Rezensionen

Ohne Zusammenfassung     

Two-dimensional risk-neutral valuation relationships for the pricing of options

The Black–Scholes model is based on a one-parameter pricing kernel with constant elasticity. Theoretical and empirical results suggest declining elasticity and, hence, a pricing kernel with at least two parameters. We price European-style options on assets whose probability distributions have two unknown parameters. We assume a pricing kernel which also has two unknown parameters. When certain conditions are met, a two-dimensional risk-neutral valuation relationship exists for the pricing of these options: i.e. the relationship between the price of the option and the prices of the underlying asset and one other option on the asset is the same as it would be under risk neutrality. In this class of models, the price of the underlying asset and that of one other option take the place of the unknown parameters.      

Measuring conditional cooperation: a replication study in Russia

We replicate the strategy-method experiment by Fischbacher et al. (Econ. Lett. 71:397–404, 2001) developed to measure attitudes towards cooperation in a one-shot public goods game. We collected data from 160 students at four different universities across urban and rural Russia. Using the classification proposed by Fischbacher et al. (2001) we find that the distribution of types is very similar across the four locations. The share of conditional cooperators in our Russian subject pools is comparable to the one found by Fischbacher et al. in a Swiss subject pool. However, the distribution of the other types differs from the one found in Switzerland.     

The effect of context attractiveness on product attractiveness and product quality: the moderating role of product familiarity

Prior research has investigated a number of drivers of consumers’ perceived product attractiveness, such as a product’s shape and color. The context, in which a product is presented, has so far been largely neglected in examining consumers’ aesthetic appraisal of products. Drawing on social cognition theory, this research investigates how the attractiveness of the visual context (e.g., websites, advertisements) influences consumers’ perceptions of product attractiveness and product quality for familiar versus unfamiliar products. Results of two experimental studies show that consumers perceive unfamiliar products as more attractive and, consequently, of higher quality when products are placed in an attractive context than when they are placed in an unattractive context. No differences in consumers’ perceived product attractiveness and perceived product quality exist for familiar products. The findings extend our theoretical knowledge of product aesthetics and provide managers with insights into the effective communication of their offerings’ attractiveness.     

COMPLEX DYNAMICS IN A SIMPLE INPUT-OUTPUT MODEL WITHOUT THE FULL CAPACITY UTILIZATION HYPOTHESIS

The paper takes up a multi-sectoral dynamic input-output model of Duchin and Szyld (⇐A dynamic input-output model with assured positive outputs ⇒, Metroeconomica, vol. 37, 1985) and develops it further in two respects. On the one hand, also a decrease of productive capacities is allowed for. On the other hand, an endogenously determined ⇐ correction term ⇒ is built into the investment function. It reflects a certain kind of risk-aversion and serves to absorb the explosive tendencies to be found in the original model. Subsequently the one-sector version, which nevertheless comprises already four state variables, is studied by means of computer simulations. Depending on the choice of a behavioural parameter, persistent but seemingly quite irregular cycles are generated. For a more sophisticated investigation spectral analysis is employed. The model itself could succintly be characterized as an elaborated multiplier-accelerator model.     

Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures

Econometric issues in the estimation of persistence in macroeconomic time series are considered. In particular, the relative merits of estimates based on ARMA models, ARFIMA models and nonparametric procedures are investigated. It is shown that ARFIMA models are inappropriate for the purpose of estimating persistence. Furthermore, some of the criticism leveled in the literature against the use of ARMA models for estimating long run properties is put into perspective. Methodological issues arising in the estimation of ARMA models that are relevant to estimation of persistence are discussed. It is shown how overparameterization of an ARMA model may lead to severely downward biased estimates of persistence. The theoretical results are employed to explain some of the findings in Campbell & Mankiw (1987a) and Christiano & Eichenbaum (1990). The methodological aspects of the paper are also relevant for the problem of estimating the value of a spectral density at any given frequency. An empirical study confirms persistence estimates reported in Campbell & Mankiw (1987a), and shows that ARMA models as well as nonparametric procedures give very similar estimates of persistence if properly applied. First version received: May 1996/final version received: March 1998     

Christian economics at the origin

The New Testament contained copious information on how Jesus and the Apostles managed their households and personal finances. Christian economics originated in references made by Jesus, Paul, and Peter to oikonomia. Peter in Jerusalem introduced the incipient practice of Christian oikonomia through dispensing welfare, and Christians in Rome unfolded oikonomia when they acquired the catacombs. The funding and owning of built structures transformed Christianity from a private collective to a corporate institution. Constantine the Great marked this transition when he designated the recipient of a substantial endowment as the Corpus Christianorum. A trajectory that began in New Testament oikonomia concluded when Christianity had become an institutional actor in the economic sphere.     

Chancen und Potenziale von Mobility-as-a-Service nach der Corona-Pandemie

Wirtschaftsdienst - Die Pandemie stellt einen Einschnitt in der positiven Entwicklung des öffentlichen Verkehrs dar. Die Furcht der Nutzer:innen vor Infektionen könnte einen nachhaltigen...     

Der neue Protektionismus der USA

The decisions of the U.S. administration to levy additional duties on the import of steel, aluminium and washing machines are the first policy changes by U.S. President Trump that will directly affect existing U.S. trade flows. These recent decisions point to a new trend towards more protectionism in the U.S. and raise the fear that similar trade policy changes, which will ultimately harm both the U.S. economy and the international rule-based trading system, will soon follow. The article analyses the economic and political consequences of the new U.S. import tariffs in the light of an increasingly restrictive U.S. trade policy.