We show that, for a utility function U: R to R having reasonable asymptotic elasticity, the optimal investment process H. S is a super-martingale under each equivalent martingale measure Q, such that E[V(dQ/dP)] < "unendlich", where V is conjugate to U. Similar results for the special case of the exponential utility were recently obtained by Delbaen, Grandits, Rheinländer, Samperi, Schweizer, Stricker as well as Kabanov, Stricker. This result gives rise to a rather delicate analysis of the "good definition" of "allowed" trading strategies H for the financial market S. One offspring of these considerations leads to the subsequent - at first glance paradoxical - example. There is a financial market consisting of a deterministic bond and two risky financial assets (S_t^1, S_t^2)_0<=t<=T such that, for an agent whose preferences are modeled by expected exponential utility at time T, it is optimal to constantly hold one unit of asset S^1. However, if we pass to the market consisting only of the bond and the first risky asset S^1, and leaving the information structure unchanged, this trading strategy is not optimal any more: in this smaller market it is optimal to invest the initial endowment into the bond. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

In this paper, we model price dispersion effects in over-the-counter (OTC) markets to show that, in the presence of inventory risk for dealers and search costs for investors, traded prices may deviate from the expected market valuation of an asset. We interpret this devia- tion as a liquidity effect and develop a new liquidity measure quantifying the price dispersion in the context of the US corporate bond market. This market offers a unique opportunity tofstudy liquidity effects since, from October 2004 onwards, all OTC transactions in this marketfhave to be reported to a common database known as the Trade Reporting and CompliancefEngine (TRACE). Furthermore, market-wide average price quotes are available from MarkitGroup Limited, a financial information provider. Thus, it is possible, for the first time, to directly observe deviations between transaction prices and the expected market valuation of securities. We quantify and analyze our new liquidity measure for this market and find significant price dispersion effects that cannot be simply captured by bid-ask spreads. Wefshow that our new measure is indeed related to liquidity by regressing it on commonly-usedfliquidity proxies and find a strong relation between our proposed liquidity measure and bond characteristics, as well as trading activity variables. Furthermore, we evaluate the reliability of end-of-day marks that traders use to value their positions. Our evidence suggests that the price deviations from expected market valuations are significantly larger and more volatile than previously assumed. Overall, the results presented here improve our understanding of the drivers of liquidity and are important for many applications in OTC markets, in general. (authors' abstract)

The focus here is on the log-normal version of the spatial interaction model. In this context, we consider spatial econometric specifications that can be used to accommodate two types of dependence scenarios, one involving endogenous interaction and the other exogenous interaction. These model specifications replace the conventional assumption of independence between origin-destination-flows with formal approaches that allow for two different types of spatial dependence in flow magnitudes. Endogenous interaction reflects situations where there is reaction to feedback regarding flow magnitudes from regions neighboring origin and destination regions. This type of interaction can be modeled using specifications proposed by LeSage and Pace (2008) who use spatial lags of the dependent variable to quantify the magnitude and extent of feedback effects, hence the term endogenous interaction. Exogenous interaction represents a situation where spillover arise from nearby (or perhaps even distant) regions, and these need to be taken into account when modeling observed variation in flows across the network of regions. In contrast to endogenous interaction, these contextual effects do not generate reaction to the spillovers, leading to a model specification that can be interpreted without considering changes in the long-run equilibrium state of the system of flows. We discuss issues pertaining to interpretation of estimates from these two types of model specification, and provide an empirical illustration. (authors' abstract)

In this paper we study the behavior of boundedly rational agents in a two good economy where trading is costly with respect to time. All individuals have a fixed time budget and may spend time for the production of good one, the production of good two and trading. They update their strategies, which determine their time allocation, according to a simple imitation type learning rule with noise. In a setup with two different type of agents with different production technologies we show by the means of simulations that both direct trade and trade via mediators who specialize in trading can emerge. We can also observe the transition from a pure production economy via direct trade to an economy with mediated trade. (author's abstract) / Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

