Household portfolios include risky bonds, beyond stocks, and respond to permanent labour income shocks. This paper brings these features into a life-cycle setting, and shows that optimal stock investment is constant or increasing in age before retirement for realistic parameter combinations. The driver of such inversion in the life-cycle profile is the resolution of uncertainty regarding social security pension, which increases the investor’s risk appetite. This occurs if a small positive contemporaneous correlation between permanent labour income shocks and stock returns is matched by a realistically high degree of risk aversion. Absent this combination, the typical downward sloping profile obtains. Overlooking differences in optimal investment profiles across heterogeneous workers results in large welfare losses, in the order of 15-30% of lifetime consumption.
{"title":"Optimal Life-Cycle Portfolios for Heterogeneous Workers","authors":"F. Bagliano, C. Fugazza, G. Nicodano","doi":"10.2139/ssrn.2364482","DOIUrl":"https://doi.org/10.2139/ssrn.2364482","url":null,"abstract":"Household portfolios include risky bonds, beyond stocks, and respond to permanent labour income shocks. This paper brings these features into a life-cycle setting, and shows that optimal stock investment is constant or increasing in age before retirement for realistic parameter combinations. The driver of such inversion in the life-cycle profile is the resolution of uncertainty regarding social security pension, which increases the investor’s risk appetite. This occurs if a small positive contemporaneous correlation between permanent labour income shocks and stock returns is matched by a realistically high degree of risk aversion. Absent this combination, the typical downward sloping profile obtains. Overlooking differences in optimal investment profiles across heterogeneous workers results in large welfare losses, in the order of 15-30% of lifetime consumption.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"96 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123371463","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We analyze the labor market for painters in Baroque Rome using unique panel data on primary sales of still lifes, portraits, genre paintings, landscapes and figurative paintings. In line with the traditional artistic hierarchy of genres, average price differentials between them were high. We identify supply and demand factors related to prices of paintings. The panel dimension of the dataset and its matched painter-patron nature allows us to evaluate the extent to which price heterogeneity is related to unobservable characteristics of painters and patrons. We find that most of the inter-genre price differential is explained by the variation in average artist heterogeneity across genres. This suggests that the market allocated artists between artistic genres to the point of equalizing the marginal return of each genre. We also explain residual price differences in terms of efficiency wage, signalling and incentive mechanisms to induce effort in the production of artistic quality.
{"title":"The Labor Market in the Seventeenth-Century Italian Art Sector","authors":"Federico Etro, S. Marchesi, L. Pagani","doi":"10.2139/ssrn.1970509","DOIUrl":"https://doi.org/10.2139/ssrn.1970509","url":null,"abstract":"We analyze the labor market for painters in Baroque Rome using unique panel data on primary sales of still lifes, portraits, genre paintings, landscapes and figurative paintings. In line with the traditional artistic hierarchy of genres, average price differentials between them were high. We identify supply and demand factors related to prices of paintings. The panel dimension of the dataset and its matched painter-patron nature allows us to evaluate the extent to which price heterogeneity is related to unobservable characteristics of painters and patrons. We find that most of the inter-genre price differential is explained by the variation in average artist heterogeneity across genres. This suggests that the market allocated artists between artistic genres to the point of equalizing the marginal return of each genre. We also explain residual price differences in terms of efficiency wage, signalling and incentive mechanisms to induce effort in the production of artistic quality.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"1997 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125585271","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We study the design of monetary policy in an economy characterized by staggered wage and price contracts together with limited asset market participation (LAMP). Contrary to previous results, we find that once nominal wage stickiness, an incontrovertible empirical fact, is considered: i) the Taylor Principle is restored as a necessary condition for equilibrium determinacy for any empirically plausible degree of LAMP; ii) the effect of LAMP for the design of optimal monetary policy are minor; iii) optimal interest rate rules become active no matter the degree of asset market participation. For this reasons we argue that LAMP does not matter much for monetary policy.
{"title":"Limited Asset Market Participation: Does it Really Matter for Monetary Policy?","authors":"G. Ascari, A. Colciago, L. Rossi","doi":"10.2139/ssrn.1948412","DOIUrl":"https://doi.org/10.2139/ssrn.1948412","url":null,"abstract":"We study the design of monetary policy in an economy characterized by staggered wage and price contracts together with limited asset market participation (LAMP). Contrary to previous results, we find that once nominal wage stickiness, an incontrovertible empirical fact, is considered: i) the Taylor Principle is restored as a necessary condition for equilibrium determinacy for any empirically plausible degree of LAMP; ii) the effect of LAMP for the design of optimal monetary policy are minor; iii) optimal interest rate rules become active no matter the degree of asset market participation. For this reasons we argue that LAMP does not matter much for monetary policy.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123246009","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper investigates how social networks in poor developing settings are affected if people migrate. Using a unique household survey from two southern regions in Mozambique, we test the role of labor mobility in shaping participation in groups and inter-household cooperation by migrant-sending households in village economies at origin. We find that households with successful migrants (i.e. those receiving either remittances or return migration) engage more in community-based social networks. Our findings are robust to alternative definitions of social interaction and to endogeneity concerns suggesting that stable migration ties and higher income stability through remittances may decrease participation constraints and increase household commitment in cooperative arrangements in migrant-sending communities.
