Gender pairings and accountability effects

We conduct an experiment to investigate how the gender composition of an audience interacts with the gender of a player thereby shaping her/his degree of responsibility in decision-making. Together with the measures of accountability based on decision theory, we employ two physiological measures, blood pressure and heart rate variability, which allow us to disentangle the separate effects of stress and accountability. Our results show that men are more sensitive to changes in the gender composition of the audience; specifically, men lower their accountability when paired with a female audience. By contrast, women display a level of accountability that does not change with gender pairing. Finally, we find that the variation in blood pressure has a significant but small effect only on men's behavior.     

Singular risk-neutral valuation equations

Many risk-neutral pricing problems proposed in the finance literature do not admit closed-form expressions and have to be dealt with by solving the corresponding partial integro-differential equation. Often, these PIDEs have singular diffusion matrices and coefficients that are not Lipschitz-continuous up to the boundary. In addition, in general, boundary conditions are not specified. In this paper, we prove existence and uniqueness of (continuous) viscosity solutions for linear PIDEs with all the above features, under a Lyapunov-type condition. Our results apply to European and Asian option pricing, in jump-diffusion stochastic volatility and path-dependent volatility models. We verify our Lyapunov-type condition in several examples, including the arithmetic Asian option in the Heston model.     

A Simple Panel‐CADF Test for Unit Roots*

In this paper, we propose a simple extension to the panel case of the covariate‐augmented Dickey–Fuller (CADF) test for unit roots developed in Hansen (1995) . The panel test we propose is based on a P values combination approach that takes into account cross‐section dependence. We show that the test has good size properties and gives power gains with respect to other popular panel approaches. An empirical application is carried out for illustration purposes on international data to test the purchasing power parity (PPP) hypothesis.     

Panel cointegration and the neutrality of money

Most econometric methods for testing the proposition of long-run monetary neutrality rely on the assumption that money and real output do not cointegrate, a result that is usually supported by the data. This paper argues that these results can be attributed in part to the low power of univariate tests, and that a violation of the noncointegration assumption is likely to result in a nonrejection of the neutrality proposition. To alleviate this problem, two new and more powerful panel cointegration tests are proposed that can be used under quite general conditions. The empirical results obtained from applying these tests to a panel covering ten countries between 1870 and 1986 suggest money and real output are cointegrated, and hence that the neutrality proposition must be rejected.