Precious metals,oil and the exchange rate: contemporaneous spillovers

We investigate the contemporaneous spillovers among precious metals, crude oil and the US$ exchange rate. We contend that conventional reduced-form vector autoregressive (VAR) models based on lead/lag relations do not fully capture the interactions among these series as these models ignore the contemporaneous effects. Using a Structural VAR model, we identify these contemporaneous spillovers, which are shown to be strong and asymmetric. We further show that not taking into consideration the contemporaneous interactions among these assets leads to inaccurate findings and inevitably to inaccurate interpretations of the causal relations among them.     

It's all about games: enterprise and entrepreneurialism in digital games

This article aims to contrast benign notions of ‘free’ and ‘creative’ work in the context of labour market conditions and employment relationships. Empirical research reveals the exploitative and precarious nature of work in the experiences of self‐employed digital game developers and charts the responses of developers to unstable and insecure working conditions. Building on work by Pongratz and Voß, Haunschild and Eikhof, and Bergvall‐Kåreborn and Howcroft, this study finds that a typical response to increasing instability in the labour market is to adopt more enterprising and entrepreneurial behaviour in order to find work. This article illustrates the consequences for developers by highlighting examples of self‐exploitation, which is fuelled by a passion for work and is where entrepreneurial practices lead to long working hours, unpaid work and a blurring of work–life boundaries.     

EFFICIENT HEDGING OF EUROPEAN OPTIONS WITH ROBUST CONVEX LOSS FUNCTIONALS: A DUAL‐REPRESENTATION FORMULA

Motivated by numerical representations of robust utility functionals, due to Maccheroni et al., we study the problem of partially hedging a European option H when a hedging strategy is selected through a robust convex loss functional L(·) involving a penalization term γ(·) and a class of absolutely continuous probability measures . We present three results. An optimization problem is defined in a space of stochastic integrals with value function EH(·) . Extending the method of Föllmer and Leukerte, it is shown how to construct an optimal strategy. The optimization problem EH(·) as criterion to select a hedge, is of a “minimax” type. In the second, and main result of this paper, a dual‐representation formula for this value is presented, which is of a “maxmax” type. This leads us to a dual optimization problem. In the third result of this paper, we apply some key arguments in the robust convex‐duality theory developed by Schied to construct optimal solutions to the dual problem, if the loss functional L(·) has an associated convex risk measure ρ^L(·) which is continuous from below, and if the European option H is essentially bounded.     

Commitment, advertising and efficiency of two-sided investment in competitive search equilibrium

Competitive search entails both commitment to and advertising of pay-off relevant aspects of market participants. This paper considers incrementally the implications of each in a labor market where both workers and firms invest prior to market entry. A wide range of institutional arrangements are addressed within the same general framework. When the characteristics of jobs or workers are advertised the efficient outcome pertains. Commitment without advertising typically leads to market unravelling: the Diamond paradox. But, whenever wages and human capital are advertised, firms become residual claimants; the private and social returns to investment coincide. Absent wage commitment, the Hosios condition implies efficiency when investments are advertised.     

Meta-analysis of consumer's willingness-to-pay premiums for certified wood products

Consumers’ willingness to pay (WTP) price premiums for environmentally certified wood products has been frequently estimated using stated preference methods. Estimates of WTP premiums for certified wood products over non-certified options reported in the literature range from 1.0% to 39.3%. This paper describes a meta-analysis used to determine the key factors associated with WTP price premium estimates by examining data from 19 different studies conducted around the world. Results of Bayesian hierarchical models show that frequently purchased wood products and wood products with lower base prices tend to capture higher percentage premiums. Survey administration method was also a statistically significant factor influencing variations in WTP estimates. Results show that conjoint analysis elicited inflated WTP estimates toward certified wood products compared with contingent valuation methods. Reported WTP estimates have increased in recent years. Recommendations to reduce the error of WTP estimates toward certified wood products and improve the validity of experimental studies are provided.