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Essays In Retirement Economics, Gunnar Poppe Yanez Jun 2020

Essays In Retirement Economics, Gunnar Poppe Yanez

All Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters.

Chapter 1

The discrepancy between the high demand for annuities predicted by economic theory and the empirical low holdings of these assets, known as the annuity puzzle, is still not completely understood in economic studies of retirement finance. This paper assesses the effect of individuals' mortality risk learning process on annuitization. I isolate this effect by building a life-cycle model in which individuals have imperfect information of their true survival probability distribution, and therefore have to update their beliefs about it in a Bayesian manner. Using data on subjective mortality by the Health and ...


Determinants Of County-Level Poverty Rates In 2017: An Upper-Midwest Comparison, Trey V. Perez May 2020

Determinants Of County-Level Poverty Rates In 2017: An Upper-Midwest Comparison, Trey V. Perez

Undergraduate Economic Review

The American upper-Midwest as a region throughout the 2010s has experienced lower-than-average poverty rates. This paper seeks to uncover the determinants that have the greatest impact on the county-level poverty rates for five states (Iowa, Minnesota, Wisconsin, and the Dakotas). Outcomes for this study came from an Ordinary Least Squares (OLS) regression to estimate the impact each independent variable had on the poverty rate. The empirical results showed the unemployment rate, the percentage of households headed solely by females, and percent of the population that was Native American in 2017 had a significant impact on a county’s poverty rate.


Development Of A New Us Currency For The Post-Pandemic Remote Culture, F. Matthew Mihelic May 2020

Development Of A New Us Currency For The Post-Pandemic Remote Culture, F. Matthew Mihelic

Faculty Publications

The contemporary dollar currency was already under significant pressure prior to the emergence of the COVID-19 pandemic, but the economic pressures resulting from the national and world “lockdown” have very significantly exacerbated the vulnerabilities of those Federal Reserve Notes. The ostensible nationalization of the Federal Reserve by the United States federal government in April 2020 is a harbinger of a need to restructure the US currency. Today’s developing remote culture necessitates a new form of electronic currency. Herein is a conceptual blueprint for the development of such a restructured US currency that would function in the post-pandemic remote culture.


Shutdown Policies And Worldwide Conflict, Nicolas Berman, Mathieu Couttenier, Nathalie Monnet, Rohit Ticku May 2020

Shutdown Policies And Worldwide Conflict, Nicolas Berman, Mathieu Couttenier, Nathalie Monnet, Rohit Ticku

ESI Working Papers

We provide real-time evidence on the impact of Covid-19 restrictions policies on conflicts globally. We use daily information on conflict events and government policy responses to limit the spread of coronavirus to study how conflict levels vary following shutdown and lockdown policies. We use the staggered implementation of restriction policies across countries to identify their effect on conflict incidence and intensity. Our results show that imposing a nation-wide shutdown reduces the likelihood of daily conflict by around 9 percentage points. The reduction is driven by a drop in the incidence of battles, protests and violence against civilians. Across actors the ...


Comovement And Instability In Cryptocurrency Markets, Pierangelo De Pace, Jayant Rao May 2020

Comovement And Instability In Cryptocurrency Markets, Pierangelo De Pace, Jayant Rao

Pomona Economics

We analyze the extent of comovement between daily price returns of nine major cryptocurrencies during the first three main phases of their development, from April 2013 to November 2018. We assess its evolution using bivariate and multivariate modelling approaches, and detect pronounced time variation. Generally, comovement is initially low and positive, but increases between early 2017 and late 2018. We then adopt a right-tail version of the Augmented Dickey-Fuller unit root test to identify periods of mildly explosive behavior (statistical instability) in the Network Value to Transactions (NVT) ratio (a measure of the dollar value of cryptocurrency transaction activity relative ...


Non-Linear Modifications Of Black-Scholes Pricing Model With Diminishing Marginal Transaction Cost, Kaidi Wang May 2020

Non-Linear Modifications Of Black-Scholes Pricing Model With Diminishing Marginal Transaction Cost, Kaidi Wang

Undergraduate Honors Theses

In the field of quantitative financial analysis, the Black-Scholes Model has exerted significant influence on the booming of options trading strategies. Publishing in their Nobel Prize Work in 1973, the model was generated by Black and Scholes. Using Ito’s Lemma and portfolio management methodology, they employed partial differential equation to provide a theoretical estimate of the price of European-style options.

This paper is interested in deriving non-linear modifications of the Black-Scholes model with diminishing marginal transaction cost.


