Why the Housing Sector Leads the Whole Economy: The Importance of Collateral Constraints and News Shocks

This paper establishes a dynamic stochastic partial equilibrium model for explaining residential investment dynamics in the United States, focusing on the distinctive cyclical features of residential investment in that it leads the whole economy. This paper is different from the existing literature by adding three new features to the model: news shocks, collateral constraints and agent heterogeneity. The partial equilibrium analysis where interest rates are exogenously fixed shows that these assumptions are essential to generating the dynamic pattern in which residential investment leads consumption and GDP.     

The structure and progressivity of accounting research: the crisis in the academy revisited

Doubts were raised within the accounting research program in the United States in the late 1980s about its progress and future potential. In this paper, we develop criteria for “good” scientific conversation, which leads to progress (defined as innovation and relevance). The key to this process is critical evaluation of background assumptions. The structure of scientific conversation in accounting and economics, whose theories and practices accountants adopted, are examined. We conclude that structural barriers result in a lack of adequate transformative critique, which contributes to the lack of progress in the accounting research program.     

Effects of Restraining Steel Exports from the Republic of Korea and Other Countries to the United States and the European Economic Community

In this article a model is developed to evaluate the impacton an exporting country of a restraint imposed on its exportby an importing economy in the context of a three-region modelof world trade in a single product. The welfare changes in anyof the three regions in the model and in the global economycan be evaluated. The model is applied to the restraints imposed on steel exportsfrom the Republic of Korea to the United States and the EuropeanEconomic Community (EEC). The United States and the EEC arefound to have incurred significant losses as a result of therestraints. The largest part of these losses are quota rentstransferred to Korea and the rest of the world. Under reasonableparameter assumptions, Korea and the rest of the world obtainnet gains from the quotas, because the resource misallocationcosts are smaller than the quota rents. The model is modified to analyze a tariff barrier rather thana quantitative restraint. It is found that an "equivalent" tariffon steel transforms Korea and the rest of the world from netgainers to net losers as a result of a restraint.     

Industry concentration,excess returns and innovation in Australia

This paper examines market concentration and stock returns on the Australian Securities Exchange. We find that dominant companies operating in concentrated industries in Australia are able to generate significant risk‐adjusted excess stock returns. Our results for Australian data are opposite to that found by Hou and Robinson (2006) for United States market data. Hou and Robinson reason that United States firms which operate in concentrated industries are insulated from competitive pressures, have lower levels of innovation (Arrow, 1962) and therefore experience lower profitability and stock returns. By contrast, the Australian data show a significant and positive relationship between concentration and innovation expenditure. Therefore, the excess stock returns of dominant companies in Australia are consistent with previous research linking innovation expenditure with excess stock returns. We hypothesize that the apparent contradiction of our results compared with Hou and Robinson (2006) for the United States market is resolved by an examination of the differences in size and competition in United States and Australian industries and the consequent differential ability of dominant companies in the two countries to generate monopoly rents and invest in ‘Schumpeterian’ (Schumpeter, 1942) innovation.     

The Demand for Assets and Optimal Monetary Aggregation

This paper uses a highly disaggregated demand system to estimate the degree of substitutability among monetary assets and to address the issue of optimal monetary aggregation in the United States. We address the problems of dimensionality and nonlinearity, estimating a very detailed monetary asset demand system encompassing the full range of assets based on the locally flexible normalized quadratic expenditure function. We treat the concavity property as a maintained hypothesis and provide evidence consistent with neoclassical microeconomic theory. Statistical tests reject the appropriateness of the aggregation assumptions for all the money measures published by the Federal Reserve as well as for a large number of groupings suggested by earlier studies. This supports and reinforces Barnett's (2016) assertion that we should employ the broadest M4 monetary aggregate published by the Center for Financial Stability.     

An Empirical Examination of the Dissemination of Equity Price Innovations Between the Emerging Markets of Nordic-Baltic States and Major Advanced Markets

: We employ three econometric models to examine the relative influence of the stock markets of the United States, the United Kingdom, France, and Germany on the stock markets of the Nordic-Baltic states. The results show that the Nordic-Baltic markets respond to price innovations from the United States, the United Kingdom, France, and Germany in diverse ways in the period 2001–2013. Response patterns for Finland, Norway, Sweden, Iceland, and Denmark are more significant to market innovations from the United States, the United Kingdom, and France, and less significant to those from Germany. German influence is more significant over Latvia, Lithuania, and Estonia than the rest of the advanced markets. While the dynamics of the Nordic-Baltic markets exhibit a dominance of own price innovation, the influence of the United States is stronger than that of France, the United Kingdom, and Germany. These results imply that investors from the Nordic States may derive greater benefits by diversifying into Germany and vice versa, rather than diversifying into the United States, the United Kingdom, or France. Investors from the Baltic States may obtain greater advantages by adopting portfolio strategies that take advantage of potentially better diversification benefits obtainable from the United States, the United Kingdom, and France rather than from Germany, and the reverse will also be in order.     

