Implied Lévy volatility

We study the cause of large fluctuations in prices on the London Stock Exchange. This is done at the microscopic level of individual events, where an event is the placement or cancellation of an order to buy or sell. We show that price fluctuations caused by individual market orders are essentially independent of the volume of orders. Instead, large price fluctuations are driven by liquidity fluctuations, variations in the market's ability to absorb new orders. Even for the most liquid stocks there can be substantial gaps in the order book, corresponding to a block of adjacent price levels containing no quotes. When such a gap exists next to the best price, a new order can remove the best quote, triggering a large midpoint price change. Thus, the distribution of large price changes merely reflects the distribution of gaps in the limit order book. This is a finite size effect, caused by the granularity of order flow: in a market where participants place many small orders uniformly across prices, such large price fluctuations would not happen. We show that this also explains price fluctuations on longer timescales. In addition, we present results suggesting that the risk profile varies from stock to stock, and is not universal: lightly traded stocks tend to have more extreme risks.     

Revisiting the demand for money model: money and loans in selected manufacturing industries

Using a dynamic infinite horizon optimizing model, it is shown that the empirical demand for money equation employed by a generation of applied monetary researchers is a reduced form model of the dynamic Euler equations for real money balances. The Euler equations derived in this paper focus on the finance capital for the firm and consist of real money balances (M1) and real business loans (F1) for selected manufacturing industries. By employing explicit structural dynamic specification and sectoral disaggregation, the question of how firms close the gap between desired real money balances and actual real money balances is examined. Model consistent ‘desired’ levels of money balances and business loans are found to depend not only upon the usual transactions variable and interest rate but also upon relative prices and a technology index. Moreover, the speed in closing the gap between desired and actual money balances (loan balances) is estimated using annual two-digit Standard Industrial Code data for durable and non-durable industries. Non-durable industries tend to close the gap faster than durable industries by as much as 25% in a given year.     

Expiration and maturity effect: empirical evidence from the Spanish spot and futures stock index

The paper studies how the time remaining to the expiration date of derivative markets affects the volatility of the IBEX-35 index (expiration effect) and its futures market (maturity effect). The innovation of the study lies in both effects being studied together for the Spanish stock market using bivariate ECM-GARCH including dummy variables that express the time left to expiration day. The results obtained show that, during the week of the expiration day, the conditional variance of both markets increases without presenting any significant behaviour in the correlation level. During the second week, however, the conditional variance diminishes and the degree of correlation between both markets increases.     

Organizational culture and human resources in the environmental issue: a review of the literature

From the resourced-based view, the weakness of organizations' business culture and their shortcomings in human resources may be important obstacles in the process of environmental action. However, as the number of works on these questions is still limited, our aim is to integrate the classical literature concerning business culture and human resources and the small number of works concerning these aspects of environmental management. Several issues, such as managerial duties, the role of organizational culture in the formation of environmental internal stakeholders' awareness, organizational involvement in environmental issues, environmental training and concern, environmental motivation and incentives and implementation and organizational innovations, may be very important for thesuccess of companies' environmental strategy. However, it seems necessary to carry out studies in which qualitative and quantitative methodologies are applied.     

BAYESIAN INFERENCE METHODS FOR UNIVARIATE AND MULTIVARIATE GARCH MODELS: A SURVEY

This survey reviews the existing literature on the most relevant Bayesian inference methods for univariate and multivariate GARCH models. The advantages and drawbacks of each procedure are outlined as well as the advantages of the Bayesian approach versus classical procedures. The paper makes emphasis on recent Bayesian non‐parametric approaches for GARCH models that avoid imposing arbitrary parametric distributional assumptions. These novel approaches implicitly assume infinite mixture of Gaussian distributions on the standardized returns which have been shown to be more flexible and describe better the uncertainty about future volatilities. Finally, the survey presents an illustration using real data to show the flexibility and usefulness of the non‐parametric approach.     

Crisis or transformation? Japan viewed from Hungary*

This paper challenges the view that Japan has been in crisis in the past decade. After citing some basic contradictory facts, the author first summarizes his arguments for the prevailing crisis mood by grouping them into ‘superficial’, ‘middle‐of‐the‐scale’ and ‘profound’ reasons. Then, in order to better prove his point that one should speak about the necessary transformation of the Japanese economy and society, rather than about the crisis, he gives a wider than usual coverage of the main areas of transformation.     

Diseases, infection dynamics, and development

The relationship between health and development is a subject of ongoing debate. This paper contributes to the debate by proposing a general equilibrium theory of infectious disease transmission, prevention investment, and rational behavior. Diseases cause premature death, labor productivity loss and lower quality of life. Higher disease prevalence lowers the average saving-investment propensity. The model offers two insights. First, infectious disease can plausibly generate an unconventional growth trap where income alone cannot push an economy out of underdevelopment. Second, even when countries converge to the same balanced growth path, the disease ecology significantly impairs the pace of economic development.     

An analysis of health expenditure on a microdata population basis

The objective of this paper is to analyse the hospitalisation and the pharmaceutical expenditures of a population. To do so, we will use cross-sectional information for the year 2004, referring to the whole population of one of the seventeen autonomous communities that make up the Spanish public health system, namely, Aragón. Given the important proportion of null expenditures, a model that takes into account the censored nature of the data must be specified. In our case, the model we choose is Heckman's (1979) selection model. The results are conclusive. i) Age, being a pensioner and being of Spanish nationality positively influence the generation of both types of expenditure; ii) on the contrary, the distance from the health centre to the hospital affects them negatively; iii) sex notably influences the generation of both types of expenditure, women generating higher level of expenditures; iv), in both cases, significant differences appear associated with the zone to which the user belongs; and v) we have also found that pharmaceutical expenditure depends significantly on the doctor who is prescribing.     

An application of health-portals to improve electronic listening

Electronic listening (eListening) is an innovation that potentially provides patients and other users with the right answer in the right place at the right time. Thus, eListening can potentially improve service flexibility, adaptability and quality. The main purpose of this paper is to investigate the extent to which new web-based service delivery channels, which we refer to as health-portals (he-portals), facilitate eListening in the Spanish public healthcare sector. In this paper, we investigate the relative importance and significance of hospital size and three different types of information and communications technologies (Internet, groupware and collective systems) on the use of eListening through an empirical investigation of 300 Spanish public he-portals. Our main conclusion is that the implementation of Internet systems alone does not guarantee the development of effective eListening. In addition, we demonstrate that hospital size does not affect the level of eListening achieved by hospitals.     

Evaluación de la conversión a café orgánico usando la metodología de opciones reales

Since the deregulation of the coffee market in 1989, price crises are proof of the uncertainty and risk around coffee growers’ income, particularly for small producers who, in the case of Mexico, have taken action such as the conversion of their traditional crops into the organic production system which, besides the ecological priority, allows them to get a higher income than from conventional coffee. In this document we model as real investment options (RIO) the possibility of conversion from one system into the other one also including the feasibility of abandoning this strategic decision.