Economic indices of absolute and relative riskiness

Following Aumann and Serrano (J Polit Econ 116:810–836, 2008) who characterize by axioms an index of riskiness defined on absolute returns, we characterize a new index of riskiness defined on relative returns. Both indices are characterized by a similar principle of duality between risk and risk aversion, but while the index of absolute riskiness refers to absolute risk aversion, the index of relative riskiness refers to relative risk aversion. The similarities and differences between the two indices are studied.     

Decomposing differences in health and inequality using quasi-objective health indices

People in Canada and the United States often make claims regarding whose country has a better health system. Several researchers have attempted to address this question by analysing subjective health measures in the two countries, thus assuming a common definition of ‘good’ health. Using data from the Joint Canada/US Survey of Health, which provides rich and comparable health information for the two countries, I generate two quasi-objective health indices and show that Canadians and Americans define ‘good’ health differently. After controlling for cross-country reporting heterogeneity, health differences between Americans and Canadians are eliminated for intermediate health statuses, while health differences at the tails of the health distribution lead to slightly better average population health in Canada. With respect to health inequality, my results show that income and education gradients increase steeply with poor health in both countries. Hence, considering differences along the health distribution is crucial when assessing population health or health inequality.     

Invariance, price indices and estimation in almost ideal demand systems

Two issues are addressed in this paper. First, we explore the issue of price index invariance in the linearized Almost Ideal demand system. We establish that the Stone index, which lacks invariance, and the recently proposed invariant Laspeyres, Paasche and Tornqvist indices all generate biased and inconsistent estimators. Monte Carlo evidence shows that invariance does not necessarily lead to better estimates of price and income elasticities insofar as the Stone and Paasche indices are unambiguously inferior to the Laspeyres and Tornqvist indices, especially if prices are not strongly positively correlated. Second, we examine the merits of the widely used conditional ML estimator of the non-linear Almost Ideal system in which a prior value is chosen for the “subsistence” parameter. We find that the bias and trace mean square error increases induced by conditional estimation are modest. The choice between the linearized and the non-linear models favors the latter although in some cases linear methods are as good as non-linear. First Version Received: January 1999 / Final Version Received: March 2000     

Sustainability of nations by indices: Comparative study between environmental sustainability index, ecological footprint and the emergy performance indices

The present work makes a comparison between the two most used environmental sustainability indices of nations: “ecological footprint” and “environmental sustainability index”, with two emergy ratios (renewability and emergy sustainability index). All of them are gaining space within the scientific community and government officials. Despite the efforts for obtaining an index that adequately represents the sustainability of a region, according to the result of this research, nowadays there is not yet a completely satisfactory index. We consider that all of them need to be improved, but the results point out the possibility of obtaining one better index of sustainability through the junction of ecological footprint with renewability emergy index.     

Marital status and hospital use in older adults

The proportion of single person households is increasing with population ageing. At older ages living in a single person household is more likely to be due to bereavement or separation than at younger ages. We examine the association between marital status and the likelihood and the length of hospitalisations, with particular emphasis on whether and how this association varies by different types of hospitalisations with a distinct nature of care. Using a large survey linked to multiple years of detailed administrative records enables us to better control for individual heterogeneity and allows us to conduct a finer classification of hospitalisations. A two-part model is used for estimation. We also investigate the relationship between marital status and the presentations to emergency department. The results show singles have an increased probability of hospitalisation and length of stay, with a substantial heterogeneity revealed in the association between marital status and different types of hospitalisations. The findings are consistent with the lesser availability of informal care for those being single and point to the need to develop appropriate and targeted strategies to reduce hospitalisation in this group.     

Malmquist indices of productivity change in Portuguese banking: The deregulation period

This paper will evaluate productivity change in Portuguese banking using the Malmquist productivity index. The results show that between 1990 and 1997, banks in Portugal witnessed increased productivity and strong technological progress. Both small and large banks experienced higher productivity and technological change scores, while mid-sized institutions are putting more effort into catching-up policies. Rural banks have experienced strong productivity growth and are catching up with the best practices but lower levels of technological change. Urban banks show higher productivity growth and technological change levels. Government-owned banks have experienced lower levels of productivity change. Finally, the asset per employee ratio shows a positive correlation with the productivity scores, suggesting that this simple index is a good proxy for productivity.     

