What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration

In this paper, we study the dynamics between house prices and selected macroeconomic fundamentals in Greece. The empirical analysis applies the asymmetric ARDL cointegration methodology proposed by Shin, Yu and Greenwood-Nimmo (2011) over the period from January 1999 to May 2011. The evidence suggests that ignoring the intrinsic nonlinearities may lead to misleading inference. In particular, the results reveal significant differences in the response of house prices to positive or negative changes of the explanatory variables in both the long- and short-run time horizons. The obtained evidence of asymmetry could be of major importance for more efficient policymaking and forecasting in the Greek house market.     

Modelling Heterogeneity and Uncertainty in Contingent Valuation: an Application to the Valuation of Informal Care

Both the lack of market data and the need to adopt a more holistic approach in the valuation of non‐market activities within health care have pointed towards the use of contingent valuation (CV) methods. However, to date, few studies have employed such techniques to value informal care, despite its provision being an important public policy question. We propose an analytical framework that through the use of random parameters models and respondents' certainty scales can incorporate both unobserved and observed heterogeneity in the CV modelling. This is the first CV study of informal care for Scotland (UK) and a £7.68 per hour value is estimated.     

The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models

Estimation of the inputs is the main problem when applying portfolio analysis, and Markov regime-switching models have been shown to improve these estimates. We investigate whether the use of two-regime models remains superior across a range of values of risk aversion and transaction costs, in the presence of skewness and kurtosis and no short sales. Our results for US data suggest that, due to differences in their risk preferences and transactions costs, most retail investors may prefer to use one-regime models, while investment banks may prefer to use two-regime models.     

Manipulation of profits in Italian publicly-funded healthcare trusts

ABSTRACT

This paper examines earnings management in state-funded Italian healthcare trusts. Italy is unique in requiring trusts to have balanced budgets by law. Small negative and positive deviations from a balanced budget had quite different consequences. The authors found no evidence of accounting manipulation when trusts posted small losses. However, trusts were found to manipulate discretionary accruals, provisions and non-operating expenses to reduce small positive deviations from zero-profit.     

Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type

Stochastic volatility models of the Ornstein-Uhlenbeck type possess authentic capability of capturing some stylized features of financial time series. In this work we investigate this class of models from the viewpoint of derivative asset analysis. We discuss topics related to the incompleteness of this type of markets. In particular, for structure preserving martingale measures, we derive the price of simple European-style contracts in closed form. Furthermore, the range of viable prices is determined and an empirical application is presented.     

Government spending and revenues in the Greek economy: evidence from nonlinear cointegration

This paper attempts to re-evaluate the long-run macroeconomic relationship between government revenues and expenditures of the Greek economy over the period 1999–2010. The empirical analysis applies the newly developed asymmetric ARDL cointegration methodology of Shin et al. (2011) which permits more flexibility in the dynamic adjustment process towards equilibrium, than in the classical case of a linear model. Our findings point towards the fiscal synchronization hypothesis, supporting evidence of asymmetric interactions between the two fiscal components in both the long- and the short-run time horizon. More particularly, in the long-run, the negative changes of expenditures dominate the response of revenues, while the opposite applies in the response of expenditures.     

Is Moderate Market Performance in the U.S. a Sufficient Condition for Abnormal Returns on CEFs?

In this project, our topic pertains to examination of market efficiency, employing data from closed-end funds (CEFs) trading in the American stock market. Employing both aggregate and individual data, we examine whether or not moderate market performance is a sufficient condition in order to achieve abnormal returns, in the short-run, through exploitation of discount deviations from its mean value. The main hypothesis tested is that market performance affects the mean-reverting properties of CEFs’ discount. Moderate market performance ensures the mean-reversion of CEFs’ discount and points to cointegration between the share prices of CEFs and their net asset value (NAV). Furthermore, when NAV is identified as the common stochastic trend of the system then, market inefficiency is detected.     

Measuring systemic risk in the European banking sector: a copula CoVaR approach

We propose a new methodology based on copula functions to estimate CoVaR, the Value-at-Risk (VaR) of the financial system conditional on an institution being under financial distress. Our Copula CoVaR approach provides simple, closed-form expressions for various definitions of CoVaR for a broad range of copula families and allows the CoVaR of an institution to have time-varying exposure to its VaR. We extend this approach to estimate other ‘co-risk’ measures such as Conditional Expected Shortfall (CoES). We focus on a portfolio of large European banks and examine the existence of common market factors triggering systemic risk episodes. Further, we analyse the extent to which bank-specific characteristics such as size, leverage, and equity beta are associated with institutions' contribution to systemic risk and highlight the importance of liquidity risk at the outset of the financial crisis in summer 2007. Finally, we investigate the link between macroeconomy and systemic risk and find that changes in major macroeconomic variables can contribute significantly to systemic risk.     

Operating in an Intellectual Property World: Knowledge Sharing among Plant Breeders in Canada

This paper examines the incentives for knowledge sharing in an industry where a public institution and a private firm develop new differentiated crop varieties and sell them to heterogeneous farmers. The decision of the public institution to either share their knowledge, or protect and cross‐license their IP with the rival firm, is a strategic choice. While the profit‐maximizing private research firms have an incentive to protect and secure their intellectual property (IP), under some conditions they choose to cross‐license their technology rather than forgo access to the public IP. The budget constrained public firm, with an objective of maximizing farmers’ welfare, can have an incentive to share its IP but under certain conditions has an incentive to incur transaction costs to protect and cross‐license its technology to obtain access to the private technology. The theoretical model shows that public incentives to protect IP are likely to be stronger in a research industry with significant corporate presence. A survey of Canadian wheat and canola breeders reveals that public breeders are far more secretive in the canola sector than in the wheat sector, a dichotomy that is consistent with the theoretical results. Le présent article examine les avantages du partage de connaissances dans un secteur d’activité où une institution publique et une firme privée mettent au point de nouvelles variétés végétales différenciées et les vendent à des agriculteurs hétérogènes. La décision de l’institution publique de partager ses connaissances ou de protéger sa propriété intellectuelle (PI) et de procéder à la concession de licences réciproques avec la firme rivale constitue un choix stratégique. Bien que les firmes de recherche privées axées sur la maximisation des bénéfices aient intérêt à protéger leur PI, dans certaines conditions, elles choisissent de procéder à la concession de licences réciproques plutôt que de renoncer à l’accès de la PI du secteur public. L’institution publique à budget restreint, qui vise entre autres à maximiser le bien‐être des agriculteurs, peut tirer profit du partage de sa PI mais, dans certaines conditions, elle a intérêt à assumer les coûts de transaction pour protéger sa technologie et procéder à une concession de licences réciproques afin d’obtenir l’accès à la technologie du secteur privé. Le modèle théorique montre que les avantages publics liés à la protection de la PI risquent d’être plus importants dans un secteur de la recherche où la présence des entreprises est forte. Un sondage mené auprès de sélectionneurs de blé et de canola canadiens révèle que, dans le secteur public, les sélectionneurs de canola sont beaucoup plus enclins à conserver le secret que les sélectionneurs de blé, une dichotomie qui concorde avec les résultats théoriques.