An econometric analysis of asymmetric volatility: Theory and application to patents

The purpose in registering patents is to protect the intellectual property of the rightful owners. Deterministic and stochastic trends in registered patents can be used to describe a country's technological capabilities and act as a proxy for innovation. This paper presents an econometric analysis of the symmetric and asymmetric volatility of the patent share, which is based on the number of registered patents for the top 12 foreign patenting countries in the USA. International rankings based on the number of foreign US patents, patent intensity (or patents per capita), patent share, the rate of assigned patents for commercial exploitation, and average rank scores, are given for the top 12 foreign countries. Monthly time series data from the United States Patent and Trademark Office for January 1975 to December 1998 are used to estimate symmetric and asymmetric models of the time-varying volatility of the patent share, namely US patents registered by each of the top 12 foreign countries relative to total US patents. A weak sufficient condition for the consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) of the univariate GJR(1,1) model is established under non-normality of the conditional shocks. The empirical results provide a diagnostic validation of the regularity conditions underlying the GJR(1,1) model, specifically the log-moment condition for consistency and asymptotic normality of the QMLE, and the computationally more straightforward but stronger second and fourth moment conditions. Of the symmetric and asymmetric models estimated, AR(1)–EGARCH(1,1) is found to be suitable for most countries, while AR(1)–GARCH(1,1) and AR(1)–GJR(1,1) also provide useful insights. Non-nested procedures are developed to test AR(1)–GARCH(1,1) versus AR(1)–EGARCH(1,1), and AR(1)–GJR(1,1) versus AR(1)–EGARCH(1,1).     

Kausalität und Funktionalität in der Wirtschaftstheorie

Ohne Zusammenfassung Schlu? folgt     

Mobile termination and collusion,revisited

The standard model by Laffont et al. (RAND Journal of Economics, 29(1): 1–37, 1998a; 38–56, 1998b) treats termination fees as an instrument to increase market power in a one-shot game of horizontal product differentiation. A prediction (Gans and King, Economics Letters, 71: 413–420, 2001) within this framework is that, with non-linear tariffs, firms should be interested in low termination fees. This seems to be at odds with regulatory experience in many countries. We offer an alternative approach, using an infinitely repeated Bertrand competition. We focus on symmetrical calling patterns and investigate simple two-part tariffs for two customer types, as well as general non-linear tariffs for two types and for a continuum of types. In this framework, when looking also at collusion in retail prices, termination fees make deviations from the collusive outcome less attractive. The optimum deviation strategy is usually to try to attract the high valuation customers since they exhibit the highest profits. Thus, a deviator will have a pool of heavy users which will have more outgoing than incoming calls, implying net termination payments. A cooperatively chosen termination rate can increase the deviator’s cost and thereby always stabilizes collusion.      

Determinants of Voter Support for a Five‐Year Ban on the Cultivation of Genetically Modified Crops in Switzerland

While much effort has been devoted to estimating market premiums for non‐genetically modified (GM) food, the results of such research are largely silent about the preferences for the public good aspects, or externalities, of GM food production. For public goods, the closest substitute of private consumption decisions is voting on referenda. In November 2005, 55.7% of 2 million Swiss voters approved a five‐year moratorium (ban) on the commercial cultivation of GM plants in Switzerland. The present study examines how individual voting decisions were determined by: (i) socioeconomic characteristics; (ii) political preference/ideology; and (iii) agreement with a series of arguments in favour and against the use of GM plants in Swiss agriculture. The analysis is based on the data of the regular voter survey undertaken after the national‐level voting in Switzerland. The results suggest that current concerns about the use of genetically engineered plants in agriculture may not automatically decrease with higher levels of education/knowledge and generational change. Furthermore, analysis of voter motives suggests that public support for a ban on GM crops may be even larger in other countries, where industrial interests in crop biotechnology are less pronounced.     

An experimental study of commitment in Stackelberg games with observation costs

We report on experiments examining the value of commitment in Stackelberg games where the follower chooses whether to pay some cost to perfectly observe the leader's action. Várdy [Games Econ. Behav. (2004)] shows that in the unique pure-strategy subgame perfect equilibrium of this game, the value of commitment is lost completely; however, there exists a mixed-strategy subgame perfect equilibrium where the value of commitment is fully preserved. In the data, the value of commitment is largely preserved when the cost of looking is small, while it is lost when the cost is large. Nevertheless, for small observation costs, equilibrium behavior is clearly rejected. Instead, subjects persistently play non-equilibrium strategies in which the probability of the follower choosing to observe the leader's action is a decreasing function of the observation cost.     

Information regulation: Do the victims of externalities pay attention?

Individuals living in metropolitan areas are exposed to a large number of industrial risks. Information regulation is a new tool to manage such risks. We ask if large-scale information initiatives directed at the general public can affect individual risk perceptions. The answer is affirmative. Using the publication of the Toxics Release Inventory as a case study, we find a decline in predicted property values when new information on pollution became available, indicating that homebuyers adjusted their risk perceptions upward. The response, however, is limited to sources of toxic emissions that are located at a moderate distance from the properties in our sample.      

Financing a Portfolio of Projects

This article shows that investors financing a portfolio of projectsmay use the depth of their financial pockets to overcome entrepreneurialincentive problems. Competition for scarce informed capitalat the refinancing stage strengthens investors' bargaining positions.And yet, entrepreneurs' incentives may be improved, becauseprojects funded by investors with "shallow pockets" must havenot only a positive net present value at the refinancing stage,but one that is higher than that of competing portfolio projects.Our article may help understand provisions used in venture capitalfinance that limit a fund'sinitial capital and make it difficultto add more capital once the initial venture capital fund israised.     

On portfolio optimization: Imposing the right constraints

We reassess the recent finding that no established portfolio strategy outperforms the naively diversified portfolio, 1/N, by developing a constrained minimum-variance portfolio strategy on a shrinkage theory based framework. Our results show that our constrained minimum-variance portfolio yields significantly lower out-of-sample variances than many established minimum-variance portfolio strategies. Further, we observe that our portfolio strategy achieves higher Sharpe ratios than 1/N, amounting to an average Sharpe ratio increase of 32.5% across our six empirical datasets. We find that our constrained minimum-variance strategy is the only strategy that achieves the goal of improving the Sharpe ratio of 1/N consistently and significantly. At the same time, our developed portfolio strategy achieves a comparatively low turnover and exhibits no excessive short interest.     

High Technology Employment,Wages And University R&D Spillovers: Evidence From Us Cities

Using 4 years of data from 36 American cities and 6 high technology groupings we present thc first estimates of University R&D spillover effects on ctnployrnent at this level of disag-gregation, while controlling for wages, prior innovations, state fixed efrccts, and saniple selectivity hias. We find robust evidence that lagged and disaggrcgated university R&D is a significant determinant of city high technology employment and some evidence for employment effects of innovation.