An empirical investigation of causality between producers' price and consumers' price indices in Australia in frequency domain

The paper examines Granger-causality between the producers' and the consumers' price using Australian data within the frequency domain framework. For long run relation, the Johansen and Juselius (1990) maximum likelihood approach to cointegration was utilized. The test is also supplemented by the Breitung and Candelon (2006) and Lemmens et al. (2008) method. The quarterly data for the study covers 1969q3 to 2010q4. The findings suggest that consumers' price Granger-causes producers' price at an intermediate level of frequencies reflecting medium-run cycles, whereas producers' price does not Granger-cause consumers' price at any level of frequencies. Our study shows that consumers' price is a leading indicator of producers' price. Given that producers' price is used in making various macroeconomic indicators in real terms, the findings should help the Australian policymakers to gain control over the factors that affect consumers' price. The major contribution of the paper is to demonstrate unidirectional causality from consumers' price to the producers' price. Specifically, results show that consumers' price in Australian may have a significant predictive content in how the producers' price evolve. Furthermore, the application of the Breitung and Candelon (2006) and Lemmens et al. (2008) methodology in testing the Granger-causality in frequency domain is also relatively new.     

Causality and normal states in economics and other disciplines

In this article, past and recent accounts of causality and the notion of normal state adopted in various disciplines are linked to the philosophical insights of John Stuart Mill and Piero Sraffa in order to provide a particular focus on economic theory. A simple neuron model and the theory of natural price in Adam Smith are taken as typical applications of causality plus normality and serve to argue that the deviations from a normal state can play two roles in economic theory: (1) the selecting of causes and causal explanations and (2) agency represented by the variables of a causal model.     

Decomposing time-frequency relationship between producer price and consumer price indices in Romania through wavelet analysis

This study analyses Granger-causality between the return series of CPI and PPI (i.e., inflation measured by CPI and PPI) for Romania, by using monthly data covering the period of 1991m1 to 2011m11. To analyse the issue in depth, this study decomposes the time-frequency relationship between CPI- and PPI-based inflation through a continuous wavelet approach. Our results provide strong evidence that there are cyclical effects from variables (as variables are observed in phase), while anti-cyclical effects are not observed.     

Willpower in children and adults: a survey of results and economic implications

This paper reviews key contributions to the psychology and economics literature on willpower. Understanding how willpower develops can shed important light on time-inconsistent economic decision making, a topic that has received substantial attention over recent decades. In particular, we argue that measures of willpower for the child provide useful insights into the nature of willpower and are reliable predictors of economic outcomes in the adult. The implication is that one might, for example, be able to strengthen a “weak” child’s ability to resist temptation, and in so doing offer welfare enhancements not only to the child but also to the ultimate adult decision maker. Finally, we list a set of open questions that could be profitably addressed by the future research.     

An alternative approach to relative indices of development and potential for change of the nation-state

Quantitative indices are proposed to reflect the degree of development and the potential for change of the nation-state. The former index is based upon the intensity of energy consumption, while the latter is defined as the product of agricultural land per capita and gross national product per capita. It is shown that acceptable levels of some welfare functions are achieved above a critical energy intensity called the development threshold, and it is postulated that above a higher critical level of energy intensity significant environmental deterioration will occur. Data is presented for 104 countries and high levels of change potential are shown to be correlated with a relatively large number of options for further development. On the other hand, very low levels of change potential are found in countries which have difficulty in supporting their populations. It is postulated that change potential is more useful than either population density or poverty as an indicator of when a country is in need of a vigorous population policy. It is concluded that below the development threshold further industrialization is beneficial while above it this may not be true. It is also concluded that at high levels of the change potential and at intensities below the development threshold high population growth rates may be tolerated.     

