Optionality and Daily Dynamics of Convenience Yield Behavior: An Empirical Analysis

In this article I empirically examine the daily convenience yield behavior for six commodity markets (crude oil, heating oil, gasoline, wheat, corn, and copper). The results illustrate that convenience yield behavior can be statistically explained within an option pricing framework. However, because one of the assumptions of the standard call option formula is not fully satisfied by the observed convenience yield series, an alternative option—exchange option—may be more appropriate for modeling the daily convenience yield behavior. Furthermore, I empirically test two hypotheses on convenience yield behavior. The results confirm the assertion that the convenience yield is increasing in marginal production costs. In addition, the findings offer limited support for the hypothesis that the convenience yield is decreasing in the serial autocorrelation of spot prices. The observed switch in the sign of regression coefficients as the order of autocorrelation increases is attributed to the probable presence of mean reversion in these markets.     

Optimality and efficiency of incomplete split-block designs

In this paper, a balanced incomplete split-block design (BISBD) is shown to be universally optimum for the estimation of the interaction effects with respect to each of the intra-plot stratum estimation and the GLSE. Furthermore, the efficiency factor of an optimal design is investigated.     

Corporate Governance and Financial Performance of Companies in Poland

The research presented in the paper is aimed at examining the relationship between the level of corporate governance and the financial performance of listed companies in Poland. The corporate governance degree is expressed by the outcomes of a rating of 2003 performed by Polish Corporate Governance Forum. The attempted models are of ordered multinomial type. Endogenous variable represents the rating outcome (A−, B+, B, B−, and C+), while the exogenous variables include various financial indicators evaluated on the basis of the 2002 financial statements. The estimated ordered logit models show that the level of corporate governance of companies in Poland is associated with their ability to cope with the financial distress, as expressed by the degree of liquidity, profitability and the financial leverage variables.     

Means Testing and Retirement Choices in Europe: A Comparison of the British and Danish Systems*

We develop a simulation model of household behaviour in which both the consumption/saving and labour/leisure choices are endogenous. This model is used to explore the effects of the UK and Danish state tax and benefit systems on the labour supply of workers aged 50 or over. We find that, in broad terms, differences in labour force participation can be accounted for by differences in benefit structures. Furthermore, our simulations suggest that the UK system is preferred by young people while the Danish arrangement – which imposes a larger tax burden and provides larger welfare benefits – is chosen by people of 50 or older. Notably, people older than 60 are in the majority in the simulated population. The Danish system does not promote notably greater equality over the lifetime, but it does underpin a higher level of consumption for people of 50 or older.     

Targeting welfare in Italy: old problems and perspectives on reform

This paper has two principal objectives. Using a tax‐benefit microsimulation model and the 1998 micro data of the Bank of Italy survey of household income and wealth, we first study the distributional effects of the current Italian income maintenance system and highlight its main defects and limitations, concerning in particular its unequal coverage of the population and its low efficiency in fighting poverty. The second aim is to describe and analyse the reforms recently implemented in this field; in particular, the Italian government has reformed the targeting criteria and introduced three new cash transfers. We describe these reforms both in their institutional characteristics and in their likely distributional consequences, and examine whether and to what extent they are able to overcome the shortcomings of the current system.     

Export Activity,Firm Size and Wage Structure: Evidence from Taiwanese Manufacturing Firms*

This study adopts a semiparametric smooth coefficient model to evaluate the export–wage premiums, firm size–wage premiums, and the wage gap between skilled and unskilled labor. Particular focus is placed upon widespread evidence indicating that pay levels in ‘large’ and ‘export‐oriented’ firms are higher than in their ‘small’ and ‘domestic‐oriented’ counterparts. Applying the firm‐level data for Taiwanese manufacturing firms, we find a positive export–wage premium for skilled workers and a negative export–wage premium for unskilled workers. The hypothesis of a constant export premium across firm size is rejected. While most of the export–wage premiums for skilled labor can be attributed to the small and medium firms, the large exporting firms have a significant adverse effect on wages for unskilled labor. Moreover, our results suggest that the firm size–wage premiums for skilled workers are larger than those for unskilled workers. The wage gap between the two skill groups is also sensitive to size categories.     

Entrepreneurship and intra-industry trade

Entrepreneurship and Intra-Industry Trade. — The paper introduces entrepreneurs into the theories of intra-industry trade and investigates the role of a country ’s “entrepreneurship” in international trade. It is shown that therelative entrepreneurship between countries determines the terms of trade but the welfare effects are not obvious. Among other things, it is found that (1) an increase in exports improves the terms of trade and (2) an increase in country size is not always beneficial.     

Can a Mixed Health Care System be Desirable on Equity Grounds?*

Should health care provision be public, private, or both? We consider this question in a setting where people differ in their earnings capacity and face some illness risk. We assume that illness reduces an individual's time endowment when waiting for treatment. Treatment can be obtained in a competitive private sector (through private insurance) or in the National Health Service (NHS) where it is provided free of charge but after some (endogenous) waiting time. The equilibrium in the health care sector consists of a waiting time in the NHS such that no patient wants to switch health care provider. This equilibrium is governed by two public policies: the income tax system and the size of the NHS. We find that: (i) a mixed system with a small NHS is never desirable; (ii) actuarially fair sickness insurance is never desirable either; (iii) a mixed system with a sufficiently large NHS may improve on a pure public system if the dispersion of earnings capacities is large enough; and (iv) the welfare gains from such a mixed system are not likely to be significant.     

Risk Diversification on the Polish Capital Market

The basics of portfolio management theory and methods of efficient selection of assets and their financing have been created by Markowitz and Sharpe. They propose that risk diversification consists, generally speaking, of the increase in the number of securities in a portfolio. So, authors try to answer the question of how many securities have to be bought on a given market to assure a well-diversified portfolio, where the increase in the number of securities does not lead to a significant decrease in portfolio risk. To evaluate such a purpose on the Polish capital market, 20 companies were surveyed that are included in the WIG20 index in the period January 2–October 10, 2001. The returns were estimated on a weekly basis. The research shows that a portfolio of securities constructed, according to the Sharpe Model, has a wide application to the Polish capital market.*University of Szczecin—Poland. This paper was presented at the Fifty-Eighth InternationalAtlantic Economic Conference, October 6Y9, 2005, Chicago, U.S.A.