Selling to consumers with endogenous types

For many goods (such as experience goods or addictive goods), consumers preferences may change over time. In this paper, we examine a monopolist s optimal pricing schedule when current consumption can affect a consumer s valuation in the future and valuations are unobservable. We assume that consumers are anonymous, i.e. the monopolist can t observe a consumer s past consumption history. For myopic consumers, the optimal consumption schedule is distorted upwards, involving substantial discounts for low valuation types. This pushes low types into higher valuations, from which rents can be extracted.For forward looking consumers, there may be a further upward distortion of consumption due to a reversal of the adverse selection effect; low valuation consumers now have a strong interest in consumption in order to increase their valuations. Firms will find it profitable to educate consumers and encourage forward looking behavior.

Short-term investment and equilibrium multiplicity

I study the effects of the heterogeneity of traders'horizon in the context of a 2-period NREE model whereall traders are risk averse. Owing to inventory effects,myopic trading behavior generates multiplicity ofequilibria. In particular, two distinct patterns arise.Along the first equilibrium, short term tradersanticipate higher second period price reaction toinformation arrival and, owing to risk aversion,scale back their trading intensity. This, in turn,reduces both risk sharing and information impoundinginto prices enforcing a high returns' volatility-lowprice informativeness equilibrium. In the second one,the opposite happens and a low volatility-high priceinformativeness equilibrium arises.

Why do emerging economies borrow short term?

We argue that one reason why emerging economies borrow short term is that it is cheaperthan borrowing long term. This is especially the case during crises, as in these episodes therelative cost of long-term borrowing increases. We construct a unique database of sovereignbond prices, returns, and issuances at di¤erent maturities for 11 emerging economies from 1990to 2009 and present a set of new stylized facts. On average, these countries pay a higher riskpremium on long-term than on short-term bonds. During crises, the di¤erence between the tworisk premia increases and issuance shifts towards shorter maturities. To illustrate our argument,we present a simple model in which the maturity structure is the outcome of a risk sharingproblem between an emerging economy subject to rollover crises and risk averse internationalinvestors.

A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of jumps in the volatility under a jump-diffusion stochastic volatility model, has no effect on the short-time behaviour of the at-the-money implied volatility skew, although the corresponding Hull and White formula depends on the jumps. Towards this end, we use Malliavin calculus techniques for Lévy processes based on Løkka (2004), Petrou (2006), and Solé, Utzet and Vives (2007).

How well do individuals predict the selling prices of their homes?

Self-reported home values are widely used as a measure of housing wealth by researchers employing a variety of data sets and studying a number of different individual and household level decisions. The accuracy of this measure is an open empirical question, and requires some type of market assessment of the values reported. In this research, we study the predictive power of self-reported housing wealth when estimating sales prices utilizing the Health and Retirement Study. We find that homeowners, on average, overestimate the value of their properties by between 5% and 10%. More importantly, we are the first to document a strong correlation between accuracy and the economic conditions at the time of the purchase of the property (measured by the prevalent interest rate, the growth of household income, and the growth of median housing prices). While most individuals overestimate the value of their properties, those who bought during more difficult economic times tend to be more accurate, and in some cases even underestimate the value of their house. These results establish a surprisingly strong, likely permanent, and in many cases long-lived, effect of the initial conditions surrounding the purchases of properties, on how individuals value them. This cyclicality of the overestimation of house prices can provide some explanations for the difficulties currently faced by many homeowners, who were expecting large appreciations in home value to rescue them in case of increases in interest rates which could jeopardize their ability to live up to their financial commitments.

Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks

Although it is commonly accepted that most macroeconomic variables are nonstationary, it is often difficult to identify the source of the non-stationarity. In particular, it is well-known that integrated and short memory models containing trending components that may display sudden changes in their parameters share some statistical properties that make their identification a hard task. The goal of this paper is to extend the classical testing framework for I(1) versus I(0)+ breaks by considering a a more general class of models under the null hypothesis: non-stationary fractionally integrated (FI) processes. A similar identification problem holds in this broader setting which is shown to be a relevant issue from both a statistical and an economic perspective. The proposed test is developed in the time domain and is very simple to compute. The asymptotic properties of the new technique are derived and it is shown by simulation that it is very well-behaved in finite samples. To illustrate the usefulness of the proposed technique, an application using inflation data is also provided.

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.

