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Jensen, Robert T. - 2010

This paper provides the first real-world evidence of Giffen behavior, i.e., upward sloping demand. Subsidizing the prices of dietary staples for extremely poor households in two provinces of China, we find strong evidence of Giffen behavior for rice in Hunan, and weaker evidence for wheat in...

Persistent link: https://www.econbiz.de/10012759955

Perverse Consequences of Well Intentioned Regulation : Evidence from India's Child Labor Ban

Bharadwaj, Prashant - 2014

While bans against child labor are a common policy tool, there is very little empirical evidence validating their effectiveness. In this paper, we examine the consequences of India's landmark legislation against child labor, the Child Labor (Prohibition and Regulation) Act of 1986. Using data...

Persistent link: https://www.econbiz.de/10013062347

Is Smoking Inferior? Evidence from Variation in the Earned Income Tax Credit

Kenkel, Donald - 2014

In this paper we estimate the causal income elasticity of smoking participation, cessation, and cigarette demand conditional upon participation. Using an instrumental variables (IV) estimation strategy we find that smoking appears to be a normal good among low-income adults: higher instrumented...

Persistent link: https://www.econbiz.de/10013054509

Valuation of Variance Forecast with Simulated Option Markets

Engle, Robert F. - 2010

An appropriate metric for the success of an algorithm to forecast the variance of the rate of return on a capital asset could be the incremental profit from substituting it for the next best alternative. We propose a framework to assess incremental profits for competing algorithms to forecast...

Persistent link: https://www.econbiz.de/10013138666

Security Baskets and Index-Linked Securities

Gorton, Gary B. - 2010

Security baskets and index-lined securities are securities whose values are functions of the cash flows or values of other assets. Creation of these "composite" securities would seem to be redundant since investors can cost1ess1y replicate them. In this paper we study the existence and optimal...

Persistent link: https://www.econbiz.de/10013138948

Should Derivatives Be Privileged in Bankruptcy?

Bolton, Patrick - 2011

Derivative contracts, swaps, and repos enjoy "super-senior" status in bankruptcy: they are exempt from the automatic …, even though this risk could be borne more efficiently by derivative counterparties. In addition, because super …-senior derivatives dilute existing creditors, they may lead firms to take on derivative positions that are too large from a social …

Persistent link: https://www.econbiz.de/10013118249

FX Counterparty Risk and Trading Activity in Currency Forward and Futures Markets

Levich, Richard M. - 2012

The Global Financial Crisis initiated a period of market turbulence and increased counterparty risk for financial institutions. Even though the Dodd-Frank Act is likely to exempt interbank foreign exchange trading from a central counterparty mandate, market participants have the option to trade...

Persistent link: https://www.econbiz.de/10013103054

The Market for OTC Derivatives

Atkeson, Andrew - 2013

We develop a model of equilibrium entry, trade, and price formation in over-the- counter (OTC) markets. Banks trade derivatives to share an aggregate risk subject to two trading frictions: they must pay a fixed entry cost, and they must limit the size of the positions taken by their traders...

Persistent link: https://www.econbiz.de/10013084727

Measuring Margin

McDonald, Robert L. - 2013

Policy makers and market participants alike wish to understand the amount, economic significance, and concentration of derivatives trading activity. This paper suggests that systematic measuring and reporting of margin by market participants, disaggregated by asset class, would provide more...

Persistent link: https://www.econbiz.de/10013088391

Carry Trade and Systemic Risk : Why are FX Options so Cheap?

Caballero, Ricardo J. - 2013

In this paper we document first that, in contrast with their widely perceived excess returns, popular carry trade strategies yield low systemic-risk-adjusted returns. In particular, we show that carry trade returns are highly correlated with the return of a VIX rolldown strategy --i.e., the...

Persistent link: https://www.econbiz.de/10013089284

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