Collegio Carlo Alberto

Displaying 1-40 of 41 results

  • White Papers // Apr 2011

    Does The Implicit Pension Debt Mean Anything After All?

    The authors discuss the meaning of the concept of implicit pension debt (unfunded pension liabilities) from a public finance perspective and contrast different definitions such a variable with the notion of public debt. They conclude that the implicit pension is deeply different from public debt but nevertheless is meaningful for...

    Provided By Collegio Carlo Alberto

  • White Papers // Feb 2011

    On Efficiency Of Mean-variance Based Portfolio Selection In DC Pension Schemes

    The authors consider the portfolio selection problem in the accumulation phase of a Defined Contribution (DC) pension scheme. They solve the mean-variance portfolio selection problem using the embedding technique pioneered by Zhou and Li (2000) and show that it is equivalent to a target-based optimization problem, consisting in the minimization...

    Provided By Collegio Carlo Alberto

  • White Papers // Feb 2011

    Real Estate Prices And The Importance Of Bequest Taxation

    In the context of a general equilibrium model with overlapping generations and intergenerational altruism the authors show that, ceteris paribus, a decrease in taxes on inter vivos donations and bequests brings about an increase in real estate prices. This result has relevant policy implications. They test the predictions of the...

    Provided By Collegio Carlo Alberto

  • White Papers // Jan 2011

    Comparative Statics Of Asset Prices

    In a single-commodity, pure-exchange, representative-agent economy with many Lucas' trees whose dividends are geometric Brownian motions, the author studies the comparative statics of the prices of these assets with respect to the current Brownian realization. As is well-known, due to wealth effects, a security's price may vary with the realization...

    Provided By Collegio Carlo Alberto

  • White Papers // Jan 2011

    The Impact Of Potential Labor Supply On Licensing Exam Difficulty In The US Market For Lawyers

    Entry into licensed professions requires meeting competency requirements, typically assessed through licensing examinations. In the market for lawyers, there are large differences in the difficulty of the entry examination both across states and over time. The paper explores whether the number and quality of individuals attempting to enter the profession...

    Provided By Collegio Carlo Alberto

  • White Papers // Nov 2010

    Intercorporate Guarantees, Leverage And Taxes

    This paper characterizes optimal intercorporate guarantees, under the classical trade-off between bankruptcy costs and taxation. Conditional guarantees, allowing the guarantor - or Holding company - to maintain limited liability vis-?-vis the beneficiary - or Subsidiary - maximize joint value. They indeed achieve the highest tax savings net of default costs....

    Provided By Collegio Carlo Alberto

  • White Papers // Nov 2010

    International Capital Flows And Credit Market Imperfections: A Tale Of Two Frictions

    The financial crisis of 2007-08 has underscored the importance of adverse selection in financial markets. This friction has been mostly neglected by macroeconomic models of financial frictions, however, which have focused almost exclusively on the effects of limited pledgeability. In this paper, the authors fill this gap by developing a...

    Provided By Collegio Carlo Alberto

  • White Papers // Nov 2010

    The Relative Utility Hypothesis With And Without Self-reported Reference Wages

    This paper uses survey data of 90,000 union employees working in 62 publicly traded companies in Japan between 1990 and 2004 to study the effect of both own and self-reported reference wages on workers' subjective well-being levels. The availability of self-reported reference wages generates very robust findings that do not...

    Provided By Collegio Carlo Alberto

  • White Papers // Oct 2010

    Constrained Portfolio Choices In The Decumulation Phase Of A Pension Plan

    This paper deals with a constrained investment problem for a Defined Contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement. This problem has already been treated in the unconstrained case in a number of papers. The aim of...

    Provided By Collegio Carlo Alberto

  • White Papers // Oct 2010

    High-school Dropouts And Transitory Labor Market Shocks: The Case Of The Spanish Housing Boom

    This paper addresses the implications of transitory changes in labor market conditions for low versus high educated workers on the decision to acquire education. To identify this effect, the author uses the improvement in the labor market prospects of low educated workers motivated by the increases in employment and wages...

    Provided By Collegio Carlo Alberto

  • White Papers // Oct 2010

    Using A Microeconometric Model Of Household Labour Supply To Design Optimal Income Taxes

    The purpose of this paper is to present an exercise where the authors identify optimal income tax rules according to various social welfare criteria, keeping fixed the total net tax revenue. Empirical applications of optimal taxation theory have typically adopted analytical expressions for the optimal taxes and then imputed numerical...

