Unrealized expectations of jumps in volatility: An explanation to the low and time-varying predictive power of implied volatility

The low predictive power of implied volatility in forecasting the subsequently realized volatility is a well-documented empirical puzzle. As suggested by e.g. Feinstein (1989), Jackwerth and Rubinstein (1996), and Bates (1997), we test whether unrealized expectations of jumps in volatility could explain this phenomenon. Our findings show that expectations of infrequently occurring jumps in volatility are indeed priced in implied volatility. This has two important consequences. First, implied volatility is actually expected to exceed realized volatility over long periods of time only to be greatly less than realized volatility during infrequently occurring periods of very high volatility. Second, the slope coefficient in the classic forecasting regression of realized volatility on implied volatility is very sensitive to the discrepancy between ex ante expected and ex post realized jump frequencies. If the in-sample frequency of positive volatility jumps is lower than ex ante assessed by the market, the classic regression test tends to reject the hypothesis of informational efficiency even if markets are informationally effective.

Ionosphere-atmosphere interaction during solar proton events

Among the most striking natural phenomena affecting ozone are solar proton events (SPE), during which high-energy protons precipitate into the middle atmosphere in the polar regions. Ionisation caused by the protons results in changes in the lower ionosphere, and in production of neutral odd nitrogen and odd hydrogen species which then destroy ozone in well-known catalytic chemical reaction chains. Large SPEs are able to decrease the ozone concentration of upper stratosphere and mesosphere, but are not expected to significantly affect the ozone layer at 15--30~km altitude. In this work we have used the Sodankylä Ion and Neutral Chemistry Model (SIC) in studies of the short-term effects caused by SPEs. The model results were found to be in a good agreement with ionospheric observations from incoherent scatter radars, riometers, and VLF radio receivers as well as with measurements from the GOMOS/Envisat satellite instrument. For the first time, GOMOS was able to observe the SPE effects on odd nitrogen and ozone in the winter polar region. Ozone observations from GOMOS were validated against those from MIPAS/Envisat instrument, and a good agreement was found throughout the middle atmosphere. For the case of the SPE of October/November 2003, long-term ozone depletion was observed in the upper stratosphere. The depletion was further enhanced by the descent of odd nitrogen from the mesosphere inside the polar vortex, until the recovery occurred in late December. During the event, substantial diurnal variation of ozone depletion was seen in the mesosphere, caused mainly by the the strong diurnal cycle of the odd hydrogen species. In the lower ionosphere, SPEs increase the electron density which is very low in normal conditions. Therefore, SPEs make radar observations easier. In the case of the SPE of October, 1989, we studied the sunset transition of negative charge from electrons to ions, a long-standing problem. The observed phenomenon, which is controlled by the amount of solar radiation, was successfully explained by considering twilight changes in both the rate of photodetachment of negative ions and concentrations of minor neutral species. Changes in the magnetic field of the Earth control the extent of SPE-affected area. For the SPE of November 2001, the results indicated that for low and middle levels of geomagnetic disturbance the estimated cosmic radio noise absorption levels based on a magnetic field model are in a good agreement with ionospheric observations. For high levels of disturbance, the model overestimates the stretching of the geomagnetic field and the geographical extent of SPE-affected area. This work shows the importance of ionosphere-atmosphere interaction for SPE studies. By using both ionospheric and atmospheric observations, we have been able to cover for the most part the whole chain of SPE-triggered processes, from proton-induced ionisation to depletion of ozone.

Consumption in Rural Bangladesh : Households, Lifestyles, and Identities

Bangladesh, often better known to the outside world as a country of natural calamities, is one of the most densely populated countries in the world. Despite rapid urbanization, more than 75% of the people still live in rural areas. The density of the rural population is also one of the highest in the world. Being a poor and low-income country, its main challenge is to eradicate poverty through increasing equitable income. Since its independence in 1971, Bangladesh has experienced many ups and downs, but over the past three decades, its gross domestic product (GDP) has grown at an impressive rate. Consequently, the country s economy is developing and the country has outperformed many low-income countries in terms of several social indicators. Bangladesh has achieved the Millennium Development Goal (MDG) of eliminating gender disparity in primary and secondary school enrollment. A sharp decline in child and infant mortality rates, increased per capita income, and improved food security have placed Bangladesh on the track to achieving in the near future the status of a middle-income country. All these developments have influenced the consumption pattern of the country. This study explores the consumption scenario of rural Bangladesh, its changing consumption patterns, the relationship between technology and consumption in rural Bangladesh, cultural consumption in rural Bangladesh, and the myriad reasons why consumers nevertheless feel compelled to consume chemically treated foods. Data were collected in two phases in the summers of 2006 and 2008. In 2006, the empirical data were collected from the following three sources: interviews with consumers, producers/sellers, and doctors and pharmacists; observations of sellers/producers; and reviews of articles published in the national English and Bengali (the national language of Bangladesh) daily newspapers. A total of 110 consumers, 25 sellers/producers, 7 doctors, and 7 pharmacists were interviewed and observed. In 2008, data were collected through semi-structured in-depth qualitative interviews, ethnography, and unstructured conversations substantiated by secondary sources and photographs; the total number of persons interviewed was 22. -- Data were also collected on the consumption of food, clothing, housing, education, medical facilities, marriage and dowry, the division of labor, household decision making, different festivals such as Eid (for Muslims), the Bengali New Year, and Durga puja (for Hindus), and leisure. Qualitative methods were applied to the data analysis and were supported by secondary quantitative data. The findings of this study suggest that the consumption patterns of rural Bangladeshis are changing over time along with economic and social development, and that technology has rendered aspects of daily life more convenient. This study identified the perceptions and experiences of rural people regarding technologies in use and explored how culture is associated with consumption. This study identified the reasons behind the use of hazardous chemicals (e.g. calcium carbide, sodium cyclamate, cyanide and formalin, etc.) in foods as well as the extent to which food producers/sellers used such chemicals. In addition, this study assessed consumer perceptions of and attitudes toward these contaminated food items and explored how adulterated foods and food stuffs affect consumer health. This study also showed that consumers were aware that various foods and food stuffs contained hazardous chemicals, and that these adulterated foods and food stuffs were harmful to their health.

