This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these...

We investigate whether the credit crunch in Japan affected household welfare and the manner in which it did. We augment the theoretical framework of a consumption Euler equation with endogenous credit constraints and estimate it with household panel data for 1993-1999, generating several...

In this study, we analyze suicide rates among OECD countries, with particular effort made to gain insight into how suicide in Japan is different from suicides in other OECD countries. Several findings emerged from fixed-effect panel regressions with country-specific time-trends. First, the...

In this paper, we investigate the nexus between life insurance and suicide behavior using OECD cross-country data from 1980 to 2002. Through semiparametric instrumental variable regressions with fixed effects, we find that for the majority of observations, there exists a positive relationship...

We formulate and implement a new empirical procedure to examine the validity of PPP in the long-run for 153 countries by using the familiar cross-country data set of Heston, Summers, and Aten (2002). Unlike the existing studies that rely on mean reversion of real exchange rates, we explicitly...

This paper investigates how community management of schools can affect educational outcomes, such as retention and repetition rates. In our model, parents make decisions about whether their children should remain in school or not, and they monitor the performance of the teachers. To test the...

A number of existing studies on insurance demand report an apparently pathological result that insurance is a luxury good. Using cross-country insurance data and national wealth data, we resolve this spurious puzzle. While we found that the income elasticity of insurance demand is larger than...

We investigate whether people were insured against unexpected losses caused by the Great Hanshin-Awaji (Kobe) earthquake in 1995. The unique household data employed led to several empirical findings under a natural-experimental situation. The complete consumption insurance hypothesis is rejected...

Extending Dynan's methodology (1993), we show that a significant frac tion of the prudence parameter puzzle can be explained by a downward omitted variable bias. Further, the estimated prudence is substantially higher for liquidity-constrained households.

This paper estimates the aggregate output elasticity of social capital that characterizes the aggregate returns to social capital. With this aim, we apply Nonneman and Vanhoudt's (1996) augmented version of the augmented Solow model of Mankiw et al. (1992) by including social capital as an...