公益林生态效益价值居民支付意愿实证分析——以贵阳市为例

以贵阳市公益林为研究对象,采用条件价值评估法（CVM）,通过设计问卷、调查实施,对贵阳市居民公益林补偿的支付意愿（WTP）及影响因素进行了分析。结果显示：（1）73.6%贵阳市居民家庭对公益林生态效益价值有支付意愿,平均意愿支付额为每户家庭每年人民币213.96元;（2）支付意愿受社会经济因素综合影响,其中年龄、收入水平及环境关注态度对支付意愿具有显著影响,是影响支付意愿的主要因素。在对居民支付意愿影响因素进行分析的基础上,提出了一些建议性政策。     

On option pricing models in the presence of heavy tails

We propose a modification of the option pricing framework derived by Borland which removes the possibilities for arbitrage within this framework. It turns out that such arbitrage possibilities arise due to an incorrect derivation of the martingale transformation in the non-Gaussian option models which are used in that paper. We show how a similar model can be built for the asset price processes which excludes arbitrage. However, the correction causes the pricing formulas to be less explicit than the ones in the original formulation, since the stock price itself is no longer a Markov process. Practical option pricing algorithms will therefore have to resort to Monte Carlo methods or partial differential equations and we show how these can be implemented. An extra parameter, which needs to be specified before the model can be used, will give market makers some extra freedom when fitting their model to market data.     

Use of Contingent Valuation to Elicit Willingness-to-Pay for the Benefits of Developmental Health Risk Reductions

We report the results of several contingent valuation (CV) surveys to elicit willingness-to-pay values from the general public for risk reductions associated with decreases in exposure to a chemical, PCBs, in the environment. We also develop Quality Adjusted Life Years (QALYs) from the survey using both standard gamble and time-tradeoff elicitation methods to explore the relationship between QALYs and willingness-to-pay (WTP), and to develop QALY weights for subtle developmental effects. The results of the CV surveys are designed for incorporation into a case study of an integrated risk model to monetize the benefits of predicted risk reductions. Respondents showed a nearly proportional, positive relationship between decreasing the risk of a 6-point reduction in IQ (a standard measure of “intelligence”) and WTP, but showed a negative relationship between risk reduction and WTP for reading comprehension as an outcome. The range of mortality risks that respondents would accept on behalf of their (hypothetical) 10-year-old child is 2 in 10,000 to 9 in 1,000 per IQ point, and WTP per IQ point is $466 ($380, $520). QALY weights elicited via time tradeoff (reduction in life expectancy) were significantly different from QALY weights elicited via a standard gamble (p = 0.001). Respondents who answered questions about ecological endpoints first were willing to pay a small additional amount when asked about human health effects, but those respondents who answered questions about human health endpoints first were not willing to pay any additional amount when subsequently asked about ecological effects. This paper has not been submitted elsewhere in identical or similar form, nor will it be during the first three months after its submission to the Publisher.     

Contingent convertible bonds: Who invests in European CoCos?

Using a comprehensive data set on issuances and holdings of contingent convertible debt instruments (CoCos) issued by European banks, we investigate who invests in European CoCos. The results indicate that most European CoCos are not directly held by euro area investors. Foreign investors outside the euro area and investment funds located in Ireland and Luxembourg hold the large majority. Euro area banks, insurers and pension funds only have very limited direct exposures. Households in the euro area hold almost no direct positions in European CoCos, although there could be indirect holdings through non-euro area entities and euro area investment funds. Concerns for contagion through cross-holdings of CoCos by banks seem to be unwarranted.     

The impact of deal‐proneness on WTP estimates in incentive‐aligned value elicitation methods

Even after controlling for hypothetical biases, some incentive‐aligned value elicitation methods still produce different willingness‐to‐pay (WTP) estimates. In this study, we compare WTP estimates from three incentive‐aligned value elicitation methods: real choice experiment (RCE), real double‐bounded dichotomous contingent valuation (RCVM), and Becker–DeGroot–Marschak auction (BDM). We find that participants’ aggressiveness in obtaining low prices (i.e., “deal‐proneness”) influences WTP estimates in the BDM auction, but not those elicited from the RCE and RCVM. The participants with higher levels of deal‐proneness tend to submit lower bids in the BDM auction. The discrepancies in WTP estimates between different incentive‐aligned procedures are narrower for participants with lower levels of deal‐proneness. Our results indicate that the bids in BDM auctions may be understated and the auction mechanism may induce the “gambling behavior” of people who are deal‐prone. That is, whether the BDM auction is truly incentive‐aligned is again called into question. We also discuss the practical implications for food retailers.     

