Asset Pricing with Heterogeneous Agents, Incomplete Markets and Trading Constraints

The consumption capital asset pricing model is the standard economic model used to capture stock market behavior. However, empirical tests have pointed out to its inability to account quantitatively for the high average rate of return and volatility of stocks over time for plausible parameter values. Recent research has suggested that the consumption of stockholders is more strongly correlated with the performance of the stock market than the consumption of non-stockholders. We model two types of agents, non-stockholders with standard preferences and stock holders with preferences that incorporate elements of the prospect theory developed by Kahneman and Tversky (1979). In addition to consumption, stockholders consider fluctuations in their financial wealth explicitly when making decisions. Data from the Panel Study of Income Dynamics are used to calibrate the labor income processes of the two types of agents. Each agent faces idiosyncratic shocks to his labor income as well as aggregate shocks to the per-share dividend but markets are incomplete and agents cannot hedge consumption risks completely. In addition, consumers face both borrowing and short-sale constraints. Our results show that in equilibrium, agents hold different portfolios. Our model is able to generate a time-varying risk premium of about 5.5% while maintaining a low risk free rate, thus suggesting a plausible explanation for the equity premium puzzle reported by Mehra and Prescott (1985).

Diversificación con frambuesa : : el impacto de su introducción en sistemas hortícolas de Coronda, Santa Fe, Argentina : análisis de un caso de estudio

El objetivo del presente trabajo fue analizar el impacto micro-económico que produce la introducción del cultivo de frambuesa en una pyme hortícola de Coronda, dedicada esencialmente a la producción de frutillas.El patrón de diversificación actual es escaso, debido principalmente a las limitaciones financieras existentes a nivel predial. Se combina el cultivo de frutilla con otras hortalizas, a contra-ciclo, tales como zapallito, berenjena, choclo, sandía y melón. Se analizaron los resultados económicos del ejercicio 2009/2010 de una empresa pyme, estudiada como caso, con una Superficie Agrícola Útil de 5,5 ha, que implantó en el ejercicio evaluado 2 ha de frutilla e introdujo 0,5 ha de frambuesa al esquema productivo, en reemplazo de alguno de los cultivos hortícolas que realizaba. Se obtuvo un Ingreso al capital equivalente a $ 59.786, una rentabilidad sobre el capital total de 12,95 % y sobre el capital sin tierra de 28,79 %. Estos tres indicadores mostraron un incremento de 258%, 248% y 236% respecto de la situación sin frambuesa, respectivamente. Se mejora el grado de diversificación analizado a través del Índice de Entropía y exhibe una excelente complementariedad tanto en el aspecto financiero como laboral.

Constraints on the magnitude and patterns of ocean cooling at the Last Glacial Maximum - Supplementary material

Observation-based reconstructions of sea surface temperature from relatively stable periods in the past, such as the Last Glacial Maximum, represent an important means of constraining climate sensitivity and evaluating model simulations. The first quantitative global reconstruction of sea surface temperatures during the Last Glacial Maximum was developed by the Climate Long-Range Investigation, Mapping and Prediction (CLIMAP) project in the 1970s and 1980s. Since that time, several shortcomings of that earlier effort have become apparent. Here we present an updated synthesis of sea surface temperatures during the Last Glacial Maximum, rigorously defined as the period between 23 and 19 thousand years before present, from the Multiproxy Approach for the Reconstruction of the Glacial Ocean Surface (MARGO) project. We integrate microfossil and geochemical reconstructions of surface temperatures and include assessments of the reliability of individual records. Our reconstruction reveals the presence of large longitudinal gradients in sea surface temperature in all of the ocean basins, in contrast to the simulations of the Last Glacial Maximum climate available at present.

