Anufriev, M & Hommes, C 2008, 'Evolutionary Switching between Forecasting Heuristics: An Explanation of an Asset-Pricing Experiment' in Schredelseker, K & Hauser, F (eds), Complexity and artificial markets, Springer, Germany, pp. 41-53.
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In this paper we propose an explanation of the findings of a recent laboratory market forecasting experiment. In the experiment the participants were asked to predict prices for 50 periods on the basis of past realizations. Three different aggregate outcomes were observed in an identical environment: slow monotonic price convergence, persistent price oscillations, and oscillatory dampened price fluctuations. Individual predictions exhibited a high degree of coordination, although the individual forecasts were not commonly known. To explain these findings we propose an evolutionary model of reinforcement learning over a set of simple forecasting heuristics. The key element of our model is the switching between heuristics on the basis of their past performance. Simulations show that such evolutionary learning can reproduce the qualitative patterns observed in the experiment.
Di Guilmi, C, Gallegati, M & Landini, S 2008, 'Financial Fragility, Mean-Field Interaction and Macroeconomic Dynamics: A Stochastic Model' in Salvadori, N (ed), Institutional and Social Dynamics of Growth and Distribution, Edward Elgar, UK, pp. 322-350.
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In recent decades, a considerable stream of research, following the complexity approach (Rosser, 2004), has developed a series of models that import concepts and tools from hard sciences to economics. They represent an attempt to identify an alternative framework to the representative agent hypothesis and to its underlying simplified solution to the aggregation problem (Kirman, 1992). Theoretical research has moved in two main directions: first, the development of agent-based models, solved by means of computer simulations (Axtell et al., 1996; Axelrod, 1997); second, formulations of stochastic frameworks for the aggregation of micro-variables (Aoki, 1996, 2002; Aoki and Yoshikawa, 2006).
Menzies, GD 2008, 'Economics as identity' in Harper, I & Gregg, S (eds), Christian Theology and Market Economics, Edward Elgar, UK, pp. 94-109.
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Walker, M & Wooders, J 2008, 'mixed strategy equilibrium' in Durlauf, S & Blume, L (eds), The New Palgrave Dictionary of Economics, Nature Publishing Group, pp. 628-631.
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Anufriev, M 2008, 'Wealth-driven competition in a speculative financial market: examples with maximizing agents', QUANTITATIVE FINANCE, vol. 8, no. 4, pp. 363-380.
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This paper demonstrates how both the quantitative and qualitative results of a general, analytically tractable asset-pricing model in which heterogeneous agents behave consistently with a constant relative risk-aversion assumption can be applied to the special case of optimizing behaviour. The analysis of the asymptotic properties of the market is performed using a geometric approach that allows the visualization of all possible equilibria by means of a simple one-dimensional Equilibrium Market Curve. The case of linear (particularly, mean-variance) investment functions is thoroughly analysed. This analysis highlights the features that are specific to linear investment functions. As a consequence, some previous contributions of the agent-based literature are generalized.
Baddeley, MC 2008, 'STRUCTURAL SHIFTS IN UK UNEMPLOYMENT 1979–2005: THE TWIN IMPACTS OF FINANCIAL DEREGULATION AND COMPUTERIZATION', Bulletin of Economic Research, vol. 60, no. 2, pp. 123-157.
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ABSTRACTThis paper analyses UK unemployment in the period 1979–2005. Structural breaks are identified endogenously and they coincide with key institutional changes associated with financial deregulation and computerization in the New Economy. A vector error correction model is estimated and it confirms that computerization and financial deregulation have had counteracting impacts on UK unemployment. The results are consistent with three hypotheses: technological advances associated with computerization have moderated inflationary struggles between firms and insiders by increasing total factor productivity; financial deregulation has generated financial fragility fostering rises in unemployment; financial deregulation and computerization together have been associated with shifts from manufacturing towards services, fostering structural unemployment.
Delavande, A 2008, 'Measuring revisions to subjective expectations', Journal of Risk and Uncertainty, vol. 36, no. 1, pp. 43-82.