    Provided By Collegio Carlo Alberto

  • White Papers // Oct 2010

    The Political Economy Of The Disability Insurance. Theory And Evidence Of Gubernatorial Learning From Social Security Administration Monitoring

    The dramatic rise in the Disability Insurance (DI) roles in the last 20 years has been the subject of much controversy in both popular and academic circles. While, the relationship between DI and labor force participation has been the subject of a growing literature, the mechanism of this transition from...

    Provided By Collegio Carlo Alberto

  • White Papers // Oct 2010

    Equilibrium Policy Simulations With Random Utility Models Of Labour Supply

    Many micro econometric models of discrete labour supply include alternative-specific constants meant to account for (possibly besides other factors) the density or accessibility of particular types of jobs (e.g. part time jobs vs. full-time jobs). The most common use of these models is the simulation of tax-transfer reforms. The simulation...

    Provided By Collegio Carlo Alberto

  • White Papers // Sep 2010

    Understanding The Native-immigrant Wage Gap Using Matched Employer-employee Data. Evidence From Germany

    Hellerstein and Neumark (1999) developed a straightforward method to detect wage discrimination using matched employer-employee data. In this paper a new method to measure wage discrimination is proposed, that builds on the ideas first developed by Hellerstein and Neumark. It has four main advantages: it is robust to labor market...

    Provided By Collegio Carlo Alberto

  • White Papers // Aug 2010

    Admissible Strategies In Semimartingale Portfolio Selection

    The choice of admissible trading strategies in mathematical modeling of financial markets is a delicate issue, going back to Harrison and Kreps [HK79]. In the context of optimal portfolio selection with expected utility preferences this question has been the focus of considerable attention over the last twenty years. The authors...

    Provided By Collegio Carlo Alberto

  • White Papers // Aug 2010

    The Role Of Information For Retirement Behavior: Evidence Based On The Stepwise Introduction Of The Social Security Statement

    In 1995, the Social Security Administration started sending out the annual Social Security Statement. It contains information about the worker's estimated benefits at the ages 62, 65, and 70. The author uses this unique natural experiment to analyze the retirement and claiming decision making. The author finds that, despite the...

    Provided By Collegio Carlo Alberto

  • White Papers // Jul 2010

    Gender Wage Gaps Reconsidered: A Structural Approach Using Matched Employer-employee Data

    In this paper the author proposes and estimates an equilibrium search model using matched employer-employee data to study the extent to which wage differentials between men and women can be explained by differences in productivity, disparities in friction patterns, segregation or wage discrimination. The availability of matched employer-employee data is...

    Provided By Collegio Carlo Alberto

  • White Papers // Jul 2010

    Price Reveal Auctions On The Internet

    A price reveal auction is a Dutch auction in which the current price of the item on sale remains hidden. Bidders can privately observe the price only by paying a fee, and every time a bidder does so, the price falls by a predetermined amount. The authors show that in...

    Provided By Collegio Carlo Alberto

  • White Papers // Feb 2010

    Political Institutions And The Dynamics Of Public Investment

    The authors present a theoretical model of the provision of a durable public good over an infinite horizion. In each period, there is a societal endowment of which each of n districts owns a share. This endowment can either be invested in the public good or consumed. They characterize the...

    Provided By Collegio Carlo Alberto

  • White Papers // Jan 2010

    Communication And Learning

    The authors study strategic information transmission in an organization consisting of an infinite sequence of individual decision makers. Each decision maker chooses an action and receives an informative but imperfect signal of the once-and-for-all realization of an unobserved state. The state affects all individuals' preferences over present and future decisions....

    Provided By Collegio Carlo Alberto

  • White Papers // Jan 2010

    Liquidity And Economic Fluctuations

    This paper shows that private information may be crucial in explaining the relationship between liquidity, investment and economic fluctuations. First, it defines liquidity in a way that is clearly connected to investment and output. Second, it models economies where privately informed entrepreneurs issue debt to fund their investment opportunities and...