Rural Income Generation and Diversification : A Case Study in Eastern Zambia

Rural income diversification has been found to be rather the norm than the exception in developing countries. Smallholder households tend to diversify their income sources because of the need to manage risks, secure a smooth flow of income, allocate surplus labour, respond to various kinds of market failures, and apply coping strategies. The Agricultural Household Model provides a theoretical rationale for income diversification in that rural households aim at maximising their utility. There are several elements involved, such as agricultural production for their own consumption and markets, leisure activities and income from non-farm sources. The aim of the present study is to enhance understanding of the processes of rural income generation and diversification in eastern Zambia. Specifically, it explores the relationship between household characteristics, asset endowments and income-generation patterns. According to the sustainable- rural-livelihoods framework, the assets a household possesses shape its capacity to seize new economic opportunities. The study is based on two surveys conducted among rural smallholder households in four districts of Eastern Province in Zambia in 1985/86 and 2003. Sixty-seven of the interviewed households were present in both surveys and this panel allows comparison between the two points of time. The initial descriptive analysis is complemented with an econometric analysis of the relationships between household assets and income sources. The results show that, on average, 30 per cent of the households income originated from sources outside their own agriculture. There was a slight increase in the proportion of non-farm income from 1985/86 to 2003, but total income clearly declined mainly on account of diminishing crop income. The land area the household was able to cultivate, which is often dependent on the available labour, was the most significant factor affecting both the household-income level and the diversification patterns. Diversification was, in most cases, a coping strategy rather than a voluntary choice. Measured as income/capita/day, all households were below the poverty line in 2003. The agricultural reforms in Zambia, combined with other trends such as changes in rainfall pattern, the worsening livestock situation and the incidence of human disease, had a negative impact on agricultural productivity and income between 1985/86 and 2003. Sources of non-farm income were closely linked to agriculture either upstream or downstream and the income they generated was not enough to compensate for the decline of agricultural income. Household assets and characteristics had a smaller impact on diversification patterns than expected, which could reflect the lack of opportunities in the remote rural environment.

Modern Societal Impulses and their Nordic Manifestations : On Emancipation and Constraint in Societal Development

The 1980s and the early 1990s have proved to be an important turning point in the history of the Nordic welfare states. After this breaking point, the Nordic social order has been built upon a new foundation. This study shows that the new order is mainly built upon new hierarchies and control mechanisms that have been developed consistently through economic and labour market policy measures. During the post-war period Nordic welfare states to an increasing extent created equality of opportunity and scope for agency among people. Public social services were available for all and the tax-benefit system maintained a level income distribution. During this golden era of Nordic welfare state, the scope for agency was, however, limited by social structures. Public institutions and law tended to categorize people according to their life circumstances ascribing them a predefined role. In the 1980s and 1990s this collectivist social order began to mature and it became subject to political renegotiation. Signs of a new social order in the Nordic countries have included the liberation of the financial markets, the privatizing of public functions and redefining the role of the public sector. It is now possible to reassess the ideological foundations of this new order. As a contrast to widely used political rhetoric, the foundation of the new order has not been the ideas of individual freedom or choice. Instead, the most important aim appears to have been to control and direct people to act in accordance with the rules of the market. The various levels of government and the social security system have been redirected to serve this goal. Instead of being a mechanism for redistributing income, the Nordic social security system has been geared towards creating new hierarchies on the Nordic labour markets. During the past decades, conditions for receiving income support and unemployment benefit have been tightened in all Nordic countries. As a consequence, people have been forced to accept deteriorating terms and conditions on the labour market. Country-specific variations exist, however: in sum Sweden has been most conservative, Denmark most innovative and Finland most radical in reforming labour market policy. The new hierarchies on the labour market have co-incided with slow or non-existent growth of real wages and with a strong growth of the share of capital income. Slow growth of real wages has kept inflation low and thus secured the value of capital. Societal development has thus progressed from equality of opportunity during the age of the welfare states towards a hierarchical social order where the majority of people face increasing constraints and where a fortunate minority enjoys prosperity and security.

