Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis

We empirically compare Libor and Swap Market Models for thepricing of interest rate derivatives, using panel data on pricesof US caplets and swaptions. A Libor Market Model can directlybe calibrated to observed prices of caplets, whereas a SwapMarket Model is calibrated to a certain set of swaption prices.For both models we analyze how well they price caplets and swaptionsthat were not used for calibration. We show that the Libor MarketModel in general leads to better prediction of derivative pricesthat were not used for calibration than the Swap Market Model.Also, we find that Market Models with a declining volatilityfunction give much better pricing results than a specificationwith a constant volatility function. Finally, we find that modelsthat arechosen to exactly match certain derivative prices areoverfitted; more parsimonious models lead to better predictionsfor derivative prices that were not used for calibration. JELClassification: G12, G13, E43.     

Job/work environment factors influencing training transfer within a human service agency: some indicative support for Baldwin and Ford’s transfer climate construct

Despite significant progress in the field of training transfer research over the past two decades very little empirical research in the area has been conducted within human service organisations. As a result, our knowledge of the extent to which those factors posited within the training literature to influence the transfer of training are necessarily those found in these particular work settings very much remains in its infancy. This article presents findings from qualitative research that was undertaken as part of a wider training evaluation strategy to investigate (1) those factors which influenced the transfer of training within a UK social services department; and (2) how these factors compared or differed from those suggested within the literature as influencing training transfer. The findings suggest a range of specific factors as they pertain to both the nature of the jobs and the workplace within such work settings as mediating training transfer. However, a number of these were closely associated with the dimensions of social support and opportunity to use as posited within Baldwin and Ford’s (1988) transfer of training model, suggesting that the model is potentially generalisable to human service agencies.     

Modeling differentiated quality standards in the agri-food sector: the case of meat trade in the enlarged EU

Quality standards play an increasingly important role in international agri-food trade, and their functioning as nontariff barriers to trade is widely discussed. We argue that food quality standards imposed by importing countries are more than just border measures and can have profound effects on the market structure of the exporting industry, thereby significantly influencing the supply response. We develop a stylized oligopoly model that accounts for compliance costs (fixed and variable) and investigate alternative policy options to explore different mechanisms an importing county may use to enhance the quality of its imports. The model explicitly recognizes the coexistence of complying and noncomplying firms, which is a situation often found in low-income countries where a small modern export-oriented segment invests in meeting foreign quality standards. We use the adjustment of the Polish meat sector to the tight EU food quality standards as an empirical example. The simulations show that a subsidy scheme can promote compliance with standards and can contribute to an upgrade of the industry in the exporting country, but its marginal effectiveness is diminishing.     

Did Georgia’s Post-Pipeline-Hack Gasoline-Tax Suspension Lower Prices?

Atlantic Economic Journal -     

THE SUPPLY OF NON-DEGRADED AGRICULTURAL LAND*

Profitability increases because of favourable product or factor price changes provide incentives for profit-maximising farmers, who use soils in conjunction with other cooperant inputs, to increase their investment in the preservation of soil-quality, whenever there exist economically viable technologies for preserving soils. However, when such technologies do not exist, regardless of whether farmers utilise soils as non-renewable or renewable resources, such profitability increases are associated with a long-run deterioration in soil quality.