    Provided By Collegio Carlo Alberto

  • White Papers // Jan 2010

    Indexed Sovereign Debt: An Applied Framework

    A number of countries have issued sovereign debt bonds indexed to real variables in recent years. In a dynamic stochastic equilibrium framework with incomplete markets, this paper studies the main features that a well-designed real-indexed contract should have to improve risk sharing and diminish the probability of debt crises. The...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2009

    The Heterogeneous Labor Market Effects Of Immigration

    In this paper the author provides estimates of the impact of immigration on native wage and employment levels (rather than on wage inequality which has been the focus of the literature). The author uses variation within 2-digit industries across regions using Austrian panel data from 1986 to 2004 for identification....

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2009

    Institutions, Public Debt And Foreign Finance

    The authors study the role of domestic financial institutions in sustaining capital flows to the private and public sector of a country whose government can default on its debt. As in recent public debt crises, in the model public defaults weaken banks' balance sheets, disrupting domestic financial markets. This effect...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2009

    Dynamic Managerial Compensation: A Mechanism Design Approach

    The authors characterize the optimal incentive scheme for a manager who faces costly effort decisions and whose ability to generate profits for the firm varies stochastically over time. The optimal contract is obtained as the solution to a dynamic mechanism design problem with hidden actions and persistent shocks to the...

    Provided By Collegio Carlo Alberto

  • White Papers // Nov 2009

    Excessive Public Employment And Rent-seeking Traps

    The authors propose an occupational choice model in which the quality of the state bureaucracy influences aggregate output and the level of entrepreneurial activity through its participation in the labor market. Skilled agents differ in terms of their public service motivation: if agents with low public mission become bureaucrats, they...

    Provided By Collegio Carlo Alberto

  • White Papers // Sep 2009

    Flexible Contracts

    This paper studies the costs and benefits of delegating decisions to superiorly informed agents relative to the use of rigid, non discretionary contracts. Delegation grants some flexibility in the choice of the action by the agent, but also requires the use of an appropriate incentive contract so as to realign...

    Provided By Collegio Carlo Alberto

  • White Papers // Sep 2009

    Mean-variance Inefficiency Of CRRA And CARA Utility Functions For Portfolio Selection In Defined Contribution Pension Schemes

    The authors consider the portfolio selection problem in the accumulation phase of a defined contribution pension scheme in continuous time, and compare the mean-variance and the expected utility maximization approaches. Using the embedding technique pioneered by Zhou and Li (2000) they first find the efficient frontier of portfolios in the...

    Provided By Collegio Carlo Alberto

  • White Papers // May 2009

    A Generalized Normal Mean Variance Mixture For Return Processes In Finance

    Time-changed Brownian motions are extensively applied as mathematical models for asset returns in Finance. Time change is interpreted as a switch to trade-related business time, different from calendar time. Time-changed Brownian motions can be generated by infinite divisible normal mixtures. The standard multivariate normal mean variance mixtures assume a common...

    Provided By Collegio Carlo Alberto

  • White Papers // May 2009

    Sectoral Differentiation, Allocation Of Talent, And Financial Development

    The author presents a theory of development in which heterogeneously talented entrepreneurs require credit to start new projects and open new sectors. As the variety of sectors expands during development, the allocation of entrepreneurial talent improves. A key result of the paper is to show that, in addition to increasing...

    Provided By Collegio Carlo Alberto

  • White Papers // May 2009

    The Evolution Of Entrepreneurial Spirit And The Process Of Development

    This paper suggests that the evolution of entrepreneurial spirit played a significant role in the process of economic development and the dynamics of inequality within and across societies. This paper argues that entrepreneurial spirit evolved non-monotonically in the course of human history. In early stages of development, the rise in...

    Provided By Collegio Carlo Alberto

  • White Papers // Jan 2009

    The Impact Of Price Discrimination On Revenue: Evidence From The Concert Industry

    Concert tickets can either be sold at a single price or at multiple prices corresponding to different seating categories. The authors study the relationship between price discrimination and revenue by examining variations in the number of seating categories across concert, tour, artist, location, and time. Offering multiple seating categories leads...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    Dynamic Mechanism Design: Incentive Compatibility, Profit Maximization And Information Disclosure

    This paper examines the problem of how to design incentive-compatible mechanisms in environments in which the agents' private information evolves stochastically over time and in which decisions have to be made in each period. The environments the authors consider are fairly general in that the agents' types are allowed to...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    Risk Sharing In Private Information Models With Asset Accumulation: Explaining The Excess Smoothness Of Consumption