Mother-Infant Antibodies to Pneumococcal Polysaccharides and Proteins : Transfer and Persistence of Maternal Antibodies and Development of Vaccine-Induced and Naturally Acquired Antibodies in Infants

Symptomless nasopharyngeal carriage of Streptococcus pneumoniae (pneumococcus) is very common in young children. Occasionally the carriage proceeds into mild mucosal diseases, such as sinusitis or acute otitis media, or into serious life-threatening diseases, such as pneumonia, sepsis or meningitis. Each year, up to one million children less than five years of age worldwide die of invasive pneumococcal diseases (IPD). Especially in the low-income countries IPD is a leading health problem in infants; 75% of all IPD cases occur before one year of age. This stresses the need of increased protection against pneumococcus in infancy. Anti-pneumococcal antibodies form an important component in the defence against pneumococcal infection. Maternal immunisation and early infant immunisation are two possible ways by which potentially protective antibody concentrations against pneumococci could be achieved in early infancy. The aim of this thesis is to increase the knowledge of antibody mediated protection against pneumococcal disease in infants and young children. We investigated the transfer of maternal anti-pneumococcal antibodies from Filipino mothers to their infants, the persistence of the transferred antibodies in the infants, the immunogenicity of the 23-valent pneumococcal polysaccharide vaccine (PPV) in infants and the response of the children to a second dose of PPV at three years of age. We also investigated the development of antibodies to pneumococcal protein antigens in relation to culture-confirmed pneumococcal carriage in infants. Serum samples were collected from the mothers, the umbilical cords and from the infants at young age as well as at three years of age. The samples were used to determine the antibody concentrations to pneumococcal serotypes 1, 5, 6B, 14, 18C and 19F, as well as to the pneumococcal proteins PspA, PsaA, Ply, PspC, PhtD, PhtDC and LytC by the enzyme immunoassay. The findings of the present study confirm previously obtained results and add to the global knowledge of responses to PPV in young children. Immunising pregnant women with PPV provides the infants with increased concentrations of pneumococcal polysaccharide antibodies. Of the six serotypes examined, serotypes 1 and 5 were immunogenic already in infants. At three years of age, the children responded well to the second dose of PPV suggesting that maternal and early infant immunisations might not induce hyporesponsiveness to polysaccharide antigens after subsequent immunisations. The anti-protein antibody findings provide useful information for the development of pneumococcal protein vaccines. All six proteins studied were immunogenic in infancy and the development of anti-protein antibodies started early in life in relation to pneumococcal carriage.

Income inequality in the process of economic development : An empirical approach

This thesis studies the effect of income inequality on economic growth. This is done by analyzing panel data from several countries with both short and long time dimensions of the data. Two of the chapters study the direct effect of inequality on growth, and one chapter also looks at the possible indirect effect of inequality on growth by assessing the effect of inequality on savings. In Chapter two, the effect of inequality on growth is studied by using a panel of 70 countries and a new EHII2008 inequality measure. Chapter contributes on two problems that panel econometric studies on the economic effect of inequality have recently encountered: the comparability problem associated with the commonly used Deininger and Squire s Gini index, and the problem relating to the estimation of group-related elasticities in panel data. In this study, a simple way to 'bypass' vagueness related to the use of parametric methods to estimate group-related parameters is presented. The idea is to estimate the group-related elasticities implicitly using a set of group-related instrumental variables. The estimation results with new data and method indicate that the relationship between income inequality and growth is likely to be non-linear. Chapter three incorporates the EHII2.1 inequality measure and a panel with annual time series observations from 38 countries to test the existence of long-run equilibrium relation(s) between inequality and the level of GDP. Panel unit root tests indicate that both the logarithmic EHII2.1 inequality measure and the logarithmic GDP per capita series are I(1) nonstationary processes. They are also found to be cointegrated of order one, which implies that there is a long-run equilibrium relation between them. The long-run growth elasticity of inequality is found to be negative in the middle-income and rich economies, but the results for poor economies are inconclusive. In the fourth Chapter, macroeconomic data on nine developed economies spanning across four decades starting from the year 1960 is used to study the effect of the changes in the top income share to national and private savings. The income share of the top 1 % of population is used as proxy for the distribution of income. The effect of inequality on private savings is found to be positive in the Nordic and Central-European countries, but for the Anglo-Saxon countries the direction of the effect (positive vs. negative) remains somewhat ambiguous. Inequality is found to have an effect national savings only in the Nordic countries, where it is positive.