Addressing endogeneity in the relationship between health and employment through a simultaneous equations model

Este documento analiza la relación de doble causalidad entre salud y empleo y su comportamiento dinámico usando datos de Estados Unidos tomados del PSID (Pane Study of Income Dynamics). Este estudio usa dos variables dependientes (Estado de salud auto-reportado y Empleo), las cuales son estimadas usando un modelo probit bivariado para abordar el problema de endegeneidad presente en dicha relación. Los resultados muestran evidencia significativa de la existencia de dicha endogeneidad y del impacto positivo que tiene sobre la probabilidad de ser empleado tener un buen estado de salud y vicesersa, sin embargo, el impacto de la situación de empleo sobre el estado de salud se encuentra que no es significativa.

Information provision in procurement auctions

We analyze the optimal provision of information in a procurement auction with horizontally differentiated goods. The buyer has private information about her preferred location on the product space and has access to a costless communication device. A seller who pays the entry cost may submit a bid comprising a location and a minimum price. We characterize the optimal information structure and show that the buyer prefers to attract only two bids. Further, additional sellers are inefficient since they reduce total and consumer surplus, gross of entry costs. We show that the buyer will not find it optimal to send public information to all sellers. On the other hand, she may profit from setting a minimum price and that a severe hold-up problem arises if she lacks commitment to set up the rules of the auction ex-ante.

Synthetic portfolio for event studies: Estimating the effects of volatility call auctions

We propose a method denoted as synthetic portfolio for event studies in market microstructure that is particularly interesting to use with high frequency data and thinly traded markets. The method is based on Synthetic Control Method and provides a robust data driven method to build a counterfactual for evaluating the effects of the volatility call auctions. We find that SMC could be used if the loss function is defined as the difference between the returns of the asset and the returns of a synthetic portfolio. We apply SCM to test the performance of the volatility call auction as a circuit breaker in the context of an event study. We find that for Colombian Stock Market securities, the asynchronicity of intraday data reduces the analysis to a selected group of stocks, however it is possible to build a tracking portfolio. The realized volatility increases after the auction, indicating that the mechanism is not enhancing the price discovery process.