Top PDF Three Essays on Economics and Information Shocks

Three Essays on Economics and Information Shocks

Three Essays on Economics and Information Shocks

A key feature of the notices is that the two types implicitly attribute different amounts of bad news to the months before dislocations. The notice date represents an important point in the pro- cess that disperses information about the impending job losses. However, the notice date should not be viewed as the single point at which full information about the job losses is instantaneously revealed to all. First, the notice date is generally the latest date at which workers would learn of the planned job losses. Employers want to break the news before Rapid Response makes contact with the workers. The U.S. General Accounting Office (1993) reports that workers generally receive somewhat more forewarning than DWUs. Second, workers also receive informal signals of the impending notice filing and dislocation. Previous studies of worker notification laws have consid- ered this “spillover” problem (Friesen 1997; Jones and Kuhn 1995). Finally, the employer must also notify the community’s authorities, and local media often report WARN notices. Some state governments, including all four in the study, publish WARN notices online as they receive them, which provides another way for people to learn about them. Thus, when a dislocation follows an advance notice rather than a short one, the news of the impending job losses will have had a relatively long time to spread throughout the community and exert an effect.
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Three essays on macro labour economics

Three essays on macro labour economics

The London School of Economics and Political Science Three Essays on Macro Labour Economics Jiajia Gu A thesis submitted to the Department of Economics of the London School of Economics for the degree[.]

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Three essays in experimental and labor economics

Three essays in experimental and labor economics

In the first essay we aim to extend choice theory by allowing for the interaction between cognitive costs and imitative dynamics. 2 The starting point of the study lies in the fact that, in many cir- cumstances, economic actors are boundedly rational and make use of simplifying heuristics, either conscious or unconscious, when they process information that carries cognitive costs (Gigerenzer and Gaissmaier, 2011). Traditional economic theories of rational behavior disregard cognitive costs and assume that economic agents process costly information fairly easily, since they are always able to select the utility-maximizing option among different ones. In contrast, evidence gathered by some psychologists and economists supports the idea that decision makers systematically violate the assumptions of rational choice theory (Tversky and Kahneman, 1974; Camerer, 2003a; Bicchieri, 2006). In this essay we investigate as a potential cognitive shortcut faced by decision makers the in- fluence of other agents in their reference community. Imitation is a very frequent pattern of real world behaviors but its sources have been limitedly examined by economic theory. Imitation is crucial in the transmission of knowledge and represents one of the main sources of learning.
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Three essays on econometrics and economics of education

Three essays on econometrics and economics of education

The basic idea behind the exchange of probabilities lies in the aggregate information avail- able in the REF data. We intuitively believe that this step is likely to induce a more accurate retrieval of the outcomes provided that more aggregate information is available. Thus it is interesting to understand how strong the aggregate information should be in order for us to obtain an accurate recovery and credible estimation results. To illustrate this, suppose that we have aggregate information of about 2,600 individual submissions from 28 institutions, we want to ask: given the information on these 28 institutions, how will our method behave (better or worse) if there are more or fewer individual submissions? To answer this question, we perform the first simulation whilst relying on an artificial dataset generated by following the data structure of the 2014 REF Economics and Econo- metrics sub-panel. To be more precise, we define 28 artificial institutions, each of which has the same proportion of submissions that are considered to be of quality 4,* 3*, 2* and 1* as they have in the real data. The values of the LHS outcomes are then simulated to be consistent with the actual numbers of the aggregate proportions for each of the 28 economics departments, as informed by the REF data. We employ four independent co- variates in the process of data generation: x 1 and x 2 are Gaussian covariates with a unit
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Three essays in international financial economics

