The purpose of this paper is to examine whether the strategic motive for protection present in trade and agglomeration models, in the so-called new economic geography framework, is sensitive to the standard assumption that there is a sole agglomeration industry. We first investigate unilateral...

This paper examines the impact of estimation error in a simple single-period portfolio choice problem when the investor has power utility and asset returns are jointly lognormally distributed. These assumptions imply that such an investor selects portfolios using a modified mean-variance...

This paper investigates the questions of dynamic portfolio selection and intertemporal hedging within a Markovian regime-switching framework. The investment opportunity set is spanned by a well-diversified home-market portfolio and the risk-free asset. Our results highlight the economic...

This paper presents a novel way to analyze the organization of public hospitals by applying the property rights approach to organizations (PRA) to the problem. It is proposed that while PRA is suitable for the analysis of all hospitals it is especially so for public hospitals.The analysis...

In this paper we examine, by means of Monte Carlo simulation, the properties of the so called 'Pantula principle' for the simultaneous determination of rank and deterministic components in a vector error correction model. Examining the five models contained within the Johansen methodology, we...

This paper develops two very simple tests for the null hypothesis of no cointegration in panel data. The tests are general enough to allow for heteroskedastic and serially correlated errors, unit specific time trends, cross-sectional dependence and an unknown structural break in both the...

This paper applies the Merton (1974) default probability model to the firms in the SET-50 index at the Stock Exchange of Thailand (SET). It also examines the rela- tionship between a firm's default probability and firm-specific characteristics like size and book-to-market ratio, and whether...

In this paper we describe a simple way of analytically computing entire ìterm structures of default probabilities using information embedded in the corporate bond market data. This market-based approach of estimating the creditworthiness of firms gives probabilities of default at various...

Revisiting Parsons' 1996 article about disability insurance with imperfect tagging in a two type-economy -- individuals are either able or disabled. Here Parsons' analysis is extended in several directions. The model is generalized to allow for different utility functions over work status. The...

Financial risk management typically deals with low probability events in the tails of asset price distributions. In order to capture the behavior of these tails, one should therefore rely on models that explicitly focus on the tails. Extreme value theory (EVT) based models do exactly that, and...