Government Bond Market Seasonality, Diversification, and Cointegration: International Evidence

Using government bond market data for the United States, Canada, the United Kingdom, Germany, France, and Japan, I investigate several hypotheses. Market efficiency is investigated by testing for seasonality and cointegration. The seasonality results are mixed. In regression tests, a January effect is detected in several markets (United States, Germany, France, United Kingdom, and Canada) using local currencies. However, in a nonparametric test, the January effect is supported only for France. When U.S. dollar returns are used, regression results also reveal a January effect for several markets (United States, Germany, France, and United Kingdom). These results are not confirmed by a nonparametric test. Correlation analysis shows considerable diversification opportunities for short‐term investors. Cointegration tests indicate that several of the markets share cointegrating vectors, increasing the possibilities of using other endogenous bond markets to better predict movements in a particular market.     

Insider Trading: Implications and Responses

An understanding of the implications of insider trading can only be achieved by analysing conflicting perceptions of what is meant by inside or privileged information. Empirical evidence on insider trading, mainly reflecting United States experiences, challenges assumptions not only about the impact of insider trading but also the efficiency of financial markets. There are hierarchies of market participants and rules on insider trading capable of practical implementation will only change the rankings. Companies have a property interest in their inside information and should bear the responsibility for its use.     

Quantitative easing and related capital flows into Brazil: Measuring its effects and transmission channels through a rigorous counterfactual evaluation

We show that unconventional monetary policy in the United States appears to influence capital inflows to Brazil and, through this channel, its overall economic outlook and financial stability. In particular, quantitative easing leads to capital inflows, exchange rate appreciation, stock market price increases, credit growth and expansion of domestic activity related to consumption. Such effects are significant when considering both parameter uncertainty and a new significance test for abnormal behavior. According to a new channel identification method proposed in the paper, capital inflow is the only domestic propagation channel that systematically accounts for the estimated effects across variables and samples. Results are robust across a wide range of policy counterfactuals, regime break assumptions, testing procedures and model specifications.     

New development: Macroeconomic fables

This article uses a structural narratology approach to define four archetypal fables concerning managers and organizations, based on whether the narrative involves growth or decline for the protagonist and growth or decline for the organization which the protagonist leads. This approach is applied to three cases: a celebratory-political narrative about the Conservative Party of Canada's victory in the 2011 federal election; Charles Ferguson's Academy Award-winning documentary ‘Inside Job’ about the 2008 financial meltdown; and the ideological-polemical narratives of the Democratic and Republican parties in the United States. The article concludes that narrative analysis helps us understand the structure of these stories and helps us examine and question the assumptions about economic causation that they incorporate.     

International P/L insurance output,input, and productivity comparisons

This research provides (bilateral) divisia and multilateral divisia indexes of output, input, and productivity for the property-liability (P-L) insurance industry for the following countries: United States, West Germany, Switzerland, France, and Japan. The time period studied is 1975 to 1987. The results indicate that considerable diversity exists among different countries, with Japan showing the weakest productivity growth. The United States and West Germany are associated overall with high productivity.     

Lead Paint,Toxic Torts,and the Housing Stock: A Case Study in Risk Assessment

Numerous policymakers have accepted claims in the public health literature that the United States is in the middle of a serious epidemic of childhood lead poisoning, due primarily to lead paint in the housing stock. This article analyzes some of the most influential lead paint epidemiological studies from an economics perspective and finds evidence that the claimed effects of lead on intelligence, school success, and other outcomes may be grossly exaggerated. In addition, the main cost-benefit analysis used by policymakers to advocate lead paint abatement of the entire U.S. housing stock contains serious mathematical errors and strikingly implausible economic assumptions. A corrected model shows that the proposed national abatement policy is likely to yield no net benefit.     

International Business Cycle and Financial Intermediation

The paper extends a standard two‐country international real business cycle model to include financial intermediation by banks of loans and government bonds. The paper contributes an explanation for both the United States relative to the Euro‐area, and the United States relative to China, of cross‐country correlations of loan rates, deposit rates, and the loan premia. It shows a type of financial retrenchment for the United States relative to both Europe and China following a negative bank productivity shock, such as during the 2008 crisis. After 2008, results suggest that the Euro‐area has been more financially integrated with the United States, and China less financially integrated.     

Unemployment insurance in a three-state model of the labor market

The paper extends the model of Krusell et al. (2010) to study the welfare effects of unemployment insurance. The model unemployment insurance program includes four realistic features: 1) a 50% replacement rate up to a benefit cap; 2) finite duration of eligibility during a jobless spell; 3) limited eligibility; and 4) and an imperfectly monitored job search requirement. The model is parameterized to fit the size of scope of unemployment insurance in the United States. Removing unemployment insurance from the model leads to only a 0.1% consumption equivalent increase in average welfare. Simplifying assumptions about the structure of unemployment insurance, such as allowing all job losers to receive benefits, lead to much larger welfare effects similar to the effects found in the past literature. Understanding the welfare effects of unemployment insurance requires careful modeling of the structure of the program.     