Three essays in international financial economics

The red line in Figure 3.13b again illustrates the toxic arbitrage based information share for days. The green line shows the mid-point of the bounds of the Hasbrouck information share (IS). The green area illustrates the range between the upper and the lower estimate from the Hasbrouck procedure. The upper bound remains close to 100% most of the time. For the first 70 observations there is only one day where it drops below 75%. On this day, the T AIS also drops. On the other days, where the T AIS drops, we also see a drop in the lower bound of the IS and hence of its midpoint. The lower bound drops more often resulting in large spreads for the Hasbrouck information share. Similarly to what we observe with the CS, drops in the upper bound of the IS where T AIS remains high, cannot be explained by the imprecision of the latter. Figure 3.13a and b illustrate that di↵erent measures lead to di↵erent results on individual days. Overall, only the downward spikes of the T AIS in the beginning of the sample fail to find similar evidence in either of the other measures. Several times we observe spikes in the standard measures, without a similar reaction in the T AIS. However, in these instances the spread in the Hasbrouck information share is usually wide, indicating less precision in the measure. On those days, we generally observe some overlap between the T AIS confidence interval and the IS interval. There are five days where we see a downward spike in the IS with narrow spread without an equivalent reaction of T AIS. While these days see downward spikes in CS as well, the di↵erence between the two measures is substantial.
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Three essays in International Economics and Industrial Organization.

Three essays in International Economics and Industrial Organization.

Consistent with the portfolio-choice theory, global investors typically diversify their portfolios by investing in their home market as well as foreign markets. When this foreign investment flows out from a developing country, it is called capital flight. The term flight is used to point out the often illegal and irreversible nature of this capital movement. Sanctions, war, bad regulation and institutional instability can stimulate capital flight by increasing political risk and uncertainty. Other economic events such as increase in inflation rate, foreign debt and exchange rate, or real GPD reduction are among other factors which can lead to capital flight from a developing country. In political science, sanctions are viewed as instruments to force a target country to agree upon a policy goal. The information asymmetry in the political arena puts governments in a better place than the general public to assess the risks associated with sanctions on any economy. Rational public will take the imposition of sanctions as a risk to their portfolio and fly their capital out to avoid any potential loss in investment.
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Three Essays on the Economics of Risk, Insurance, and Production.

Three Essays on the Economics of Risk, Insurance, and Production.

Bozic et al. (2014) provide a model that accounts for nonlinear dependence in pricing margin insurance for dairy farmers. In particular, they focus on the Livestock Gross Margin Insurance for Dairy Cattle (LGM-Dairy), and examine the assumptions underlying the current method being used to determine LGM-Dairy premiums. They analyze the dependence structure through copula methods. They find that there is a significant relationship between milk and feed prices that increases with time-to-maturity and severity of negative price shocks. They state that “a common theme in financial and actuarial applications and in agricultural crop revenue insurance is that tail dependence increases the risk to the underwriter and results in higher insurance premiums.” However, they claim that they present the first case ever in which tail dependence may actually reduce actuarially fair premiums for an agricultural risk insurance product. Their argument seems to be valid if one takes into account the natural hedge inherent in the computation of a margin that usually occurs when prices of both inputs and outputs move together. They also challenge the assumptions underpinning the univariate marginal distributions used in the rating method, specifically those of no-biases in futures prices or implied volatilities inferred from option premiums, and those of marginal distributions being log-normal. They finally conclude that “rating methodology that accounts for tail dependence between milk and feed prices extends the optimal hedging horizon and increases hedging effectiveness of the LGM-Dairy program.”
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Three Essays in Financial Economics

Three Essays in Financial Economics

The composition of our sample is as follows: we consider eight currencies futures (Australian Dollar, British Pound, Brazilian Real, Canadian Dollar, Dollar Index, Euro Currency, Japanese Yen, Swiss Franc), three energies futures (Crude Oil, Heating Oil, and Natural Gas), eight financials futures (Eurodollars, EuroYen, Fed. Funds, Five Year Notes, Muni Bonds, Treasury Bills, Ten Year Notes, Thirty Year Bonds), five foods futures (Cocoa, Orange Juice, Coffee, Rough Rice, Sugar), eight grains futures (Soybean Oil, Corn, Kansas City Wheat, Minnesota Wheat, Oats, Soybeans, Soybean Meal, Wheat), seven metal/fiber futures (Cotton #2, Gold, High Grade Copper,
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Three Essays on Energy, Environmental, and Resource Economics.

Three Essays on Energy, Environmental, and Resource Economics.

