The distributional impact of social transfers in the European Union: evidence from the ECHP

Social transfers vary enormously across the European Union, as has been demonstrated in earlier research. This paper analyses the comparative effects of these transfers on inequality and poverty, using consistent household data. The analysis shows that the distributional impact of these transfers is greater in countries that spend a higher proportion of their GDP on them, but that there are other important determinants, including the extent of means testing, the distribution of funds between different types of transfer and the degree of targeting for each transfer. It also shows that effective targeting can be achieved without high levels of means testing.     

Constructing the true cost of living index from the Engel curves of the PIGLOG model

This paper investigates the properties of the Tornqvist index and shows how this can be used to construct a true cost of living index from a simple system of Engel curves. This allows the substitution bias inherent in a fixed weight index to be estimated using the maximum degree of commodity disaggregation available in the data. Furthermore the proposed index can be decomposed to show the impact of inflation on households with different expenditure levels and household chararacteristics. An empirical application of the method is given, using data on UK food expenditures.     

Cost analysis of a food insurance scheme for developing countries

The authors describe a proposed tool to alleviate the food insecurity problems of developing countries: an international food insurance scheme. Their discussion includes details on the mechanics of the scheme, consideration of whether to include a buffer stock, funding possibilities, and cost projections.     

Welfare Ranking of Environmental Policies in the Presence of Capital Mobility and Cross‐Border Pollution

We construct a model of two regions with cross‐border pollution, and with inter‐regional (regional capital mobility [RCM]) or international (international capital mobility [ICM]) capital mobility. Each region uses emission taxes, or intra‐regionally, or inter‐regionally tradable emission permits to reduce pollution. We show that the non‐cooperative settings of all three instruments are always inefficient relative to their cooperative settings. When regions are symmetric, then (i) with RCM the non‐cooperative setting of intra‐regionally tradable emissions permits is welfare superior to that of the other two instruments, (ii) with ICM the non‐cooperative settings of intra‐regionally tradable emission permits and of emission taxes are equivalent and superior to that of inter‐regionally tradable emission permits, and (iii) with ICM the three instruments are equivalent only when cross‐border pollution is perfect.     

ELDERLY AND NON-ELDERLY IN THE EUROPEAN UNION: A COMPARISON OF LIVING STANDARDS

The paper compares the living standards of the elderly vis-a-vis the rest of the population in EU countries in the late 1980s using the data of Household Budget Surveys. Elderly and non-elderly are compared in terms of consumption expenditure, income and non-monetary indicators of welfare. The results show that in all EU countries the non-elderly are better-off than the elderly. In some countries the differences in the living standards of the two groups are marginal, whereas in others they are substantial. These differences tend to be larger in the Southern European EU countries (with the exception of Spain) and smaller in the Northern European EU countries (with the exception of the U.K.).     

Location equilibria in a mixed duopsony with a cooperative

This work analyses a two‐stage price–location game between a profit maximising firm and a primary producers' cooperative. According to the results, the location equilibria are not fixed but depend on the intrinsic competitiveness of the spatial market. As the intrinsic competitiveness rises, the cooperative tends to be located closer to the middle point of the market. The limited differentiation in location entails an efficiency loss which is nevertheless smaller than that associated with the competition of two profit maximising firms (pure duopsony) on exactly the same spatial market. The superiority of a mixed duopsony lies in the fact that the resulting equilibrium locations entail lower total transportation cost relative to those of a pure duopsony.     

Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500

Abstract

This article focuses on inferring critical comparative conclusions as far as the application of both linear and non-linear risk measures in non-convex portfolio optimization problems. We seek to co-assess a set of sophisticated real-world non-convex investment policy limitations, such as cardinality constraints, buy-in thresholds, transaction costs, particular normative rules, etc. within the frame of four popular portfolio selection cases: (a) the mean-variance model, (b) the mean-semi variance model, (c) the mean-MAD (mean-absolute deviation) model and (d) the mean-semi MAD model. In such circumstances, the portfolio selection process reflects to a mixed-integer bi-objective (or in general multiobjective) mathematical programme. We precisely develop all corresponding modelling procedures and then solve the underlying problem by use of a novel generalized algorithm, which was exclusively introduced to cope with the above-mentioned singularities. The validity of the attempt is verified through empirical testing on the S&P 500 universe of securities. The technical conclusions obtained not only confirm certain findings of the particular limited existing theory but also shed light on computational issues and running times. Moreover, the results derived are characterized as encouraging enough, since a sufficient number of efficient or Pareto optimal portfolios produced by the models appear to possess superior out-of-sample returns with respect to the benchmark.     

A Markov regime switching approach for hedging energy commodities

This paper estimates constant and dynamic hedge ratios in the New York Mercantile Exchange oil futures markets and examines their hedging performance. We also introduce a Markov regime switching vector error correction model with GARCH error structure. This specification links the concept of disequilibrium with that of uncertainty (as measured by the conditional second moments) across high and low volatility regimes. Overall, in and out-of-sample tests indicate that state dependent hedge ratios are able to provide significant reduction in portfolio risk.     

Accounting earnings and gross domestic product

We document that aggregate accounting earnings growth is an incrementally significant leading indicator of growth in nominal Gross Domestic Product (GDP). Professional macro forecasters, however, do not fully incorporate the predictive content embedded in publicly available accounting earnings data. As a result, future nominal GDP growth forecast errors are predictable based on accounting earnings data that are available to professional macro forecasters in real time.