This study examines a method to collect and explore data on the conditions that could lead to crises due to microfinance clients’ over-indebtedness. A simplified version of one of the main approaches to early warning systems, the “signaling approach”, is proposed to construct a composite index for predicting over-indebtedness crises in the microfinance industry. The index is built for a sample of 13 countries, among them countries where overindebtedness crises and other repayment occurred in the past. Data stems from a triangulation of primary and secondary data sources. The sample results in a preliminary classification of the countries according to their current risk for an over-indebtedness crisis. The study suggests the proposed preliminary composition of the index and makes recommendations on the data collection for further validation of the index before it is expanded to a larger set of countries.
Stock market behavior of individual investors is highly correlated with stock market behavior of their co-workers. For example, a ten percentage point increase in the fraction of co-workers that purchase stocks in a given month is associated with a two percentage point increase in the likelihood of individuals making a purchase. The high correlation exists even after taking controlling for individual socio-demographic characteristics and for time, stock, zip code, and plant fixed effects. Using data on family relations and on residential zip code, we show that the high correlation is not driven by peer effects at the family or zip code level. Moreover, workplace peer effects appear to be strong relative to geographical peer effects.
The share of the public sector in health insurance provision
varies enormously from country to country. It is larger in more redistributive countries. We provide a possible theoretical explanation for these facts: a public health insurance system, fi nanced by taxes, can be an effi cient means of redistribution, complementary to income taxation. This relies on the assumption of a negative correlation between income and morbidity. We examine the empirical validity of this assumption on macro data.
The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.
In this paper we use the Cox, Ingersoll, and Ross (1985b) single-factor, term structure model and extend it to the pricing of American default-free bond puts. We provide a quasi-analytical formula for these option prices based on recently established mathematical results for Bessel bridges, coupled with the optimal stopping time method. We extend our results to another interest rate contingent claim and provide a quasi-analytical solution for American yield option prices which illustrates the flexibility of our framework.
We analyze a unique data set on multiunit auctions, which contains the actual demand schedules of the bidders as well as the auctionawards in over 400 Swedish Treasury auctions. First, we document that bidders vary their prices, bid dispersion, and the quantity demanded in response to increased uncertainty at the time of bidding. Second,we find that bid shading can be explained by a winner 19s curse 13driven model in which each bidder submits only one bid, despite the fact that the bidders in our data set use much richer bidding strategies.
Let Ω be a bounded domain with fractal boundary, for instance von Koch's snowflake domain. First we determine the range and the kernel of the trace on ∂Ω of Sobolev spaces of fractional order defined on Ω. This extends some earlier results of H. Wallin and J. Marschall Secondly we apply these results in studying Dirichlet forms related to subordinate reflecting diffusions in non–smooth domains.
Kreps–Porteus preferences constitute a widely used alternative to time separability. We showin this paper that with these preferences utility maximization does not impose any observable restrictions on a household’s savings decisions or on choices in good markets over time. The additional assumption of a weakly separable aggregator is needed to ensure that the assumption of utility maximization restricts intertemporal choices. Under this assumption, choices in spot marketsare characterized by a strong axiom of revealed preferences (SSARP).Under uncertainty Kreps–Porteus preferences impose observable restrictions on portfolio choice if one observes the last period of an individual’s planning horizon. Otherwise there are no restrictions.