79 seed. Bt corn is among the most economically important genetically engineered crops globally (NASEM 2016), and ECB has historically been the most economically significant pest controlled by Bt corn in the US. While Bt resistance has not yet been observed in economically relevant levels in ECB populations, there are at least six published cases of field resistance of ECB to Bt, three of them within the last seven years (ARPD 2016). The EPA’s (time-invariant) refuge mandate for corn requires growers to plant at least 20% with non-Bt corn seed (Bourguet, Desquilbet, and Lemarié 2005). As described in more detail in the supplementary material, we use Hutchison et al.’s data on ECB larval densities, associated yield losses and price information to parameterize the population biology model and the profit function in (2.18). Table 2.1 reports the parameterization used in our simulations.
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Three Essays in Agricultural and Natural Resource Economics

Three Essays in Agricultural and Natural Resource Economics

externality exists that may have led soybean growers to overuse glyphosate. However, if the null hypothesis is not rejected, this does not mean that strategic externalities do not exist or that it was internalized through a process of Coasean bargaining. It is important to note that in this model I have considered the strategic externality as being the only relevant spillover from having more neighbors. In reality, having more neighbors could have its benefits that were not considered here. For example, having more neighbors may help spread information about effective herbicide practices, which could potentially help growers use less glyphosate. Therefore, a failure to reject the null hypothesis could suggest that information spillovers simply dominated the strategic externality. In the next section, I describe the econometric approach that I use to empirically perform this hypothesis test.
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Three essays on the economics of human capital development

Three essays on the economics of human capital development

Williams et al. (2001) collected information from the composite prospectuses sent to parents in 1999, for children starting in September 2000, with coverage of 100% LEAS which have secondary schools where pupils transfer from primary at age 11 years (n=141 LEAs). Similar to West et al. (2004) , they highlight the variation in admissions arrange- ments and oversubscription within and between LEAs. Williams et al. (2001) find a range of different ways in which parents could express their preferences, and categorise them into four loose groups—noting that this categorization is necessarily an oversimplification. The most common category (74.4%) was for parents to submit a ranking of preferences, and the LEAs authority tries—either using a first- or equal-preference approach—to allocate families to a preferred school. However, sometimes there were exceptions to this, includ- ing where a first-choice could be overridden if another pupil, who put the school as second choice, had an especially long or unsafe journey or some other exceptional circumstance. In some occasions, parents were offered a second round to submit further preferences, if their first set of preferences were unsuccessful. In the second category (12.8%), LEAs offer a place at a school to a family; and then families can submit this school as their first pref- erence, or alternatively the family can submit a ranked list of different preferred schools. The third category (5.0%), parents submit multiple unranked preferences, and the LEA aims to allocate the family to one of these preferred schools. The final category (7.8%) is sequential: families are invited to submit a single preference, if this proves unsuccessful, a second round of submitting preferences takes place.
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Three Essays on the Economics of Precision Agriculture Technologies.

Three Essays on the Economics of Precision Agriculture Technologies.

Sample selection is an additional problem we may encounter, when dealing with the survey data we have. Sample selection problems occur when observations selected are not independent of the outcome variable, causing biased inferences (Berk, 1983). In our case, selection problem arises because our “full” sample includes farmers who adopted in the past, and not the entire population of cotton producers at the moment of abandonment. This is a self-selected sample in itself, because farmers made this choice based on their awareness for precision technologies and other factors (See footnote 1). Moreover, producers may not be aware of all the technology aspects and those aware are not likely to represent a random sample of population (McBride and Daberkow, 2003). Thus, factors that affect duration of SSIG technologies might also affect the farmer’s decision to abandon SSIG technologies. To address this problem, previous literature has typically employed dummy variables of soil type, weather, climate, availability of information, etc. to represent location factors that affect adoption of precision agriculture (Khanna, 2001, Daberkow and McBride, 2003).
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Three essays in financial economics