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Delavande, A 2008, 'PILL, PATCH, OR SHOT? SUBJECTIVE EXPECTATIONS AND BIRTH CONTROL CHOICE*', International Economic Review, vol. 49, no. 3, pp. 999-1042.
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When choosing a contraception method, women base their decisions on their subjective expectations about the realizations of method‐related outcomes. Examples of outcomes include getting pregnant and contracting a sexually transmitted disease (STD). I combine innovative data on probabilistic expectations with observed contraceptive choices to estimate a random utility model of birth control choice. The availability of expectations data is essential to identify preferences from beliefs. Effectiveness, protection against STDs, and partner's disapproval are found to be the most important factors in the decision process. The elicited expectations and inferred preference parameters are used to simulate the impact of various policies.
Delavande, A & Rohwedder, S 2008, 'Eliciting Subjective Probabilities in Internet Surveys', Public Opinion Quarterly, vol. 72, no. 5, pp. 866-891.
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Di Guilmi, C, Clementi, F, Di Matteo, T & Gallegati, M 2008, 'Social networks and labour productivity in Europe: an empirical investigation', Journal of Economic Interaction and Coordination, vol. 3, no. 1, pp. 43-57.
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This paper uses firm-level data recorded in the Amadeus database to investigate the distribution of labour productivity in different European countries. We find that the upper tail of the empirical productivity distributions follows a decaying power-law, whose exponent ? is obtained by a semi-parametric estimation technique recently developed by Clementi et al. [Physica A 370(1):4953, 2006]. The emergence of fat tails in productivity distribution has already been detected in Di Matteo et al. [Eur Phys J B 47(3):459466, 2005] and explained by means of a model of social network. Here we show that this model is tested on a broader sample of countries having different patterns of social network structure. These different social attitudes, measured using a social capital indicator, reflect in the power-law exponent estimates, verifying in this way the existence of linkages among firms productivity performance and social network.
Di Guilmi, C, Gallegati, M & Landini, S 2008, 'Economic dynamics with financial fragility and mean-field interaction: A model', Physica A: Statistical Mechanics and its Applications, vol. 387, no. 15, pp. 3852-3861.
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Following Aoki's statistical mechanics methodology [Masanao Aoki, New Approaches to Macroeconomic Modeling, Cambridge University Press, 1996; Masanao Aoki, Modeling Aggregate Behaviour and Fluctuations in Economics, Cambridge University Press, 2002; Masanao Aoki, and Hiroshi Yoshikawa, Reconstructing Macroeconomics, Cambridge University Press, 2006], we provide some insights into the well-known works of [Bruce Greenwald, Joseph Stiglitz, Macroeconomic models with equity and credit rationing, in: R. Hubbard (Ed.), Information, Capital Markets and Investment, Chicago University Press, Chicago, 1990; Bruce Greenwald, Joseph Stiglitz, Financial markets imperfections and business cycles, Quarterly journal of Economics (1993)]. Specifically, we reach analytically a closed form solution of their models overcoming the aggregation problem. The key idea is to represent the economy as an evolving complex system, composed by heterogeneous interacting agents, that can be partitioned into a space of macroscopic states. This meso level of aggregation permits to adopt mean-field interaction modeling and master equation techniques. © 2008 Elsevier Ltd. All rights reserved.
GATTI, DD, DI GUILMI, C, GALLEGATI, M, GAFFEO, E, GIULIONI, G & PALESTRINI, A 2008, 'SCALING LAWS IN THE MACROECONOMY', Advances in Complex Systems, vol. 11, no. 01, pp. 131-138.
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The practice of detecting power laws and scaling behaviors in economics and finance has gained momentum in the last few years, due to the increased use of concepts and methods first developed in statistical physics. Some disappointment has emerged in the economic profession, however, as regards the models proposed so far to theoretically explain these phenomena. In this paper we aim to address this criticism, showing that scaling behaviors can naturally emerge in a multiagent system with optimizing interacting units characterized by financial fragility.
Goldbaum, D 2008, 'Coordinated investing with feedback and learning', JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION, vol. 65, no. 2, pp. 202-223.