Lake Baikal amphipods under climate change: Thermal constraints and ecological consequences, links to supplementary material

Lake Baikal, the world's most voluminous freshwater lake, has experienced unprecedented warming during the last decades. A uniquely diverse amphipod fauna inhabits the littoral zone and can serve as a model system to identify the role of thermal tolerance under climate change. This study aimed to identify sublethal thermal constraints in two of the most abundant endemic Baikal amphipods, Eulimnogammarus verrucosus and Eulimnogammarus cyaneus, and Gammarus lacustris, a ubiquitous gammarid of the Holarctic. As the latter is only found in some shallow isolated bays of the lake, we further addressed the question whether rising temperatures could promote the widespread invasion of this non-endemic species into the littoral zone. Animals were exposed to gradual temperature increases (4 week, 0.8 °C/d; 24 h, 1 °C/h) starting from the reported annual mean temperature of the Baikal littoral (6 °C). Within the framework of oxygen- and capacity-limited thermal tolerance (OCLTT), we used a nonlinear regression approach to determine the points at which the changing temperature-dependence of relevant physiological processes indicates the onset of limitation. Limitations in ventilation representing the first limits of thermal tolerance (pejus (= "getting worse") temperatures (Tp)) were recorded at 10.6 (95% confidence interval; 9.5, 11.7), 19.1 (17.9, 20.2), and 21.1 (19.8, 22.4) °C in E. verrucosus, E. cyaneus, and G. lacustris, respectively. Field observations revealed that E. verrucosus retreated from the upper littoral to deeper and cooler waters once its Tp was surpassed, identifying Tp as the ecological thermal boundary. Constraints in oxygen consumption at higher than critical temperatures (Tc) led to an exponential increase in mortality in all species. Exposure to short-term warming resulted in higher threshold values, consistent with a time dependence of thermal tolerance. In conclusion, species-specific limits to oxygen supply capacity are likely key in the onset of constraining (beyond pejus) and then life-threatening (beyond critical) conditions. Ecological consequences of these limits are mediated through behavioral plasticity in E. verrucosus. However, similar upper thermal limits in E. cyaneus (endemic, Baikal) and G. lacustris (ubiquitous, Holarctic) indicate that the potential invader G. lacustris would not necessarily benefit from rising temperatures. Secondary effects of increasing temperatures remain to be investigated.

Sedimentological investigations and age constraints of sediment cores from the outer Abbot trough, Amundsen Sea shelf

Knowing the extent of the West Antarctic Ice Sheet (WAIS) at the Last Glacial Maximum (LGM) is crucial for initiating and calibrating numerical ice sheet models that can predict future ice-sheet change and contributions to sea level. However, empirical data are lacking for key areas of outer continental shelves, where the LGM-WAIS must have terminated. We present detailed marine geophysical and geological data documenting an up to ~12 m-thick sequence of glaciomarine sediments within a relict glacial trough in the outer parts of the Amundsen Sea Embayment. Continuous deposition must have persisted here since at least >40 ka BP, pre-dating the established LGM by >13,000 years. Observations constrain the LGM grounding line to a distinct grounding-zone wedge ~100 km inland from the continental shelf edge. Thus, a substantial shelf area (~6000 km**2) remained ice free through the last glacial cycle.

Unravelling the moisture sources of the Alpine Glaciers using tunnel valleys as constraints

A lack of archives has impeded reconstructions of moisture pathways for past glaciations in the European Alps. Here, we focus on the confluence area of two palaeoglaciers in the Swiss Plateau that were sourced on the northern (Aare glacier) and southern sides (Valais glacier) of the European Alps. We mapped tunnel valleys in the region using a drilling database, based on which we inferred the relative extent of each glacier c. 270 ka ago when the valleys were formed. We then compared this situation with that of the LGM. We found that, while the Valais glacier expanded farther into the foreland than the Aare glacier during the LGM, the opposite was the case c. 270 ka ago. We also found that LGM glaciers were non-erosive in the distal foreland. These contrasts in extents and erosional efficiencies imply differences in moisture pathways between the LGM and the time when the tunnel valleys were formed.

