Debt and household finance: evidence from the Financial Diaries

The Financial Diaries data-set is a unique, new set of year-long daily income, expense and financial transactions for households from three different areas of South Africa. These data show that over-indebted households (those that spend 20 per cent or more of their gross monthly income on debt) do not fit one homogeneous profile. Formal debt tends to be responsible for over-indebtedness in the urban areas, while in the rural areas the cause tends to be informal debt. In the urban areas high indebtedness is more prevalent among medium-income and high-income households, whereas in the rural areas it occurs at all income levels. High indebtedness in grant-dependent rural households tends to be persistent, whereas in wage-dependent urban households it is often short-lived. These findings present a new financial picture of poor rural populations that is unlikely to be touched by recent policy measures to address over-indebtedness.     

The value of youth: equalizing age differentials in marriages

"The objective of this paper is to present a model of constrained utility-maximizing behaviour which is able to explain several features of marriage. The model predicts that individuals meet in the marriage market and trade characteristics, in which they are relatively well endowed, to obtain characteristics in which they are less well endowed. The model implies a positive age differential in favour of the husband due to biological differences. This differential is shown to be attentuated by differences in earnings capacity and human capital investments. The model also has implications for dynamic aspects of marriage and provides an explanation for the secular increase in females' age of first marriage and difficulty experienced by females in the post thirty-year age group in finding suitable partners. An examination of unit record data on residents of metropolitan California from the 1980 United States Census reveals systematic patterns in the data are consistent with the theory."     

Evolution of trade patterns in the new EU member states

The paper analyses the evolution of the trade specialization pattern in the new EU member states. Relying on the empirical approach of the Markov transition matrices it analyses both the changes in the external shape of the distribution of comparative advantages and the intra‐distribution dynamics. The new members show a dynamic trade pattern: they gained comparative advantages relatively fast in sectors in which they were lagging behind at the beginning of the transition, notably in some ‘high tech’ products. In addition, many specialization improvements occurred in those items for which world demand expanded at the fastest rate over the nineties.     

Dynamic managerial capabilities: Configuration and orchestration of top executives' capabilities and the firm's dominant logic

This paper contributes to the understanding of the executive team dynamic managerial capabilities by developing theory about the interplay between the firm's dominant logic and dynamic managerial capabilities (including managerial human capital, social capital, and cognition). We underscore the criticality of the two key CEO‐level functions: configuration and orchestration of senior executive team dynamic capabilities. We develop theory on how these functions create and sculpt the management team's absorptive capacity, which in turn shapes the team's adaptive capacity. We present theory about the distributed nature of efforts for organizational renewal where CEO's dynamic managerial capabilities in concerto with senior executive managerial capabilities will drive top management's ability to revitalize the firm's dominant logic and to achieve evolutionary fit. Copyright © 2012 John Wiley & Sons, Ltd.     

Great Recession and Macroeconomic Theory: A Useless Crisis?

ABSTRACT

The global financial crisis of 2007–08 and the subsequent Great Recession have pushed many economists to acknowledge a fundamental limit in the theoretical models elaborated after the monetarist counter-revolution: these models disregard the financial system. The years following the Great Recession have thus been marked by the development of what can be called the ‘Financial Frictions Approach’, a theoretical approach based on the addition of the financial system to the New Keynesian DSGE model. The results of this line of research are beginning to appear also in macroeconomics textbooks. Significant examples are the publication of the seventh edition of Blanchard’s textbook, and the publication of the third edition of the textbook co-authored by Blanchard, Amighini and Giavazzi. The objective of this work is twofold: (i) to show that the new model presented by Blanchard, Amighini and Giavazzi, which reflects the results of the ‘Financial Frictions Approach’, does not allow to elaborate a coherent explanation of the Great Recession and (ii) to present the pillars of an alternative theoretical model based on the lessons of Keynes, Schumpeter and Minsky.     

A Market and Spatial Perspective of Health Tourism Destinations: The Hungarian Experience

Since health tourism is one of the most popular and most dynamically developing products of modern tourism, this paper aims at studying the characteristic features of health tourism destinations from a regional and spatial perspective. Accordingly, the authors would like to introduce a new approach of spatial and product analysis of tourism where the market and spatial relations and relevance of health tourism were analysed through the example of Hungary. Although the classic medical tourism centres were established on natural medical water basis, by today, due to product diversification, continuous innovation and the involvement of medical services into health tourism, the geographical embeddedness seems to disappear, thus basically restructuring the market. The methodological novelty of the research is that exceeding the classic supply–demand algorithm, we compiled a complex viewpoint system adequate to the specialities of the given product characteristics. In our study, the authors intend to survey the special characteristics of health tourism focusing on medical destinations through Hungarian examples since the country's leading position in the global market is well recognized, including medical services. Copyright © 2014 John Wiley & Sons, Ltd.     

Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models

In this paper we propose two efficient techniques which allow one to compute the price of American basket options. In particular, we consider a basket of assets that follow a multi-dimensional Black–Scholes dynamics. The proposed techniques, called GPR Tree (GRP-Tree) and GPR Exact Integration (GPR-EI), are both based on Machine Learning, exploited together with binomial trees or with a closed form formula for integration. Moreover, these two methods solve the backward dynamic programing problem considering a Bermudan approximation of the American option. On the exercise dates, the value of the option is first computed as the maximum between the exercise value and the continuation value and then approximated by means of Gaussian Process Regression. The two methods mainly differ in the approach used to compute the continuation value: a single step of the binomial tree or integration according to the probability density of the process. Numerical results show that these two methods are accurate and reliable in handling American options on very large baskets of assets. Moreover we also consider the rough Bergomi model, which provides stochastic volatility with memory. Despite that this model is only bidimensional, the whole history of the process impacts on the price, and how to handle all this information is not obvious at all. To this aim, we present how to adapt the GPR-Tree and GPR-EI methods and we focus on pricing American options in this non-Markovian framework.     

The impact of ECB and FED announcements on the Euro interest rates

We investigate the impact of news in the ECB and FED monetary policy announcements on daily changes in Euro interest rates. We document significant impacts of ECB announcements throughout the period but only until mid 2004 of FED announcements.