Anufriev, M & Bottazzi, G 2006, 'Noisy Trading in the Large Market Limit' in Mathieu, P, Beaufils, B & Brandouy, O (eds), Lecture Notes in Economics and Mathematical Systems, Springer Berlin Heidelberg, Germany, pp. 137-145.
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This paper analyzes to what extent and how the trading activity of a group of heterogeneous agents can be described, in the aggregate, as the result of the investment decision of a single "representative" agent. We consider a two-asset pure exchange economy populated by CRRA traders whose individual demands are functions of the past market history. If individual choices are expressed as noisy versions of a common behavior, and the number of agents is large, one can consider the Large Market Limit of the economy and reduce the model to a low-dimensional stochastic system. We investigate the goodness of this approximation under different market conditions and different agents ecologies. The results of the analysis can be used in the study of the general case with an arbitrary number of heterogeneous agents.
Anufriev, M & Dindo, P 2006, 'Equilibrium Return and Agents’ Survival in a Multiperiod Asset Market: Analytic Support of a Simulation Model' in Charlotte Bruun (ed), Lecture Notes in Economics and Mathematical Systems, Springer Berlin Heidelberg, Germany, pp. 269-282.
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We provide explanations for the results of the Levy, Levy and Solomon model, a recent simulation model of financial markets. These explanations are based upon mathematical analysis of a dynamic model of a market with an arbitrary number of heterogeneous investors allocating their wealth between two assets. The investors choices are endogenously modeled in a general way and, in particular, consistent with the maximization of an expected utility. We characterize the equilibria of the model and their stability and discuss implications for the market return and agents survival. These implications are in agreement with the results of previous simulations. Thus, our analytic approach allows to explore the robustness of the previous analysis and to expand its spectrum.
Anufriev, M & Panchenko, V 2006, 'Heterogeneous Beliefs Under Different Market Architectures' in Charlotte Bruun (ed), Lecture Notes in Economics and Mathematical Systems, Springer Berlin Heidelberg, Germany, pp. 3-15.
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Arestis, P, Baddeley, M & Sawyer, M 2006, 'Is capital stock a determinant of unemployment?' in Wages, Employment, Distribution and Growth: International Perspectives, pp. 19-66.
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Menzies, GD & Zizzo, DJ 2006, 'Rational Expectations' in Darity, W (ed), International Encyclopedia of the Social Sciences, Macmillan, USA, pp. 51-53.
Anufriev, M, Bottazzi, G & Pancotto, F 2006, 'Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders', JOURNAL OF ECONOMIC DYNAMICS & CONTROL, vol. 30, no. 9-10, pp. 1787-1835.
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We consider a pure exchange economy where one risky and one riskless security are traded in discrete time. Individual demands are expressed as fractions of individual wealth and depend on traders' forecasts about future price movement. Introducing the 'Equilibrium Market Line' as the locus of all possible equilibrium returns, we show that, irrespectively of the number of traders and of their investment behavior, the economy possesses isolated equilibria where a single agent dominates the market and continuous manifolds of equilibria where many agents hold finite wealth shares. Moreover, we prove that no global dominance order relation among strategies can be defined.
Baddeley, M 2006, 'Convergence or Divergence? The Impacts of Globalisation on Growth and Inequality in Less Developed Countries', International Review of Applied Economics, vol. 20, no. 3, pp. 391-410.
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This paper assesses the impacts of globalisation on the cross-country comparative patterns of growth and development. In the theoretical section, some of the key linkages between growth, development and globalisation are explored including the positive and negative impacts of globalisation and the constraints on effective development in a globalised world. Some of the key factors emphasised include trade and capital flows as well as computerisation. These issues are then analysed empirically using If and club convergence models, estimated using panel techniques. The empirical evidence presented indicates that globalisation has been associated with increasing trade and financial flows to less developed countries. It has also coincided with increasing penetration of the Internet suggesting that increases in informational flows have complemented economic and financial linkages, but the empirical evidence also shows that the current era of globalisation has not been associated with convergence in economic outcomes; instead less-developed countries have suffered from increases in international income inequality. In the final section, conclusions and policy implications are presented including a discussion of how international and national development policies could be designed properly to ameliorate tendencies towards growing international disparities in economic growth.
Baddeley, M, McNay, K & Cassen, R 2006, 'Divergence in India: Income differentials at the state level, 1970–97', The Journal of Development Studies, vol. 42, no. 6, pp. 1000-1022.
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Baddeley, MC 2006, 'Behind the black box: a survey of real-world investment appraisal approaches', Empirica, vol. 33, no. 5, pp. 329-350.
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This paper assesses business investment appraisal techniques and expectations formation. The paper begins with a comparative analysis of the links between fixed asset investment theories and real world investment appraisal techniques, focusing on the underlying assumptions about rationality and expectations. In the empirical sections, these ideas are tested via an analysis of business behaviour based upon survey evidence from a sample of Cambridgeshire manufacturing firms. The statistical analysis focuses on hypothesis testing, ordered probit estimations and simulations. The evidence presented reveals that whilst conventional production function analysis does provide some explanatory power in describing the objective determinants of firm investment activity, subjective and behavioural factors are also important. © Springer Science+Business Media, LLC 2006.
Bettinger, E & Slonim, R 2006, 'Using experimental economics to measure the effects of a natural educational experiment on altruism', Journal of Public Economics, vol. 90, no. 8-9, pp. 1625-1648.
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Docherty, P & Wang, G 2006, 'Using Synthetic Data to Measure the Impact of RTGS on Systemic Risk in the Australian Payments System', School of Finance & Economics Working Paper Series, vol. 149.
