"Thank God . . . I Thought for a Moment You Were Going to Confess to Converting to Socialism!": Gender and Identity in Deirdre McCLoskey's Crossing

"Thank God . . . I thought for moment you were going to confess to converting to socialism! 'critiques McCloskey's account of her transition from a heterosexual male professor of "Chicago school" economics to a female, "free-market feminist." McCloskey's account raises fascinating questions for all feminists regarding both one's definitions of gender, and the institutions and practices which reinforce gender boundaries. At the same time, McCloskey's account is found to be lacking in certain respects. For example, she pays insufficient attention to the implications of gender for rational-choice, free-market economic theories, and she insufficiently contextualizes her definitions of masculinity/femininity to a particular class and race in the late 20th century US.     

Interaction effects in econometrics

We provide practical advice for applied economists regarding robust specification and interpretation of linear regression models with interaction terms. We replicate a number of prominently published results using interaction effects and examine if they are robust to reasonable specification permutations.     

Flexible Adjustment in the Age of Financialisation: The Case of Norway

Norway's “Government Pension Fund” – Global (GPF-G) is large (around $400b), portfolio oriented and transparent. It tries to be ethical and has been mooted as a role model for other SWFs. The way the GPF-G is set up undergirds the US vision of a financialised world economy and it even indirectly supports US warfare in Iraq by buying treasury bills. It is also a leader in ethical investments – more than 20 private funds piggyback any divestment decision the GPF-G makes. Understanding the international implications of the GPF-G does not, however, amount to an explanation of why this vehicle was created. This article puts forward the argument that if we want to understand why and how these diverse behaviours cohere into a larger strategic whole, the fund must be interpreted as the continuation and technocratisation of a long established corporatist tradition of foreign economic policy that Peter Katzenstein more than 25 years ago labelled a strategy of flexible adjustment and domestic compensation.     

New evidence on the implied-realized volatility relation

We consider the relation between the volatility implied in an option's price and the subsequently realized volatility. Earlier studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of future volatility. More recently, Christensen and Prabhala find that implied volatility in at-the-money one-month OEX call options on the S&P 100 index in fact is an unbiased and efficient forecast of ex-post realized index volatility after the 1987 stock market crash. In this paper, the robustness of the unbiasedness and efficiency result is extended to a more recent period covering April 1993 to February 1997. As a new contribution, implied volatility is constructed as a trade weighted average of implied volatilities from both in-the-money and out-of-the-money options and both puts and calls. We run a horse race between implied call, implied put, and historical return volatility. Several robustness checks, including a new simultaneous equation approach, underscore our conclusion, that implied volatility is an efficient forecast of realized return volatility.     

Consumption,housing collateral and the Canadian business cycle

How important are collateral constraints for reproducing salient features of the data? To address this question, we estimate two nested versions of a New Keynesian model: one with collateralized household debt and the frictionless version of the same model. Both versions of the model are fit to Canadian data using Bayesian methods. We argue that the presence of collateral constraints improves the performance of the model in terms of overall goodness of fit. Housing collateral helps to generate a positive correlation between consumption and house prices. Moreover, housing collateral induced spillovers boosted consumption growth during the housing market boom‐bust cycles of the late 1980s and early 2000s.