    The authors study testable implications for the dynamics of consumption and income of models in which first best allocations are not achieved because of a moral hazard problem with hidden saving. They show that in this environment agents typically achieve more insurance than that obtained under self insurance with a...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    Optimal Income Taxation And Hidden Borrowing And Lending: The First-order Approach In Two Periods

    The authors provide sufficient conditions for the validity of the first-order approach for two period dynamic moral hazard problems, where the agent can save and borrow secretly. They show that in addition to the concavity requirements for the standard moral hazard problem, Non-Increasing Absolute Risk Aversion (NIARA) utility functions and...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    On-the-job Search, Minimum Wages, And Labor Market Outcomes In An Equilibrium Bargaining Framework

    The authors look at the impact of a binding minimum wage on labor market outcomes and welfare distributions in a partial equilibrium model of matching and bargaining in the presence of on-the-job search. They use two different specifications of the Nash bargaining problem. In one, firms engage in a Bertrand...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    Complexity And Bounded Rationality In Individual Decision Problems

    The author develops a model of endogenous bounded rationality due to search costs, arising implicitly from the decision problem's complexity. The decision maker is not required to know the entire structure of the problem when making choices. She can think ahead, through costly search, to reveal more of its details....

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    Trading Favors: Optimal Exchange And Forgiveness

    How is cooperation without immediate reciprocity sustained in a long term relationship? The authors study the case of two players in continuous time who have privately observable opportunities to provide favors, and where the arrival of these opportunities is a poisson process. Favors provided by a player give her an...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    When NGOs Go Global: Competition On International Markets For Development Donations

    Why many large Non-Governmental Organizations (NGOs) are becoming multinational entities? What are the welfare implications of this integration of markets for development donations? To answer these questions, the authors build a simple two-country model with horizontally differentiated NGOs competing through fundraising effort. They find that NGOs become multinational if the...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    Risk Measures: Rationality And Diversification

    When there is uncertainty about interest rates (typically due to either illiquidity or defaultability of zero coupon bonds) the cash-additivity assumption on risk measures becomes problematic. When this assumption is weakened, to cash-subadditivity for example, the equivalence between convexity and the diversification principle no longer holds. In fact, this principle...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    Dynamic Mechanism Design: Incentive Compatibility, Profit Maximization And Information Disclosure

    This paper examines the problem of how to design incentive-compatible mechanisms in environments in which the agents' private information evolves stochastically over time and in which decisions have to be made in each period. The environments the authors consider are fairly general in that the agents' types are allowed to...

    Provided By Collegio Carlo Alberto

  • White Papers // Oct 2010

    Constrained Portfolio Choices In The Decumulation Phase Of A Pension Plan

    This paper deals with a constrained investment problem for a Defined Contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement. This problem has already been treated in the unconstrained case in a number of papers. The aim of...

    Provided By Collegio Carlo Alberto

  • White Papers // Nov 2010

    Intercorporate Guarantees, Leverage And Taxes

    This paper characterizes optimal intercorporate guarantees, under the classical trade-off between bankruptcy costs and taxation. Conditional guarantees, allowing the guarantor - or Holding company - to maintain limited liability vis-?-vis the beneficiary - or Subsidiary - maximize joint value. They indeed achieve the highest tax savings net of default costs....

    Provided By Collegio Carlo Alberto

  • White Papers // Oct 2010

    High-school Dropouts And Transitory Labor Market Shocks: The Case Of The Spanish Housing Boom

    This paper addresses the implications of transitory changes in labor market conditions for low versus high educated workers on the decision to acquire education. To identify this effect, the author uses the improvement in the labor market prospects of low educated workers motivated by the increases in employment and wages...

    Provided By Collegio Carlo Alberto

  • White Papers // Oct 2010

    Using A Microeconometric Model Of Household Labour Supply To Design Optimal Income Taxes

    The purpose of this paper is to present an exercise where the authors identify optimal income tax rules according to various social welfare criteria, keeping fixed the total net tax revenue. Empirical applications of optimal taxation theory have typically adopted analytical expressions for the optimal taxes and then imputed numerical...

    Provided By Collegio Carlo Alberto

  • White Papers // Nov 2010

    International Capital Flows And Credit Market Imperfections: A Tale Of Two Frictions

    The financial crisis of 2007-08 has underscored the importance of adverse selection in financial markets. This friction has been mostly neglected by macroeconomic models of financial frictions, however, which have focused almost exclusively on the effects of limited pledgeability. In this paper, the authors fill this gap by developing a...

