Contributions in Merlin

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We construct a derivative that depends on the SPY and VIX and, in this way, incorporates both the market risk premium and the variance risk premium. We show that the product’s Sharpe ratio is higher than the SPY Sharpe ratio. If we had invested $10,000 into the product, the product’s payoff would have been about $60,000 at the end of 2018. In comparison, if we invested $10,000 into the SPY, the SPY payoff would be only about $30,000.

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Digital platforms have enabled huge efficiency in coordinating sharing practices among a large number of users. The proliferation of sharing platforms has formed a phenomenon often referred to – albeit not unanimously – as ‘the sharing economy’ or, more precisely, ‘the Digital Sharing Economy (DSE)’1. What makes the DSE special is its ability to enhance access to a wide variety of material and immaterial resources within large and spatially distributed communities of consumers; a feature that could not exist in traditional, small-scale sharing. This characteristic has been known as the enabling role of digital Information and Communication Technology (ICT) in transforming sharing practices and scaling up sharing networks. Such extensive changes brought by digital advancements can raise a number of important questions concerning sustainability (Salomon and Mokhtarian, 2008), as changes often come along with both opportunities and risks. From a sustainability perspective, an evident impact of sharing resources is improved efficiency in consumption. Through sharing, the utilization of a resource increases to serve more demand, which translates to an optimization effect. Nevertheless, it is possible that increased efficiency is followed by unwanted impacts such as rebound effects. Therefore, to develop a critical perspective, efforts should be directed towards understanding and analyzing both the potential positive and negative impacts of the shared consumption promoted by digital platforms. Such analysis can be based on two major parts: First, identifying the type of the resource that is shared; second, investigating how sharing that resource can affect the sustainability of its consumption and other consumption patterns that it may promote.

We study the impact of monetary policy on the supply of bank credit when bank lending is denominated in foreign currencies. Accessing a comprehensive supervisory dataset from Hungary, we find that the supply of bank credit in a foreign currency is less sensitive to changes in domestic monetary conditions than the equivalent supply in the domestic currency. Changes in foreign monetary conditions similarly affect bank lending more in the foreign than in the domestic currency. Hence when banks lend in multiple currencies the domestic bank lending channel is weakened and international bank lending channels become operational.

A number of theoretical results have provided sufficient conditions for the selection of payoff-efficient equilibria in games played on networks when agents imitate successful neighbors and make occasional mistakes (stochastic stability). However, those results only guarantee full convergence in the long-run, which might be too restrictive in reality. Here, we employ a more gradual approach relying on agent-based simulations avoiding the double limit underlying these analytical results. We focus on the circular-city model, for which a sufficient condition on the population size relative to the neighborhood size was identified by Alós-Ferrer & Weidenholzer [(2006) Economics Letters, 93, 163–168]. Using more than 100,000 agent-based simulations, we find that selection of the efficient equilibrium prevails also for a large set of parameters violating the previously identified condition. Interestingly, the extent to which efficiency obtains decreases gradually as one moves away from the boundary of this condition.

Valuing goods and selecting the one with the highest value forms the basis of adaptive behaviour across species. While it is obvious that the valuation of a given type of goods depends on ownership and availability of that type of goods, the effects of other goods on valuation of the original good are sometimes underappreciated. Yet, goods interact with each other, indicating that the valuation of a given good is conditional on the other goods it is combined with, both in the wild and the laboratory. Here, we introduce conditional valuation in the context of valuing multiple goods and briefly review how human and animal experimentalists can leverage economic tools for the study of interactions among goods. We then review evidence for conditional valuation for combined foods in both human and non-human primates. In the laboratory, non-human primates show increased valuation of certain combinations of foods but decreased valuation of other types of combinations. Thus, similarly to humans, monkeys appear to value combinations of goods in a conditional fashion. Additionally, both humans and monkeys appear to employ similar neural substrates for the valuation of single goods, such as the orbitofrontal cortex. Together, investigations of our evolutionary precursors may provide insights on how we value interacting goods. This article is part of the theme issue ‘Existence and prevalence of economic behaviours among non-human primates’.

Uma iniciativa popular na Suíça está dando novo fôlego à antiga proposta de tributar as transações financeiras. No entanto, será que o “microimposto” conseguirá sair do papel?

We study the role of occupational skills for labour market transitions after layoffs. Drawing on Lazear’s skill-weights approach, we develop empirical measures for occupational specificity and the skill distance between occupations to investigate how skills map into job mobility and wages. Our analysis reveals several important insights. First, higher occupational specificity is associated with lower job mobility and a longer period of unemployment. However, it is also associated with higher wages. Workers receive a wage premium of about 9% for re-employment in a one standard deviation more specific occupation. These results suggest a risk–return trade-off to educational investments into more specific skills. Second, the skill distance is negatively associated with wages. Workers moving between occupations with similar skill requirements suffer smaller wage losses than those with more distant moves. Thus, skills appear to be transferable across occupations and to play a pivotal role in the determination of wages.

Bei vielen Entscheidungen auf politischer, wirtschaftlicher und gesellschaftlicher Ebene spielt die Komponente Zeit eine maßgebliche Rolle. Auf Länderebene beeinflussen beispiels- weise zeitliche Parameter den Umgang mit der Staatsverschuldung, im individuellen Bereich die Haltung zum Sparen. Einstellungen und Vorlieben in Bezug auf Zeit sind in Ländern und Kulturen unterschiedlich ausgeprägt. Prof. Dr. Marc Oliver Rieger (Universität Trier), Prof. Dr. Mei Wang (WHU – Otto Beisheim School of Management) und Prof. Dr. Thorsten Hens (Universität Zürich) haben eine neue Methode zur Ermittlung eines länderspezifischen Zeitpräferenz-Faktors entwickelt, der auch valide internationale Vergleiche ermöglicht. Der Trierer Wirtschaftswissenschaftler Marc Oliver Rieger erklärt das Phänomen und die Tragweite unterschiedlicher zeitlicher Präferenzen am Beispiel der europäischen Finanzkrise. „Tendenziell sind südeuropäische Länder stärker auf die Gegenwart fokussiert. Sie haben daher eine größere Bereitschaft, aktuelle Probleme durch eine höhere Schuldenaufnahme zu lösen, die sich erst in Zukunft nachteilig auswirkt. Andere Länder versuchen Verschuldung zu vermeiden, um daraus resultierende spätere Belastungen durch Schuldenabbau zu minimieren.“