Iterated Kalai–Smorodinsky–Nash compromise

In this paper, we introduce a new two-person bargaining solution, which we call iterated Kalai–Smorodinsky–Nash compromise (IKSNC). For its characterization, we present an axiom called \(\varGamma \)-Decomposability which is satisfied by any solution that is decomposable with respect to a given reference solution \(\varGamma \). We show that the IKSNC solution is uniquely characterized by \(\varGamma \)-Decomposability whenever \(\varGamma \) satisfies the standard axioms of Independence of Equivalent Utility Representations and Symmetry, along with three additional axioms, namely Restricted Monotonicity of Individually Best Extensions, Weak Independence of Irrelevant Alternatives, and Weak Pareto Optimality under Symmetry.     

Multivariate location–scale mixtures of normals and mean–variance–skewness portfolio allocation

We show that the distribution of any portfolio whose components jointly follow a location–scale mixture of normals can be characterised solely by its mean, variance and skewness. Under this distributional assumption, we derive the mean–variance–skewness frontier in closed form, and show that it can be spanned by three funds. For practical purposes, we derive a standardised distribution, provide analytical expressions for the log-likelihood score and explain how to evaluate the information matrix. Finally, we present an empirical application in which we obtain the mean–variance–skewness frontier generated by the ten Datastream US sectoral indices, and conduct spanning tests.     

The age–period–cohort conundrum as two fundamental problems

In general the age–period–cohort (APC) conundrum refers to the problem of separating the effects of age-groups, periods, and cohorts. This formulation, however, fails to differentiate two fundamental problems in APC analysis: (1) the problem of the complete confounding of the linear effects of age with the effects of period and cohort, the linear effects of cohorts with period and age, and the linear effects of period with age and cohort; and (2) the problem of model identification. We elucidate both problems and show how the first problem makes the partitioning of variance between cohort effects, period effects, and age effects and the deviation of their effects from linearity problematic even when these approaches do not suffer from the problems associated with model identification. We conclude by examining the affects of this linear confounding on estimates of the individual effect coefficients for age-groups, periods, and cohorts when a linear constraint it imposed on the matrix of independent variables to produce an identifiable model.     

On blocking coalitions: Linking Mas-Colell with Grodal–Schmeidler–Vind

In this paper we investigate the question of how many coalitions of a given relative size would block a non-Warlasian allocation in large finite economies. It is shown that in finite economies, if a Pareto optimal allocation is bounded away from being Walrasian, then, for any two numbers α$\alpha$ and β$\beta$ between 0 and 1, the proportion of blocking coalitions in the set of all coalitions with relative size between α$\alpha$ and β$\beta$, is arbitrarily close to 1/2, as the number of individuals in the economy becomes large.     

Exchange market pressure on the pound–dollar exchange rate: 1925–1931

This is a study of exchange market pressure against the pound sterling during the inter-war period. The main findings are that (a) the behavior of U.K. fundamentals relative to those of the U.S.A. helps to explain exchange market pressure against the pound; (b) during the run-up to devaluation in September 1931 the monetary authorities in the U.K. were acting to reduce domestic credit; but (c) additional pressure was brought against the pound from speculative sources. These findings relate to current thinking on the choice of exchange rate regime as even well-behaved fundamentals may not be sufficient to sustain a currency on its peg.     

When Public–Private Partnerships Fail

Abstract

This article explores the dynamic and the results of efforts by citizens to resist the costs passed onto them by public–private partnerships for infrastructure, through examining citizen engagement in two problematic projects in Taiwan and China. In both cases, the design and procurement phase focused on the government–investor relation, with no obvious opportunity for citizen voice and costs were displaced onto users. In the operational phase, citizen protest (voice) was more effective in resisting costs in Taiwan where the institutional environment was more open and responsive; in the China case, availability of alternative roads (choice) was crucial in resisting costs.     

Termine 01–02 | 2011

Termine

Termine 01–02 | 2011     

An estimation of US industry-level capital–labor substitution elasticities: support for Cobb–Douglas

A key parameter that determines the distributional impacts of a policy shift in general equilibrium models is the elasticity of substitution between capital and labor. Despite the importance of this parameter in applied modeling, its identification continues to pose a challenge. Given the structure of most growth models, we posit that the true relationship between capital and labor is likely to be close to Cobb–Douglas. Using a rich new data set from the Bureau of Economic Analysis (BEA), we estimate substitution elasticities for 28 industries that cover the entire economy, and provide an indication of the long- and short-run ranges of those estimates. We fail to reject the Cobb–Douglas specification in 20 of the 28 industries. These findings lend support to the Cobb–Douglas specification as a transparent starting point in simulation analysis.     

Box–Cox transforms for realized volatility

The log transformation of realized volatility is often preferred to the raw version of realized volatility because of its superior finite sample properties. One of the possible explanations for this finding is the fact the skewness of the log transformed statistic is smaller than that of the raw statistic. Simulation evidence presented here shows that this is the case. It also shows that the log transform does not completely eliminate skewness in finite samples. This suggests that there may exist other nonlinear transformations that are more effective at reducing the finite sample skewness.     

Model-based approach for importance–performance analysis

The importance that users or customers attach to various services and products is an essential part of customer satisfaction surveys. Some proposals for linking satisfaction and importance can be found in available literature. The objective is to identify and understand the dimensions with high importance but low perceived quality. These dimensions are primary candidates for focused improvement initiatives. In this study, we propose to apply a class of statistical models, denoted as CUB models, generally used to estimate the feeling and the uncertainty, to measure the importance of items on observed overall satisfaction. A questionnaire with explicit variables of importance for each dimension is considered to compare the obtained ranks with the observed ones. Then the estimated importance and the perceived quality, both obtained with the CUB models, will be jointly analyzed in different datasets coming from various fields. This approach will be compared with some others reported in the literature.     

