining the eligibility of census tracts for nmtc subsidized investment using this discontinuity as a source of quasi experimental variation in commercial development across tracts i find that subsidized investment has modest positive effects on neighborhood conditions in low income communities though spillovers appear to be small and crowd out incomplete the results suggest that some of the observed impacts on neighborhoods are attributable to changes in the composition of residents as opposed to improvements in the welfare of existing residents

general equilibrium pricing of options on the market portfolio with discontinuous returns when the price process for a long lived asset is of a mixed jump diffusion type pricing of options on that asset by arbitrage is not possible if trading is allowed only in the underlaying asset and a risk less bond using a general equilibrium framework we derive and analyze option prices when the underlying asset is the market portfolio with discontinuous returns the premium for the risk of jumps and the diffusion risks forms a significant part of the prices of the options in this economy an attempted replication of call and put options by the black scholes type of trading strategies may require substantial infusion of funds when jumps occur we study the cost and risk implications of such dynamic hedging plans article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

time series growth in the female labor force in this paper we investigate the reasons for the growth in the female labor force in america during the twentieth century in our research we study the longer term trends since 1900 and conduct a more intensive examination of developments after the second world war on the basis of our work we conclude that rising real wages accounted for 60 of the total growth in the female labor force half of this wage effect in expanding labor supply was the fertility reducing consequence of a higher female wage

sorting and long run inequality many social commentators have raised concerns over the possibility that increased sorting in society may lead to greater inequality to investigate this we construct a dynamic model of intergenerational education acquisition fertility and marital sorting and parameterize the steady state to match several basic empirical endings we end that increased sorting will signiecantly increase income inequality four factors are important to our endings a negative correlation between fertility and education a decreasing marginal effect of parental education on children s years of education wages that are sensitive to the relative supply of skilled workers and borrowing constraints that affect educational attainment for some low income households

who benefits from local oil and gas employment labor market composition in the oil and gas industry in texas and the rest of the united states abstract this paper examines local labor market outcomes from an oil and gas boom we examine two main outcomes the probability of employment and the log wages of workers employed outside the oil and gas industry for texas and the rest of the united states across gender race and ethnicity we find that men and women gain employment in the oil and gas industry during booms but such gains are much larger for men and are largest for black and hispanic men we also find positive income spillovers for workers in other industries that are similar in magnitude across demographic groups

beyond arbitrage good deal asset price bounds in incomplete markets one often wants to value a risky payoff by reference to prices of other assets rather than by exploiting full fledged economic models however this approach breaks down if one cannot find a perfect replicating portfolio we impose weak economic restriction to derive usefully tight bounds on asset prices in this situation the bounds assume that investors would want to buy assets with high sharpe ratios good deals as well as pure arbitrage opportunities we show how to calculate the price bounds in one period multiperiod and continuous time contexts we show that the multiperiod problem can be solved recursively as a sequence of one period problems we calculate bounds in option pricing examples including infrequent trading and an option written on a nontraded event and we use the bounds to explore the economic significance of option pricing predictions we find that much variation in s p 500 index option prices over time and across strike prices fits within the bounds

implications of rational inattention abstract a constraint that actions can depend on observations only through a communication channel with finite shannon capacity is shown to be able to play a role very similar to that of a signal extraction problem or an adjustment cost in standard control problems the resulting theory looks enough like familiar dynamic rational expectations theories to suggest that it might be useful and practical while the implications for policy are different enough to be interesting

the returns to vocational training and academic education evidence from tanzania in this paper we ask what can account for the continuing strong preference for academic education in africa where the level of development is so low and there are few wage jobs and which form of educational investment the academic or vocational is most profitable we argue that the answers to these questions are linked through the shape of the earnings function and the importance of firm effects high levels of academic education have far higher returns than those available either from vocational or lower levels of academic however at lower levels the vocational return can exceed the academic

unobserved heterogeneity and the relation between earnings and firm size evidence from two developing countries abstract large firms in ghana and kenya pay much higher wages than small ones we use panel data to show this is not the result of employing high ability individuals the size effect remains substantial with controls for individual fixed effects

acting wife marriage market incentives and labor market investments do single women avoid career enhancing actions because these actions signal undesirable traits like ambition to the marriage market while married and unmarried female mba students perform similarly when their performance is unobserved by classmates on exams and problem sets unmarried women have lower participation grades in a field experiment single female students reported lower desired salaries and willingness to travel and work long hours on a real stakes placement questionnaire when they expected their classmates to see their preferences other groups responses were unaffected by peer observability a second experiment indicates the effects are driven by observability by single male peers

returns to investment in education a global update the author updates compilations of rate of return estimates to investment in education published since 1985 and discusses methodological issues surrounding those estimates some key patterns among the three main levels of education primary education continues to exhibit the highest social profitability in all world regions private returns are considerably higher than social returns because of the public subsidization of education the degree of public subsidy increases with the level of education which is regressive social and private returns at all levels generally decline by the level of a country s per capita income overall the returns to female education are higher than those to male education but at individual levels of education the pattern is more mixed the returns to the academic secondary school track are higher than the vocational track since unit cost of vocational education is much higher and the returns for those who work in the private competitive sector of the economy are higher than in the public noncompetitive sector and the returns in the self employment unregulated sector of the economy are higher than in the dependent employment sector controversies in the literature are discussed in the light of the new evidence the undisputable and universal positive correlation between education and earnings can be interpreted in many ways the causation issue on whether education really affects earnings can be answered only with experimental data generated by randomly exposing different people to various amounts of education given the fact that moral and pragmatic considerations prevent the generation of such pure data researchers have to make do with indirect inferences or natural experiments some have been attempted the author looks at the research on overeducation or surplus schooling the conclusions reinforce earlier patterns they confirm that primary education continues to be the number one investment priority in developing countries they also show that educating females is marginally more profitable than educating males that the academic secondary school curriculum is a better investment than the technical vocational tract and that the returns to education obey the same rules as investment in conventional capital that is they decline as investment is expanded