Three essays in financial economics

In the extension of the model I show that when the block trader possesses pri- vate information regarding the asset payoff, the price impact can be separated into an inventory risk part and asymmetric information one. The bounds of the asset payoff play the same role as in the case of no asymmetric information. Unlike that case, however, there are additional determinants of the curvature of price reaction function for small orders. In particular, the shape of the conditional moments (mean and variance of asset payoff conditional on order size of the block trader) as func- tions of order size also plays a role. For example, if (1) skewness is positive, (2) the conditional mean function is convex and (3) the conditional variance is decreasing, both inventory and asymmetric information components of the price reaction func- tion are convex (concave) functions of order size for small buy (sell) orders. One would not capture these effects in the jointly normal setting because, in that case, the conditional mean is linear and the conditional variance is a constant.
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Three Essays on Information Economics

Three Essays on Information Economics

To my knowledge, this is the first paper to address competition for delegation in a multidimensional action and state space. Ambrus, Baranovskyi, and Kolb (2015), the first study of competition for delegation, uses a one-dimensional setup. Battaglini (2002) studies a multidimensional setting, but communication takes the form of cheap talk. Neither studies the role of vagueness in information disclosure. My paper is connected to the disclosure literature (see Dranove and Jin (2010) for a survey). Here I briefly discuss the connection of my paper with Grossman (1981). He studies an environment in which a seller chooses whether to credibly disclose his quality and shows that all types of sellers fully disclose. The idea is that suppose two sellers of different qualities are pooled together. Then the buyer is only willing to pay the price as if the quality is an average of the two. Now the higher-quality of the two sellers can profit by disclosing his quality and receive a higher price, since the buyer now has a higher willingness to pay. The argument is based on the assumption that the seller could always have disclosed his exact quality. The counterpart of exact disclosure in my model is vagueness. An agent can always be vague and let the DM know the payoff from choosing him. The difference is that vagueness serves an additional purpose, which is masking the state of the world. This helps sustaining vagueness in equilibrium.
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Three Essays on Financial Economics.

Three Essays on Financial Economics.

This dissertation is composed of three research-based essays. The first two take Korea, an economy with high income risk, as an example to calibrate optimal portfolio choices. The first essay confirms that Korean households are subject to higher idiosyncratic income risk (compared with US households) and that the risk increases with age. Using the estimated income risk, the study finds that even though Korea has impressive income growth and average returns on stocks, a Korean household should be conservative in its investment in risky assets since high income and return uncertainty could have negative effects on consumption smoothing. The second essay discusses a similar issue but extends the context of international financial markets. It asks how Korean workers in different industries should allocate their wealth in the equities of selected countries to hedge against their wage risks. Without considering the foreign exchange risk, this study finds that workers in most industries have large hedging demands for French and Canadian stocks. These results may be due to the competitiveness or the complementarity between Korean industries and the two studied countries’ industries.
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Three essays in applied economics

Three essays in applied economics

add the number of forest concessions awarded over time to different regions (col- umn (3)), the difference in difference estimator becomes significant 20 . An increase in corruption by one standard deviation decreases deforestation by 184,000 pixels post 2008. This is approximately equal to an area of 16,500 hectares. However, adding the forest concession data leads to a loss of 11 regions where forest concession informa- tion is missing. A further look at the data reveals that these regions have on average very little deforestation. The average number of pixels deforested in the regions with no concession data is 60 per year, while it is 600 in regions with information on concessions granted. Thus, it is likely that these regions are not densely forested and hence irrelevant. This is indeed true when you consider that the missing data is for regions like Bali, Yogyakarta and Jawa to name a few. As expected, the greater the number of concessions granted, the higher is the amount of deforestation. One concern with adding the number of concessions granted as a control is that it might be driving my results, especially since concessions themselves are endogenous to policy changes. In column (4) I restrict my sample to regions where concession data is not missing and exclude the number of concessions granted from the spec- ification. The coefficient on the interaction term remains stable and significant. I take this as suggestive evidence in favour of better compliance from the forestry sector as opposed to better enforcement by the government. Since my left hand side variable is a count measure with a high variance, in columns (5) and (6) I present semi-logarithmic and Poisson models respectively. Both models yield qualitatively similar results, however I lose some precision. Finally in column (7) I use my pre- ferred specification from column (3) to estimate the model non-parametrically. I estimate the following regression:
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Three Essays in Health Economics