Simple alternatives for Box–Cox transformations

Simple transformations are given for reducing/stabilizing bias, skewness and kurtosis, including the first such transformations for kurtosis. The transformations are based on cumulant expansions and the effect of transformations on their main coefficients. The proposed transformations are compared to the most traditional Box–Cox transformations. They are shown to be more efficient.     

Werner Uhlmann (1928–2011)

Obituary

Werner Uhlmann (1928–2011)     

Work–family enrichment and satisfaction: the mediating role of self-efficacy and work–life balance

Although the direct effects of work–family enrichment on satisfaction are well-documented, previous theoretical predictions and empirical findings of the relationship have been inconsistent. Drawing on social cognitive theory, the current research examined how work–family enrichment contributes to job and family satisfaction by exploring the mediating mechanisms of self-efficacy and work–life balance. This study also empirically validated a new self-efficacy measure using the work–life interface nomological network. A heterogeneous sample of Australian employees (N = 234) from four different organisations responded to two waves of data collection separated by a 12-month interval. Using structural equation modelling, the results of the statistical analysis provided preliminary support for the hypothesised chain mediation model and the newly developed five-item self-efficacy to regulate work and life scale. Specifically, work-to-family enrichment and family-to-work enrichment were positively related to self-efficacy, which in turn had a positive effect on work–life balance. Similarly, work–life balance had a positive impact on job and family satisfaction. Evidence of these relationships over time was demonstrated, thereby emphasising the importance of person–cognitive resources (e.g. self-efficacy) in influencing life outcomes. Validation of the self-efficacy scale also demonstrated robust psychometric properties and criterion validity. Implications of these results were subsequently discussed.     

Leader–member exchange as a moderator of the relationship between employee–organization exchange and affective commitment

While there is some evidence on the outcomes of employee–organization exchange relationships and leader–member exchange (LMX) relationships, less is known about their combined role as predictors of employee outcomes. Relying on a recent conceptualization of social leader–member exchange (SLMX) and economic leader–member exchange (ELMX) as two separate dimensions of LMX, the present study explored whether SLMX and ELMX moderate the associations between organizational social and economic exchange and affective commitment. The main finding was that the association between organizational economic exchange and affective commitment is attenuated by SLMX. In addition, a positive association between intrinsic motivation and affective commitment was also unveiled, suggesting that affective commitment is not only determined by the prosocial motivation emanating from social exchange relationships, but also from the intrinsic motivation inherent in the work itself.     

Searching for a balance: work–family practices,work–team design,and organizational performance

The crucial impact of work–family issues on employee's well-being has been recognized and responded with a variety of research in field of organizational behavior. However, few studies examine the impact of how work–family practices affect productivity at firm-level. Following the research stream of strategic human resource management, we proposed that work–family may form the norm of reciprocity, which is a more sophisticated and more critical, internal social-structure component to enable organizational performance. We also examine the contingent effect, work–team structure – on the extent to which the work–family practices are appreciated by employees – and then create complementarities. We conduct a longitudinal study and utilize a data set of 204 Taiwanese public-traded firms to test our hypotheses. The results show that, contrary to our prediction, utilizing work–family practices does not have a significant positive impact on organizational productivity. However, the most important finding of this study is that there are synergies between work–family practices and work–team design on organizational productivity. Work–team design is an important situation in which the returns of work–family practices can be enhanced.     

Forecasting sales using online review and search engine data: A method based on PCA–DSFOA–BPNN

Traditional sales forecasting methods are mainly based on historical sales data, which result in a certain lag. The relationship between sales volume and its influencing factors is intricate and often non-linear. In view of this, we propose a novel product forecasting method using online reviews and search engine data. Firstly, a dictionary-based sentiment analysis method is developed to convert the textual review concerning each attribute of the product into the corresponding sentiment score. And by combining the prospect theory and relevant online review data, sentiment indices in each period are calculated. Subsequently, data of product-related Baidu search words with different lag orders are collected and screened by time difference correlation analysis. Finally, the forecast model, PCA–DSFOA–BPNN, is constructed by combining the principal component analysis (PCA), the back propagation neural network (BPNN), and the improved fruit fly optimization algorithm (DSFOA), in which sentiment indices, Baidu search data, and historical sales volume are input data. Taking the monthly sales forecast of 14 automobile models as a case study, we observe that the proposed forecast method can effectively improve the forecast accuracy with good robustness.     

Nelson–Plosser revisited: The ACF approach

We detect a new stylized fact that is common to the dynamics of all macroeconomic series, including financial aggregates. Their Auto-Correlation Functions (ACFs) share a common four-parameter functional form that arises from the dynamics of a general equilibrium model with heterogeneous firms. We find that, not only does our formula fit the data better than the ACFs that arise from auto-regressive and fractionally-integrated models, but it also yields the correct shape of the ACF, thus explaining the lags with which macroeconomic variables evolve and the onset of seemingly-sudden turning points. This finding puts a premium on quick and decisive macroeconomic policy interventions at the first signs of a turning point, in contrast to gradualist approaches.     

COMPLEMENTARITY IN INPUT–OUTPUT ANALYSIS AND STOCHASTICS

The complementarity between the quantity and value systems of input–output analysis is shown to be the basis of the complementarity problem approach to computable general equilibrium. The numerical superiority of the latter to the linear programming approach facilitates stochastic analysis of input–output scenarios. For the example where Kyoto targets are underachieved to uncertain degrees, confidence intervals are derived for the associated consumption reductions.