SHORT‐MATURITY OPTIONS AND JUMP MEMORY

We investigate jump memory using an extensive database of short‐term S&P 500 index options. Jump memory refers to the attenuation of the implied jump intensity and magnitude parameters following a crash event. We use a genetic algorithm to obtain a time series of implied parameter estimates and posit behavioral and rational explanations for parameter attenuation following a crash event. We find that a nested form of the jump‐diffusion model sharpens the remaining parameter estimates and has a negligible effect on pricing accuracy.     

The impact of Milton Friedman on modern monetary economics: Setting the record straight on Paul Krugman's “Who was Milton Friedman?”

Paul Krugman's essay “Who Was Milton Friedman?” seriously mischaracterizes Friedman's economics and his legacy. In this paper, we provide a rejoinder to Krugman on these issues. In the course of setting the record straight, we provide a self-contained guide to Milton Friedman's impact on modern monetary economics and on today's central banks. We also refute the conclusions that Krugman draws about monetary policy from the experiences of the United States in the 1930s and of Japan in the 1990s.     

PRODUCTIVE RECESSIONS AND JOBLESS RECOVERIES

We explore international variation in business cycle dynamics to gain insights into the recent pattern of robust productivity growth during downturns (productive recessions) and weak employment growth during recoveries (jobless recoveries) seen in some advanced economies. We find that sectoral change is associated with productive recessions but that labor market rigidity can impede reallocation and reduce the probability of a productive recession. We also find evidence of a link between productive recessions and jobless recoveries and that recessions dominated by reductions to employment, rather than changes in average employee hours, are more likely to be associated with jobless recoveries. (JELF44, E32)     

Size matters: entrepreneurial entry and government

We explore the country-specific institutional characteristics likely to influence an individual’s decision to become an entrepreneur. We focus on the size of the government, on freedom from corruption and on “market freedom” defined as a cluster of variables related to protection of property rights and regulation. We test these relationships by combining country-level institutional indicators for 47 countries with working-age population survey data taken from the Global Entrepreneurship Monitor. Our results indicate that entrepreneurial entry is inversely related to the size of the government, and more weakly to the extent of corruption. A cluster of institutional indicators representing “market freedom” is only significant in some specifications. Freedom from corruption is significantly related to entrepreneurial entry, especially when the richest countries are removed from the sample, but unlike the size of government, the results on corruption are not confirmed by country-level fixed-effects models.     

Travellers under fire: Tourists in the Tibetan uprising

Following the demonstrations in Lhasa in the fall of 1987, tourists who witnessed the events became the principal source of information to journalists denied access to Tibet and gathered material on arrests, torture, and imprisonment for human-rights organizations. A loosely knit network that arose in the first few days following the demonstrations continued to function for more than 2 years, recruiting new volunteers to take the place of those who left. Using material collected as a participant-observer among individual travelers in Tibet during 1987 and 1988, the article examines the growth of this network in terms of the response of different travel cultures to political unrest.