The aim of the paper is to contrast and test the NAIRU theory and the Keynesian theory of unemployment econometrically. For the former, wage push variables are key in explaining the rise of European unemployment, for the latter accumulation is. The theories are tested using time series data for Germany, France, Italy, the UK and the USA, using the seemingly unrelated regression method (SUR). Unemployment benefits, union density and the tax wedge were used as wage push variables, and the growth of business capital stock as the accumulation variable. The NAIRU specification performed poorly, with only the tax wedge having a positive effect on unemployment as predicted. The Keynesian approach was more successful, with accumulation being statistically significant in all countries. Moreover, the tax wedge and accumulation are fairly robust to changes in the specification and can be pooled across countries. (author's abstract) / Series: Department of Economics Working Paper Series

Commodity prices are significantly more volatile than prices of industrial products. This extreme price instability establishes a need for futures markets in commodities. The main functions of futures trading being hedging against, and speculation on price fluctuations; and it is hedging, that determines the role of speculation. (author's abstract) / Series: Department of Economics Working Paper Series

This paper studies the gender wealth gap using 2010 Household Finance and Consumption Survey data for 15 European countries, and finds that households with only one male adult have more net wealth than households with one female adult, and that households with an adult couple have the highest net wealth. Using OLS regressions to predict net wealth and the inverse hyperbolic sine transformation of net wealth, as well as the nonparametric DiNardo-Fortin-Lemieux re-weighting technique, to study the relationship between household and personal characteristics with net wealth, the paper finds that differences in labor market characteristics between male and female households, most notably lifetime labor force participation and wages, explain much of the gender wealth gap.(authors' abstract) / Series: Department of Economics Working Paper Series

Este trabajo tiene por objetivo el indagar acerca de las causas que originaron cambios en la distribución de los ingresos laborales en Argentina a lo largo de la década del ’90. Numerosos trabajos para otros países parecen confirmar la tesis de que las nuevas tecnologías (o simplemente, “cambio tecnológico”) intensivas en la utilización de mano de obra calificada parecen tener gran parte del peso explicativo de la tendencia al aumento en las primas salariales que perciben los trabajadores más calificados. Este estudio va a aportar evidencia directa que concuerda con esta hipótesis frente a otras esbozadas anteriormente para el caso argentino que hacen hincapié en la liberalización comercial que tuvo lugar en el país desde principios de los 90. Para ello se presentan distintos testeos de las hipótesis explicativas de cambio tecnológico y apertura comercial, con énfasis especial en la evidencia empírica de microdatos (EPH) durante el período 1992-1999. Los resultados confirman la idea de que el cambio tecnológico parece tener un mayor peso a la hora de explicar la tendencia a la desigualdad en los ingresos laborales por grupo educativo.

El trabajo explora la posibilidad teórica de que la demanda de ciertos bienes presente una curva de Engel en forma de S. Se desarrolla un modelo donde la utilidad depende de dos funcionalidades, así como del nivel de estatus. Se plantea que existen tres bienes, uno de los cuales posee aplicación dual en términos de estatus y funcionalidad. Asimismo los agentes poseen un consumo autónomo de estatus el cuál es función de su dotación de riqueza. Bajo el modelo planteado, se exploran las condiciones que esta función de transformación riqueza-estatus debe satisfacer para originar demandas con comportamiento no monótono ante variaciones de ingreso. Asimismo se postula a dos grupos de bienes (teléfonos celulares y calzado deportivo) como candidatos a exhibir el comportamiento analizado, y se contrasta la hipótesis con datos de consumo para Argentina.

According to Naudé and Krugell (2003a) South Africa's cities are too small, dispersed, and over concentrated. In South Africa, households in the country's urban areas have average incomes almost thrice as high as the households in rural areas. More than 70% of South Africa's GDP is produced in only 19 urban areas (Naudé and Krugell 2003b). In Naudé and Krugell (2003a) it is stated that the rank-size rule shows that South Africa's urban agglomerations are too small and the cities mainly offer urbanization economies rather than localization economies. The main focus of this study will be looking at the specialization and diversity of South African cities. The aim is to determine whether certain cities should specialise in certain sectors, which they are currently involved in or should they add to their city and become more diverse and specialize in other sectors in order to promote economic growth. Many believe that a city which is more diverse would grow faster than a city specialising in a certain and thus be more beneficial to the economy than a specialized city would. This paper would like to address this phenomenon with regard to South African cities / Thesis (M.Com. (Economics))--North-West University, Potchefstroom Campus, 2006.