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This paper examines the possibility that financial contagion may be spread from one bank to another via the Australian payments system. The initial study of payments system risk was undertaken by Humphrey (1986) who found significant risk in the U.S. Fedwire system in the mid 1980s. Subsequent studies by Angelini, Maresca & Russo (1996), Kuussaari (1996), Northcott (2002) and Furfine (2003) have found, however, little evidence of systemic risk in the payments systems of Italy, Finland and Canada, and in the U.S. inter-bank market. Given that the implementation of real time gross settlement (RTGS) systems in many countries, including Australia, at significant cost, has been designed to reduce payments system risk, the finding that this risk is small is significant. While detailed payments system data for Australia is not available to researchers outside the Reserve Bank, this study constructs a synthetic data set based on available information and uses this data to simulate the failure of each financial institution operating in the Australian payments system. We find little evidence of systemic risk in the Australian payments system using this approach and conclude that the introduction of RTGS in the Australian system in 1996 had only a marginal effect on risk.
Docherty, P, Tse, H, Forman, R & McKenzie, J 2006, 'Reducing the Expectations Gap: Facilitating Improved Student Writing in an Intermediate Macroeconomics Course'.
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This paper reports on the implementation of a pilot program aimed at improving student writing in a intermediate macroeconomics course. The Program attempted to reduce what is labelled the expectations gap between student and academic perceptions of what constitutes 'good writing'. This was done in two ways, Firstly, a range of resources designed to describe the characteristics of good writing was provided to students who were helped to structure their writing according to these characteristics. A series of academic literacy workshops formed the centerpiece of this strategy. Secondly, markers themselves were briefed on these characteristics and an approach to marking based upon them was negotiated. The impact of this program on student writing was very promising. Students who attended the academic literacy workshops performed better in the first of two written assignments than those who did not, controlling for general ability. These students were less likely to fail and more likely to be awarded a grade at Distinction level or above. The paper also identifies a number of important areas that need to be developed at the next stage of implementation including better integration of published writing huidelines and sample papers into the workshop curriculum, and collection of more qualitative data to suppliment the quantitative evaluations the paper offers.
Docherty, PT 2006, 'Endogenous money, non-neutrality and interest-sensitivity in the theory of long period unemployment (F&E paper #148)', School of Finance & Economics Working Paper Series, vol. 148.
Engle-Warnick, J & Slonim, RL 2006, 'Inferring repeated-game strategies from actions: evidence from trust game experiments', Economic Theory, vol. 28, no. 3, pp. 603-632.
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Engle-Warnick, J & Slonim, RL 2006, 'Learning to trust in indefinitely repeated games', Games and Economic Behavior, vol. 54, no. 1, pp. 95-114.
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Goldbaum, D 2006, 'Self-organization and the persistence of noise in financial markets', JOURNAL OF ECONOMIC DYNAMICS & CONTROL, vol. 30, no. 9-10, pp. 1837-1855.
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A dynamic model of financial markets with learning is demonstrated to produce a selforganized system that displays critical behavior. The price contains private information that traders learn to extract and employ to forecast future value. Since the price reflects the beliefs of the traders, the learning process is self-referencing. As the market learns to correctly extract information from the price, the market deemphasizes private information. despite the convergence of the model towards the parameters producing efficiency, pricing deviations remain constant due to the increased sensitivity of the price to small errors in information extraction produced by the modelâs own convergence.
Houser, D & Wooders, J 2006, 'Reputation in auctions: Theory, and evidence from eBay', JOURNAL OF ECONOMICS & MANAGEMENT STRATEGY, vol. 15, no. 2, pp. 353-369.
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Employing a procedure suggested by a simple theoretical model of auctions in which bidders and sellers have observable and heterogenous reputations for default, we examine the effect of reputation on price in a data set drawn from the online auction site eBay. Our main empirical result is that seller's, but not bidder's, reputation has an economically and statistically significant effect on price. © 2006 Blackwell Publishing.
Docherty, PT 1970, 'Endogenous money non-neutrality and interest - sensitivity in the theory of long period unemployment', Centre for Full Employment and Equity Conference, Centre for Full Employment and Equity Conference, Newcastle, Australia.
Docherty, PT 1970, 'Endogenous money, non-neutrality and interest-sensitivity in the theory of long period unemployment', Centre for Full Employment and Equity Conference, Newcastle, Australia.
Goldbaum, D 2006, 'Fully revealing prices and other market anomalies'.
Goldbaum, D & Coate, D 2006, 'Skills, Effort and Performance in Tournaments: A Dynamic Model and Empirical Analysis', Working Paper Rutgers University #2004-007.
Menzies, GD & Zizzo, DJ 2006, 'Exchange Rate Markets and Conservative Inferential Expectations', Working Paper Series, Centre for Applied Macroeconomic Analysis, Australian National University.
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Working Paper Number: 2007-02
Abstract: We present a macroeconomic market experiment on the financial determination of exchange rates, and consider whether the assumption that belief formation be treated as a classical hypothesis test, which we label inferential expectations, can explain the effect of uncertainty on exchange rates. In a non-stochastic environment, exchange rates closely follow standard predictions. In our stochastic environment, inferential expectations with a low test size alpha (conservative inferential expectations) predict exchange rates better than rational expectations in ten sessions out of twelve. Belief conservatism appears magnified rather than diminished at the market level, and the degree of belief conservatism seems connected to the failure of uncovered interest rate parity regressions.
