Affine multiple yield curve models

We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short rate, Libor market, or Heath–Jarrow–Morton modeling, can be consolidated. We model a numéraire process and multiplicative spreads between Libor rates and simply compounded overnight indexed swap rates as functions of an underlying affine process. Besides allowing for ordered spreads and an exact fit to the initially observed term structures, this general framework leads to tractable valuation formulas for caplets and swaptions and embeds all existing multicurve affine models. The proposed approach also gives rise to new developments, such as a short rate type model driven by a Wishart process, for which we derive a closed‐form pricing formula for caplets. The empirical performance of two specifications of our framework is illustrated by calibration to market data.     

A new chance for trade and investment

International investment flows have increased rapidly with the growing globalization of markets and production. These flows will be of greatest benefit to the world economy as a whole if they can be based on a transparent and predictable system of generally recognized rules. What strategy should the EU adopt to help create those rules? *** DIRECT SUPPORT *** A02GP103 00002     

A new exchange rate mechanism for the Euro age

Only a limited number of countries will participate in the single currency area at its formation on January 1st, 1999. A new link between the currencies participating in the Euro zone and those unable or unwilling to do so must therefore be created. A new EMS, with the Euro as its anchor currency, must be installed to ease the path into EMU for those countries that wish to join at a later date.     

PROBLEMS OF AGRICULTURAL POLICY IN EUROPE–A DANISH POINT OF VIEW

Recent developments in the agricultural situation of Western Europe has led to inceased self-sufficiency in importing countries and stagnation in the world trade of agricultural products. An examination is made of the effects of these developments on Danish agriculture and the Danish economy, which has been subject to a very rapid change of structure. Characteristics of the Danish agricultural support policy are commented upon as well as the issue of price support versus income support in relation to the objectives of greater efficiency and improved farm structure. The importance of other measures is emphasised, including action to impove the mobility of agricultural manpower. On the basis of past experience some comments are finally made about the enlargement of E.E.C. and its possible effects on the world trade, on the situation of overseas producers, including the developing countries, and possible ways of reducing the difficulties.     

Language usage,participation, employment and earnings: Evidence for foreigners in West Germany with multiple sources of selection

Language proficiency may not only affect the earnings of the individual, but the probability to participate in the labor market or becoming employed as well. It may also affect selection of people into economic sector and occupation. In this paper, the effects of language proficiency on earnings are analyzed for foreigners in Germany with joint consideration of up to four types of selection. The results show that language proficiency significantly increases participation and employment probability and affects occupational choice. When selection into economic sector and occupation is regarded, we do not find an impact of language ability on earnings thereby implying an indirect effect.     

Resolving Range Conflict in Nevada? Buyouts and Other Compensation Alternatives

To mitigate the adverse effects of reduced access to public forage, ranchers may require financial or other forms of "compensation." In this paper, we use results from a survey of Nevada ranchers to examine their willingness to sell grazing permits and participate in other schemes that enable them to continue ranching in spite of declining access to public forage. On average, ranchers demand $255 per animal unit month to sell grazing permits, while support for other programs, some of which are performance based, depends on whether respondents trust public agencies and intend to pass their ranch onto an heir.     

I Know What I Know,but I will Probably Fail Anyway: How Learned Helplessness Moderates the Knowledge Calibration–Dietary Choice Quality Relationship

Prior research suggests that knowledge calibration (KC) supports consumers’ maintenance of a healthy diet. However, no previous studies have considered that learned helpless consumers may refrain from using their knowledge, even though they may be fully aware that they possess it. This research gap is considered in three studies. Study 1 investigates the moderating effect of learned helplessness (LH) by means of a cross‐sectional survey. Studies 2 and 3 are online choice studies. Besides from replicating Study 1, Studies 2 and 3 eliminate potential social desirability bias by objectively measuring respondents’ dietary choice quality. In addition, Study 3 takes into account the possibility that respondents’ responses may be biased by food preferences, medical conditions, and/or food allergies. Moreover, Studies 2 and 3 both investigate the consequences of the findings on consumers who live under a dieting regime. These studies demonstrate that consumers suffering from LH do not stand to gain from calibrating their dietary knowledge to the same degree as other consumers. It is also shown that dieting behavior has a tendency to weaken this negative moderating effect of LH on the relationship between KC and dietary choice quality. Finally, the implications of the findings for marketers and public policymakers are discussed.     

The performance of event study approaches using daily commodity futures returns

Simulations are conducted to assess the inferential accuracy of statistical event study approaches using daily futures returns. Methods examined include constant mean return models and several regression models—OLS, GARCH(1,1), and a GARCH(1,1) model having an error term with a Student's t distribution. The simulations address four of the most commonly analyzed agricultural futures commodities—corn, soybeans, live cattle, and hogs. In terms of the size of the test statistics, constant mean return models with short normal periods perform poorly, leading to unacceptably high rejection rates of the null hypothesis. Test statistics from constant mean return models with longer normal periods, OLS, and GARCH specifications provide rejection rates largely consistent with those of a unit normal distribution. Test statistics from all models are powerful enough to detect abnormal performance levels below those that would trigger limit locks. At small levels of abnormal performance the GARCH(1,1) model with a t distribution was consistently the most powerful model. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:533–555, 2004