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This paper introduces assets for which the intrinsic value is endogenous to the amount of funding attracted. A rational expectations equilibrium is developed. Additionally, simulations of the model based on bounded rationality explore the different market behavior under fundamental and momentum based investing strategies. Both strategies produce herding characteristics. The herding under the fundamental strategy approximates the optimal investing of a rational central planner. The momentum strategy results in suboptimal economic development.
Goldbaum, D & Mizrach, B 2008, 'Estimating the intensity of choice in a dynamic mutual fund allocation decision', JOURNAL OF ECONOMIC DYNAMICS & CONTROL, vol. 32, no. 12, pp. 3866-3876.
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The paper analyzes the intensity of choice in an agent based financial optimization problem. Mean-variance optimizing agents choose among mutual funds of similar styles but varying performance. We specify a model for the allocation of new funds, switching between funds, and withdrawals and obtain statistically significant estimates of the intensity of choice parameter. This estimate is also given economic interpretation through the underperformance of funds that use an active style. We find that agents with relative risk aversion of 2 will move 1% of their funds from active to passive for an extra 34 basis points of return.
Hafalir, I & Krishna, V 2008, 'Asymmetric Auctions with Resale', American Economic Review, vol. 98, no. 1, pp. 87-112.
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We study first- and second-price auctions with resale in a model with independent private values. With asymmetric bidders, the resulting inefficiencies create a motive for post-auction trade which, in our model, takes place via monopoly pricing—the winner makes a take-it-or-leave-it offer to the loser. We show (a) a first-price auction with resale has a unique monotonic equilibrium; and (b) with resale, the expected revenue from a first-price auction exceeds that from a second-price auction. The inclusion of resale possibilities thus permits a general revenue ranking of the two auctions that is not available when these are excluded. (JEL D44)
Hafalir, IE 2008, 'Stability of marriage with externalities', International Journal of Game Theory, vol. 37, no. 3, pp. 353-369.
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Menzies, GD 2008, 'Can HIPCs Use Hyper-incentives?', Review of Applied Economics, vol. 4, no. 1-2, pp. 113-124.
Menzies, GD 2008, 'Teaching Hypothesis Testing: What is Doubted, What is Tested?', Australasian Journal of Economics Education, vol. 5, no. 1 and 2, pp. 1-9.
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Null hypotheses in undergraduate econometrics courses are usually framed in terms of parameter values or distributions. But relatively simple techniques can also test for violations of good scientific practice. This is neatly illustrated for students by a reinterpretation of an influential paper by Sir Ronald Fisher, where a rejection region is formed on the left tail of a 2 distribution. This idea is extended to situations where dubious models fit 'too well'. In these cases, a high R2 may be taken as evidence that a non-random subset of regressions is being 'adversely selected' for publication.
Menzies, GD & Vines, D 2008, 'The Transfer Problem and Real Exchange Rate Overshooting in Financial Crises: The Role of the Debt Servicing Multiplier', Review of International Economics, vol. 16, no. 4, pp. 709-727.
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We develop a real model of exchange rate overshooting due to a debt servicing multiplier. Borrowers of foreign capital are bound by noncontingent contracts to pay the world rate of return following an adverse shock. This is onerous, since the marginal product of capital is less than the world rate of return and the shock causes some capital to become extra-marginal. If the resultant debt servicing shortfall is met by taxes on workers, this reduces their demand for nontradable goods, which feeds back onto their wage, reducing their demand for nontradable goods, etc. In the short run, when extra-marginal projects are 'stuck' in the economy, the real exchange rate can overshoot. This mechanism may help to explain overshooting of exchange rates in the 1997 Asian financial crisis. © 2008 The Authors Journal compilation © 2008 Blackwell Publishing Ltd.
Rodgers, J, Siminski, P & Bishop, J 2008, 'Changes in Poverty Rates During the Howard Era', AUSTRALIAN ECONOMIC REVIEW, vol. 42, no. 3, pp. 300-320.
