Asset allocation: How much does model choice matter?

This paper analyzes the optimal portfolio decision of a CRRA investor in models with stochastic volatility and stochastic jumps. The investor follows a buy-and-hold strategy in the stock, the money market account, and one additional derivative. We show that both the type of the model and the structure of the risk premia have a significant impact on the optimal portfolio, on the utility gain from having access to derivatives, and on whether the investor prefers to trade OTM or ATM options. We also show that model mis-specification results in significant utility losses. Omitting jumps in volatility can be devastating, in particular if the investor chooses the seemingly optimal OTM put options. A misestimation of the structure of the risk premia has a less devastating effect, but can still lead to a loss of around 4% in the annual certainty equivalent return.     

Regional and environmental impacts of expanding the heavy duty vehicle charge to the secondary road network in Austria

In road freight transport a particularly large share of the total social costs generated is not borne by road users. To correct for this, many European countries use pricing instruments specifically targeted at heavy duty vehicles, so far targeted almost exclusively at the primary road network. In line with the overall EU objective of greening the transport sector, we discuss the possibility of expanding the road charging system to a more comprehensive, area-wide one. The degree to which peripheral or disadvantaged regions are hit over-proportionally by such a measure remains an open question in the literature on heavy duty vehicle road pricing. We combine an input–output and a computable general equilibrium approach to analyse the case for Austria. We find that while it is not the sectors of highest economic importance in the periphery regions that are hit by the charge, those sectors that are hit are those which are relatively more important in peripheral regions (with up to a twofold share in value added) and for whom production price impacts tend to be relatively strong. The short term consumer price effect of extending the current primary road network charges to the secondary network is found not to exceed 0.15%. In terms of the principles of sustainable transport we find that extending charge coverage is compatible with most core principles, the exception being the principle of regional need. In terms of environmental impact, for example, expanding heavy duty vehicle charges to the secondary road network reduces heavy duty vehicle kilometres in the overall network (and related emissions) by roughly 2%. However, in order to comply with the needs principle, suitable complementary transfer policies need to be designed and implemented for peripheral regions.     

The Declining Impact of Exchange Rate Volatility on Trade

The introduction of the euro in 1999 eliminated exchange rate volatility between the members of the eurozone. Despite the elimination of currency risks, trade flows within the eurozone hardly increased (Bun and Klaassen in Oxf Bull Econ Stat 69:473–496, 2007, Santos Silva and Tenreyro, 2009). Using a standard gravity model, we find that nominal exchange rate volatility has had a negative effect on trade before 1985 but that this effect disappeared in later years, coinciding with the introduction and rapid diffusion of over-the-counter currency swaps. The estimated coefficient for the euro dummy does not change when we include nominal exchange rate volatility as an additional regressor. This confirms our finding that the impact of exchange rate volatility on trade has been small in more recent years.     

Education and training for shop stewards: a reassessment

New approaches are required in the education and training of shop stewards if it is to equip them with the skills necessary to deal with the conflicting expectations and pressures inherent in their role.     

Making the link between work-life balance practices and organizational performance

The business case for work-life balance practices, as espoused by many organizations, rests on attracting better applicants and reducing work-life conflict among existing employees in order to enhance organizational performance. This review of the literature provides some evidence for the claim regarding recruitment, but there is insufficient evidence to support the notion that work-life practices enhance performance by means of reduced work-life conflict. We suggest that the business case may therefore need to be modified to reflect the number of additional routes by which work-life balance practices can influence organizational performance, including enhanced social exchange processes, increased cost savings, improved productivity, and reduced turnover. The impact of these processes may, however, be moderated by a number of factors, including national context, job level, and managerial support. The importance of further research into the effects of these practices is discussed.     

Managing a sphere of influence: WFSF and its institutional members

The World Futures Studies Federation has nearly seventy Institutional Members from around the world. Combined, Institutional Members' day-to-day endeavors span an assortment of professional, academic, governmental and research areas. The activity and visibility of the Institutional Members was informally monitored during a nine-month period in 2002-2003 which resulted in a strong impression that, despite abundant access to Institutional Members, the WFSF is underutilizing its sphere of influence. The WFSF should initiate a strategy of outreach to Institutional Members that maximizes relationships and is mutually beneficial for everyone involved in the organization. The basis of this outreach should be focused on fulfilling WFSF's stated mission to promote Futures Studies and awareness for the future. WFSF is also strongly committed to promoting democracy, which must also underlie any effort in this context. In addition to the internal state of affairs there needs to be consideration of trends and current conditions outside the field of Futures Studies. By examining four scenarios this essay suggests ways in which WFSF can anticipate the future and increase its impact.     

How does entry regulation influence entry into self‐employment and occupational mobility?1

We analyse how an entry regulation that imposes a mandatory educational standard affects entry into self‐employment and occupational mobility. We exploit German reunification as a natural experiment and identify regulatory effects by comparing differences between regulated and unregulated occupations in East Germany with the corresponding differences in West Germany after reunification. Consistent with our expectations, we find that entry regulation reduces entry into self‐employment and occupational mobility after reunification more in regulated occupations in East Germany than in West Germany. Our findings are relevant for transition or emerging economies as well as for mature market economies requiring large structural changes after unforeseen economic shocks.