Financial programming in the framework of optimal control

Zusammenfassung Finanzprogrammierung im Rahmen optimaler Kontrolle. — Dieser Aufsatz ist eine Darstellung der Finanzprogrammierung, verstanden als Formulierung eines Bündels von quantitativen und koordinierten wirtschaftspolitischen Ma\nahmen zum Erreichen bestimmter ?konomischer Ziele innerhalb einer relativ kurzen Zeitspanne. Es wird postuliert, da\ ein Modell mit simultanen Gleichungen auf der Basis eines Flow-of-funds-Systems die Voraussetzung für Finanzprogrammierungist. Das in diesem Aufsatz dargestellte Modell teilt die Volkswirtschaft in die Sektoren privater Sektor, ?ffentlicher Sektor, Ausland und Banken-system und enth?lt daher vier sektorale Bilanzgleichungen, die Verhaltensgleichungen und die Definitionsgleichungen. Als Zielvariable werden das Produktionsniveau und die Ver?nderungen der Netto-Devisenreserven gew?hlt. Die Transmissionsmechanismen und die unterschiedlichen Auswirkungen von Geld- und Fiskalpolitik in Form von ?nderungen der heimischen Nettokredite des Bankensystems und der ?ffentlichen Kapitalausgaben werden in diesem theoretischen Rahmen diskutiert. Es wird hervorgehoben, da\ zwar die erforderliche Ver?nderung des heimischen Nettokredits in einem Finanzprogramm ann?hernd ermittelt werden kann, indem man die ?nderung der heimischen Liquidit?t voraussch?tzt und davon die angestrebte ?nderung der Netto-Devisenreserven abzieht; die genauen Gr?\en für beide Instrumente müssen aber gemeinsam bestimmt werden, da beide Instrumente beide Zielvariablen beeinflussen. Der Schlu\teil des Aufsatzes behandelt die Anwendung der Kontrolltheorie in der Finanzprogrammierung unter der Bedingung der Sicherheit. Es wird gezeigt, da\ dann, wenn die Zielfunktion quadratisch und das Finanzprogrammierungsmodell linear ist — so wie es in dem Aufsatz dargestellt wird — die optimale Politik die Form einer linearen Rückkopplungs-Kontrollgleichung annimmt, d. h. die erforderlichen wirtschaftspolitischen Instrumente k?nnen als eine lineare Funktion der verz?gerten endogenen Variablen und der exogenen Faktoren ausgedrückt werden, zu denen auch die Zielwerte der Zielvariablen z?hlen. Zur Illustration werden die Parameter des Modells mit Daten für die Philippinen gesch?tzt, und die optimale Kontrollgleichung wird abgeleitet.

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Résumé La programmation financière dans le cadre du contr?le optimum. — Cet article est une exposition de la programmation financière définie comme formulation d’une série des mesures politiques quantitatives et coordonnées avec l’intention d’arriver aux certains buts économiques dans l’espace d’une période future relativement brève. Nous proposons qu’un modèle d’équation-simultanée construit sur la base d’un schème ?flow-of-funds? est essentiel pour la programmation financière. Dans le modèle spécifié dans l’article, l’économie est subdivisée dans un secteur privé, un secteur de gouvernement, un secteur étranger et un système bancaire. La forme structurelle du modèle, c’est pourquoi, comprend quatre restrictions de balance sectorielle ensemble avec les relations de réactions et les identités de définition. Nous choisissons le niveau de la production et le changement des réserves de change nettes pour les variables de but. Dans le cadre théorique nous discutons le mécanisme de transmission et les effets de différentiel des politiques monétaires et fiscales en forme du changement du crédit local net du système bancaire et, respectivement, des dépenses de capitaux du gouvernement. Nous soulignons que — bien que le changement nécessaire du credit local net dans un programme financier puisse être approché en predisant le changement de la liquidité locale et en soustraisant le changement de but des réserves de change nettes de lui — les magnitudes exactes des deux instruments doivent être déterminées jointement parce que les deux instruments affectuent les deux variables de but. La part finale de l’article concerne d’application de la Théorie de Contr?le sur la programmation financière sous les conditions de la certitude. Nous démonstrons que dans le cas où la fonction de but est carrée et le modèle de programmation financière est linéaire comme le modèle présenté dans l’article, la politique optimum prend la forme d’une linéaire équation de contrℓe de réaction, c’est-à-dire, les instruments nécessaires de politique peuvent être exprimé comme fonction linéaire des variables endogènes retardées et des facteurs exogènes en incluant les valeurs de but des variables de but. Pour l’illustrer, nous estimons les paramètres du modèle en utilisant les données pour les Philippines, et nous dérivons l’équation optimum de contr?le.