An Empirical Study Of Bicycle Sharing Systems Using A Product Diffusion Context, Lincoln Hartnett May 2020

An Empirical Study Of Bicycle Sharing Systems Using A Product Diffusion Context, Lincoln Hartnett

Undergraduate Honors Theses

This paper analyzes the adoption of bicycle sharing systems (BSSs) in a sample of five U.S. cities including Boston, Los Angeles, New York City, Portland OR, and Washington DC. This paper builds on studies of BSS usage that model usage as a function of city-specific variables. It expands on previous studies by placing the analysis of BSS usage in a product-diffusion context, the range of analysis is a time series spanning the first 36 month of each system’s operation. This analysis seeks to develop a microeconomic model of incentives that predicts city-level usage as the collection of individual ...


Institutions, Opportunism And Prosocial Behavior: Some Experimental Evidence, Antonio Cabrales, Irma Clots-Figueras, Roberto Hernán-González, Praveen Kujal May 2020

Institutions, Opportunism And Prosocial Behavior: Some Experimental Evidence, Antonio Cabrales, Irma Clots-Figueras, Roberto Hernán-González, Praveen Kujal

ESI Working Papers

Formal or informal institutions have long been adopted by societies to protect against opportunistic behavior. However, we know very little about how these institutions are chosen and their impact on behavior. We experimentally investigate the demand for different levels of institutions that provide low to high levels of insurance and its subsequent impact on prosocial behavior. We conduct a large-scale online experiment where we add the possibility of purchasing insurance to safeguard against low reciprocity to the standard trust game. We compare two different mechanisms, the private (purchase) and the social (voting) choice of institutions. Whether voted or purchased, we ...


Modeling Movement: A Machine-Learning Approach To Track Migration Routes After Displacement, Ethan Harrison May 2020

Modeling Movement: A Machine-Learning Approach To Track Migration Routes After Displacement, Ethan Harrison

Undergraduate Honors Theses

Over the past decade, the number of individuals internally displaced by conflict (IDPs) has reached unprecedented levels. Humanitarian actors and first-responders face persistent information gaps in meeting the needs of these populations. Specifically, they face challenges in understanding where and how IDPs move after they are displaced, which is necessary to locate them in conflict-affected situations and provide them with life-saving assistance. In this paper, I propose a framework, using established machine-learning methods, to forecast the migration routes of these displaced populations (Chapter 1). In a case study of displacement in Yemen, my models predict 80% of IDPs' migration routes ...


The Impact Of The 1981 Automobile Voluntary Export Restraint On Commuting Zone Level Within The United States, Owen Giordano May 2020

The Impact Of The 1981 Automobile Voluntary Export Restraint On Commuting Zone Level Within The United States, Owen Giordano

Undergraduate Honors Theses

This paper analyzes the impacts of the 1981 voluntary export restraint (VER) on important economic welfare indicators. The indicators include employment shares, average wages, and population growth measured on a commuting zone (CZ) level and were utilized as a means to assess trade-flow exposure. CZ level data allows us to capture the effects of a national policy on local economies. In addition, this paper evaluates the impact of the 1981 VER on Japanese exports to the United States (US). Two regression models use census data as well trade-flow data from 1970s to 1980s. A trade-flow exposure model shows that the ...


Information Aggregation And The Cognitive Make-Up Of Traders, Brice Corgnet, Mark Desantis, David Porter May 2020

Information Aggregation And The Cognitive Make-Up Of Traders, Brice Corgnet, Mark Desantis, David Porter

ESI Working Papers

We assess the effect of the cognitive make-up of traders on the informational efficiency of markets. We put forth that cognitive skills, such as cognitive reflection, are crucial for ensuring the informational efficiency of markets because they endow traders with the ability to infer others’ information from prices. Using laboratory experiments, we show that information aggregation is significantly enhanced when (i) all traders possess high levels of cognitive sophistication and (ii) this high level of cognitive sophistication is common information for all traders. Our findings shed light on the cognitive and informational constraints underlying the efficient market hypothesis.


Classical Versus Neoclassical Equilibrium Discovery Processes In Market Supply And Demand Theory, Sabiou M. Inoua, Vernon L. Smith May 2020

Classical Versus Neoclassical Equilibrium Discovery Processes In Market Supply And Demand Theory, Sabiou M. Inoua, Vernon L. Smith

ESI Working Papers

"The 1870s marginal revolution in economics culminated a century later in a failure. The core utility maximization principle of this school of thought was shown to have no interesting implication for aggregate market behavior in general (Sonnenschein, 1972, 1973a, 1973b; Debreu, 1974; Mantel, 1974; Kirman, 1989; Shafer & Sonnenschein, 1993; Rizvi, 2006). We argue that neoclassical price theory was flawed from the beginning, owing to the more basic and more serious logical problem inherent to the axiom of price taking behavior, under which market price formation is left unexplained."


