Economics
seminar programmes
2008/2009
All Seminars are held on a Friday at 4.15 p.m., Lecture Rooml D,
Links to the author's homepage and, if available, to a downloadable version of the paper are provided.
Autumn 2008
· Friday 30/10/2008
Stephen Wright, Birkbeck
College
Throw away your valuation indicators: stock market predictability is
(at best) a strictly univariate phenomenon. (with Donald Robertson,
Cambridge)
· Friday 10/10/2008
Francesca Rinaldi, University
of Manchester
Endogenous incompleteness of Financial markets:
the role of ambiguity and ambiguity aversion
· Friday 17/10/2008
Ed
Hopkins, University of Edinburgh
Miltos
Makris, University of Leicester
Andrew
Harvey, University of Cambridge
· Friday 07/11/2008
Jean Philipe Leffort, Universität Heidelberg
· Friday 14/11/2008
Gonzalo Forgues-Puccio, University of St.
Andrews
· Friday 21/11/2008
TBA
· Friday 28/11/2008
TBA
· Friday 05/12/2008
Otilia Boldea, Tilburg University
· Friday 05/10/2007
Andrea Galeotti,
The Law of the
Few (with Sanjeev Goyal)
Abstract:
The law of the few refers to the following empirical phenomenon: in social
groups a
very small subset of individuals invests in collecting
information while the rest of the
group invests in forming connections with this select
few. In many instances, there are
no observable differences in characteristics between
those who invest in information
and those who invest in forming connections. This paper
shows that the law of few
naturally emerges in environments with identical
rational agents.
We
develop a strategic game in which players have the opportunity to invest in
collecting
information as well as in investing in bilateral
connections with others. We find
that every strict equilibrium of this game exhibits the
‘law of the few’. We also show
that
this pattern of social differentiations is efficient in some cases.
· Friday 12/10/2007
Roger
Hartley,
· Friday 19/10/2007
Bent Nielsen,
On the explosive
nature of hyper-inflation data
Abstract:
Empirical analyses of Cagan’s money demand
schedule for hyperinflation have largely ignored the explosive nature of
hyper-inflationary data. It is argued that this contributes to an (i) inability to model the data to the end of the
hyper-inflation, and to (ii) discrepancies between “estimated”
and “actual” inflation tax. A simple solution to these issues
is found by replacing the conventional measure of inflation by the cost of
holding money.
· Friday 26/10/2007
Umberto
Galmarini,
Fiscal Federalism and Lobbying
Which
government functions should be decentralized (resp. centralized) once lobbying behavior
is taken into account? We find that the answer largely
depends on how the interests of the
regional lobbies are positioned with respect to the
function to be decentralized (resp.
centralized).
When
regional lobbies have conflicting interests, then lobbying is less damaging
for social
welfare under centralization. On the contrary, when
regional lobbies have aligned interests,
then lobbying is less damaging for social welfare under
decentralization, provided that policy
spillovers on the non-organized groups are not too strong.
· Friday 09/11/2007
John
Quah,
COMPARATIVE STATICS, INFORMATIVENESS, AND THE INTERVAL DOMINANCE ORDER
We
identify a natural way of ordering functions, which we call the
interval
dominance order, and show that this concept is useful in
the theory of monotone
comparative statics and also
in statistical decision theory. This ordering on functions
is weaker than the standard one based on the single
crossing property (Milgrom and
where the single crossing property does not hold. For
example, they are useful
when examining the comparative statics of optimal stopping time problems. We
also
show that certain basic results in statistical decision
theory which are important in
economics - specifically, the complete class theorem of
Karlin and Rubin (1956) and
the results connected with Lehmann’s (1988)
concept of informativeness -
generalize
to payoff functions that obey the interval dominance order.