{"title":"Labor Migration and Social Networks Participation: Evidence from Southern Mozambique","authors":"J. Gallego, M. Mendola","doi":"10.2139/ssrn.1959802","DOIUrl":"https://doi.org/10.2139/ssrn.1959802","url":null,"abstract":"This paper investigates how social networks in poor developing settings are affected if people migrate. Using a unique household survey from two southern regions in Mozambique, we test the role of labor mobility in shaping participation in groups and inter-household cooperation by migrant-sending households in village economies at origin. We find that households with successful migrants (i.e. those receiving either remittances or return migration) engage more in community-based social networks. Our findings are robust to alternative definitions of social interaction and to endogeneity concerns suggesting that stable migration ties and higher income stability through remittances may decrease participation constraints and increase household commitment in cooperative arrangements in migrant-sending communities.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"164 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121986912","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2008-06-01DOI: 10.4468/2008.1.01OUVERTURE
S. Brondoni
The serious financial crisis that has hit the 'Western' world will generate longterm effects and the emergency measures adopted by the more responsible Governments to offset the credit paralysis (support to the mortgage market, public investment in key sectors, incentives to mass consumption, etc.) will take years (at least two to four) to produce positive consequences in the real economy of domestic and international markets. Globalisation and new competition boundaries thus force companies to adopt a new 'philosophy of market-oriented competitive management' ('market-driven management'), which reformulates the traditional marketing management approach, introduced in the 1950s by Alfred P. Sloan of GM. In fact, marketing management presuppose an understanding of demand (and above all of its segments). With market-driven management on the other hand, market orientation helps to identify a temporary competition space, in other works a 'demand vacuum', which must be maintained highly unstable, by constant innovative proposals. In global, over-supplied markets, where consumers are increasingly voluble and disloyal, market-driven management is very attractive because it favours: 1. activities focused on the profitability of competition, rather than on mere customer satisfaction; 2. market policies based on innovation and competitive pricing; 3. and finally, even very short-term performance metrics
{"title":"Ouverture De ‘Market-Driven Management and Global Markets - 2’","authors":"S. Brondoni","doi":"10.4468/2008.1.01OUVERTURE","DOIUrl":"https://doi.org/10.4468/2008.1.01OUVERTURE","url":null,"abstract":"The serious financial crisis that has hit the 'Western' world will generate longterm effects and the emergency measures adopted by the more responsible Governments to offset the credit paralysis (support to the mortgage market, public investment in key sectors, incentives to mass consumption, etc.) will take years (at least two to four) to produce positive consequences in the real economy of domestic and international markets. Globalisation and new competition boundaries thus force companies to adopt a new 'philosophy of market-oriented competitive management' ('market-driven management'), which reformulates the traditional marketing management approach, introduced in the 1950s by Alfred P. Sloan of GM. In fact, marketing management presuppose an understanding of demand (and above all of its segments). With market-driven management on the other hand, market orientation helps to identify a temporary competition space, in other works a 'demand vacuum', which must be maintained highly unstable, by constant innovative proposals. In global, over-supplied markets, where consumers are increasingly voluble and disloyal, market-driven management is very attractive because it favours: 1. activities focused on the profitability of competition, rather than on mere customer satisfaction; 2. market policies based on innovation and competitive pricing; 3. and finally, even very short-term performance metrics","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130357813","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The paper focuses on the concentration of wealth defined as the expected present value of lifetime resources. We propose an indirect but robust method that detects a change in the concentration of wealth when the full stream of income receipts along the life cycle is unknown. We rely on the consumption distribution at a given period. We exploit the key property of concavity of consumption with respect to wealth to infer a change in wealth concentration from the one in consumption concentration. An application to American data is provided which illuminates the main changes occurred in wealth concentration during the twenty past years.
{"title":"Detecting a Robust Change in Wealth Concentration without the Knowledge of the Wealth Distribution","authors":"A. Michelangeli, Eugenio Peluso, A. Trannoy","doi":"10.2139/ssrn.1338022","DOIUrl":"https://doi.org/10.2139/ssrn.1338022","url":null,"abstract":"The paper focuses on the concentration of wealth defined as the expected present value of lifetime resources. We propose an indirect but robust method that detects a change in the concentration of wealth when the full stream of income receipts along the life cycle is unknown. We rely on the consumption distribution at a given period. We exploit the key property of concavity of consumption with respect to wealth to infer a change in wealth concentration from the one in consumption concentration. An application to American data is provided which illuminates the main changes occurred in wealth concentration during the twenty past years.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122283308","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns. In the present paper we show how Engle’s multi-step estimation of the model can be easily extended to elliptical conditional distributions and apply different leptokurtic DCC models to twenty shares listed at the Milan Stock Exchange.
