Pricing and hedging illiquid energy derivatives: An application to the JCC index

In this paper a simple strategy for pricing and hedging a swap on the Japanese crude oil cocktail (JCC) index is discussed. The empirical performance of different econometric models is compared in terms of their computed optimal hedge ratios, using monthly data on the JCC over the period January 2000–January 2006. An explanation to how to compute a bid/ask spread and to construct the hedging position for the JCC swap contract with variable oil volume is provided. The swap pricing scheme with backtesting and rolling regression techniques is evaluated. The empirical findings show that the price‐level regression model permits one to compute more precise optimal hedge ratios relative to its competing alternatives. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:464–487, 2008     

Resource boom and bust, 1885–1920: regional wealth evidence from probate records

Wealth micro-data from records probated by the Thunder Bay District Surrogate Court for 1885–1920 are examined. These data span the Canadian wheat boom era and find a break in wealth accumulation over the period 1900–1914. A bust follows the boom and real wealth during 1915–1920 is approximately 75% lower than 1910–1914. Regression results show the key determinants of wealth in the region to be time period variables, gender, literacy, occupation, marital status, and number of children. The boom had no long-term impact on individual wealth levels in the Thunder Bay District.     

An exercise in composite indicators construction: Assessing the sustainability of Italian regions

This paper presents a piece of research aimed at evaluating the relative sustainability of the Italian Regions. After selecting a core set of indicators, for which we referred to the EU Sustainable Development Strategy, we built a composite index and checked for its robustness. As a result we got ‘many numbers’, that is, a range of possible rankings for Italian Regions.     

Consumption, house prices, and collateral constraints: a structural econometric analysis

If borrowing capacity of indebted households is tied to the value of their home, house prices should enter a correctly specified aggregate Euler equation for consumption. I develop a simple two-agent, dynamic general equilibrium model in which home (collateral) values affect debt capacity and consumption possibilities for a fraction of the households. I then derive and estimate an aggregate consumption Euler equation, and estimate its structural parameters. The results provide robust support for housing prices as a driving force of consumption fluctuations.     

The consensus between Italian HR and sustainability managers on HR management for sustainability-driven change – towards a ‘strong' HR management system

By sustainability-driven change, we mean the transformation of a company into an active agent of broad sustainable development. This paper focuses on two key features of this transformation: (i) the key role played by the company's human resource (HR) management system within that process; and (ii) the fact that the transformation involves a variety of agents and that, among others, HR and sustainability managers are pivotal to the success of the process. Gaining consensus between them on those aspects of the HR system that support sustainability-driven change is a key success factor, as it results in a ‘strong' HR management system that sends coherent messages to the organization. In addition, consensus between the two managers can be critical in preparing a compelling business case for sustainability for the senior management of the organization. This paper explores the level of consensus between the HR and sustainability managers using a survey of 89 managers in Italian companies committed to sustainability. The results of our research indicate which elements of an HR management system are seen as important for sustainability-driven change by both the HR and the sustainability managers and what differences in perception exist between them. Based upon our findings, implications for HR practice and research are then advanced and discussed.     

Conditional risk premia in currency markets and other asset classes

The downside risk capital asset pricing model (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns. Correctly accounting for this variation is crucial for the empirical performance of the model. The DR-CAPM can jointly rationalize the cross section of equity, equity index options, commodity, sovereign bond and currency returns, thus offering a unified risk view of these asset classes. In contrast, popular models that have been developed for a specific asset class fail to jointly price other asset classes.     

The trend over time of the gender wage gap in Italy

We analyse gender wage gaps in Italy in the mid-1990s and in the mid-2000s. In this period, important labour market developments took place and they could have had a gender asymmetric impact on wages. We identify the time trends of different components of the gender wage gap across all the wage distribution. Although the unconditional gender wage gap remained roughly constant over time, we find that the component of the gap due to different rewards of similar characteristics deteriorated women’s relative wage. We show that especially women at the centre-top of the wage distribution swam against the tide: while the trend in female qualifications slightly reduced the gender wage gap, the gender-relative trends in the wage structure significantly increased it.     

Religious polarization,religious conflicts and individual financial satisfaction: Evidence from India

The extant literature finds religion to be a major determinant of life satisfaction. However, in contexts characterized by religious tensions, the outcome may be very different. In particular, the literature shows that religious polarization has a major influence on some economic outcomes. The analysis presented in the paper tries to identify the impact of religious polarization on a major component of life satisfaction: financial satisfaction. The paper inquires how belonging to a minority religion and living in areas with different levels of religious polarization affect the individual satisfaction with the financial situation of the household. The results show that the members of minority religious groups are less satisfied than the members of the dominant group, and that the financial satisfaction decreases—for a given income—as the religious polarization increases.     

Distribution of wealth and incomplete markets: Theory and empirical evidence

This paper analyses the equilibrium distribution of wealth in an economy where firms’ productivities are subject to idiosyncratic shocks, returns on factors are determined in competitive markets, households have linear consumption functions and government imposes taxes on capital and labour incomes and equally redistributes the collected resources to households. The equilibrium distribution of wealth is explicitly calculated and its shape crucially depends on market incompleteness. With incomplete markets it follows a Paretian law in the top tail and the Pareto exponent depends on the saving rate, on the net return on capital, on the growth rate of population, and on portfolio diversification. The characteristics of the labour market crucially affects the bottom tail, but not the upper tail of the distribution of wealth in the case of completely decentralized labour market. The analysis also suggests a positive relationship between growth and wealth inequality. The theoretical predictions find a corroboration in the empirical evidence of United States in the period 1989-2004.