RISK MEASURES: RATIONALITY AND DIVERSIFICATION

When there is uncertainty about interest rates (typically due to either illiquidity or defaultability of zero coupon bonds) the cash‐additivity assumption on risk measures becomes problematic. When this assumption is weakened, to cash‐subadditivity for example, the equivalence between convexity and the diversification principle no longer holds. In fact, this principle only implies (and it is implied by) quasiconvexity. For this reason, in this paper quasiconvex risk measures are studied. We provide a dual characterization of quasiconvex cash‐subadditive risk measures and we establish necessary and sufficient conditions for their law invariance. As a byproduct, we obtain an alternative characterization of the actuarial mean value premium principle.     

On the sources of business cycles in the G-7

This paper examines sources of cyclical movements in output, inflation and the term structure of interest rates in the G-7. It employs a novel identification approach which uses the sign of the theoretical cross correlation function in response to shocks to catalog orthogonal disturbances. We find that demand shocks are the dominant source of output and inflation fluctuations in several of the G-7 countries. The proportion of term structure variability explained by different structural sources does not depend on the horizon. Apart from the US and Canada, structural shocks are nearly uncorrelated across countries.     

Growth and Unemployment: Towards a Theoretical Integration

We observe in the literature of the past decade some innovative contributions identified a relation between economic growth and long run unemployment. This set of contributions is composed of very few elements, all characterized by a high degree of heterogeneity about their features and about their final results.
In the first part of the survey we provide a classification of these early contributions. In the second part we explore some alternative formulations of the problem and we present a wider set of models displaying interesting features, able to promote further studies about the persistence of unemployment in a growing economy.     

Monotone continuous multiple priors

Summary. In a multiple priors model á la Gilboa and Schmeidler (1989), we provide necessary and sufficient behavioral conditions ensuring the countable additivity and non-atomicity of all priors.Received: 25 November 2002, Revised: 24 June 2004, JEL Classification Numbers: D81.We thank Roko Aliprantis, Maristella Botticini, Erio Castagnoli, Larry Epstein, Paolo Ghirardato, Itzhak Gilboa, Luigi Montrucchio, David Schmeidler, Marciano Siniscalchi, an Associate Editor, and an anonymous referee for helpful discussions. Fabio Maccheroni and Massimo Marinacci gratefully acknowledge the financial support of MIUR and NOMOS Sistema (Milano).     

Which are the determinants of green purchase behaviour? A study of Italian consumers

Green purchase behaviour is receiving a growing attention in the academic community, as understanding it is crucial for the growing number of companies developing and marketing green products. In order to provide a broader and novel picture of the phenomenon, this study extends the widely used Theory of Planned Behaviour (TPB) model in several ways, through a large survey of Italian consumers. First, three dimensions of green purchase behaviour are considered, namely, the willingness to pay a premium price, the green purchase frequency and the green purchase satisfaction. Second, several antecedents are considered simultaneously. Third, new (consumer creativity) or so far marginally studied (materialism and green practices) antecedents are included. Fourth, the mediating roles of green purchase satisfaction and willingness to pay a premium price in the link between the considered antecedents and the frequency of green purchase are investigated. Results show that the three dimensions of green purchase behaviour have different antecedents, so highlighting that green purchase behaviour is a multi-faceted phenomenon that should not be studied as a single general concept. Personal norms and value for money emerged to be very relevant predictors. The significant effects of creativity, materialism and green practices provide evidence that extending the TPB model with these three antecedents is useful to more deeply understand green purchase behaviour. Green purchase satisfaction is the strongest predictor of purchase frequency and mediates the effects of personal norms and value for money.     

One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets

We develop a simple financial market model with heterogeneous interacting speculators. The dynamics of our model is driven by a one-dimensional discontinuous piecewise linear map, having two discontinuity points and three linear branches. On the one hand, we study this map analytically and numerically to advance our knowledge about such dynamical systems. In particular, not much is known about discontinuous maps involving three branches. On the other hand, we seek to improve our understanding of the functioning of financial markets. We find, for instance, that such maps can generate complex bull and bear market dynamics.     

Factor vector autoregressive estimation: a new approach

In this paper a new approach to factor vector autoregressive estimation, based on Stock and Watson (Implications of dynamic factor models for VAR analysis, NBER Working Paper, no. 11467, 2005), is introduced. In addition to sharing all the relevant features of the Stock–Watson approach, in its static formulation, the proposed method has the advantage of allowing for a more clear-cut interpretation of the global factors, as well as for the identification of all idiosyncratic shocks. An application to large-scale macroeconometric modelling is also provided. The authors are grateful to an anonymous referee for constructive comments and to MIUR (PRIN project 2005) for financial support.     

Balancing tourism education and training

This paper assumes that tourism educated and trained students play different roles (in driving future tourist demands and in meeting current tourist preferences, respectively), and it states that the main features characterising the four stakeholders involved in the design, development and implementation of tourism programmes (firms, students, educational and governmental institutions), together with the main facts they face in taking their decisions, lead to a non-optimal strategic long-run equilibrium, where tourism non-graduated or differently-from-tourism graduated employees prevail. The development of an evolutionary model allows to identify the main features characterising firms and students, to be focused on by educational and governmental institutions, in order to move towards the optimal equilibrium, where tourism graduated employees prevail, while the development of a dynamic model allows to show that this equilibrium is not detrimental to tourism trained employees. This work also suggests a possible educational strategy that could allow to move away from the non-optimal equilibrium, by achieving public objectives (such as environmental or ethical tourism), by relying on feasible educational approaches (about what and how to teach), and by taking into account the private characteristics (of firms and students). Therefore, balancing tourism education and training is both possible and beneficial to all stakeholders involved.     

TRAFFIC MANAGEMENT IN WHOLESALE INTERNATIONAL ROAMING: TOWARDS A MORE EFFICIENT MARKET?*

Despite a general trend of lower charges for mobile calls, in Europe, prices for international roaming calls have remained at levels that are surprisingly high. The apparent reluctance of mobile network operators to lower roaming tariff is generating many antitrust concerns. This paper presents in a two‐country two‐firm framework the functioning of the current system governing wholesale international roaming agreements based on interoperator tariffs. The focus is on the role of traffic management; thanks to the emergence of traffic direction techniques, mobile network operators are allowed to select the roaming partner. We show that, unless these techniques do not allow for perfect control on traffic flows, traffic management does not improve the market's efficiency. In line with the regulatory mechanism recently adopted by the European Commission, we show that a simple price cap mechanism may restore partial efficiency in the wholesale market. We also show that although cross‐border cooperation at the wholesale level is Pareto efficient, it will not emerge as an equilibrium of a two‐sided matching game.