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This paper considers changes in poverty rates under the Howard government. We also make three methodological contributions. Weconsider the statistical significance of estimated changes in poverty. We propose a decomposition technique which reconciles trends inabsolute and relative poverty. We also use ‘poverty profiles’, which clearly illustrate sensitivity to alternative poverty lines. Whilst we areconstrained by the period of comparable data availability (1995-96 to 2002-03), we find statistically significant decreases in absolute poverty(overall and for children) and corresponding increases in relative poverty, which are statistically significant under the most commonlyused poverty line: half of median income.
Siminski, P 2008, 'Order Effects in Batteries of Questions', Quality and Quantity, vol. 42, no. 4, pp. 477-490.
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Siminski, P 2008, 'The Price Elasticity of Demand for Pharmaceuticals amongst High Income Older People in Australia: A Natural Experiment', Applied Economics, vol. 43, no. 30, pp. 4835-4846.
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This paper estimates the price elasticity of demand for pharmaceuticals amongst high-income older people in Australia. It exploits a natural experiment by which some people gained entitlement to a price reduction through the Commonwealth Seniors Health Card (CSHC). To the author’s knowledge, this is the first study of the price elasticity of demand for pharmaceuticals amongst older people that draws on a natural experiment with a control group. The preferred model is a nonlinear Instrumental Variable (IV) difference-in-difference regression, estimated on nationally representative repeated cross sectional survey data using the Generalised Method of Moments. No significant evidence is found for endogenous card take-up, and so cross-sectional estimates are also considered. Taking all of the results and possible sources of bias into account, the ‘headline’ estimate is -0.1, implying that quantity demanded is not highly responsive to price
Siminski, P, Bezzina, AJ, Lago, LP & Eagar, K 2008, 'Primary care presentations at emergency departments: rates and reasons by age and sex', Australian Health Review, vol. 32, no. 4, pp. 700-700.
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Primary care presentations at emergency departments(EDs) have been the subject of muchattention in recent years. This paper is a demographicanalysis using administrative data fromthe Emergency Department Information System(EDIS) for 2005 of such presentations in NewSouth Wales EDs and of self-reported reasons forpresentation. Age and sex differences in the reasonsgiven by patients for such presentations areanalysed using data from a survey of patientsconducted in a subset of EDs in 2004.The rate of ?potential primary care? presentationsvaries greatly with age and to a lesser extent withsex. Almost half (47%) of these presentations aremade by people under 25 years of age. Childrenaged 0?4 years account for 14% of the total. Thepattern is distinctly different to the correspondingrate of ED presentations that do not fit the ?potentialprimary care? definition. Reasons given for ?potentialprimary care? presentations are consistentacross all age groups, reflecting self-assessedurgency, access to diagnostics and self-assessedcomplexity. Older ?primary care? patients are particularlyunlikely to give reasons associated with GPaffordability or availability for their presentations.Young adults? responses are consistent with theoverall population, and children under the age offive seem most susceptible to availability issues.
Siminski, P, Eagar, K, Lago, L & Bezzina, A 2008, 'Trends in Primary Care Presentations at Emergency Departments in New South Wales (1999–2006)', Australian Journal of Primary Health, vol. 14, no. 3, pp. 35-35.
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This paper examines trends in potential 'primary care' presentations at emergency departments (ED), comparing these with other ED presentations and to primary care attendances in the community. The study draws on EDIS data (Emergency Department Information System), which, at December 2005, covered 76% of attendances in New South Wales, and from Medicare Australia MBS data. Annual counts of potential primary care presentations to EDs are compared with those of other ED presentations and to primary care presentations in the community. Changes in the percentage of ED presentations that are potentially for primary care are examined, as are changes in the percentage of total primary care presentations seen in EDs. Trends in age standardised presentation rates are also calculated for each of the three series. Primary care presentations at EDs increased marginally in the period under consideration, as did primary care presentations in the community. There was a substantial increase in other ED presentations. The proportion of ED presentations potentially for primary care decreased over the period. The proportion of primary care presentations seen in EDs and the proportion seen in the community changed little. Decline in the proportion of potential primary care presentations to EDs may have been impacted by new guidelines for the application of triage categories in 2001. However, trends over time do not show acute alterations and they continue to hold for the subsequent period after introduction of new guidelines. Primary care presentations at EDs are not responsible for recent changes to ED overcrowding in New South Wales, at least not for hospitals covered in the EDIS database. Future research might consider more specific trends in rural EDs.
