Economics - Research Publications
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ItemWelfare Receipt and the Intergenerational Transmission of Work-Welfare Norms(Wiley, 2015)This article investigates the role of welfare receipt in shaping norms regarding work and welfare using unique Australian data from the Youth in Focus Project. We begin by incorporating welfare into a theoretical model of the transmission of work-welfare norms across generations. Consistent with the predictions of this model, we find evidence that youths' attitudes toward work and welfare may be influenced by socialization within their families. Young people are more likely to oppose generous social benefits and to believe that social inequality stems from individual characteristics if (i) their mothers support these views; (ii) their mothers were employed while they were growing up; and (iii) their families never received welfare. Finally, youths' work-welfare norms appear to be unrelated to their neighbors' welfare receipt suggesting that socialization occurs primarily within families rather than within neighborhoods.
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ItemMultilevel dual approach for pricing American style derivatives (vol 17, pg 717, 2013)(SPRINGER HEIDELBERG, 2015-07-01)
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ItemOn a discrete-time risk model with claim correlated premiums(Cambridge University Press, 2015-09)This paper proposes a discrete-time risk model that has a certain type of correlation between premiums and claim amounts. It is motivated by the well-known bonus-malus system (also known as the no claims discount) in the car insurance industry. Such a system penalises policyholders at fault in accidents by surcharges, and rewards claim-free years by discounts. For simplicity, only up to three levels of premium are considered in this paper and recursive formulae are derived to calculate the ultimate ruin probabilities. Explicit expressions of ruin probabilities are obtained in a simplified case. The impact of the proposed correlation between premiums and claims on ruin probabilities is examined through numerical examples. In the end, the joint probability of ruin and deficit at ruin is also considered.
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ItemApplication of Maximum Likelihood Estimation to Stochastic Short Rate Models(World Scientific, 2015-12)The application of maximum likelihood estimation is not well studied for stochastic short rate models because of the cumbersome detail of this approach. We investigate the applicability of maximum likelihood estimation to stochastic short rate models. We restrict our consideration to three important short rate models, namely the Vasicek, Cox–Ingersoll–Ross (CIR) and 3/2 short rate models, each having a closed-form formula for the transition density function. The parameters of the three interest rate models are fitted to US cash rates and are found to be consistent with market assessments.
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ItemOn GMM estimation of distributions from grouped data(Elsevier, 2015)For estimating distributions from grouped data, setting up moment conditions in terms of group shares and group means leads to an optimal weight matrix and a GMM objective function that are considerably simpler than those from a previous specification. Minimization is more efficient and convergence is more reliable.
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ItemCompetition, Markups, and the Gains from International Trade †(American Economic Association, 2015-10)We study the procompetitive gains from international trade in a quantitative model with endogenously variable markups. We find that trade can significantly reduce markup distortions if two conditions are satisfied: (i) there is extensive misallocation, and (ii) opening to trade exposes hitherto dominant producers to greater competitive pressure. We measure the extent to which these two conditions are satisfied in Taiwanese producer-level data. Versions of our model consistent with the Taiwanese data predict that opening up to trade strongly increases competition and reduces markup distortions by up to one-half, thus significantly reducing productivity losses due to misallocation.
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ItemNo Preview AvailableIndustrialization in Egypt(Wiley, 2015-02)