Precautionary saving under liquidity constraints: Evidence from rural Pakistan

This paper investigates precautionary saving under liquidity constraints in Pakistan using household panel data. In particular, while it estimates Kimball's [Kimball, M.S. Precautionary saving in the small and in the large. Econometrica 1990; 58; 53–73.] prudence parameter based on a framework that is similar to Dynan [Dynan, K.E. How prudent are consumers? Journal of Political Economy 1993; 101; 1104–1113.], this study deviates from the framework by explicitly considering liquidity constraints, as in Zeldes [Zeldes, S.P. Consumption and liquidity constraints: an empirical investigation. Journal of Political Economy 1989; 97; 305–346.]. By doing so, this paper attempts to differentiate the standard precautionary saving caused by uncertainty from that caused by liquidity constraints. Furthermore, endogenous liquidity constraints are used in order to resolve issues of selection biases. We find substantial evidence of the presence of precautionary saving in Pakistan. More specifically, the estimated prudence is significantly higher for liquidity-constrained households as compared with unconstrained ones. The finding suggests that the precautionary saving motives appear stronger when households see that their access to credit markets is limited.     

THE NUMÉRAIRE PROPERTY AND LONG‐TERM GROWTH OPTIMALITY FOR DRAWDOWN‐CONSTRAINED INVESTMENTS

We consider the portfolio choice problem for a long‐run investor in a general continuous semimartingale model. We combine the decision criterion of pathwise growth optimality with a flexible specification of attitude toward risk, encoded by a linear drawdown constraint imposed on admissible wealth processes. We define the constrained numéraire property through the notion of expected relative return and prove that drawdown‐constrained numéraire portfolio exists and is unique, but may depend on the investment horizon. However, when sampled at the times of its maximum and asymptotically as the time‐horizon becomes distant, the drawdown‐constrained numéraire portfolio is given explicitly through a model‐independent transformation of the unconstrained numéraire portfolio. The asymptotically growth‐optimal strategy is obtained as limit of numéraire strategies on finite horizons.     

INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES

Using duality methods, we prove several key properties of the indifference price π for contingent claims. The underlying market model is very general and the mathematical formulation is based on a duality naturally induced by the problem. In particular, the indifference price π turns out to be a convex risk measure on the Orlicz space induced by the utility function.     

Inventory investment and financial constraints in the Italian manufacturing industry: A panel data GMM approach

Three large unbalanced panels of Italian manufacturing firms observed over the period 1991–2009 are employed to assess, by means of a dynamic GMM approach, whether the existence of financial frictions is suitable to explain deviations of inventories from their long-run path. A negative response of inventory investment to the presence of financial burdens might provide evidence of a significant role played by the financial framework in conditioning the real side of the economy, especially during recession years, when liquidity problems arise. The negative effect is found over the entire analyzed period, with firms' dimensional aspects accounting more than risk characteristics to explain the phenomenon, but the inclusion of recessionary dummies into the model leads to controversial and puzzling results. A significant recessionary effect is found during the Nineties, accounting for inventories being more sensitive to financial frictions during the main recessionary peaks, 1993 and 1996. The result is not confirmed by the most recent estimates, especially the ones referring to the 2008–2009 recessionary shock, whose effects are investigated for the first time by a paper addressing the inventory investment–financial constraints subject. Alternative hypothesis for the proposed results have been tested on data. Firms were found to rely on inventory decumulation to a lesser extent compared to the past, to generate internal financing. More specifically, disinvestments in financial assets were found to represent, as a matter of fact, one of the main drivers adopted to ease liquidity tensions: a negative and strongly significant relationship with inventory investment was detected, after controlling for short-run liquidity constraints at firm level. By contrast, only a weak negative relationship was established with fixed capital during the same recessionary biennium.     