Breaking Even? An Investigation Into The Costs And Benefits Of Syndicated Conservation Easements, Sandra R. Khouri Apr 2020

Breaking Even? An Investigation Into The Costs And Benefits Of Syndicated Conservation Easements, Sandra R. Khouri

Senior Theses

The goal of this project is to analyze a sample of Conservation Easements to evaluate how the benefits received compare to the value of the tax deductions given. Looking at 61 syndicated Conservation Easements, for every lost dollar in income tax only $0.52 of conservation benefit is protected. However, the Conservation Easements that break-even have features in common. The CEs that break even typically fall under $10,000 in lost income tax per acre and have a minimum acreage of 200.


A Test Of The Modigliani-Miller Theorem, Dividend Policy And Algorithmic Arbitrage In Experimental Asset Markets, Tibor Neugebauer, Jason Shachat, Wiebke Szymczak Apr 2020

A Test Of The Modigliani-Miller Theorem, Dividend Policy And Algorithmic Arbitrage In Experimental Asset Markets, Tibor Neugebauer, Jason Shachat, Wiebke Szymczak

ESI Working Papers

Modigliani and Miller showed that the market value of the company is in dependent of its capital structure, and suggested that dividend policy makes no difference to this law of one price. We experimentally test the MM theorem in a complete market with two simultaneously traded assets, employing two experimental treatment variations. The first variation involves the dividend stream. According to this variation the dividend payout order is either identical or independent. The second variation involves the market participation, or not, of an algorithmic arbitrageur. We find that Modigliani-Miller's law of one price can be supported on average with ...


Viral Social Media Videos Can Raise Pro-Social Behaviours When An Epidemic Arises, Youting Guo, Jason Shachat, Matthew J. Walker, Lijia Wei Apr 2020

Viral Social Media Videos Can Raise Pro-Social Behaviours When An Epidemic Arises, Youting Guo, Jason Shachat, Matthew J. Walker, Lijia Wei

ESI Working Papers

At the onset of an epidemic, can viral social media videos induce the high levels of trust and pro-sociality required for a successful community response? Shortly after the outbreak of the COVID-19 virus in Wuhan, China, we conducted an experiment assessing the impact of viral videos on individual preferences and pro-social behaviour. Prior to the experiment, participants viewed one of three videos culled from Chinese social media: a central government leader visiting a local hospital and supermarket, health care volunteers transiting to Wuhan, or an emotionally neutral video unrelated to the emergency. Viewing one of the first two videos leads ...


Time To Play: The Relationship Between Time Spent Playing And Educational Outcomes In Peru, Jasmine Davidson Apr 2020

Time To Play: The Relationship Between Time Spent Playing And Educational Outcomes In Peru, Jasmine Davidson

Economics Honors Projects

Every day, children around the world are playing. There has been plenty of research on the importance of different kinds of play, but very little on the importance of the quantity of play. Understanding the relationship between educational outcomes and the amount of time spent playing would allow parents to better structure their children’s time and would settle the debate between psychologists and economists on whether play has inherent value for a child’s future outcomes. I focus on Peru because conducting this research in a developing country context broadens the current research mostly focused on high-income countries. Using ...


Identity Politics, Clientelism, And Public Goods Provision: Theory And Evidence, Rohit Ticku, Raghul S. Venkatesh Apr 2020

Identity Politics, Clientelism, And Public Goods Provision: Theory And Evidence, Rohit Ticku, Raghul S. Venkatesh

ESI Working Papers

We study how identity politics determines clientelism and provision of public goods in representative democracies. Parties cultivate vote banks—a group of voters who vote along identity lines — in exchange for clientelistic transfers, and provide public goods to nonpartisan voters. There is ex-post identity formation among non-partisans that depends on the party in power. This generates an asymmetry in ex-post conflict payoff for the majority identity. The main theoretical result proposes a new mechanism for clientelism and rent seeking that is driven by identity politics. We further show that asymmetry in identity payoffs i) increases investment in conflict when the ...