{"title":"Dynamic Conditional Correlation with Elliptical Distributions","authors":"M. Pelagatti","doi":"10.2139/ssrn.888732","DOIUrl":"https://doi.org/10.2139/ssrn.888732","url":null,"abstract":"The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns. In the present paper we show how Engle’s multi-step estimation of the model can be easily extended to elliptical conditional distributions and apply different leptokurtic DCC models to twenty shares listed at the Milan Stock Exchange.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134620272","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper estimates the dynamic conditional correlations in the returns on WTI oil one-month forward prices, and one-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models. The dynamic correlations enable a determination of whether the forward and various futures returns are substitutes or complements, which are crucial for deciding whether or not to hedge against unforeseen circumstances. The models are estimated using daily data on WTI oil forward and futures prices, and their associated returns, from 3 January 1985 to 16 January 2004. At the univariate level, the estimates are statistically significant, with the occasional asymmetric effect in which negative shocks have a greater impact on volatility than positive shocks. In all cases, both the short- and long-run persistence of shocks are statistically significant. Among the five returns, there are ten conditional correlations, with the highest estimate of constant conditional correlation being 0.975 between the volatilities of the three-month and six-month futures returns, and the lowest being 0.656 between the volatilities of the forward and twelve-month futures returns. The dynamic conditional correlations can vary dramatically, being negative in four of ten cases and being close to zero in another five cases. Only in the case of the dynamic volatilities of the three-month and six-month futures returns is the range of variation relatively narrow, namely (0.832, 0.996). Thus, in general, the dynamic volatilities in the returns in the WTI oil forward and future prices can be either independent or interdependent over time.
{"title":"Modelling Dynamic Conditional Correlations in Wti Oil Forward and Futures Returns","authors":"M. Manera, A. Lanza, M. McAleer","doi":"10.2139/ssrn.546484","DOIUrl":"https://doi.org/10.2139/ssrn.546484","url":null,"abstract":"This paper estimates the dynamic conditional correlations in the returns on WTI oil one-month forward prices, and one-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models. The dynamic correlations enable a determination of whether the forward and various futures returns are substitutes or complements, which are crucial for deciding whether or not to hedge against unforeseen circumstances. The models are estimated using daily data on WTI oil forward and futures prices, and their associated returns, from 3 January 1985 to 16 January 2004. At the univariate level, the estimates are statistically significant, with the occasional asymmetric effect in which negative shocks have a greater impact on volatility than positive shocks. In all cases, both the short- and long-run persistence of shocks are statistically significant. Among the five returns, there are ten conditional correlations, with the highest estimate of constant conditional correlation being 0.975 between the volatilities of the three-month and six-month futures returns, and the lowest being 0.656 between the volatilities of the forward and twelve-month futures returns. The dynamic conditional correlations can vary dramatically, being negative in four of ten cases and being close to zero in another five cases. Only in the case of the dynamic volatilities of the three-month and six-month futures returns is the range of variation relatively narrow, namely (0.832, 0.996). Thus, in general, the dynamic volatilities in the returns in the WTI oil forward and future prices can be either independent or interdependent over time.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124989975","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1900-01-01DOI: 10.4468/2005.1.05GNECCHI
F. Gnecchi
Firms operating in over-supply conditions cannot increase their sales not even through the price reduction as a lever. In such context the intangible assets become predominant and tend to direct the competition within different industries towards new, unstable competitive business models based on market-driven management. In fact, the firms have reconsidered their brand portfolio, often by intervening drastically on the number of brands possessed and selling some of them to third parties or, alternatively, abandoning taking into consideration strategic aspects of brand management and its costs. At the business unit level, the brand portfolios are subjected to numerous operations oriented to adapt supply to new competitive conditions.
{"title":"Brand Portfolio and Over-Supply","authors":"F. Gnecchi","doi":"10.4468/2005.1.05GNECCHI","DOIUrl":"https://doi.org/10.4468/2005.1.05GNECCHI","url":null,"abstract":"Firms operating in over-supply conditions cannot increase their sales not even through the price reduction as a lever. In such context the intangible assets become predominant and tend to direct the competition within different industries towards new, unstable competitive business models based on market-driven management. In fact, the firms have reconsidered their brand portfolio, often by intervening drastically on the number of brands possessed and selling some of them to third parties or, alternatively, abandoning taking into consideration strategic aspects of brand management and its costs. At the business unit level, the brand portfolios are subjected to numerous operations oriented to adapt supply to new competitive conditions.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"203 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132076538","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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