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Guimaraes, Bernardo - London School of Economics (LSE) - 2008

This paper analyses whether sovereign default episodes can be seen as contingencies of optimal international lending contracts. The model considers a small open economy with capital accumulation and without commitment to repay debt. Taking first order approximations of Bellman equations, I...

Persistent link: https://www.econbiz.de/10010744981

Principal agent problems under loss aversion: an application to executive stock options

de Meza, David; Webb, David C. - London School of Economics (LSE) - 2004

Executive stock options reward success but do not penalise failure. In contrast, the standard principalagent model implies that pay is normally monotonically increasing in performance. This paper shows that, under loss aversion, the use of carrots but not sticks is a feature of an optimal...

Persistent link: https://www.econbiz.de/10010745716

Incentive design under loss aversion

de Meza, David; Webb, David C. - London School of Economics (LSE) - 2006

Compensation schemes often reward success but do not penalize failure. Fixed salaries with stock options or bonuses have this feature. Yet the standard principal–agent model implies that pay is normally monotonically increasing in performance. This paper shows that, under loss aversion, there...

Persistent link: https://www.econbiz.de/10010746407

Likelihood-based estimation of latent generalised ARCH structures

Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - London School of Economics (LSE) - 2003

GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation...

Persistent link: https://www.econbiz.de/10010884643

A GARCH model of the implied volatility of the Swiss Market Index from options prices

Linton, Oliver; Sabbatini, Michael - London School of Economics (LSE) - 2004

This paper estimates the implied stochastic process of the volatility of the Swiss market index (SMI) from the prices … option pricing model of Duan (1991), the implied volatility process is estimated by a simulation minimization method from … option price data. We find the persistence of volatility shocks implied by options on the SMI to be very close to that …

Persistent link: https://www.econbiz.de/10010746119

The long term impacts of compulsory schooling: evidence from a natural experiment in school leaving dates

Del Bono, Emilia; Galindo-Rueda, Fernando - London School of Economics (LSE) - 2007

This paper investigates a unique feature of the English educational system to estimate the causal effect of compulsory schooling on labour market outcomes. We examine school leaving rules that allow for discrete variation in exit dates by date of birth within school cohorts. This natural...

Persistent link: https://www.econbiz.de/10010746205

Large-sample inference on spatial dependence

Robinson, Peter - London School of Economics (LSE) - 2008

demonstrate that a spatial version of the stochastic volatility model of nancial econometrics, entailing a form of spatial …

Persistent link: https://www.econbiz.de/10010746328

Eliciting and utilizing willingness to pay: evidence from field trials in Northern Ghana

Fischer, Gregory; Berry, James; Guiteras, Raymond - London School of Economics (LSE) - 2012

We utilize the Becker-DeGroot-Marschak (1964) mechanism to estimate the willingness to pay for clean drinking water technology in northern Ghana. The BDM mechanism has attractive properties for empirical research, allowing us to directly estimate demand, compute heterogeneous treatment effects,...

Persistent link: https://www.econbiz.de/10010746680

The estimated effects of the euro on trade: why are they below historical effects of monetary unions among smaller countries?

Frankel, Jeffrey A. - London School of Economics (LSE) - 2009

Andy Rose (2000), followed by many others, has used the gravity model of bilateral trade on a large data set to estimate the trade effects of monetary unions among small countries. The finding has been large estimates: Trade among members seems to double or triple, that is, to increase by...

Persistent link: https://www.econbiz.de/10011071291

The impact of trade on aggregate productivity and welfare with heterogeneous firms and business cycle uncertainty

Thia, Jang Ping - London School of Economics (LSE) - 2008

This paper presents a model with monopolistic competition, productively heterogeneous firms, and business cycle aggregate shocks. With firm-specific productive heterogeneity, weaker firms quit when faced with a negative aggregate shock. Consequently, trade does not always increase firm-level...

Persistent link: https://www.econbiz.de/10010745558

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