The Classical Theory Of Supply And Demand, Sabiou M. Inoua, Vernon L. Smith Mar 2020

The Classical Theory Of Supply And Demand, Sabiou M. Inoua, Vernon L. Smith

ESI Working Papers

This paper introduces and formalizes the classical view on supply and demand, which, we argue, has an integrity independent and distinct from the neoclassical theory. Demand and supply, before the marginal rev-olution, are defined not by an unobservable criterion such as a utility func-tion, but by an observable monetary variable, the reservation price: the buyer’s (maximum) willingness to pay (WTP) value (a potential price) and the seller’s (minimum) willingness to accept (WTA) value (a potential price) at the marketplace. Market demand and supply are the cumulative distri-bution of the buyers’ and sellers’ reservation prices, respectively. This WTP-WTA classical ...


Let’S Chat... When Communication Promotes Efficiency In Experimental Asset Markets, Brice Corgnet, Mark Desantis, David Porter Mar 2020

Let’S Chat... When Communication Promotes Efficiency In Experimental Asset Markets, Brice Corgnet, Mark Desantis, David Porter

ESI Working Papers

The growing prevalence of stock market chat rooms and social media suggests communication between traders may affect market outcomes. Using data from a series of laboratory experiments, we study the causal effect of trader communication on the price efficiency of markets. We show that communication allows markets to convey private information more effectively. This effect is most pronounced when the communication platform publicizes a reputation score that might identify a person as not being truthful. This illustrates the need for market designers to consider social interactions when designing market institutions to leverage the social motives that foster information aggregation.


The Law And Economics Of Risk Regulation, Cary Coglianese Feb 2020

The Law And Economics Of Risk Regulation, Cary Coglianese

Faculty Scholarship at Penn Law

Law plays a central role in the management of risk in society. The rules adopted by regulatory agencies now affect nearly every facet of the economy, and as such regulation has motivated a substantial body of academic research. Law and economics research on regulation has, first, demonstrated the normative justification for governmental intervention in the marketplace based on the concept of market failure. Second, political economy research on regulation has shown how, as a positive matter, interest groups, political movements, and public pressure affect the stringency of such regulation, sometimes more than any normative rationale for regulation. Third, risk regulation ...


An Empirical Study Of The Sentiment Capital Asset Pricing Model, Soroush Ghazi, Mark Schneider Feb 2020

An Empirical Study Of The Sentiment Capital Asset Pricing Model, Soroush Ghazi, Mark Schneider

ESI Working Papers

What is market sentiment? This paper takes a new approach to this question and de- rives a formula for market sentiment as a function of the risk-free rate, the price/dividend ratio, and the conditional stock market volatility. The formula is derived from a representative agent with a prospect theory probability weighting function. We estimate the model and find that our sentiment measure correlates positively with the leading sentiment indexes. The model matches the equity premium while generating a low and stable risk-free rate with low risk aversion. We also apply the model to explain other anomalies for the aggregate ...


Categorical Salience Theory, Mark Schneider, Cary Deck, Patrick Dejarnette Feb 2020

Categorical Salience Theory, Mark Schneider, Cary Deck, Patrick Dejarnette

ESI Working Papers

Monetary lotteries are the overwhelmingly predominant tool for understanding decisions under risk. However, many real-world decisions concern multidimensional out- comes involving different goods. Recent studies have tested whether people treat multidimensional risky choices in the same manner as unidimensional monetary lotteries and found that choices over consumer goods are less risk-averse and more consistent with expected utility theory than choices over monetary lotteries. While these puzzling results cannot be explained by any standard model of decision making, we demonstrate that these findings are predicted by a salience-based model of category-dependent preferences that also explains the classic anomalies for choices under ...


A Capital Asset Pricing Model With Market Sentiment, Mark Schneider, Manuel A. Nunez Feb 2020

A Capital Asset Pricing Model With Market Sentiment, Mark Schneider, Manuel A. Nunez

ESI Working Papers

We derive a capital asset pricing model with market sentiment from a representative agent that exhibits two basic behavioral biases – ambiguity aversion and positive skewness preference. The asset pricing formula generalizes the classical CAPM by accounting for model uncertainty, positive skewness, disaster risk, and market sentiment, thereby linking four strands of the literature. We apply the Market Sentiment CAPM to provide a unified explanation for the beta anomaly and three other market anomalies, and to predict how they are affected by sentiment. The Market Sentiment CAPM provides a theoretical foundation for the pricing of sentiment in the cross-section of returns.