    Provided By Collegio Carlo Alberto

  • White Papers // Oct 2010

    The Political Economy Of The Disability Insurance. Theory And Evidence Of Gubernatorial Learning From Social Security Administration Monitoring

    The dramatic rise in the Disability Insurance (DI) roles in the last 20 years has been the subject of much controversy in both popular and academic circles. While, the relationship between DI and labor force participation has been the subject of a growing literature, the mechanism of this transition from...

    Provided By Collegio Carlo Alberto

  • White Papers // Aug 2010

    Admissible Strategies In Semimartingale Portfolio Selection

    The choice of admissible trading strategies in mathematical modeling of financial markets is a delicate issue, going back to Harrison and Kreps [HK79]. In the context of optimal portfolio selection with expected utility preferences this question has been the focus of considerable attention over the last twenty years. The authors...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2009

    Institutions, Public Debt And Foreign Finance

    The authors study the role of domestic financial institutions in sustaining capital flows to the private and public sector of a country whose government can default on its debt. As in recent public debt crises, in the model public defaults weaken banks' balance sheets, disrupting domestic financial markets. This effect...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    Risk Sharing In Private Information Models With Asset Accumulation: Explaining The Excess Smoothness Of Consumption

    The authors study testable implications for the dynamics of consumption and income of models in which first best allocations are not achieved because of a moral hazard problem with hidden saving. They show that in this environment agents typically achieve more insurance than that obtained under self insurance with a...

    Provided By Collegio Carlo Alberto

  • White Papers // Jan 2010

    Communication And Learning

    The authors study strategic information transmission in an organization consisting of an infinite sequence of individual decision makers. Each decision maker chooses an action and receives an informative but imperfect signal of the once-and-for-all realization of an unobserved state. The state affects all individuals' preferences over present and future decisions....

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    Optimal Income Taxation And Hidden Borrowing And Lending: The First-order Approach In Two Periods

    The authors provide sufficient conditions for the validity of the first-order approach for two period dynamic moral hazard problems, where the agent can save and borrow secretly. They show that in addition to the concavity requirements for the standard moral hazard problem, Non-Increasing Absolute Risk Aversion (NIARA) utility functions and...

    Provided By Collegio Carlo Alberto

  • White Papers // Nov 2009

    Excessive Public Employment And Rent-seeking Traps

    The authors propose an occupational choice model in which the quality of the state bureaucracy influences aggregate output and the level of entrepreneurial activity through its participation in the labor market. Skilled agents differ in terms of their public service motivation: if agents with low public mission become bureaucrats, they...

    Provided By Collegio Carlo Alberto

  • White Papers // Feb 2010

    Political Institutions And The Dynamics Of Public Investment

    The authors present a theoretical model of the provision of a durable public good over an infinite horizion. In each period, there is a societal endowment of which each of n districts owns a share. This endowment can either be invested in the public good or consumed. They characterize the...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    On-the-job Search, Minimum Wages, And Labor Market Outcomes In An Equilibrium Bargaining Framework

    The authors look at the impact of a binding minimum wage on labor market outcomes and welfare distributions in a partial equilibrium model of matching and bargaining in the presence of on-the-job search. They use two different specifications of the Nash bargaining problem. In one, firms engage in a Bertrand...

    Provided By Collegio Carlo Alberto

  • White Papers // Sep 2009

    Mean-variance Inefficiency Of CRRA And CARA Utility Functions For Portfolio Selection In Defined Contribution Pension Schemes

    The authors consider the portfolio selection problem in the accumulation phase of a defined contribution pension scheme in continuous time, and compare the mean-variance and the expected utility maximization approaches. Using the embedding technique pioneered by Zhou and Li (2000) they first find the efficient frontier of portfolios in the...

    Provided By Collegio Carlo Alberto

  • White Papers // Feb 2011

    On Efficiency Of Mean-variance Based Portfolio Selection In DC Pension Schemes

    The authors consider the portfolio selection problem in the accumulation phase of a Defined Contribution (DC) pension scheme. They solve the mean-variance portfolio selection problem using the embedding technique pioneered by Zhou and Li (2000) and show that it is equivalent to a target-based optimization problem, consisting in the minimization...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2009

    Dynamic Managerial Compensation: A Mechanism Design Approach

    The authors characterize the optimal incentive scheme for a manager who faces costly effort decisions and whose ability to generate profits for the firm varies stochastically over time. The optimal contract is obtained as the solution to a dynamic mechanism design problem with hidden actions and persistent shocks to the...