Greening electricity through taxing: An analysis of GATT constraints

This paper examines the legal feasibility of different design options for implementing a differentiated electricity tax based on renewable energy (RE) certificates aimed at promoting green electricity generation. It discusses the issue of likeness in light of the recent WTO jurisprudence and looks at the possibility of justification of differentiated tax rates under the general exceptions of the GATT. It also scrutinizes the potential legal hurdles for the implementation of different tax design options including the use of certificates for RE tax exemption. It argues that the placing of a quota on the number of foreign RE certificates eligible for tax exemptions would likely affect the volumes of imported green electricity and therefore trigger a violation of GATT rules. At the same time, restrictions on the eligibility of RE certificates might be defended under WTO law if they are based on qualitative criteria, such as the attachment of RE certificates to green electricity flows or to a green electricity label that is equally available to domestic and foreign suppliers of RE electricity.

On Labor Complementarity, Cultural Frictions and Strategic Immigration Policies

In this paper we consider a model with two industrialized countries that face a flow of immigration from the "rest of the world." The countries differ in three characteristics: the labor complementarity between the "native" population and immigrants, the population size, and the magnitude of the cultural friction between the natives and immigrants. We consider a non-cooperative game between two countries' when their strategic instrument is the choice of an immigration quota and the world immigrant wages introduce the spill-over effect between two countries. We first show that the quota game admits unique pure strategies Nash equilibrium. We then compare the equilibrium choices of two countries and show that even though the larger country attracts more immigrants, it chooses lower quota than its smaller counterpart. It also turns out that higher degree of labor complementarity between natives and immigrants and a lower degree of cultural friction between two groups yield higher immigration quota. We also examine the welfare implications of countries choices' and argue that coordinated and harmonized immigration policies may improve the welfare of both countries.

Status and constraints of costly port rejection : a case from the Vietnamese frozen seafood export industry

While the rising exports have been the source of growth for many developing countries in recent years, the rate of commodities rejected at the ports of developed countries has also been high. Yet why it has remained so despite the costs involved is mostly unknown. This paper takes a case of the frozen seafood export industry in Vietnam and examines the current status of port rejection, roles played by various stakeholders along the value chains, and the constraints faced by the Vietnamese producers and exporters. It concludes with some policy implications, including strengthening the enforcement mechanism of standards compliance particularly at the upstream of the value chain and providing public testing labs for small-scale producers.

Do electricity supply constraints matter for comparative advantage? : a neoclassical approach

This paper examines the extent to which electricity supply constraints could affect sectoral specialization. For this purpose, an empirical trade model is estimated from 1990-2008 panel data on 15 OECD countries and 12 manufacturing sectors. We find that along with Ricardian technological differences and Heckscher-Ohlin factor-endowment differences, productivity-adjusted electricity capacity drives sectoral specialization in several sectors. Among them, electrical equipment, transport equipment, machinery, chemicals, and paper products will see lower output shares as a result of decreases in productivity-adjusted electricity capacity. Furthermore, our dynamic panel estimation reveals that the effects of Ricardian technological differences dominate in the short-run, and factor endowment differences and productivity-adjusted electricity capacity tend to have a significant effect in only the long-run.

Stability of complementarity between Japanese FDI and import of intermediate goods : agglomeration effects and parent-firm heterogeneity

This paper examines the duration of intermediate goods imports and its determinants for Japanese affiliates in China. Our estimations, using a unique parent-affiliate-transaction matched panel dataset for a discrete-time hazard model over the 2000–2006 period, reveal that products with a higher upstreamness index, differentiated goods, and goods traded under processing trade are less likely to be substituted with local procurement. Firms located in more agglomerated regions with more foreign affiliates tend to shorten the duration of imports from the home country. For parent-firm characteristics, multinational enterprises that have many foreign affiliates or longer foreign production experience import intermediate goods for a longer duration.