人民币双边实际汇率与中国对美出口的实证研究

本文通过建立人民币双边实际汇率与中国对美出口的分析模型,运用协整分析、误差修正模型和脉冲响应函数进行实证研究。结果表明:期望通过人民币升值来解决中美贸易失衡问题的愿望很难有效实现,近年来中国对美出口的大幅增长是与美国自身经济发展的需求有较大关联的,而且这种需求有逐渐增强的趋势;短期内,对美出口的增长远胜于通过人民币升值所期望减少的出口;美国国民收入水平有拉动人民币升值的潜在作用。     

The Pricing of IPOs Post-Sarbanes-Oxley

The Sarbanes-Oxley Act (SOX) imposes new requirements for firms going public. Many provisions of SOX should improve the transparency of U.S. firms going public and therefore reduce the uncertainty surrounding their valuation. We find that initial returns of initial public offerings (IPOs) in the United States have declined since SOX. Furthermore, the aftermarket performance of IPOs since SOX is significantly higher. While the expense of public reporting has increased in the United States because of SOX, the valuations of newly public firms at the time of the IPO are subject to less uncertainty and smaller aftermarket corrections.     

Bankruptcy and Institutions: Theory and Empirical Evidence from Korea and the United States

Using a simple z-score bankruptcy model, this article explores the relationship between bankruptcy threshold and institutions. The z-score threshold for bankruptcy is found to be higher in countries with stronger institutions. To test this claim, a cross-section data set of 86 Korean firms and 60 US firms from 1991 to 2001, extracted from a panel data set, is used. The empirical finding that the z-score bankruptcy threshold in the United States (which has better quality of institutions than does Korea) is higher than that in Korea is consistent with the prediction of the model. Additionally, having examined bankruptcy laws of the two countries, it is found that filing a petition for bankruptcy is easier and debtors rights are better protected in the United States than in Korea, which suggests that the bankruptcy laws of Korea and the United States may be partially responsible for the difference in the z-score threshold for bankruptcy.     

A Markov‐perfect equilibrium model of the impacts of price controls on the performance of the pharmaceutical industry

I introduce a computable dynamic equilibrium model of the pharmaceutical industry, parameterize it using industry facts, and use it to predict what happens if the United States adopts price controls or one or more non‐U.S. countries abandon their controls. The model generates implications for firm value, research and development (R&D), the flow of new drugs, and consumer welfare. I highlight the sensitivity of the results to alternative assumptions about R&D costs, market size, technological opportunities, consumer heterogeneity, the extent to which choices internalize prices, barriers to entry in R&D, the extent to which R&D outcomes are correlated, and the nature of the controls.     

AN ECONOMIC APPRAISAL OF SECURITIZING INSURANCE RISK VIA ONSHORE SPECIAL PURPOSE VEHICLES

ABSTRACT: The increased risk from natural disasters in the United States has prompted innovations in alternative forms of risk transfer and financing. Among the mechanisms that have been developed are Special Purpose Reinsurance Vehicles (SPRVs) designed to hold and segregate funds supporting a risk securitization. SPRVs have been principally formed outside the United States for tax and regulatory reasons. The National Association of Insurance Commissioners (NAIC) and the states are considering proposed model legislation that will facilitate the formation of SPRVs in the United States. Proponents also will be seeking federal tax legislation that will facilitate onshore securitization. This article examines important economic and tax issues involved with onshore SPRVs. The authors conclude that properly regulated onshore securitization vehicles could aid the diversification of high-layer catastrophe risks and other risks with similar characteristics. The proposed tax changes may create a modest inequity between special purpose vehicles and traditional reinsurers, depending on one's perspective. However, if governed by an appropriate tax and regulatory framework, onshore securitization used for appropriate purposes should benefit consumers and not erode the demand for conventional reinsurance for the types of risks it is best suited to manage.     

人民币汇率与企业生产率变动--来自中国的经验证据

基于2000—2007年工业企业微观数据和高度细化的海关数据,本文深入考察了人民币实际有效汇率对中国制造业企业生产率的影响。结果显示:(1)人民币实际有效汇率升值对制造业企业生产率的净效应为正,其通过企业资本劳动要素配置效应、企业选择效应、规模经济效应以及人力资本提升效应对制造业企业的生产率提升产生了积极影响,并且上述结论在考虑了人民币实际有效汇率的内生性问题之后依然稳健;(2)人民币实际有效汇率对企业生产率的影响,因企业出口与否、贸易方式、技术水平和所有制的不同而具有显著的异质性;(3)作为人民币汇率影响企业生产率的制约因素,企业融资能力越强,人民币汇率升值对企业生产率的积极影响越大。