Aplicatiu per gestionar la informació administrativa, tècnica i comptable per una empresa constructora

Les tendencies del mercat actual i futur obliguen a les empreses a ser cada vegada més competitives. Tota empresa que desitgi competir en el mercat actual ha de considerar la informació com un dels seus principals actius. Per aquesta raó, és necessari que l’empresa disposi dels sistemes d’informació adequats per ser gestionada. En les pimes ( petites i mitjanes empreses ), i en la majoria dels casos, la seva informació es troba repartida en diversos aplicatius informàtifcs. Això comporta principalment una duplicitat de dades, costos de manteniment i possibles errades en la informació. Dins del sector de les pimes, es troben empreses contructores d’un volum petit o mig, les quals enmagatzemen molta informació tècnica i de planificació per desemvolupar els seus projectes. Aquesta necessitat els hi suposa, tenir un aplicatiu eficient per la gestió i seguiment de la producció de les seves tasques i per altra banda l’aplicatiu necessari com qualsevol pime a nivell administratiu i comptable. L’objectiu principal d’aquest treball és generar un aplicatiu que integri la informació administrativa, comptable i tècnica per una empresa constructora. Amb l’assoliment d’aquest objectiu l’empresa constructora guanya temps en l’entrada i accés a les dades, evita la seva duplicitat i redueix el seu manteniment. En resum, redueix els costos de l’empresa i augmenta la seva seguretat en la informació. Un el mercat, existeixen aplicatius anomenats ERP ( Enterprise resource planning o sistemes de planificació de recursos ) els quals la seva gran virtud es la integració de les dades. Aprofitant aquests aplicatius i seleccionant-ne el més adequat, s’ha generat la part de gestió i planificació necessària per l’empresa constructora integrant-la i personalitzant-la en els processos existents de l’aplicació ( comptabilitat, ventes, compres, recursos humans, magatzems, etc… ) Entre les conclusions més rellevants obtingudes en aquest treball, voldriem destacar la millora i reducció d’entrada, accés i manteniment de la informació, l’històric que proporciona l’eina i per tan la millora de la gestío i planificació de l’empresa.

Public infrastructure and the performance of manufacturing industries: short-and long-run

We present a theoretical framework for determining the short- and long-run effects of infrastructure. While the short-run effects have been the focus of most previous studies, here we derive long-run elasticities by taking into account the adjustment of quasi-fixed inputs to their optimum levels. By considering the impact of infrastructure on private investment decisions, we observe how, apart from the direct effect on costs in the short-run, infrastructure exerts an indirect source of influence in the long-run through their effect on private capital. The model is applied to manufacturing industries in the Spanish regions

The First privatization : selling SOEs and privatizing public monopolies in fascist Italy, 1922-1925

[cat] El primer govern feixista d’Itàlia va aplicar una política de privatització a gran escala entre 1922 i 1925. El govern va privatitzar el monopoli estatal de llumins, el monopoli estatal d’assegurances de vida, va vendre la major part de la xarxa i serveis de telefònica pública a empreses privades, va reprivatitzar el major productor de productes metàl·lics, i va atorgar concessions a empreses privades per construir i explotar autopistes de peatge. Tot i que algunes consideracions ideològiques van poder tenir alguna influència, la privatització va ser usada sobre tot com un instrument polític per construir confiança amb els grans industrials i per augmentar el suport al govern i al Partito Nazionale Fascista. La privatització també va contribuir a equilibrar el pressupost públic, qüestió aquesta que va ser el principal objectiu de la primera fase de la política econòmica feixista.

Public infrastructure and the performance of manufacturing industries: short-and long-run

We present a theoretical framework for determining the short- and long-run effects of infrastructure. While the short-run effects have been the focus of most previous studies, here we derive long-run elasticities by taking into account the adjustment of quasi-fixed inputs to their optimum levels. By considering the impact of infrastructure on private investment decisions, we observe how, apart from the direct effect on costs in the short-run, infrastructure exerts an indirect source of influence in the long-run through their effect on private capital. The model is applied to manufacturing industries in the Spanish regions

Intensity correlation function of dye lasers: Short-time behavior

We propose an equation to calculate the intensity correlation function of a dye-laser model with a pump parameter subject to finite-bandwidth fluctuations. The equation is valid, in the weak-noise limit, for all times. It incorporates novel non-Markovian features. Results are given for the short-time behavior of the correlation function. It exhibits a characteristic initial plateau. Our findings are supported by a numerical simulation of the model.

Sum rules and short-range correlations in nuclear matter at finite temperature

The nucleon spectral function in nuclear matter fulfills an energy weighted sum rule. Comparing two different realistic potentials, these sum rules are studied for Greens functions that are derived self-consistently within the T matrix approximation at finite temperature.

Distribution of single-particle strength due to short-range and tensor correlations

The distribution of single-particle strength in nuclear matter is calculated for a realistic nucleon-nucleon interaction. The influence of the short-range repulsion and the tensor component of the nuclear force on the spectral functions is to move approximately 13% of the total strength for all single-particle states beyond 100 MeV into the particle domain. This result is related to the abundantly observed quenching phenomena in nuclei which include the reduction of spectroscopic factors observed in (e,ep) reactions and the missing strength in low energy response functions.