Roy E. Bailey

A Theory of Commodity Price Fluctuations

This paper studies the price fluctuations of storable commodities that are traded in open markets and are subject to random shocks to demand or, more particularly, to supply. It relaxes the common assumption that the shocks are identically and independently distributed in favor of temporally dependent and periodic disturbances. The existence of a unique stationary rational expectations equilibrium is demonstrated for each of the models analyzed, and testable implications of the models are derived. An illustrative empirical investigation is then undertaken for the model with periodic disturbances using monthly time-series observations for seven commodities over the period 1960-93.

Seebohm Rowntree and the postwar poverty puzzle

In his third social survey of York carried out in 1950, Seebohm Rowntree reported a steep decline since 1936 of the percentage of households in poverty. He attributed the bulk of this decline to government welfare reforms enacted during and after the War. Some observers have been uneasy about these striking results, especially with the rediscovery of poverty in the 1960s. In this paper we re-examine the surviving records from the 1950 survey, making the poverty line more consistent with that of 1936 and looking more closely at the measurement of income. We also re-assess the impact of welfare reforms on working class poverty. We find that poverty in York was significantly higher, and the contribution of welfare reform substantially less, than was originally reported. These findings suggest a less optimistic view of the impact of welfare reforms during the Beveridge era.

The Economics of Financial Markets by Roy E. Bailey

The Economics of Financial Markets presents a concise overview of capital markets, suitable for advanced undergraduates and for embarking graduate students in financial economics. Following a brief overview of financial markets – their microstructure and the randomness of stock market prices – this textbook explores how the economics of uncertainty can be applied to financial decision making. The mean-variance model of portfolio selection is discussed in detail, with analysis extended to the capital asset pricing model (CAPM). Arbitrage plays a pivotal role in finance and is studied in a variety of contexts, including the arbitrage pricing theory (APT) model of asset prices. Methods for the empirical evaluation of the CAPM and APT are also discussed, together with the volatility of asset prices, the intertemporal CAPM and the equity premium puzzle. An analysis of bond contracts leads into an assessment of theories of the term structure of interest rates. Finally, financial derivatives are explored, focusing on futures and options contracts.

The Union Wage Effect in Late Nineteenth Century Britain

This paper gives a historical dimension to the impact of trade unions on earnings by estimating the union wage effect in Britain between 1889-90 using data from the US Commissioner of Labour survey conducted at that time. The determinants of union status are also investigated in terms of profit estimation using individual characteristics which may be correlated with union membership. The results of this first stage are used in the computation of selectivity-corrected estimates of the union wage effect. It is found that the effect of union membership on earnings at this time was in the order of 15-20% for a range of different skill levels.

Health, Height, and the Household at the Turn of the Twentieth Century

This article examines the health and height of men born in England and Wales in the 1890s who enlisted in the army at the time of the First World War, using a sample of recruits from the army service records. These are linked to their childhood circumstances as observed in the 1901 census. Econometric results indicate that height on enlistment was positively related to socio-economic class, and negatively to the number of children in the household in 1901 and the proportion of household members who were earners, as well as to the degree of crowding. Adding the characteristics of the locality has little effect on the household-level effects. However local conditions were important; in particular the industrial character of the district, local housing conditions, and the female illiteracy rate. These are interpreted as representing the negative effect on height of the local disease environment. The results suggest that changing conditions at both household and locality levels contributed to the increase in height and health in the following decades.

Unemployment Incidence in Interwar London

The causes of unemployment incidence in interwar Britain have been the subject of much debate since Benjamin and Kochin claimed that it was due largely to generous unemployment benefits. We use the records for 30,000 workers from the New Survey of London Life and Labour (1929-31) to estimate the determinants of unemployment incidence. We find no significant effects of the benefit-wage ratio on the unemployment probability for adult males when we allow for skill and industry effects. Separate regressions for younger males and for females also fail to reveal significant effects from unemployment benefits on the pattern of unemployment incidence.

Natives and migrants in the London labour market, 1929-1931

Migrants are sometimes regarded as marginal workers in metropolitan labour markets. London has long been a major destination for migrants from elsewhere in Britain and abroad. In this paper we examine the earnings and unemployment experience in 1929-1931 of male workers who migrated to London, or within London. We use data from the New Survey of London Life and Labour, a large survey of working class households, the records from which have recently been computerised. Our findings indicate that migrants were not marginal, in fact they enjoyed slightly higher earnings and lower unemployment incidence than native Londoners. Much of the advantage can be explained by differences in average skill levels and personal characteristics.