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Resumen Programación financiera en el marco de un control óptimo. — Este artículo consiste en una expositión de la programación financiera, definida como la formulatión de un set de medidas de política cuantitativas y coordinadas con el fin de alcanzar ciertas metas económicas dentro de un período futuro relativamente corto. Se propone, que un modelo de ecuaciones simultáneas construido sobre la basis de un esquema de flujo de fondos es esencial para la programación financiera. En el modelo especificado en el articulo, la economía se ha sectorizado en un sector privado, un sector estatal, un sector externo y un sector hancario. La forma estructural del modelo comprende, por lo tanto, cuatro restricciones de equilibrio sectoriales junto con relaciones de comportamiento y las identidades deficionales. El nivel de productión y el cambio en reservas extranjeras netas se eligen como variables de meta. Dentro del marco teórico se discuten los mecanismos de transmisión y los efectos diferenciales de politicas monetarias y fiscales en las formas de variatión del crédito doméstico neto del sistema bancario y gastos de capital del gobierno respectivamente. Se subraya, que a pesar de que el cambio requerido en el crédito doméstico neto en un programa financiero puede aproximarse pronosticando la variation en liquidez doméstica y sustrayendo de la misma el cambio programado como meta para las reservas extranjeras, las magnitudes precisas de ambos instrumentes deben determinarse conjuntamente, ya que ambos instrumentes afectan las dos variables-metas. La parte final del articulo se ocupa de la aplicación de la teorfa de control en la programación financiera bajo condiciones de certeza. Se muestra que el caso donde la función objetivo es cuadrática y el modelo de programación financiera es lineal, como aquél presentado en este artículo, la política óptima toma la forma de una ecuación de control lineal de realimentación, p. ej., los instrumentes de política requeridos pueden expresarse como una función lineal de las variables endógenas retrasadas y de factores exógenos, incluyendo los valores-meta de las variables-meta. Con el propósito de ilustración, los parámetras del modelo se estiman utilizando dates de las Filipinas, y la ecuación de control óptimo derivada.

     

Capital investment practices: A survey of large corporations in Malaysia,Singapore and Hong Kong

This paper presents the results of a survey on the capital investment practices of large corporations in Malaysia, Singapore and Hong Kong. Our findings are fairly consistent with those from similar U.S. surveys. However, Malaysia, Singapore and Hong Kong companies seem to use multiple techniques, both simple and sophisticated, in evaluating investment projects, while U.S. companies appear to make great use of discounted cash-flow rate of return. Although Malaysia, Singapore and Hong Kong companies often make annual cash-flow forecasts over the life of a project, they do not undertake much analysis of risk involved in the project. Moreover, there is room for improving the practice of project implementation, the post-audit of implemented projects, and the use of post-audit data.Dr Wong Kie Ann is with the School of Management, National University of Singapore; Dr Edward J Farragner is with the Department of Finance, DePaul University, U.S.A.; and Mr Rupert K.C. Leung is with the Department of Business Management, Hong Kong Baptist College.     

Hong Kong Output Dynamics: An Empirical Analysis

Abstract. Advanced statistical techniques are used to analyze Hong Kong output dynamics. Hong Kong, Japan and the US are found to share some common long‐term and short‐term cyclical variations. While the Hong Kong economy is susceptible to external shocks and Granger‐caused by the other two economies, local factors account for a large proportion of output growth variability and uncertainty. On the transmission mechanism, the selected trade and financial variables have incremental explanatory power but do not lessen the ability of lagged output variables to explain Hong Kong growth dynamics. Interestingly, the US does not appear to exert undue influences on Hong Kong.     