    Provided By Collegio Carlo Alberto

  • White Papers // May 2009

    Sectoral Differentiation, Allocation Of Talent, And Financial Development

    The author presents a theory of development in which heterogeneously talented entrepreneurs require credit to start new projects and open new sectors. As the variety of sectors expands during development, the allocation of entrepreneurial talent improves. A key result of the paper is to show that, in addition to increasing...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    Complexity And Bounded Rationality In Individual Decision Problems

    The author develops a model of endogenous bounded rationality due to search costs, arising implicitly from the decision problem's complexity. The decision maker is not required to know the entire structure of the problem when making choices. She can think ahead, through costly search, to reveal more of its details....

    Provided By Collegio Carlo Alberto

  • White Papers // Oct 2010

    Equilibrium Policy Simulations With Random Utility Models Of Labour Supply

    Many micro econometric models of discrete labour supply include alternative-specific constants meant to account for (possibly besides other factors) the density or accessibility of particular types of jobs (e.g. part time jobs vs. full-time jobs). The most common use of these models is the simulation of tax-transfer reforms. The simulation...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2009

    The Heterogeneous Labor Market Effects Of Immigration

    In this paper the author provides estimates of the impact of immigration on native wage and employment levels (rather than on wage inequality which has been the focus of the literature). The author uses variation within 2-digit industries across regions using Austrian panel data from 1986 to 2004 for identification....

    Provided By Collegio Carlo Alberto

  • White Papers // Jul 2010

    Gender Wage Gaps Reconsidered: A Structural Approach Using Matched Employer-employee Data

    In this paper the author proposes and estimates an equilibrium search model using matched employer-employee data to study the extent to which wage differentials between men and women can be explained by differences in productivity, disparities in friction patterns, segregation or wage discrimination. The availability of matched employer-employee data is...

    Provided By Collegio Carlo Alberto

  • White Papers // Feb 2011

    Real Estate Prices And The Importance Of Bequest Taxation

    In the context of a general equilibrium model with overlapping generations and intergenerational altruism the authors show that, ceteris paribus, a decrease in taxes on inter vivos donations and bequests brings about an increase in real estate prices. This result has relevant policy implications. They test the predictions of the...

    Provided By Collegio Carlo Alberto

  • White Papers // Jan 2011

    Comparative Statics Of Asset Prices

    In a single-commodity, pure-exchange, representative-agent economy with many Lucas' trees whose dividends are geometric Brownian motions, the author studies the comparative statics of the prices of these assets with respect to the current Brownian realization. As is well-known, due to wealth effects, a security's price may vary with the realization...

    Provided By Collegio Carlo Alberto

  • White Papers // Aug 2010

    The Role Of Information For Retirement Behavior: Evidence Based On The Stepwise Introduction Of The Social Security Statement

    In 1995, the Social Security Administration started sending out the annual Social Security Statement. It contains information about the worker's estimated benefits at the ages 62, 65, and 70. The author uses this unique natural experiment to analyze the retirement and claiming decision making. The author finds that, despite the...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    Trading Favors: Optimal Exchange And Forgiveness

    How is cooperation without immediate reciprocity sustained in a long term relationship? The authors study the case of two players in continuous time who have privately observable opportunities to provide favors, and where the arrival of these opportunities is a poisson process. Favors provided by a player give her an...

    Provided By Collegio Carlo Alberto

  • White Papers // Sep 2010

    Understanding The Native-immigrant Wage Gap Using Matched Employer-employee Data. Evidence From Germany

    Hellerstein and Neumark (1999) developed a straightforward method to detect wage discrimination using matched employer-employee data. In this paper a new method to measure wage discrimination is proposed, that builds on the ideas first developed by Hellerstein and Neumark. It has four main advantages: it is robust to labor market...

