Asset Pricing in a Production Economy with Chew–Dekel Preferences

In this paper we provide a thorough characterization of the asset returns implied by a simple general equilibrium production economy with Chew–Dekel risk preferences and convex capital adjustment costs. When households display levels of disappointment aversion consistent with the experimental evidence, a version of the model parameterized to match the volatility of output and consumption growth generates unconditional expected asset returns and price of risk in line with the historical data. For the model with Epstein–Zin preferences to generate similar statistics, the relative risk aversion coefficient needs to be about 55, two orders of magnitude higher than the available estimates. We argue that this is not surprising, given the limited risk imposed on agents by a reasonably calibrated stochastic growth model.

The Economic Effects of Improving Investor Rights in Portugal

The Portuguese economy has performed remarkably well since joining the EU in 1986. Output per worker grew at an annual rate of 2.25%. The relative price of investment has declined. Real investment has increased compared to output, in part fuelled by an increase in capital inflows. At the same time, resource allocation seems to have improved as well: firm-level data shows a significant decline in the dispersion of labor productivity and size across firms. This paper argues that improvements in outside investor rights that have taken place since Portugal joined the EU is a prime candidate to explain this set of facts.

Legal Institutions, Sectoral Heterogeneity, and Economic Development

Poor countries have lower PPP–adjusted investment rates and face higher relative prices of investment goods. It has been suggested that this happens either because these countries have a relatively lower TFP in industries producing capital goods, or because they are subject to greater investment distortions. This paper provides a micro–foundation for the cross–country dispersion in investment distortions. We first document that firms producing capital goods face a higher level of idiosyncratic risk than their counterparts producing consumption goods. In a model of capital accumulation where the protection of investors’ rights is incomplete, this difference in risk induces a wedge between the returns on investment in the two sectors. The wedge is bigger, the poorer the investor protection. In turn, this implies that countries endowed with weaker institutions face higher relative prices of investment goods, invest a lower fraction of their income, and end up being poorer. We find that our mechanism may be quantitatively important.

Review of the literature on credit risk modeling : development of the past 10 years

This paper traces the developments of credit risk modeling in the past 10 years. Our work can be divided into two parts: selecting articles and summarizing results. On the one hand, by constructing an ordered logit model on historical Journal of Economic Literature (JEL) codes of articles about credit risk modeling, we sort out articles which are the most related to our topic. The result indicates that the JEL codes have become the standard to classify researches in credit risk modeling. On the other hand, comparing with the classical review Altman and Saunders(1998), we observe some important changes of research methods of credit risk. The main finding is that current focuses on credit risk modeling have moved from static individual-level models to dynamic portfolio models.

To save or to consume: linking growth theory with the Keynesian model

In the neoclassical growth theory, higher saving rate gives rise to higher output per capita. However, in the Keynesian model, higher saving rate causes lower consumption, which may lead to a recession. Students may ask, “Should we save or should we consume?” In most of the macroeconomics textbooks, economic growth and Keynesian economics are in separate, sometimes unsequential, chapters. The connection between the short run and the long run is not apparent. The author builds a bridge between the neoclassical growth theory and the Keynesian model. He links the Solow diagram and the IS-LM curves and depicts the short-run to long-run transition of the economy after changes in saving and other macroeconomic policies.

Igazolható-e az üzleti ciklus az iparágak viselkedésével? = Can business cycles be proved with the behavior of enterprises?

A dolgozat alapja egy olyan Leontief-típusú gazdaság, ahol minden egyes ágazatban egy vállalat termel, tehát monopóliumokból áll a gazdaság. A vállalatok termelnek, és a termékeiket a piacon értékesítik. A gazdaság mozgásegyenleteit a vállalati mérleg összefüggések, valamint a piaci csere után a gazdaságban, a termékek készletváltozása írja le. Az így létrejött mozgásegyenletekből arra következtethetünk, hogy a ciklusok egy ilyen modellben szükségszerűen kialakulnak, tehát az üzleti ciklus a gazdaság működéséhez hozzátartozik. Journal of Economic Literature (JEL) kód: D46, E32. = The aim of the paper is to analyze a Leontief-type economy, i.e. all firms produce only one product and only one technology. The firms sell the products on a monopolistic market. The move of this economy is controlled by the balance sheet expressions and the inventory level fluctuations. The differential equations of the move of this economy show a cyclical movement of the economy along the balanced growth path. Journal of Economic Literature (JEL) kód: D46, E32.

Immigrant Earnings : Age at Immigration Matters (Working Paper 20)

A correlation between age at immigration and earnings is observed in Canadian census data. The evidence supports three underlying sources of the effect; first, work experience in the source country yields virtually no return in the host country; second, the return to education varies with age at immigration, and, finally, an “acculturation” effect is observed for immigrants who are visible minorities or whose mother tongue is not English. Further, it is found that educational attainment, and relatedly earnings, vary systematically across age at immigration with those arriving around age 15 to 18 obtaining fewer years of education. JEL codes: J61, J31.

Procesos de prociclidad crediticia e impacto de la provisión estadística en España

Códigos JEL: G21, E32, E44

Arbitrage-Based Pricing when Volatility is Stochastic.

The paper investigates the pricing of derivative securities with calendar-time maturities.

The utility and challenges of using ICD codes in child maltreatment research : a review of existing literature

Objective: The objectives of this article are to explore the extent to which the International Statistical Classification of Diseases and Related Health Problems (ICD) has been used in child abuse research, to describe how the ICD system has been applied and to assess factors affecting the reliability of ICD coded data in child abuse research.----- Methods: PubMed, CINAHL, PsychInfo and Google Scholar were searched for peer reviewed articles written since 1989 that used ICD as the classification system to identify cases and research child abuse using health databases. Snowballing strategies were also employed by searching the bibliographies of retrieved references to identify relevant associated articles. The papers identified through the search were independently screened by two authors for inclusion, resulting in 47 studies selected for the review. Due to heterogeneity of studies metaanalysis was not performed.----- Results: This paper highlights both utility and limitations of ICD coded data. ICD codes have been widely used to conduct research into child maltreatment in health data systems. The codes appear to be used primarily to determine child maltreatment patterns within identified diagnoses or to identify child maltreatment cases for research.----- Conclusions: A significant impediment to the use of ICD codes in child maltreatment research is the under-ascertainment of child maltreatment by using coded data alone. This is most clearly identified and, to some degree, quantified, in research where data linkage is used. Practice Implications: The importance of improved child maltreatment identification will assist in identifying risk factors and creating programs that can prevent and treat child maltreatment and assist in meeting reporting obligations under the CRC.

The Criminal Codes : Commentary and Materials

This edition has been substantially revised to increase overall clarity and to ensure a balanced examination of the criminal law in the 'Code' states, Queensland and Western Australia. The work has been brought up-to-date in all areas and provides valuable comment on the recent wide-reaching reforms to the law of homicide in Western Australia. Significant developments in both states discussed in this edition include: The abolition of wilful murder and infanticide, and the new definition of murder (WA); The introduction of the new offence of unlawful assault causing death (WA); The abolition of provocation to murder (WA), and whether this excuse still has a part to play (Qld); The reformulation of the excuse of self-defence, and the introduction of excessive self-defence (WA); The creation of offences for drink spiking (Qld and WA); and Current and proposed sentencing considerations (Qld and WA). Fundamental principles of the criminal law are illustrated throughout the book by selected extracts from the Codes and case law, while additional materials foster critical reflection on the law and the need for reform.