Cross‐country Relative Price Volatility: Effects of Market Structure*

Using annual data on nine manufacturing sectors of 18 OECD countries, the article studies the implications of market structure for cross‐country relative price variability. It is found that, in accordance with predictions from a standard markup pricing model, reductions in market competition, along with increased nominal exchange rate volatility, are associated with greater variability of cross‐country relative prices. The market structure also has similar effects on components of cross‐country relative price variability. The empirical findings are robust to the inclusion of various control variables and alternative sample specifications.     

On a Morgenstern-type bivariate gamma distribution

Summary In this paper a Morgenstern-type bivariate gamma distribution has been studied. Its moment generating function has been derived. The distribution of the product and quotient are derived in terms of the modified Bessel function. The results for the independent case follow as special cases. Further the regression function has been analysed, in terms of its deviation from linear regression function.This research was initiated while the first author was a U.N. Consultant under the Statistical Training Program for Africa, visiting the University of Ghana.     

Some aspects of China's agricultural development experience: Implications for developing countries in Asia

China's rather ‘unorthodox’ rural development strategies have attracted growing interest from developing countries in search of more effective development alternatives. The Chinese experiment is characterized by: (1) heavy emphasis on the institutional precondition for agricultural development; (2) rejection of urban-biased policies for more balanced strategies comprising many distinctly pro-agrarian measures; and (3) an integrated approach, centred primarily on the communes, which closely links production to distribution, rural capital formation, rural industrialization, and a wide range of non-farm activities. The Chinese experience should be instructive to many developing countries, even though its direct transfer-ability to different political and social contexts is often called into question.     

China's wheat import programme

China is the world's largest foodgrain producer. It is also the world's major grain trader. China's participation in the world's grain market is unique because of its importance as both a grain importer and exporter, unlike other grain trading nations. This article considers the reasons for China's wheat import programme by following the controversy among Chinese academics, and attempts a more systematic appraisal by the application of regression analysis.     

Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach

This paper represents the first attempt to apply a stochastic dominance (SD) approach to examine the efficiency of the UK covered warrants market. Our empirical analyses reveal that neither covered warrants nor their underlying shares stochastically dominate the other, indicating the nonexistence of potential arbitrage gains in either wealth or utility, which implies market efficiency. To complement the SD results, we also employ a likelihood ratio (LR) test to examine information efficiency. A bootstrap methodology is developed to correct the size distortion of the LR test. Our findings show that UK covered warrant returns efficiently reflect the return information of the underlying shares.     

Organizational coordination, development proficiency, and on-time completion of development and international rollout: A contingency analysis of external environments

This study examines the moderating effects of external environmental variables on the relationships between organizational coordination, quality of implementation of new product development (NPD) activities, and on-time completion of (or timeliness in) product development and international new product rollout (INPR) among manufacturing firms in Korea. The results indicate that quality of marketing execution is of greater importance for achieving on-time NPD and multi-country rollout in markets where competitive intensity is high than when it is low. The positive effect of HQ-subsidiary relationships on INPR timeliness is strengthened in rapid rather than slower technology-change environments. By contrast, the positive effect of HQ-subsidiary relationships on INPR timeliness is weakened in high rather than lower competitive-intensity environments. In addition, the beneficial effect of cross-functional integration on NPD timeliness is weakened in markets characterized by a high rate of technological change. The article also discusses the theoretical and managerial implications of the findings.     

The roles of stakeholder support and procedure-oriented management on asset recovery

As the management of returned products is fast becoming a business trend caused by pressure for compliance, asset recovery is increasingly viewed as a fertile area for firms to reduce cost and improve quality. Environmental management is a viable approach for Chinese manufacturers to respond to the escalating international quest for conserving the environment, to tackle the problem of rising raw material costs, and to improve product quality by analyzing returned products. To reach the goals of cost reduction and product quality improvement, manufacturers need to understand how asset recovery can be leveraged through procedure-based practices and stakeholder support to enhance performance. Product type, characterized by different levels of demand uncertainty and time-to-market, may affect the outcomes of asset recovery adoption and should also be taken into account. Drawing on the environmental management and business logistics literature, we provide empirical insights on asset recovery adoption using survey data collected from export-oriented Chinese manufacturers. We find that asset recovery and stakeholder support are complementary in strengthening manufacturers' financial performance regardless of product type. In addition, the performance impact of asset recovery can be substantial when manufacturers' environmental management practices are less procedural, allowing flexibility in the logistics management of product flows.