Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence

We consider nonparametric estimation of multivariate versions of Blomqvist’s beta, also known as the medial correlation coefficient. For a two-dimensional population, the sample version of Blomqvist’s beta describes the proportion of data which fall into the first or third quadrant of a two-way contingency table with cutting points being the sample medians. Asymptotic normality and strong consistency of the estimators are established by means of the empirical copula process, imposing weak conditions on the copula. Though the asymptotic variance takes a complicated form, we are able to derive explicit formulas for large families of copulas. For the copulas of elliptically contoured distributions we obtain a variance stabilizing transformation which is similar to Fisher’s z-transformation. This allows for an explicit construction of asymptotic confidence bands used for hypothesis testing and eases the analysis of asymptotic efficiency. The computational complexity of estimating Blomqvist’s beta corresponds to the sample size n, which is lower than the complexity of most competing dependence measures.      

The Timing of Daily Demand for Goods and Services—Microsimulation Policy Results of an Aging Society,Increasing Labour Market Flexibility,and Extended Public Childcare in Germany

Knowledge about the timing of consumption opens new insights into consumption behaviour for consumer, economic, social, as well as for communal and societal policies. It not only allows sound information for a better match of timely supply and demand but also about everyday living arrangements. This study contributes to the timing aspect of daily consumption by posing the question: How is the timing of daily demand for goods and services affected by major changes in German society? We concentrate on important and currently discussed developments and policies: the huge shift in Germany’s demographic structure with an aging society (with a population forecast for 2020 by the German Federal Statistical Office), the deregulation and the further expansion in flexibility of the labour market, and the current policy of extending public childcare support. For each aspect and policy, we first describe the actual timing of daily demand for goods and services. With the microsimulation approach and different scenarios, we then quantify the respective societal and policy impacts based on more than 37?000 time-use diaries of the current German Time Budget Survey of 2001/2002.     

Multiple unit auctions with strategic price-quantity decisions

Summary. I study a multiple unit auction where symmetric risk-neutral bidders choose prices and quantities endogenously. In the model, bidders (a) may place non-linear valuations on the auctioned units, and (b) bid for several units at the same price (“lumpy” bids). I characterize quantity-symmetric and strictly monotone-increasing price equilibria for discriminatory and competitive auctions, and show that (i) if quantity strategy profiles are equal across auctions revenue- equivalence holds, (ii) expected revenue is higher if bidders bid for the entire supply rather than for shares of it, and (iii) equilibrium allocations may fail to be Pareto-optimal. Received: April 14, 1995; revised version: September 3, 1997     

LIFETIME AND VERTICAL INTERTEMPORAL INEQUALITY, INCOME SMOOTHING, AND REDISTRIBUTION: A SOCIAL WELFARE APPROACH

Between and within-households intertemporal inequality indices are proposed to highlight the vertical and lifetime (i.e. cyclical) components of overall intertemporal inequality. Comparison with the classical static inequality indices is made. Income redistribution and smoothing (i.e. stabilization) are conveniently defined as the public policy impact on welfare, by means of the relative increase in intertemporal vertical and cyclical equity, respectively. The issue is important as many public policies are aimed at both (vertical and cyclical equity) objectives. Our approach provides a more appropriate evaluation of the desirability of public reforms aimed at achieving a greater vertical and cyclical equity, within a social welfare framework.     

Trademarks in branding: Legal issues and commercial practices

Abstract

The call for a special symposium on ‘The Brand and Its History’ has led to two journal issues that focus on trademarks and brands, respectively. This issue is devoted to trademarks, the more concrete, well-documented, and measurable aspect of brands. This editorial introduces trademark studies; summarises previous contributions from economic, legal, business, and historical literature; provides a short overview of the topics and findings of the seven articles included in this issue; and reflects on further research.     

Financial cycles and fiscal multipliers

We show that fiscal multiplier estimations may be biased by movements in asset and credit markets, as they facilitate spurious correlations of changes in cyclically adjusted revenues and spending with output growth via an identification bias and an omitted variable bias, thus overstating episodes of expansionary consolidations and downplaying contractionary consolidations. When controlling for asset and credit market movements in otherwise standard approaches to identification, we find multipliers to increase on average by 0.3–1 units. Fiscal consolidations are thus more likely to be contractionary and more harmful to growth than expected by some strands of the existing literature.     

An Empirical Analysis of Mexican Merger Policy

A newly created dataset including 239 decisions made by the Mexican Federal Competition Commission on horizontal mergers is used to estimate the different factors affecting the Commission’s resolution decisions. The decision-making process has been approximated by two different discrete choice models. Our results indicate that, contrary to the Commission’s objective, the presence of efficiency gains increases the probability of a case being challenged. We also find that factors different from the ones explicitly mentioned by the Commission have a significant effect upon the Commission’s final decision. In particular, the presence of a foreign company among the would-be merger firms significantly increases the likelihood of observing an allowed merger.      

Long-term relationships as safeguards

We analyze a repeated prisoners’ dilemma game played in a community setting with heterogeneous types. The setting is such that individuals choose whether to continue interacting with their present partner, or separate and seek a new partner. Players’ types are not directly observed, but may be imperfectly inferred from observed behavior. We focus on a class of equilibria that satisfy zero tolerance and fresh start. We find that the punishment for defecting and the reward for cooperating are driven by the formation and the dissolution of long-term, high-paying relationships: an individual who defects, aborts a long-term relationship that he is in, or that he might have entered into, is thrown into short-term interactions with individuals who are likely to defect and, consequently, receives low payoffs. On the flip side, an individual who cooperates, enters into or prolongs a long-term interaction with a partner who cooperates and, consequently, receives high payoffs.     

Optimal decisions in foreign exchange bidding markets

I characterize optimal bidding decisions in bidding markets where each agent does not perceive she can significantly affect the market outcome. Using a foreign exchange bidding framework to provide a micro-foundation for the shape of a bidder's payoff function, I show that (1) in a discriminatory auction a bidder bids for a price that equals the value of the marginal product of her bid quantity, and (2) in a competitive auction a bidder bids for a price that equals the value of the average product of her bid quantity. An example illustrates the comparative properties of these solutions.     

Simultaneous Models for Contingency Tables: A Reanalysis of Heatherton et al. (1997) Data on Eating Behavior

In panel studies, where a categorical response is measured attwo points in time, we can examine two kind of hypotheses regardingthe nature of change. The first is related with change at theindividual level (gross change) through the modelling of joint distributionof responses. The second is related with aggregate change (netchange) through the modelling of marginal distributions of responses.This paper describes a general approach to the analysis of two-wavepanel data based on Lang and Agresti's work (1994) that simultaneouslypermits the modelling of marginal and joint distributions of responses.This approach is illustrated with data from Heatherton et al.(1997) about change in dieting behaviour. These data were originallyanalyzed using the ² statistic to test independenceof responses. This paper shows how it is possible toobtain a better understanding of these data using the proposedmethodological approach.