Harnessing The Power Of Social Incentives To Curb Shirking In Teams, Brice Corgnet, Brian C. Gunia, Roberto Hernán González Feb 2020

Harnessing The Power Of Social Incentives To Curb Shirking In Teams, Brice Corgnet, Brian C. Gunia, Roberto Hernán González

ESI Working Papers

We study several solutions to shirking in teams that trigger social incentives by reshaping the workplace social context. Using an experimental design, we manipulate social pressure at work by varying the type of workplace monitoring and the extent to which employees engage in social interaction. This design allows us to assess the effectiveness as well as the popularity of each solution. Despite similar effectiveness in boosting productivity across solutions, only organizational systems involving social interaction (via chat) were at least as popular as a baseline treatment. This suggests that any solution based on promoting social interaction is more likely to ...


Adam Smith’S Theory Of Value: A Mathematical Statement Of His Market Price Discovery Process, Sabiou M. Inoua, Vernon L. Smith Feb 2020

Adam Smith’S Theory Of Value: A Mathematical Statement Of His Market Price Discovery Process, Sabiou M. Inoua, Vernon L. Smith

ESI Working Papers

The relevance of Adam Smith for understanding human morality and sociality is generally accepted; witness the growing interest that his work is stimulating among scholars of various academic backgrounds (philosophers, political theorists, sociologists, economists). But, paradoxically, Adam Smith’s theory of economic value enjoys a less prominent stature today among economists, who, while they view him as the ‘father of modern economics’, considered him more as having had the right intuitions about a market economy than as having developed the right concepts and the technical tools for studying it. Yet the neoclassical tradition failed to provide a satisfactory theory of ...


Working Too Much For Too Little: Stochastic Rewards Cause Work Addiction, Brice Corgnet, Simon Gaechter, Roberto Hernán González Feb 2020

Working Too Much For Too Little: Stochastic Rewards Cause Work Addiction, Brice Corgnet, Simon Gaechter, Roberto Hernán González

ESI Working Papers

People are generally assumed to shy away from activities generating stochastic rewards, thus re-quiring extra compensation for handling any additional risk. In contrast with this view, neurosci-ence research with animals has shown that stochastic rewards may act as a powerful motivator. Applying these ideas to the study of work addiction in humans, and using a new experimental paradigm, we demonstrate how stochastic rewards may lead people to continue working on a re-petitive and effortful task even after monetary compensation becomes saliently negligible. In line with our hypotheses, we show that persistence on the work task is especially pronounced when the ...


News-Driven Expectations And Volatility Clustering, Sabiou M. Inoua Jan 2020

News-Driven Expectations And Volatility Clustering, Sabiou M. Inoua

ESI Publications

Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and on various time scales: it is fat-tailed (more precisely power-law distributed) and it tends to be clustered in time. Many interesting models have been proposed to account for these regularities, notably agent-based models, which mimic the two empirical laws through a complex mix of nonlinear mechanisms such as traders switching between trading strategies in highly nonlinear way. This paper explains the two regularities simply in terms of traders’ attitudes towards news, an explanation that follows from the very traditional dichotomy of financial market participants ...


Principles Of Microeconomics, Ernesto Garcia Iii Jan 2020

Principles Of Microeconomics, Ernesto Garcia Iii

Open Educational Resources

No abstract provided.


Citizen-Consumers Wanted: Revitalizing The American Dream In The Face Of Economic Recessions, 1981-2012, Gokcen Coskuner-Balli Jan 2020

Citizen-Consumers Wanted: Revitalizing The American Dream In The Face Of Economic Recessions, 1981-2012, Gokcen Coskuner-Balli

Business Faculty Articles and Research

This article brings sociological theory of governmentality to bear on a longitudinal analysis of American presidential speeches to theorize the formation of the citizen-consumer subject. The 40-year historical analysis which expands through four economic recessions and the presidential terms of Ronald Reagan, William J. Clinton, George W. Bush, and Barack Hussein Obama, illustrates the ways in which the national mythology of American Dream myth has been linked to the political ideology of the state to create the citizen-consumer subject in the United States. The quantitative and qualitative analysis of the data demonstrates first, the consistent emphasis on responsibility as a ...


All-Offender Ignition Interlock Laws & Dui Arrest Rates, Kathleen E. Soper Jan 2020

All-Offender Ignition Interlock Laws & Dui Arrest Rates, Kathleen E. Soper

School of Arts & Sciences Theses

This research examines whether all-offender ignition interlock laws cause statistically significant decreases in DUI arrest rates. Data consist of state and county-level arrest totals over a 16-year period. A difference-in-differences regression model with fixed effects for entity and time is used for the analysis. Results are inconclusive.