· Friday 16/11/2007
Switgard Feuerstein,
Registration taxes
on cars inducing international price discrimination: an optimal tariff
approach
· Friday 23/11/2007
Menelaos
Karanasos,
Negative
Volatility Spillovers in the Unrestricted
EDCC-GARCH Model and its Generalizations
Abstract:
This paper considers a formulation of the extended constant/dynamic
conditional correlation (ECCC/EDCC) GARCH model which allows for a
bidirectional feedback between the volatilities, which can be of either sign,
positive or negative. The non-negativity constraints on the parameters of the
model may be relaxed without giving up the requirement that the conditional
covariance matrix is positive definite. Nelson and Cao (1992) derive
sufficient conditions for the non-negativity of the conditional variance for
a univariate GARCH(p;
q) model with p > 2 and Tsai and Chan (2007) prove that these conditions
are also necessary. We show that the methodologies used in these two papers
can be applied to the unrestricted ECCC model with N variables. This is
because each variance admits an infinite moving-average representation in
terms of the N convolutions of the GARCH kernels and the corresponding
squared errors. Hence, all the N conditional variances are always
non-negative if all these N2 kernels are non-negative. For the bivariate case of order 1 we look into the consequences
of adopting these less severe restrictions by comparing the autocorrelation
function of squared observations under these two sets of constraints. These
results are helpful to the model-builder who can consider the unrestricted
formulation as a tool for testing various economic theories.
· Friday 30/11/2007
Spyros Galanis,
· Friday 27/04/2007
Eric Smith,
Wage dispersion and wage dynamics within and across firms.
This paper examines wage dispersion and wage dynamics with stock-flow
matching and on-the-job search. Under stock-flow matching, a searcher
immediately becomes fully informed about the number of viable firms in
the stock of job vacancies. If only one option is available, monopsony
wages result. With more than one firm bidding, Bertrand wages arise.
Over time turnover causes this historical impact to fade. Wage
dispersion declines with tenure. The model also generates job-to-job
transitions with both wage cuts and jumps.
Wednesday 09/05/2007
Pascalis Raimondos-Møller,
Steepest Ascent Tariff Reforms (with Alan D. Woodland)
This paper introduces the concept of a steepest ascent tariff reform for a
small open economy. By construction, it is locally optimal in that it yields
the highest gain in utility of any feasible tariff reform vector of the same
length. Accordingly, it provides a convenient benchmark for the evaluation of
the welfare effectiveness of other well known tariff reform rules, as e.g.
the proportional and the concertina rules. We develop the properties of this
tariff reform, characterize the sources of the potential welfare gains from
tariff reform, use it to establish conditions under which some existing
reforms are locally optimal, provide geometric illustrations and compare
welfare effectiveness
of reforms using numerical examples. Moreover, being a general concept, we
apply it to the issue of market access and examine its implications. Overall,
the paper’s contribution lies in presenting a
theoretical concept where the focus is upon the size of welfare gains
accruing from tariff reforms rather than simply with the direction of welfare
effects that has been the concern of the
literature.
Friday 11/05/2007
Ives Balasko,
Out-of-equilibrium price dynamics
· Friday 18/05/2007
Hamish Low,
Wage Risk and Employment Risk over the Life Cycle (with Costas Meghir, and Luigi Pistaferri)
This paper decomposes the sources of risk to income that individuals face over their lifetimes.
We distinguish productivity risk from employment risk and identify the components of each using
the Survey of Income and Program Participation and the Panel Study of Income Dynamics.
Estimates of productivity risk controlling for employment risk and for individual labour supply
choices are substantially lower than estimates that attribute all wage variation to productivity
risk. We use a partial equilibrium life-cycle model of consumption and labour supply to analyse
the choices individuals make in the light of these risks and to measure the welfare cost of
the different types of risk. Productivity risk induces a considerably greater welfare loss than
employment risk primarily because productivity shocks are more persistent. Reflecting this, the
welfare value of government programs such as food stamps which partially insure productivity
risk is greater than the value of unemployment insurance which provides (partial) insurance
against employment risk and no insurance against persistent shocks.
· Friday 01/06/2007
Patrick Nolen,
Racial Identity, Performance, and Self-Confidence: A South African Experiment
Racial identity and its effect on one's performance or self-confidence
have implications for how a student or parent invests in education, how
social norms for different racial groups develop and why ex post
differences between groups with similar ex ante ability may develop. In
this paper we discuss the results of a South African experiment designed
to test the effects of racial cuing on students aged 10 and 11. South