    Provided By Collegio Carlo Alberto

  • White Papers // Jan 2011

    The Impact Of Potential Labor Supply On Licensing Exam Difficulty In The US Market For Lawyers

    Entry into licensed professions requires meeting competency requirements, typically assessed through licensing examinations. In the market for lawyers, there are large differences in the difficulty of the entry examination both across states and over time. The paper explores whether the number and quality of individuals attempting to enter the profession...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    When NGOs Go Global: Competition On International Markets For Development Donations

    Why many large Non-Governmental Organizations (NGOs) are becoming multinational entities? What are the welfare implications of this integration of markets for development donations? To answer these questions, the authors build a simple two-country model with horizontally differentiated NGOs competing through fundraising effort. They find that NGOs become multinational if the...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    Risk Measures: Rationality And Diversification

    When there is uncertainty about interest rates (typically due to either illiquidity or defaultability of zero coupon bonds) the cash-additivity assumption on risk measures becomes problematic. When this assumption is weakened, to cash-subadditivity for example, the equivalence between convexity and the diversification principle no longer holds. In fact, this principle...

    Provided By Collegio Carlo Alberto

  • White Papers // May 2009

    A Generalized Normal Mean Variance Mixture For Return Processes In Finance

    Time-changed Brownian motions are extensively applied as mathematical models for asset returns in Finance. Time change is interpreted as a switch to trade-related business time, different from calendar time. Time-changed Brownian motions can be generated by infinite divisible normal mixtures. The standard multivariate normal mean variance mixtures assume a common...

    Provided By Collegio Carlo Alberto

  • White Papers // Nov 2010

    The Relative Utility Hypothesis With And Without Self-reported Reference Wages

    This paper uses survey data of 90,000 union employees working in 62 publicly traded companies in Japan between 1990 and 2004 to study the effect of both own and self-reported reference wages on workers' subjective well-being levels. The availability of self-reported reference wages generates very robust findings that do not...

    Provided By Collegio Carlo Alberto

  • White Papers // May 2009

    The Evolution Of Entrepreneurial Spirit And The Process Of Development

    This paper suggests that the evolution of entrepreneurial spirit played a significant role in the process of economic development and the dynamics of inequality within and across societies. This paper argues that entrepreneurial spirit evolved non-monotonically in the course of human history. In early stages of development, the rise in...

    Provided By Collegio Carlo Alberto

  • White Papers // Sep 2009

    Flexible Contracts

    This paper studies the costs and benefits of delegating decisions to superiorly informed agents relative to the use of rigid, non discretionary contracts. Delegation grants some flexibility in the choice of the action by the agent, but also requires the use of an appropriate incentive contract so as to realign...

    Provided By Collegio Carlo Alberto

  • White Papers // Jan 2010

    Liquidity And Economic Fluctuations

    This paper shows that private information may be crucial in explaining the relationship between liquidity, investment and economic fluctuations. First, it defines liquidity in a way that is clearly connected to investment and output. Second, it models economies where privately informed entrepreneurs issue debt to fund their investment opportunities and...

    Provided By Collegio Carlo Alberto

  • White Papers // Dec 2008

    Liquidity And Competition In Unregulated Markets

    Despite reputedly widespread market manipulation and insider trading, the authors find surprisingly high liquidity and low transactions costs for actively traded securities on the NYSE between 1890 and 1910, decades before SEC regulation. Moreover, market makers behave largely as predicted in theory: stocks with liquid markets and competitive market makers...

    Provided By Collegio Carlo Alberto

  • White Papers // Jan 2009

    The Impact Of Price Discrimination On Revenue: Evidence From The Concert Industry

    Concert tickets can either be sold at a single price or at multiple prices corresponding to different seating categories. The authors study the relationship between price discrimination and revenue by examining variations in the number of seating categories across concert, tour, artist, location, and time. Offering multiple seating categories leads...

    Provided By Collegio Carlo Alberto

  • White Papers // Jul 2010

    Price Reveal Auctions On The Internet

    A price reveal auction is a Dutch auction in which the current price of the item on sale remains hidden. Bidders can privately observe the price only by paying a fee, and every time a bidder does so, the price falls by a predetermined amount. The authors show that in...

    Provided By Collegio Carlo Alberto

  • White Papers // Jan 2010

    Indexed Sovereign Debt: An Applied Framework

    A number of countries have issued sovereign debt bonds indexed to real variables in recent years. In a dynamic stochastic equilibrium framework with incomplete markets, this paper studies the main features that a well-designed real-indexed contract should have to improve risk sharing and diminish the probability of debt crises. The...

    Provided By Collegio Carlo Alberto