Slonim, R & Garbarino, E 2008, 'Increases in trust and altruism from partner selection: Experimental evidence', Experimental Economics, vol. 11, no. 2, pp. 134-153.
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Xiao, J 2008, 'Markov Perfect Equilibrium in the US digital camera market', International Journal of Industrial Organization, vol. 26, no. 5, pp. 1233-1249.
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This paper examines the model launch and withdrawal decisions of the major digital camera makers for the period 1996-1999. These manufacturers produce differentiated products and some have the experience of participating in a similar market-the film camera market. This paper investigates to what extent the following four factors affect firms' decisions to launch a new model of digital camera: the effects of competition with "within-brand" models; the effects of competition with "cross-brand" models; the level of experience in the film camera market; and market conditions. The empirical findings suggest that good market conditions can accommodate more products, which has a positive effect on product launches. On the other hand, existing cross-brand models have a negative effect on product launches, while within-brand models and experience in similar markets have an ambiguous effect on product launches. © 2008 Elsevier B.V. All rights reserved.
Xiao, J 2008, 'Technological advances in digital cameras: Welfare analysis on easy-to-use characteristics', Marketing Letters, vol. 19, no. 2, pp. 171-181.
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This paper examines the characteristics attributed to the success of digital cameras by studying both the demand and the supply sides of the digital-camera market. A discrete choice model is employed to investigate consumer preferences over digital camera characteristics during the period 1996-1998. The empirical findings reveal that Sony's 'Easy-to-Use' storage system contributes significantly to Sony's demand advantage and profitability. Also, the welfare analysis demonstrates that 'Easy-to-Use' attributes significantly contribute to social welfare improvement. © Springer Science + Business Media, LLC 2008.
Docherty, PT 1970, 'Comparing post Keynesian monetary policy rules in a Kaldor-Pasinetti-Sraffa-Keynes framework', Eastern Economic Association Annual Conference 2008, Boston, USA.
Docherty, PT 1970, 'Money and monetary policy in Kaldor-Psinettit-Sraffa-Keynes framework', Seminar Paper, Department of Public Economics, University of Rome, La Sapienza, Rome, Italy.
Docherty, PT 1970, 'The political economy of banking regulation-monetary policy interaction', Eastern Economic Association Annual Conference 2008, Boston, USA.
Fiorini, M 1970, 'The effect of home computer use on children's cognitive and non-cognitive skills', Australasian Meeting of the Econometric Society, Wellington, New Zealand.
Fiorini, M 1970, 'The effect of home computer use on children's cognitive and non-cognitive skills', Seminar Presentation, Australian National University, Canberra, Australia.
Fiorini, M 1970, 'The effect of home computer use on children's cognitive and non-cognitive skills', Seminar Presentation, University of Melbourne, Melbourne, Australia.
Fiorini, M 1970, 'The effect of home computer use on children's cognitive and non-cognitive skills', Seminar Paper, University of South Australia, Adelaide, Australia.
Fiorini, M 1970, 'The effect of home computer use on children's cognitive and non-cognitive skills', European Meetings of the Econometric Society, Milan, Italy.
Hay, D & Menzies, GD 1970, 'Economic and the marriage wars', Annual Meeting of the Allied Social Science Associations, New Orleans, USA.
Menzies, GD & Thorp, SJ 1970, ''The storyboard approach to lectures and presentations' and 'Peer feedback: A pilot study' Teaching tools from the international teachers programme', Seminar Presentation, School of Finance and Economics, University of Technology, Sydney, Sydney, Australia.
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We give two short presentations. The first shows how to build persuasive and coherent visual presentations using the Storyboard Approach. The second describes and demonstrates the power of peer feedback for teaching development using our own recent experience from a pilot project. Please come and join the discussion.
