Gerogescu-Roegen versus Solow/Stiglitz and the convergence to the Cobb-Douglas

The value of the elasticity of substitution of capital for resources is a crucial element in the debate over whether continual growth is possible. It is generally held that the elasticity has to be at least one to permit continual growth and that there is no way of estimating this outside the range of the data. This paper presents a model in which the elasticity is determined endogenously and may converge to one. It is concluded that the general opinion is wrong: that the possibility of continual growth does not depend on the exogenously given value of the elasticity and that the value of the elasticity outside the range of the data can be studied by econometric methods.

Venture capital meets contract theory: risky claims or formal control?

This paper develops a theory of the joint allocation of formal control and cash-flow rights in venture capital deals. We argue that when the need for investor support calls for very high-powered outside claims, entrepreneurs should optimally retain formal control in order to avoid excessive interference. Hence, we predict that risky claims should be be negatively correlated to control rights, both along the life of a start-up and across deals. This challenges the idea that risky claims should a ways be associated to more formal control, and is in line with contractual terms increasingly used in venture capital, in corporate venturing and in partnership deals between biotech start-ups and large drug companies. The paper provides a theoretical explanation to some puzzling evidence documented in Gompers (1997) and Kaplan and Stromberg (2000), namely the inclusion in venture capital contracts of contingencies that trigger both a reduction in VC control and the conversion! of her preferred stocks into common stocks.

Derivats financers al mercat espanyol: el Model de Black-Scholes i corbes de volatilitat per opcions sobre l'índex niniIBEX-35

El nostre treball es centrarà en conèixer i aprendre les nocions bàsiques del mercat financer espanyol, primer; i aplicar uns coneixements per veure si es verifica unahipòtesi plantejada, després. La incògnita que volem resoldre és la següent: comprovarsi tots els supòsits i resultats que faciliten els models teòrics emprats en l’estudi dels mercats financers a l’hora de la veritat es compleixen.D’entre els múltiples conceptes que ens proporcionen els estudis de mercatsfinancers ens centrarem sobretot en el model de Black-Scholes i els somriures devolatilitat per desenvolupar el nostre treball. Després de cercar les dades necessàries a través de la web del M.E.F.F., entrevistar-nos amb professionals del sector i fer un seguiment d’aproximadament dos mesos dels moviments de les opcions sobre l’Índex Mini-Íbex 35, amb l’ajuda d’un programa informàtic en llenguatge C, hem calculat les corbes de volatilitat de les opcions sobre l’Índex Mini-Íbex 35.Les conclusions més importants que hem extret són que el Model de Black-Scholes, malgrat va revolucionar el món dels mercats financers, està basat en 2 supòsits que no es compleixen a la realitat: la distribució lognormal del preu de les accions i unavolatilitat constant. Tal i com hem pogut comprovar, la corba de volatilitat de lesopcions sobre l’Índex Mini-Íbex 35 és decreixent amb el preu d’exercici i laMoneyness, tal i com sostenen les teories dels somriures de volatilitat; per tant, no és constant. A més, hem comprovat que a mesura que s’apropa el venciment d’una opció,el preu acordat de l’actiu subjacent a l’opció s’apropa al preu de mercat.

Models de comportament de la demanda turística britànica i alemanya a les Balears, i efectes de l'ecotaxa per a aquests mercats

En aquest article s’estimen models de comportament de la demanda turística alemanya i britànica posant èmfasi a treballar amb la sèrie del deflactor dels preus de l’hostaleria balear, tot evitant fer estimacions amb preus declarats de “paquets” turístics, que tenen l’ inconvenient de no recollir els descomptes reals de darrera hora, especialment importants en el cas del mercat britànic

Are one factor logarithmic volatility models useful to fit the features of financial data? An application to microsoft data.

This paper provides empirical evidence that continuous time models with one factor of volatility, in some conditions, are able to fit the main characteristics of financial data. It also reports the importance of the feedback factor in capturing the strong volatility clustering of data, caused by a possible change in the pattern of volatility in the last part of the sample. We use the Efficient Method of Moments (EMM) by Gallant and Tauchen (1996) to estimate logarithmic models with one and two stochastic volatility factors (with and without feedback) and to select among them.

Market Competition and Lower Tier Incentives

The relationship between competition and performance-related pay has been analyzed in single-principal-single-agent models. While this approach yields good predictions for managerial pay schemes, the predictions fail to apply for employees at lower tiers of a firm's hierarchy. In this paper, a principal-multi-agent model of incentive pay is developed which makes it possible to analyze the effect of changes in the competitiveness of markets on lower tier incentive payment schemes. The results explain why the payment schemes of agents located at low and mid tiers are less sensitive to changes in competition when aggregated firm data is used. Journal of Economic Literature classiffication numbers: D82, J21, L13, L22. Keywords: Cournot Competition, Contract Delegation, Moral Hazard, Entry, Market Size, Wage Cost.

