Moment conditions for Almost Stochastic Dominance

This study establishes necessary conditions for Almost Stochastic Dominance criteria of various orders. These conditions take the form of restrictions on algebraic combinations of moments of the probability distributions in question. The relevant set of conditions depends on the relevant order of ASD but not on the critical value for the admissible violation area. These conditions can help to reduce the information requirement and computational burden in practical applications. A numerical example and an empirical application to historical stock market data illustrate the moment conditions. The first four moment conditions in particular seem appealing for many applications.     

Redundancy of Moment Conditions in Restricted GMM Estimation

Using a novel approach to calculating the rank of the difference of two asymptotic variance matrices, The author derives the necessary and sufficient conditions for an extra set of moment conditions to be redundant given a set of moment conditions in GMM estimation with general nonlinear restrictions. The necessary and sufficient conditions derived in this paper include as a special case the redundancy of moment conditions for GMM estimation without restrictions that was first derived by Breusch et al. (1999). Therefore this paper advances the research on redundancy of moment conditions from unrestricted GMM estimation to a larger class of GMM estimation. To show their usefulness, the main results of the current paper are applied to instrumental variables estimation of linear regression models and the efficient estimation of seemingly unrelated regressions models, subject to restrictions.     

THE OPTIMALITY AND CONTROLLABILITY OF MONETARY POLICY THROUGH DELEGATION WITH CONSISTENT TARGETS

This paper uses two game‐theory models, where monetary policy is first ineffective and then effective, to illustrate a delegation scheme that makes consistent policy optimal and controllable. The delegation scheme produces the minimization of both the social and the central bank loss functions. Minimizing the social loss function generates optimality conditions. Minimizing the central bank loss function produces controllability conditions. Optimality conditions depend on specific models, and controllability conditions do not. We propose a concept of consistent targets, which refer to the targets that satisfy both optimality and controllability conditions. Consistent policy proves optimal and controllable in both example models when the government delegates consistent targets to the central bank.     

Welfare criteria for tax reforms : An extension

Pazner and Sadka (1981) offer simple sufficient conditions for accepting or rejecting tax reforms based on the theory of index numbers. We provide not only sufficient conditions but also necessary conditions for the validity of tax reforms. Thus, a complete characterization of tax reforms is obtained.     

The Relationship between Australian Mutual Fund Fees and Risk‐Adjusted Performance in Differing Economic Conditions

We find that Australian mutual fund investors should avoid high fee funds as these funds generate relatively low after‐fee risk‐adjusted returns both unconditionally and in weak economic conditions. This result is different from some of the previous findings which showed that US mutual funds with relatively high expense ratios may generate relatively higher risk‐adjusted returns during recessions relative to non‐recessions, although their unconditional alphas may be negative. We find some support for the Glode hypothesis in surviving Australian wholesale funds. High‐fee surviving Australian wholesale funds perform relatively strongly in both weak economic conditions and unconditionally. High‐fee funds in other types of Australian mutual funds generally do not perform strongly either in weak economic conditions or unconditionally. Amongst low‐fee funds, we commonly find that those that perform well unconditionally and well in weak economic conditions do charge more than those that perform well unconditionally and poorly in weak economic conditions. Amongst low‐fee funds, it is often true that those that perform poorly unconditionally but well in weak economic conditions can charge more than those that perform poorly unconditionally and poorly in weak economic conditions.     

Developing a financial conditions index for a post-transition country: the case of Croatia

The interconnection between financial and business cycles and the importance of surveillance over financial markets emphasise the need for the development of indicators that could trace financial conditions in a country. In this paper, we focus on developing a financial conditions index for a post-transition country – Croatia. Since financial conditions indices for post-transition markets differ from those for developed markets due to differences in the development of their financial systems and the availability of data, we show that financial conditions indices constructed for post-transition markets need to be tailored to the specifics of such markets.     

A note on dependence between a venture and a current prospect

Some sufficient conditions that a random variable be positively correlated with every strictly decreasing function of a second random variable are developed and applied to the problem of choosing the optimal amount of an uncertain venture. Two of the conditions generalize conditions previously employed by Samuelson [5] and Scheffman [6].     