Three Essays in Health Economics

This essay examines topics in health economics. The first study uses data obtained from the Health and Retirement Study (HRS) and the Rand HRS files, to examine the relationship between access to retiree health insurance (RHI) and the decision to leave one’s career job. This paper does not restrict attention to individual’s who choose to take a full retirement, as recent data indicates that only 51.4% of individuals leave a career job and fully retire, while nearly 25% leave their career job, and pursue a partial retirement. In this paper a Cox Proportional Hazard Model with time varying covariates is utilized to estimate the probability that an individual disengages from their career job, given they have not yet done so. Results indicate that those with access to RHI are significantly more likely to leave their career employer in all time periods than identical individuals without RHI.
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Three Essays in Spatial Economics.

Three Essays in Spatial Economics.

include information about the Community Rating System (CRS) to determine the effectiveness of CRS and its impact on market penetration.For agricultural risk management the majority of crop insurance policies have guarantees based on the production of individual producers instead of county level production, we plan to apply the models used in Chapter 3 to yields of individual producers. Also we plan to further compare expected payouts of new programs, such as the ARC program, to direct payments, county-cyclical payments, and the ACRE program. Finally the for the topics addressed in Chapter 4, future research will analyze the affect of the new North Carolina Grain Initiative. If information in terminal markets is asymmetric, the markets will not be well-integrated. Therefore, tracking whether or not markets are integrate, we can help market players have the full information to make decision as grain production in North Carolina grows.
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Three essays on uncertainty: real and financial effects of uncertainty shocks

Three essays on uncertainty: real and financial effects of uncertainty shocks

Some of the theoretical and empirical papers have demonstrated the uncertainty channels can be explained under the context of international economics. Fernandez- Villaverde et al. (2009) indicated that domestic uncertainty shocks may lead agents to increase their savings abroad, which is often called capital flight. They estimated a stochastic volatility process for real interest rate using T-bill rates and country spreads. They employed Particle filter and Bayesian methods in order to evaluate the impact of uncertainty via capital flows in international dimensions. Carri´ere-Swallow and C´espedes (2011) explored heterogeneous responses of different countries when facing high uncertainty. In comparison to advanced countries, emerging economies suffer se- vere falls in investment and private consumption following an exogenous uncertainty shock. It takes significantly longer to recover, and they do not experience a subsequent overshoot in real activity. They argue that the dynamics of investment and consump- tion are correlated with the depth of financial markets and monetary and fiscal policy because the development of financial markets and effective policy reactions could alle- viate the impact of credit constraints for firms and households.
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Essays in Information Economics

Essays in Information Economics

This dissertation is composed of three essays considering the role of private information in economic environments. The first essay considers efficient investments into technologies such as auditing and enforcement systems that are designed to mitigate information and enforcement frictions that impede the provision of first best insurance against income risk. In the model, the principal can choose a level of enforceability that inhibits an agent's ability to renege on the contract and a level of auditing that inhibits his ability to conceal income. The dynamics of the optimal contract imply an endogenous lower bound on the lifetime utility of an agent, strictly positive auditing at all points in the contract and positive enforcement only when the agent's utility is sufficiently low. Furthermore, the two technologies operate as complements and substitutes at alternative points in the state space. The second essay considers a planning problem with hidden actions and hidden states where the component of utility affected by the unobservable state is separable from component governed by the hidden action. I show how this problem can be written recursively with a one dimensional state variable representing a modified version of the continuation utility promise. I apply the framework to a model in which an agent takes an unobservable decision to invest in human capital using resources allocated to him by the planner. Unlike similar environments without physical investment, it is shown numerically the immiserising does not necessarily hold. In the third essay, with Kyungmin Kim, I examine the effects of commitment on information transmission. We study and compare the behavioral consequences of honesty and white lie in communication. An honest agent is committed to telling the truth, while a white liar may manipulate information but only for the sake of the principal. We identify the effects of honesty and white lie on communication and show that the principal is often better off with a possibly honest agent than with a potential white liar. This result provides a fundamental rationale on why honesty is thought to be an important virtue in many contexts.
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