Budget allocation for permanent and contingent capacity under stochastic demand

We develop a model of budget allocation for permanent and contingent workforce under stochastic demand. The level of permanent capacity is determined at the beginning of the horizon and is kept constant throughout, whereas the number of temporary workers to be hired must be decided in each period. Compared to existing budgeting models, this paper explicitly considers a budget constraint. Under the assumption of a restricted budget, the objective is to minimize capacity shortages. When over-expenditures are allowed, both budget deviations and shortage costs are to be minimized. The capacity shortage cost function is assumed to be either linear or quadratic with the amount of shortage, which corresponds to different market structures or different types of services. We thus examine four variants of the problem that we model and solve either approximately or to optimality when possible. A comprehensive experimental design is designed to analyze the behavior of our models when several levels of demand variability and parameter values are considered. The parameters consist of the initial budget level, the unit cost of temporary workers and the budget deviation penalty/reward rates. Varying these parameters produce several trade-offs between permanent and temporary workforce levels, and between capacity shortages and budget deviations. Numerical results also show that the quadratic cost function leads to smooth and moderate capacity shortages over the time periods, whereas all shortages are either avoided or accepted when the cost function is linear.     

Interval bidding in a distribution elicitation format

Interval bidding allows people to report a range of values for a non-market good. Herein, we allow people to choose their distribution over this range endogenously. We consider a multiplicative error model explaining the willingness to pay (WTP) which is estimated using a feasible generalized least squares estimator. We apply our framework to a representative sample of the French population who were asked about the valuation of a bear conservation programme. We find that most participants prefer stating their WTP as a range rather than a point, but the shape of the distribution greatly varies across people. Our results support the use of the interval bidding with endogenous distribution approach in valuation studies.     

Evaluating the sovereign and household credit risk in Singapore: A contingent claims approach

This study evaluates the credit risk of the household and government (sovereign) sectors in Singapore using the contingent claims approach (CCA). The CCA model estimates the default probability of both sectors based on the market value of the assets and liabilities of the sectors. Compared to the traditional credit rating system, this model is able to provide numerical estimates of the exposures and default probabilities. We find that from the year 2000 to 2013, variations in the credit risk measures correspond to the economic growth of Singapore. In addition, we suggest that the main factor affecting the credit risks in the government and household sectors in Singapore is the volatility of the assets held by both sectors, given that the asset-to-distress barrier ratios are relatively stable over the past 14 years for both sectors.     

Contingent values as implicit contracts: estimating minimum legal willingness to pay for conservation of large carnivores in Sweden

Mean willingness-to-pay (WTP) based on multiple bounded, discrete choice responses from contingent valuation surveys are normally obtained using some kind of parametric estimator. This paper instead exploits the possibility to interpret the response to the discrete-choice question as an implicit contract between the researcher and the respondent, resulting in a minimum legal WTP (MLW) estimator. Never previously used in valuation literature, it is used in this paper to estimate the WTP for the preservation of large carnivores in Sweden, based on a large scale, national survey. Results show that MLW estimates only were 12–19% of the comparable parametric estimates. In keeping with other results in contingent valuation literature, we find that the MLW estimates are positively related to the educational level, income and the fraction of urban population, while negatively related to age. Among the advantages of the MLW estimator is its transparency as well as the fact that it rests on a contractual notion of WTP.      

Valuing the potential economic impact of climate change on the Taiwan trout

The purpose of this study is to estimate the value of the potential economic impact of climate change on the Taiwan trout (also referred to as Oncorhynchus masou formosanus), an endangered species that only lives in high mountain stream sections in which the water temperature is lower. A two-stage approach is adopted to estimate the value of the change in the Taiwan trout stock due to a change in climate. The first stage involves establishing the relationship between the Taiwan trout stock and climate change, while the second stage involves estimating the non-market value of the change in the Taiwan trout population using the double bound model associated with the contingent valuation method (CVM). Our results indicate that the total Taiwan trout population will decline from 1612 to 974, 560, and 146 if precipitation in Taiwan increases by 0.6 mm/day, while the temperature increases by 0.9 °C, 1.8 °C, and 2.7 °C, respectively. The mean willingness to pay per person per year to avoid a change in the trout stock caused by climate change is found to be US$16.22, US$25.72, and US$33.60, respectively.