Do subjective expectations explain asset pricing puzzles?

The structural uncertainty model with Bayesian learning, advanced by Weitzman (AER 2007), provides a framework for gauging the effect of structural uncertainty on asset prices and risk premiums. This paper provides an operational version of this approach that incorporates realistic priors about consumption growth volatility, while guaranteeing finite asset pricing quantities. In contrast to the extant literature, the resulting asset pricing model with subjective expectations yields well-defined expected utility, finite moment generating function of the predictive distribution of consumption growth, and tractable expressions for equity premium and risk-free return. Our quantitative analysis reveals that explaining the historical equity premium and risk-free return, in the context of subjective expectations, requires implausible levels of structural uncertainty. Furthermore, these implausible prior beliefs result in consumption disaster probabilities that virtually coincide with those implied by more realistic priors. At the same time, the two sets of prior beliefs have diametrically opposite asset pricing implications.     

Structural Change in Advanced Nations: A New Set of Stylised Facts*

We provide new evidence on patterns of structural change in advanced economies, reconsidering the stylised facts put forward by Kaldor (1963) , Kuznets (1971) , and Maddison (1980) . Since 1980, the services sector has overwhelmingly predominated in the economic activity of the European Union, Japan, and the US, but there is substantial heterogeneity among services. Personal, finance, and business services have low productivity growth and increasing shares in employment and GDP. By contrast, shares of distribution services are constant, and productivity growth is rapid. We find that the labour share in value‐added is declining, while the use of ICT capital and skilled labour is increasing in all sectors and regions.     

Structures of commitment in mode use: a comparison of Switzerland, Germany and Great Britain

Travellers commit themselves to particular behaviours through the ownership of cars and season tickets. They trade a large one-off payment for low or zero marginal cost at the point of use. It can be assumed that these commitments influence travel behaviour. To the knowledge of the authors there is no literature which addresses the choice between the commitment to the one or the other mode and its impacts on travel behaviour.The paper presents models using structural equation modelling to test a-priori hypotheses on the paths linking car-availability, season-ticket-ownership and modal usage. Modal usage is operationalised as the number of trips by car, public transport, or as the distances travelled by car or public transport. The models are based on three different surveys: Switzerland, Germany and Great Britain. The results confirm the dominance of car-availability, which drives the other variables, but the relationships are more complicated than generally assumed.     

Optimal restructuring under a political constraint

This paper considers the generalised second-best analytics of optimal restructuring under a political constraint, building on the modelling approach in Dehejia (1997, CEPR Discussion Paper No. 1552, Centre for Economic Policy Research, London, January 1997). It is shown that the second-best optimum entails administering the terms-of-trade shock fully at the initiation of the reform, just as in shock therapy, but that this must be supplemented with interventions in domestic factor markets. The effects of these interventions are to speed up the exit of the politically affected factor, labour, and to retard the exit of the other factor, capital, both of which serve to prop-up the wages of workers in the declining sector and hence address the political constraint. The results are in the spirit of the neoclassical theory of distortions and welfare: the optimal intervention targets the affected margin directly, in consonance with the ‘targeting’ principle of Bhagwati–Ramaswami–Johnson.     

美日技术创新的产业分布及其对贸易竞争优势演变的结构效应

本文借用固定市场份额法,通过实证得出:美日两国从上世纪80年代末开始,技术创新产业选择方向出现了明显的不同,从而产业结构(贸易结构)的转换出现了较大差异,美国结构成功转型,贸易竞争优势得到了明显的提高;而日本产业结构和贸易结构转型一直在摸索阶段,结构升级的缓慢是日本贸易竞争优势有所下降的内在原因。     

协整还是协变:来自中国进出口时间序列的经验证据(1950-2004)

结构突变是经典计量经济学所面临的难题之一,也是当前国际计量经济学界的一个前沿热点问题.本文采用带有内生结构突变的单位根检验,判定我国进出口时间序列服从具有两次结构变动的趋势平稳过程,而不是单位根过程.在此基础上进一步建立了同期协同结构突变向量自回归模型,即协变模型,得出了一些与常规的协整分析不同的结论,该模型具有更强的解释能力和更好的预测效果.     

我国股市泡沫状态分析

正确分析当前中国股市的估值水平及泡沫程度,对促进我国股市的健康平稳发展具有重大的现实意义。本文通过对海外市盈率的比较分析,认为我国目前股市市盈率还处于安全区域,静态市盈率短期还会上涨。市场现在的确存在泡沫,但是结构性泡沫,从结构性泡沫到出现全面泡沫,市场可能还有相当一段距离,A股市场第三季度将走向调整。中国股市在未来一段时期内,仍将会以比较高的速率上涨。     

Complexity and the limits to learning

In this paper we look at the manner in which ideas coming from complexity science change our understanding of the cognitive powers of agents that is really necessary to explain the evolution of markets and of firms. The general ideas behind complex systems dynamics and evolution are presented and then two examples are treated in detail. The first in an evolutionary model of a market in which some new product is developed by competing firms and their “task” is to find a strategy in terms of quality and price that will be sustainable. This essentially requires agents/firms to discover mutually compatible strategies, and to create thereby sustainable market niches. The second example considers the internal structure of firms, in terms of their constituent working practices and skills. It demonstrates that it is precisely their ignorance of the consequences of adopting any particular practice that generates diversity in the emergent capabilities of firms, exploring the dimension of potential demand and therefore leading to a successful and sustainable business sector. The work supports the notion that the cognitive abilities that are involved are not about deduction and logic, as a traditional view of rationality might suggest, but are about the development and contraction of interpretive frameworks, which will be different for each player. The paper links these examples to a general recognition of the idea that complex, multi-agent systems evolve through successive “structural attractors”—multi-dimensional dynamical systems—with temporary structural stability. Because real systems contain both the structure and deviations from it, then there is a constant probing of structural stability and the possibility of qualitative change to a new structural attractor. This resembles the ideas in biological evolution related to “punctuated equilibria,” but it also links this to the idea of emergent and evolving networks of interaction, never of course near thermodynamic equilibrium.      

Econometric modelling in the presence of evolutionary change

A methodology is offered which can be used to construct an econometricmodel in the presence of structural change of an evolutionarytype. The theoretical basis for such modelling is drawn fromthe self-organisation approach and operationalised in the contextof the logistic diffusion growth model. The latter is augmentedto allow for the impact of exogenous effects upon both the diffusionrate and boundary limit. We show how the hypothesis of augmentedlogistic diffusion can be falsified using econometric methods.An illustrative case study is used, namely the growth and declineof Australian Building Society Deposits. With the aid of thisexample, it is shown how the approach could be of use to botheconomic forecasters and regulators in conditions of structuralchange where conventional econometric methods are often inappropriate.     

Unemployment persistence in OECD countries after the Great Recession

The 2008 economic downturn in the United States resulted in a wave of contractionary effects across many OECD countries. This paper investigates the pattern of the unemployment persistence in the United States and other 28 OECD countries before and after the Great Recession. To detect possible changes in the pattern of unemployment persistence, we employ a mean bias-corrected estimation of the persistence parameter with a rolling window of five years. In addition, we estimate the most likely date of change in the trend function of unemployment to test whether there was any significant change in the pattern of unemployment persistence after the Great Recession. We find significant evidence of a structural break and hysteresis in unemployment rates, with a persistence parameter close to unity, across the United States and other 28 OECD countries. Besides, bootstrap permutation tests show that all half-lives and impulse response functions have significantly changed after the Great Recession. Therefore, our findings call for structural reforms aimed at improving labor market performance, to prevent upward shifts in unemployment across OECD countries from becoming permanent.