Di Guilmi, C 2008, 'Financial determinants of firms profitability: A hazard function investigation', Working Paper Series, Department of Economics, Università Politecnica delle Marche.
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Working Paper Number: 318 Abstract: In this paper a hazard function analysis is performed on a set of European firms in order to identify a stochastic relationship among financial structure and profits. The relative proportions of debt and equity financing appear to influence expected profitability with a different degree for each nation. Within each country, relevant differences are recorded among listed and non listed firms. These results highlight the role of institutional factors, in particular related to credit and stock markets, in reducing informational asymmetries between investors and managers. The cross-sectional study is performed by means of degradation analysis, an engineering tool new in economics.
Gaffeo, E, Di Guilmi, C, Gallegati, M & Russo, A 2008, 'On the mean/variance relationship of the firm size distribution: Evidence and some theory', Discussion Paper, Department of Economics, University of Trento.
Goldbaum, D 2008, 'Coordinated investing with feedback and learning'.
Menzies, G, Pratt, J, Thorp, S & Docherty, P 2008, 'Piloting a Peer Feedback Program in the Faculty of Business at UTS', Working Paper Series.
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This paper outlines the trial and development of a peer review program for teaching improvement in the Faculty of Business at the University of Technology, Sydney (UTS). It first explores some of the key issues in the purpose and design of peer review schemes. It agrees with a strong theme in the peer review literature that peer review is most effective when used for quality enhancement rather than quality assurance in the sense used by Lomas and Nicholls (2005). It also recognises the possibility of resistance from academic staff to the idea of peer review and scepticism about its usefulness. A methodology for the conduct of a pilot peer review scheme is outlined drawing on the work of Bingham and Ottewill (2001) and Puget and Schubert (2008) in which peer review is voluntary, confidential and reciprocal involving a mutual arrangement with a trusted colleague to observe each other’s teaching and to offer private constructive feedback within agreed parameters. The experience of participants in the pilot scheme is reported and observations made about both the process of peer review itself and of attempting to establish a peer review program in a Faculty not previously used to such methods of professional and educational development.
Menzies, GD & Zizzo, DJ 2008, 'News and Expectations in Financial Markets: An Experimental Study', Working Paper Series, Centre for Applied Macroeconomic Analysis, Australian Nationl University.
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Working Paper Number: 34/2008
Siminski, P 2008, 'Do Government Benefits for High Income Retirees Encourage Saving?'.
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The Australian Commonwealth government provides a set of benefits to high income older people, which are intended to promote saving for retirement. It has not been established whether this unusual policy is effective. Using illustrative models, it is shown that these benefits may induce some people to save and work more, but they may have the opposite effect on other, more affluent, people. It is unclear which effect dominates. These benefits are likely to have increased Commonwealth government expenditure on affluent older people, accompanied by a reduction in state government expenditure on people with slightly lower incomes.
Siminski, P 2008, 'The Recipient Value and Distributional Impact of the Commonwealth Seniors Health Card in 2007'.
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This paper considers the recipient value and distributional impact of the Commonwealth Seniors Health Card (CSHC) by analysing a range of possible behavioural responses to economic incentives. First, I estimate the recipient value by considering the trade-off between moral hazard and risk pooling. The utility gain through risk-pooling is found to be negligible. The deadweight loss through moral hazard may be considerable. I also use illustrative models to demonstrate the possible effects of the CSHC on savings and labour supply. Whilst the CSHC may induce some people to save and work more, it may have the opposite effect on others.
Siminski, P 2008, 'What Would the Average Public Sector Employee be Paid in the Private Sector?'.
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This paper estimates the average Australian public sector wage premium. It includes a detailed critical review of the methods available to address this issue. The chosen approach is a quasi-differenced panel data model, estimated by the Generalised Method of Moments, which has many advantages over other methods and has not been used before for this topic. I find a positive average public sector wage premium for both sexes. The best estimates are 6.7% for men and 10.5% for women. The estimate is statistically significant for men (p = 0.024) and for women (p < 0.001). No evidence is found to suggest that the public sector has an equalising effect on the wages of its workers.
