A Stochastic Frontier Production Function with Flexible Risk Properties

This paper considers a stochastic frontier production function which has additive, heteroscedastic error structure. The model allows for negative or positive marginal production risks of inputs, as originally proposed by Just and Pope (1978). The technical efficiencies of individual firms in the sample are a function of the levels of the input variables in the stochastic frontier, in addition to the technical inefficiency effects. These are two features of the model which are not exhibited by the commonly used stochastic frontiers with multiplicative error structures.An empirical application is presented using cross-sectional data on Ethiopian peasant farmers. The null hypothesis of no technical inefficiencies of production among these farmers is accepted. Further, the flexible risk models do not fit the data on peasant farmers as well as the traditional stochastic frontier model with multiplicative error structure.     

HOW TO MEASURE THE ECONOMIC IMPACT OF VECTOR‐BORNE DISEASES AT COUNTRY LEVEL

Vector‐borne diseases (VBDs) are widespread in less developed countries and reemerging in developed ones. Available economic studies agree that VBDs have significant effects on countries' economic outcomes, and affirm that a systematic evaluation of such effects is crucial for the efficient allocation of resources to health‐related priorities. This paper provides a comparative assessment of available methodologies for measuring the economic impact of VBDs at national level. We review both macroeconometric and micro‐based approaches, and examine advantages and disadvantages of current methods. We conclude by suggesting possible areas for future research.     

The Impact of the Global Financial Crisis and the Role of External and Internal Factors in Emerging Economies

This article assesses the impact of trade, capital openness and institutions on emerging economies’ output loss during the “Great Recession.” The fixed-effect estimates of an unbalanced panel of 122 emerging countries observed from 2008 to 2010 yield three main results. First, trade openness has exacerbated output loss. Second, capital openness can help mitigate the negative impact of an external shock, but this is conditional on the level of financial development. Finally, the results also point out that the interrelations between financial and institutional development affect the crisis’s severity.     

Age dependency and labour productivity divergence

This study finds strong empirical evidence in favour of the hypothesis that the age composition of population matters for labour productivity growth. We applied the fixed effects panel model using data on a large number of countries over the period 1980–2010. Our results suggest that higher age dependency not only directly impacts negatively on labour productivity but also modifies the impact of other determinants of labour productivity. Child dependency has a more adverse effect on labour productivity than old age dependency. We specifically find that the marginal effects of gross capital formation, information and communication improvement, and labour market reforms are significant at lower levels of age dependency. However, the marginal effect of savings on labour productivity is high at a high level of age dependency. The impact of age dependency varies between developed and developing economies. Diversity in the size and nature of age dependency across regions and different income groups help to explain the labour productivity differential across them.     

Response to price and production risk: The case of Australian wheat

A model of Australian wheat grower supply response was specified under the constrainsts of price and yield uncertainty, risk aversion, partial adjustment, and quadratic costs. The model was solved to obtain area planted. The results of estimation indicate that risk arising from prices and climate have had a significant influence on producer decision making. The coefficient of relative risk aversion and short‐run and long‐run elasticities of supply with respect to price were calculated. Wheat growers' risk premium, expected at the start of the season for exposed price and yield risk, was 2.8 percent of revenue or 10.4 percent of profit as measured by producer surplus. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20: 345–359, 2000.     

Performance evaluation of production systems monitored by statistical process control and off-line inspections

Quality and productivity performance measures are very often considered in separate phases of the production system design process. However, the production system architecture affects the efficiency of the quality control system as well as the quality control configuration has an impact on the performance of the production system.The paper proposes a new analytical method for evaluating the performance of production systems in which statistical process control (SPC) techniques are implemented. Machines behaviour is monitored by measuring quality characteristics of the produced parts through off-line inspection devices and sampling inspections. The numerical results show the good accuracy of the proposed method, provide new insight in the relations among the two areas and pave the way to the joint design of production logistics and quality control systems.     

Disentangling and quantifying market participant volatility contributions

Thanks to the access to labeled orders on the CAC 40 index future provided by Euronext, we are able to quantify market participants contributions to the volatility in the diffusive limit. To achieve this result, we leverage the branching properties of Hawkes point processes. We find that fast intermediaries (e.g. market maker type agents) have a smaller footprint on the volatility than slower, directional agents. The branching structure of Hawkes processes allows us to examine also the degree of endogeneity of each agent behavior, and we find that high-frequency traders are more endogenously driven than other types of agents.     

Accuracy of Premium Calculation Models for CAT Bonds—An Empirical Analysis

CAT bonds are of significant importance in the field of alternative risk transfer. Because the market of CAT bonds is not complete, the application of an appropriate pricing model is of high relevance. We apply different premium calculation models to compare them with regard to their predictive power. Without taking the financial crisis into account, a version of the Wang transformation model and the linear model are the most accurate ones. In contrast, under consideration of the financial crisis, all analyzed models are approximately equivalent. Furthermore, we find that CAT bond specific information does not improve out‐of‐sample results.