PRIVATE GOOD,EXTERNALITY, PUBLIC GOOD*

In two recent investigations into the economic problems of externality the authors have noted in passing that the welfare or optimality conditions in the case of a consumption externality seemed identical with the welfare conditions in the case of public goods as originally stated by Samuelson.¹ The purpose of this paper is to demonstrate that the welfare conditions for a public good are a special case of the welfare conditions for a consumption externality where a public good is defined as a good ‘which all enjoy in common in the sense that each individual's consumption of such a good leads to no subtraction from any other individual's consumption of that good’ (Samuelson [4]). Since the welfare conditions for a private good are also a special case of the welfare conditions for a consumption externality, it follows that we have a range of externality with the pure private good and the pure public good as polar cases.     

Man's search for meaning: The case of Legos

We investigate how perceived meaning influences labor supply. In a laboratory setting, we manipulate the perceived meaning of simple, repetitive tasks and find a strong influence on subjects’ labor supply. Despite the fact that the wage and the task are identical across the conditions in each experiment, subjects in the less meaningful conditions exhibit reservation wages that are consistently much higher than the subjects in the more meaningful conditions. The result replicates across different types of tasks. Moreover, in the more meaningful conditions, subjects’ productivity influences labor supply more strongly.     

Equilibrium among local jurisdictions: toward an integrated treatment of voting and residential choice

In models of local public goods with mobile consumers, existence of equilibrium is problematic. Difficulties with existence of equilibrium that arise in models with discrete locations and in models with voting are compounded when both features are introduced into the same model. We present conditions under which equilibrium exists in a model where freely mobile households choose community of residence and amount of housing consumption, and vote on the level of public goods provision. These conditions involve restrictions on preferences and the technology of public goods supply. At least some of these conditions appear consistent with empirical observations. We discuss the implications of the conditions, and their role in assuring existence of equilibrium. A series of computational examples provide illustrations of the way these conditions interact, and the difficulties that must be confronted if they are to be relaxed.     

Assessing the impact of varying economic conditions on federal reserve behavior

The purpose of this paper is to examine the nature of the response by the Federal Reserve to changes in economic conditions. Unlike previous studies, however, the specification of the reaction function for the Federal Reserve employed here will take account of the fact that the marginal response may vary with the severity of economic conditions. Whether or not this is the case is determined by developing a generalized spline estimator. It is found that the Federal Reserve's reaction to economic conditions does indeed vary with the severity of these conditions. The implications of this finding are discussed.     

Firm investment and financial conditions in the euro area: evidence from firm-level data

We explore whether the sensitivity of firm-level investment to cash flow, typically associated with an external financing premium, is time-varying and in particular whether it varies with overall financial conditions. We find that financial conditions have indeed played a significant role in corporate investment decisions over recent years, rendering financing constraints even more binding. This finding appears to be robust to a number of control variables and robustness tests. Moreover, the impact of credit conditions is not uniform across firms, but rather it varies depending on firm size and leverage, with constrained firms being substantially more likely to condition their investment decisions on overall credit conditions. Our results cast new light on the interplay between financial and real cycle downturns and underline the need for monetary, fiscal and macroprudential policy to be countercyclical with respect to financial conditions.     

Why are we surprised at surprises? Integrating disruption theory and system analysis with the scenario methodology to help identify disruptions and discontinuities

The scenario literature has limited discussion on the process of identifying the systemic conditions that could create disruption and/or discontinuity. This paper focuses on the integration of Christensen's theory of disruption and system analysis with the scenario methodology to develop a framework that provides an understanding of the underlying systemic conditions that create disruption and/or discontinuity. The framework is developed from a recent scenario case study to show the process of integrating these three theories and approaches. The case study reveals the systemic conditions inherent in the UK energy industry and how these conditions may portend discontinuity.     

