---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Fri, 10 Sep 2004 14:00:18 +0200
From: Sylvie Hansbauer <sylvie.hansbauer(a)univie.ac.at>
Subject: wtfs 7. Okt
Wirtschaftstheoretisches Forschungsseminar
der Universität Wien gemeinsam mit dem
Institut für Höhere Studien und der
Nationalökonomischen Gesellschaft
07.10.2004:
16.00 s.t.: Charalambos D. ALIPRANTIS (Purdue University)
Some Applications of Riesz Spaces to Economics,
Finance and Econometrics
17.30 s.t.: Jim MALLEY (University of Glasgow and CESifo)
Electoral Uncertainty, Fiscal Policies and Growth:
Theory and Evidence from Germany, the UK and the US
Nächster Termin: 21.10.04 mit Vorträgen von Robert Nuscheler (WZ Berlin)
und Roland Strausz (FU Berlin)
Abstracts (soweit vorhanden) finden Sie im Anschluss/umseitig.
Die Papiere zu den Vorträgen liegen auf
http://www.univie.ac.at/Wirtschaftswissenschaften/events/WS0304/economicthe…
Die Vorträge finden im Institut für Wirtschaftswissenschaften,
Hohenstaufengasse 9, A-1010 Wien statt. Das Seminar steht allen
Interessierten offen. Insbesondere wird die Teilnahme von
fortgeschrittenen Studierenden begrüßt.
Prof. Gerhard Orosel
Abstracts
Charalambos D. ALIPRANTIS (Purdue University)
Some Applications of Riesz Spaces to Economics, Finance and
Econometrics
Investors often wish to insure themselves against the payoff of their
portfolios falling below a certain value. One way of doing this is by
purchasing an appropriate collection of traded securities. However,
when the derivatives market is not complete, an investor who seeks
portfolio insurance will also be interested in the cheapest hedge that
is marketed. Such insurance will also be interested in the cheapest
hedge that is marketed. Such insurance will not exactly replicate the
desired insured-payoff, but it is the cheapest that can be achieved
using the market.
Analytically, the problem of finding a cheapest insuring portfolio is
a linear programming problem. The present paper provides an
alternative portfolio dominance approach to solving the
minimum-premium insurance portfolio problem. This affords remarkably
rich and intuitive insights to determining and describing the
minimum-premium insurance portfolios.
Jim MALLEY (University of Glasgow and CESifo)
Electoral Uncertainty, Fiscal Policies and Growth:
Theory and Evidence from Germany, the UK and the US
In this paper we study the link between elections, fiscal policy and
economic growth/fluctuations. The set-up is a dynamic stochastic
general equilibrium model of growth and endogenously chosen fiscal
policy, in which two political parties can alternate in power. The
party in office chooses jointly how much to tax and how to allocate
its total expenditure between public consumption and production
services. The main theoretical prediction is that forward-looking
incumbents, with uncertain prospects of re-election, find it optimal
to follow relatively shortsighted fiscal policies, and that this
lowers economic growth. The model is estimated using quarterly data
for Germany, the UK and the US from 1960 to 1999. Our econometric
results provide clear support for the main theoretical prediction.
They also give plausible and significant estimates for the
productivity of public production services, the weight which
households place on public consumption services relative to private
consumption and the time discount rate. Moreover, we find that changes
in electoral uncertainty produce the longest lasting fluctuations in
the European economies followed by the US.