吉林省农村经济发展中的金融约束分析

金融作为现代经济的核心,是经济发展的重要推动力量。在当前建设社会主义新农村过程中,农村金融肩负着重要的历史使命,但是吉林省目前农村金融体系的制度性缺陷,直接融资渠道匮乏,非正规金融的先天不足,已经成为吉林省农村经济发展中的制约因素。     

被征地农民养老保险制度借鉴与探析——对赣州市被征地农民养老保险制度构建的几点启示

赣州市为解决被征地农民养老保险等社会保障问题投入了大量的人力、物力和财力,取得了一些成绩。但是,由于受诸多因素的影响也存在着一些问题。本文通过对被征地农民养老保险现状和问题的描述,并对我国一些较为典型的被征地农民养老保险模式经验进行阐述和探析,进而对赣州市被征地农民养老保险制度构建提出几点启示,为政府政策的制定提出理论依据,以资借鉴。     

论我国政府主导型国企制度变迁深化的必然及约束

政府主导型制度变迁是国有企业制度变迁的路径依赖之一，这是由客观的社会经济条件决定的。国企制度在同一轨迹上的变迁在取得巨大收益之后已进入边际效益递减、制度容量饱和的阶段，向更高效 水平的制度演进已成为必然。然而，政府主导型制度变迁也面临着政治竞争、交易费用、政治家效用函数、效率与稳定两难选择及其他体制性问题的约束。制度的进一步创新需要政治体制的相应调整、需要坚持政府主导型变迁方式，需要其他外部力量的影响。     

What Affects New and Established Firms’ Expansion? Evidence from Small Firms in Russia

Research on financial constraints of very small firms is scarce because it is difficult to observe and measure their transactions. Previous studies on small enterprises in post-communist countries have focused either on the effect of financing constraints on business growth (Budina et al., 2000, Economics of Transition 8(2), 453–475; Bratkowski et al., 2000, Economics of Transition 8(1), 101–116) or on the effect of property rights (Johnson et al., 2002, American Economic Review 92(5), 1335–1357). This paper provides evidence on both. It turns out that financing constraints and property rights considerations affects investment in firms of different age differently. Younger firms face higher information costs and their expansion is more dependent on the availability of internal funds than is the expansion of older firms. This paper also finds that while the financial sector did not channel funds to the most successful businesses, there is evidence that loans were given to firms that had more transparent transactions. Results also indicate that the security of property rights does not influence investment in young firms, which is interpreted to mean that only the most efficient entrepreneurs entered the market. In older small firms, investment is negatively influenced by the index of security of property rights suggesting that these firms might have “secured” their property rights by bribes. Improvements in the security of property rights, therefore, would help more micro enterprises to be born as well as decrease transaction cost of established enterprises.      

资源禀赋、增长模式与可持续发展

在经济增长路径的选择过程中,如果无视中国的基本国情,片面强调快速发展大规模的资本、技术密集型产业,则:一方面,会加大自然资源和资本的供给缺口,使经济发展与生态环境的关系更加紧张;另一方面,会导致大量失业,影响社会稳定,从而损害可持续发展的社会基础。因此,我国的经济增长路径的选择与转变应立足于可持续发展的高度,确立合理的技术结构;同时加快制度创新步伐,为确立适合中国国情的经济增长路径的提供制度保证。     

Is the Dutch consumer a true ricardian?

Summary In this paper the intertemporal optimization approach is adopted in order to estimate an empirical version of Blanchard's (1985) overlapping generations model. The observed sluggishness in consumption is incorporated into the model by recognizing both durability and habit formation as relevant determinants of total consumption. The model is estimated using quarterly data for The Netherlands from 1969:I to 1990:IV. The empirical estimates suggest that the status of the Dutch consumer as a true Ricardian is unambiguously rejected. The results furthermore suggest that this rejection is due to the existence of both liquidity constraints and finite planning horizons.Comments by Peter Broer, Jeroen Kremers, Debora Molenaar, Rick van der Ploeg, Frans Spinnewyn, Casper de Vries, Ed Westerhout and two anonymous referees are very much appreciated. Elbert Dijkgraaf has provided invaluable research assistance. We also thank participants of the OCFEB workshop and the CES seminar at the K.U. Leuven for their comments.