Price Stability in Open Economies

This paper studies the theoretical conditions under which price stability is the optimal policy in a two-country open-economy model with imperfect competition and price stickiness. Special conditions on the levels of country-specific distortionary taxation and the intratemporal and intertemporal elasticities of substitution need to be satisfied. These restrictions apply to both cooperative and non-cooperative settings. Importantly, we show that cooperative and non-cooperative solutions do not coincide despite market completeness and producer currency pricing. We study the conditions under which quadratic approximations of single countries' welfare can be correctly evaluated by relying only on log-linear approximations of the equilibrium conditions.     

Building a financial conditions index for the euro area and selected euro area countries: What does it tell us about the crisis?

In this paper we construct financial conditions indices (FCIs) for the euro area, for the period 2003 to 2011, using a wide range of prices, quantities, spreads and survey data, grounded in the theoretical literature. One FCI includes monetary policy variables, whilst two versions without monetary policy are also constructed, enabling us to study the impact of monetary policy on financial conditions. The FCIs constructed fit in well with a narrative of financial conditions since the creation of the monetary union. FCIs for individual euro area countries are also provided, with a view to comparing financial conditions in core and periphery countries. There is evidence of significant divergence both before and during the crisis, which becomes less pronounced when monetary policy variables are included in the FCI. However, the impact of monetary policy on financial conditions appears not to be entirely symmetric across the euro area.     

吉林省开发畜牧业的条件分析与区域战略选择

本文以吉林省的实际背景为出发点,在分析其开发畜牧业的优势条件的基础上提出了促进吉林省畜牧业产业化的有关对策及建议,并结合吉林省东、中、西部的自然条件和社会经济条件的差异提供了具体的区域配置方案。     

US macroeconomic conditions and asymmetric adjustment in Presidential approval

While voters may punish governments for worsening economic conditions, they may not reward them symmetrically for improving conditions. We examine whether US macroeconomic conditions affect Presidential approval asymmetrically using quarterly data from 1961_I to 2009_II. The results suggest that the relationship between Presidential approval and economic aggregates is nonlinear. Long‐run causality runs from the economic variables to Presidential support. The speed of adjustment towards long‐run equilibrium relationship also differs when conditions worsen from when they improve. Finally, we explore the impact of other factors, such as war and Presidential scandal on Presidential approval.     

Aggregation and pairwise aggregation of demand when the distribution of income is fixed

This paper derives necessary and sufficient conditions for “pairwise aggregation” of the demand functions of a group of consumers (conditions under which the mean demand for each pair of consumers satisfies the Slutsky restrictions) when the distribution of income is fixed. The sufficient conditions imply existence of a “representative” competitive consumer whose demand is the mean demand of the group. The necessary conditions imply that such a representative consumer exists for every fixed income distribution only if the consumers have homothetic preferences or, alternatively, if for each price vector, all the consumers' income expansion paths lie in the same plane.     

Do market prices aggregate information about macroeconomic uncertainty (or risk)?

This article examines several economic variables that represent either confidence in future economic conditions or the degree of risk/uncertainty about future conditions in order to determine which contain more information about future employment and output. Some of these variables are prices, while others are from surveys. Causality tests, historical decompositions within a VAR and out-of-sample forecasts are among the tools used. This article concludes that monthly stock returns contain much more information about future economic conditions than the other variables. The spread between Moody’s BAA and AAA bonds, the spread between the constant maturity 10-year government bond and the federal funds rate, as well as uncertainty in future economic conditions as measured by the Federal Reserve Bank of Philadelphia’s Business Outlook Survey also provide information about future economic conditions. Notably, this article finds that monthly stock returns contain more information about future economic conditions than does the vix and that variables based on market prices provide more information than survey data. This result provides some support for the notion that market prices aggregate information.     

Images of economic conditions in West Germany

With data from a December 1982 survey determinants of attitudes on general and personal economic conditions in West Germany are investigated. Such attitudes are differentiated into perceptions, evaluations, and expectations. Objective private living conditions, social background variables, regional economic context, and partisan affiliations are introduced as explanatory variables. Stepwise regression analysis is applied to estimate recursive models for endogenous variables. Apart from sizeable interrelations among components of individuals' images of economic conditions the findings indicate that evaluations and expectations of the private economic situation are strongly affected by social background and personal living conditions, whereas partisan sympathies mainly influence expectations of future general economic development.