ARDL panel estimation of stock market indices and macroeconomic environment of CEE and SEE countries in the last decade of transition

We tested the hypothesis of the procyclicality of stock exchanges regarding the economic activity of CEE and SEE countries, to measure the level of financial integration during the last decade of the transition period, and to compare these two groups of emerging countries. Our ARDL panel estimates support the hypothesis of procyclicality in the transition period in the CEE and SEE regions, and further financial integration, due to the opening up of the market economy and repricing of systematic risk, followed by large capital inflows, trade liberalization and industrial production, along with the implementation of institutional reforms regarding EU integration. In addition, the significant positive coefficient of capital inflows and negative coefficient of unemployment rate in the CEE and SEE panel ARDL results confirm the volatility of the transition process, as is obvious in higher industrial production, followed by the significant impact of import on CEE countries and the much higher significant impact of export on SEE countries.     

Communication and coordination in the laboratory collective resistance game

This paper presents a laboratory collective resistance (CR) game to study how different forms of non-binding communication among responders can help coordinate their collective resistance against a leader who transgresses against them. Contrary to the predictions of analysis based on purely self-regarding preferences, we find that non-binding communication about intended resistance increases the incidence of no transgression even in the one-shot laboratory CR game. In particular, we find that the incidence of no transgression increases from 7 percent with no communication up to 25–37 percent depending on whether communication occurs before or after the leader’s transgression decision. Responders’ messages are different when the leaders can observe them, and the leaders use the observed messages to target specific responders for transgression.

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Electronic Supplementary Material The online version of this article () contains supplementary material, which is available to authorized users.      

On comparisons of normal and logistic models in the bivariate dichotomous analysis

In discriminating between normal and logistic models in the analysis of bivariate dichotomous dependent variables, Cox-type statistics have been proposed; however we point out that there are cases in which the two models are either statistically equivalent or nested and Cox-type statistics are not suitable for use.     

Demand system estimation in the absence of price data: an application of Stone-Lewbel price indices

This article evaluates the feasibility of estimating a system of demand equations in the absence of price information using the approach developed by Lewbel (1989). Stone-Lewbel (SL) price indices for commodity groups are constructed using information on the budget shares and the Consumer Price Indices (CPIs) of the goods comprising the commodity groups, which allows for household-level prices to be recovered. This study evaluates how susceptible are elasticities and marginal effects estimates from traditional parametric demand systems to the CPI used in the construction of the SL prices. To do this, three alternative regional CPIs are considered for the construction of the SL prices: monthly, quarterly and a constant (unity) price index. Elasticities and marginal effect estimates are computed for eight food commodity groups using the Exact Affine Stone Index (EASI) model as the parametric demand system and data from the United States Consumer Expenditure Survey. The estimates proved to be robust to the alternative regional CPIs considered in the construction of SL price indices, even to the absence of one. Hence, the results suggest that it is possible to accurately estimate a demand system even in the absence of price information.     

The social welfare implications, decomposability, and geometry of the Sen family of poverty indices

In this paper, we propose a unified framework for the Sen indices of poverty intensity that shows an explicit connection between the indices and the common underlying social evaluation function. We also identify the common multiplicative decomposition of the indices that allows simple and similar geometric interpretations and easy numerical computation. JEL Classification: C000, H000, O150
Implications en termes de bien-être collectif, décomposabilité et géométrie de la famille d'indices de pauvretéà la Sen . Dans ce mémoire, les auteurs proposent un cadre d'analyse intégré des indices d'intensité de pauvretéà la Sen qui souligne la relation explicite entre ces indices et la fonction sociale d'évaluation commune qui les soustend. Les auteurs identifient aussi la décomposition multiplicative commune de ces indices qui permet d'en donner des interprétations géométriques simples et idoines et de faire des calculs numériques faciles.     

A non-linear approach for predicting stock returns and volatility with the use of investor sentiment indices

The popular sentiment-based investor index S^BW introduced by Baker and Wurgler (2006, 2007) is shown to have no predictive ability for stock returns. However, Huang et al. (2015) developed a new investor sentiment index, S^PLS, which can predict monthly stock returns based on a linear framework. However, the linear model may lead to misspecification and lack of robustness. We provide statistical evidence that the relationship between stock returns, S^BW and S^PLS is characterized by structural instability and inherent nonlinearity. Given this, using a nonparametric causality approach, we show that neither S^BW nor S^PLS predicts stock market returns or even its volatility, as opposed to previous empirical evidence.