A class of statistical models to weaken independence in two-way contingency tables

In this paper we study a new class of statistical models for contingency tables. We define this class of models through a subset of the binomial equations of the classical independence model. We prove that they are log-linear and we use some notions from Algebraic Statistics to compute their sufficient statistic and their parametric representation. Moreover, we show how to compute maximum likelihood estimates and to perform exact inference through the Diaconis-Sturmfels algorithm. Examples show that these models can be useful in a wide range of applications.     

Assessing the compensation for volatility risk implicit in interest rate derivatives

We use the risk neutral volatilities which market participants use to price dollar, euro and pound swaptions to the aim of assessing the size and the sign of the daily compensation for interest rate volatility risk between October 1998 and August 2006. The measurement of the unobservable volatility risk premium rests on a simple garch model, which generates the parameters of the volatility process under the physical measure and produces paths of future volatilities, whose averages represent the realized volatility forecasts. Results show that interest rate volatility has embodied a large — negative — compensation for volatility risk, in line with other studies focusing on different asset classes. We also document that the volatility risk premium has exhibited a term structure across the analyzed maturity spectrum and that it has changed through time, but much less than risk neutral volatilities. Compensation for volatility risk is positively related to risk neutral volatility, although the relation is not completely linear, and it is influenced, as expected, by the level of the short term rate and its realized volatility. Also a small but robust number of macroeconomic surprises affect compensation for volatility risk, with macroeconomic uncertainty in one country spilling over to other currencies. Estimates of the risk aversion coefficient computed over the same sample as the volatility risk premium suggest that (minus) the volatility risk premium can be almost directly read as risk aversion.     

Factors associated with urban non-fatal road-accident severity

This paper reports on the factors associated with non-fatal urban-road accident severity. Data on accidents were gathered from the local traffic police in the City of Palermo, one of the six most populated cities in Italy.

Findings from a mixed-effects logistic-regression model suggest that accident severity increases when two young drivers are involved, road traffic conditions are light/normal and when vehicles crash on a two-way road or carriageway. Speeding is more likely to cause slight or serious injury even when compared to a vehicle moving towards the opposite direction of traffic. An accident during the summer is more likely to result in a slight or serious injury than an accident during the winter, which is in line with evidence from Southern Europe and the Middle East.

Finally, the severity of non-fatal accident injuries in an urban area of Southern Europe was significantly associated with speeding, the age of the driver and seasonality.     

Estimating variability in the Italian stock market: An ARCH approach

The variability of financial markets has become the focus of considerable interest, especially over the past decade. In this study, ARCH models are applied to the Italian stock market, at both general and sectoral levels, to identify the processes generating variances and to test whether the variances are explainable by an autoregressive equation. The predictive power of the estimated equations has been evaluated by comparing them with forecasts obtained from alternative estimation techniques. The outcome supports the idea of an autoregressive structure for the variances and a hyperreactive behavior of the Italian stock market to the arrival of destabilizing news.     

The development of the ‘electronics complex’ and government policies in Brazil

This paper reports some of the results of research conducted at the Instituto de Economia Industrial of the Federal University of Rio de Janeiro on the pattern of development of two industries of the ‘electronics complex’ — electronic data processing equipment (EDPE) and electronic semiconductor components (SCC). The industries were selected because of their technological and economic importance and for their potential inter-relatedness, as well as for policy-related reasons.The research focused on the analysis of the international characteristics of the two industries (based mainly on secondary sources) and an empirical investigation of their pattern of competition in Brazil. Following a brief characterization of the ‘electronics complex,’ the next section of this paper describes the evolution of imports, local production and exports and the pattern of competition in the Brazilian market. The third section analyzes in more detail the inter-relations between consumers, international firms, local producers and Government policies, focusing mainly on the EDPE industry ‘infant-industry’ experience. The last section focuses on the intended policy for the SCC industry, exploring the implications of industrial interdependence and drawing from the experience of the EDPE industry. The article concludes by presenting some requisite characteristics of policy for fostering an ‘electronics complex’, which may be useful not only for Brazil, but for other LDCs as well.     

Yaari''s dual theory without the completeness axiom

Summary. This note shows how Yaari (1987)'s dual theory of choice under risk naturally extends to the case of incomplete preferences. This also provides an axiomatic characterization of a large and widely studied class of stochastic orders used to rank the riskiness of random variables or the dispersion of income distributions (including, e.g., second order stochastic dominance, dispersion, location independent riskiness, see Chateauneuf, Cohen, and Meilijson, 1997).Received: 21 January 2003, Revised: 23 April 2003, JEL Classification Numbers: D81.I wish to thank Erio Castagnoli, Alain Chateauneuf, Paolo Ghirardato, Massimo Marinacci, Efe Ok, Peter Wakker, as well as an associate editor and an anonymous referee for helpful suggestions. The financial support of CNR, MIUR, and Universitá Bocconi is gratefully acknowledged. Part of this research has been done at the Department of Economics of Boston University.     

Understanding New Cooperative Models: An Ownership–Control Rights Typology

This article examines new agricultural cooperative organizational models from an ownership rights perspective. The article adopts a definition of ownership rights comprising both residual claim and control rights. We argue that new cooperative organizational models differ in how ownership rights are assigned to the economic agents (members, patrons, and investors) tied contractually to the firm. The article proposes a typology of discrete organizational models, in which the traditional cooperative structure and the investor-oriented firm are characterized as polar forms. The typology also includes five nontraditional models that cooperatives may adopt to ameliorate perceived financial constraints.     

Differentiating ambiguity and ambiguity attitude

The objective of this paper is to show how ambiguity, and a decision maker (DM)'s response to it, can be modelled formally in the context of a general decision model. We introduce a relation derived from the DM's preferences, called “unambiguous preference”, and show that it can be represented by a set of probabilities. We provide such set with a simple differential characterization, and argue that it is a behavioral representation of the “ambiguity” that the DM may perceive. Given such revealed ambiguity, we provide a representation of ambiguity attitudes. We also characterize axiomatically a special case of our decision model, the “α-maxmin” expected utility model.