Estimation of parametric and nonparametric models for univariate claim severity distributions - an approach using R

This paper presents an analysis of motor vehicle insurance claims relating to vehicle damage and to associated medical expenses. We use univariate severity distributions estimated with parametric and non-parametric methods. The methods are implemented using the statistical package R. Parametric analysis is limited to estimation of normal and lognormal distributions for each of the two claim types. The nonparametric analysis presented involves kernel density estimation. We illustrate the benefits of applying transformations to data prior to employing kernel based methods. We use a log-transformation and an optimal transformation amongst a class of transformations that produces symmetry in the data. The central aim of this paper is to provide educators with material that can be used in the classroom to teach statistical estimation methods, goodness of fit analysis and importantly statistical computing in the context of insurance and risk management. To this end, we have included in the Appendix of this paper all the R code that has been used in the analysis so that readers, both students and educators, can fully explore the techniques described

Educational expansion, intergenerational mobility and over-education

[eng] There is a vast literature on intergenerational mobility in sociology and economics. Similar interest has emerged for the phenomenon of over-education in both disciplines. There are no studies, however, linking these two research lines. We study the relationship between social mobility and over-education in a context of educational expansion. Our framework allows for the evaluation of several policies, including those affecting social segregation, early intervention programs and the power of unions. Results show the evolution of social mobility, over-education, income inequality and equality of opportunity under each scenario.

Educational expansion, intergenerational mobility and over-education

[eng] There is a vast literature on intergenerational mobility in sociology and economics. Similar interest has emerged for the phenomenon of over-education in both disciplines. There are no studies, however, linking these two research lines. We study the relationship between social mobility and over-education in a context of educational expansion. Our framework allows for the evaluation of several policies, including those affecting social segregation, early intervention programs and the power of unions. Results show the evolution of social mobility, over-education, income inequality and equality of opportunity under each scenario.

Is the matching function Cobb-Douglas?

[cat] Estudiem les propietats teòriques que una funció d.emparellament ha de satisfer per tal de representar un mercat laboral amb friccions dins d'un model d'equilibri general amb emparellament aleatori. Analitzem el cas Cobb-Douglas, CES i altres formes funcionals per a la funció d.emparellament. Els nostres resultats estableixen restriccions sobre els paràmetres d'aquests formes funcionals per assegurar que l.equilibri és interior. Aquestes restriccions aporten raons teòriques per escollir entre diverses formes funcionals i permeten dissenyar tests d'error d'especificació de model en els treballs empírics.

Is the matching function Cobb-Douglas?

[cat] Estudiem les propietats teòriques que una funció d.emparellament ha de satisfer per tal de representar un mercat laboral amb friccions dins d'un model d'equilibri general amb emparellament aleatori. Analitzem el cas Cobb-Douglas, CES i altres formes funcionals per a la funció d.emparellament. Els nostres resultats estableixen restriccions sobre els paràmetres d'aquests formes funcionals per assegurar que l.equilibri és interior. Aquestes restriccions aporten raons teòriques per escollir entre diverses formes funcionals i permeten dissenyar tests d'error d'especificació de model en els treballs empírics.

One-seller assignment markets with multi-unit demands

We consider one-seller assignment markets with multi-unit demands and prove that the associated game is buyers-submodular. Therefore the core is non-empty and it has a lattice structure which contains the allocation where every buyer receives his marginal contribution. We prove that in this kind of market, every pairwise-stable outcome is associated to a competitive equilibrium and viceversa. We study conditions under which the buyers-optimal and the seller-optimal core allocations are competitive equilibrium payoff vectors. Moreover, we characterize the markets for which the core coincidences with the set of competitive equilibria payoff vectors. When agents behave strategically, we introduce a procedure that implements the buyers-optimal core allocation as the unique subgame perfect Nash equilibrium outcome.

Aplicación del DEA en el análisis de beneficios en un sistema integrado verticalmente hacia adelante

En el presente trabajo se diseñan tres modelos DEA a partir de un sistema de producción cuyos componentes están colocados en un arreglo en serie que se integran verticalmente hacia adelante. El primer modelo busca optimizar los beneficios del sistema agregado, así como la mejora de los mismos en cada uno de los subsistemas. En el segundo de los modelos, además del objetivo anterior, se incluyen restricciones de transferencia de los recursos específicos asociados a cada subsistema, y en el tercer modelo se estima el intervalo de variación para los precios de transferencia de los inputs intermedios entre ambos subsistemas. Los modelos han sido programados y simulados en el software GAMS a partir de datos generados por una función de producción Cobb-Douglas para los inputs intermedios y los outputs finales.