Stockholm School of Economics

About: Stockholm School of Economics is a education organization based out in Stockholm, Sweden. It is known for research contribution in the topics: Population & Entrepreneurship. The organization has 1186 authors who have published 4891 publications receiving 285543 citations. The organization is also known as: Stockholm Business School & Handelshögskolan i Stockholm.

Do forward markets enhance competition?: Experimental evidence

Abstract: Hedging risks is an important rationale for forward trading. However, Allaz and Vila [Allaz, B., Vila, J.-L., 1993. Cournot competition, forwards markets and efficiency. Journal of Economic Theory 59, 1–16] show that oligopolists may also have a strategic motive to sell forward. Moreover, in their model forward markets increase competitiveness between firms, raising consumer surplus and efficiency. In this study, we examine this theoretical result in a controlled laboratory environment and investigate how the trading institution and the number of firms affect competition. Our findings support the main comparative-static predictions but also suggest that, when compared to the increase in competitive pressure due to entry, the competition-enhancing effect of a forward market is weaker than predicted.

Changing health environment: The challenge to demonstrate cost-effectiveness of new compounds

Abstract: With the development and introduction of costly new technologies and restrictive drug budgets, health economic evaluation has gained increasing importance. Health economic evaluation is now mandatory as part of reimbursement decisions in many countries. Cost-effectiveness analysis, which relates to a defined alternative and indication, and for a specific patient group and specific perspective, is the preferred health economic analysis used to make valued judgements about the efficiency of a new treatment. The costs of the new treatment are assessed relative to its potential benefits in terms of improved health, measured as increased survival and impact on quality of life. The cost per quality-adjusted life-year (QALY), an index combining quality of life and length of life, facilitates comparisons between treatments for different diseases. Governments are increasingly using QALYas an outcome measure in economic evaluation. The QALY provides an estimate, which is then used to make a decision dependent on the willingness to pay for the treatment, based on a certain threshold value. Current thresholds, usually in the range of approximately US$50 000 a year (comparable with the annual cost of renal dialysis), vary between different countries. However, these thresholds are not absolute limits; choices about the allocation of healthcare resources are also influenced by other factors, including considerations of equity and the severity of the disease.

Is Altruism Paternalistic

Abstract: We test if altruism is paternalistic with respect to health. Subjects can donate money or nicotine patches to a smoking diabetes patient whose willingness to pay for nicotine patches is positive but below the market price. In a between-subjects treatment, average donations are 40% greater in the nicotine patches group. When subjects can donate both nicotine patches and money more than 90% of the donations are given in kind rather than cash. These results are also confirmed in three additional stability experiments that vary the framing, use food stamps instead of money, and use exercise instead of nicotine patches.

Moment structure of a family of first-order exponential GARCH models

Abstract: The general theme of this thesis is theoretical properties and evaluation of volatility models. The thesis consists of four papers. In the first chapter the moment structure of the EGARCH model is derived. The second chapter contains new results on the A-PARCH model. The third chapter is about certain stylized facts of financial time series and the idea is to investigate how well the GARCH, EGARCH and ARSV models are able to reproduce these characteristics. The fourth chapter is about evaluating the EGARCH model. A more detailed overview of the chapters follows next. In Chapter 1 we derive the condition for the existence of moments, the expression for the kurtosis and the one for the autocorrelation function of positive powers of the absolute-valued observations for the EGARCH model. The results of the paper are useful, for example, if we want to compare the EGARCH model with the GARCH model. They reveal certain differences in the moment structure between these models. While the autocorrelations of the squared observations decay exponentially in the GARCH model, the decay rate is not exponential in the EGARCH model. While for the GARCH model the conditions for parameters allowing the existence of higher-order moments become more and more stringent for each even moment this is not the case for the EGARCH model. The explicit expressions of the autocorrelation structure of the positive powers of the absolute-valued observations of the model are particularly important in the considerations of Chapter 3 of the thesis.The A-PARCH model contains a particular positive power parameter. By letting the power parameter approach zero, the A-PARCH family of models also includes a family of EGARCH models as a special case. In Chapter 2 we derive the autocorrelation function of squared and logarithmed observations for the A-PARCH family of models and show that it may be obtained as a limiting case of a general power ARCH (GPARCH) model. An interesting thing to notice is that the autocorrelation structure of this GPARCH process, if it exists, is exponential, and that this property is retained at the limit as the power parameter approaches zero, which means that the autocorrelation function of the process of logarithms of squared observations also decay exponentially. While this is true for the logarithmed squared observations of an EGARCH process it cannot simultaneously be true for the untransformed observations defined by these processes as we in Chapter 1 have demonstrated.In order to explain the role of the power parameter we present a detailed analysis of how the autocorrelation functions of the squared observations differ across members of the GPARCH models. In an empirical example we also show that the estimated power parameter considerably improves the correspondence between the estimated autocorrelations on the one hand and the autocorrelation estimates from the model on the other. Financial time series seem to share a number of characteristic features, sometimes called stylized facts. Given a set of stylized facts, one may ask the following question: "Have popular volatility models been parameterized in such a way that they can accommodate and explain the most common stylized facts visible in the data?" Models for which the answer is positive may be viewed as suitable for practical use. In Chapter 3, possible answers to this question for the three popular models of volatility, GARCH, EGARCH and ARSV models are investigated. Model evaluation is an important part of modelling not only for the conditional mean models but for the conditional variance specifications as well. In Chapter 4 we consider misspecification tests for an EGARCH model. We derive two new misspecification tests for an EGARCH model. Because the tests of an EGARCH model against a higher-order EGARCH model and testing parameter constancy are parametric, the alternative may be estimated if the null hypothesis is rejected. This is useful for a model builder who wants to find out possible weakness of estimated specification. Furthermore, we investigate various ways of testing the EGARCH model against GARCH ones as another check of model adequacy. An empirical example shows that there is substantial evidence for parameter nonconstancy in daily return series of the Stockholm Stock Exchange.

Stochastic dominance amongst swedish income distributions

Abstract: :Sweden's income distribution for the whole population and for subgroups, including its immigants, has been extensively studied. The interest in this area has grown with increasing availability of data, including panels. The previous studies are based on indices of inequality or mobility. While indices are useful for complete ordering and have an air of "decisiveness" about them, they lack universal acceptance of the value judgements inherent to the welfare functions that underlay any index. In contrast, uniformpartial order relations are studied in this paper which rank welfare situations over very wide classes of welfare functions. We conduct bootstrap tests for the existence of first and second order stochastic dominance amongst Sweden's income distributions over time and for several subgroups of immigrants. Analysis of immigrant's income is motivated by the fact that the development of income for immigrants has been different and strongly affected by their length of residence and countries of origin. ...