Die Produktivität,ihre Messung und Steigerung

Ohne Zusammenfassung     

Consistent recalibration of yield curve models

The analytical tractability of affine (short rate) models, such as the Vasi?ek and the Cox–Ingersoll–Ross (CIR) models, has made them a popular choice for modeling the dynamics of interest rates. However, in order to properly account for the dynamics of real data, these models must exhibit time‐dependent or even stochastic parameters. This breaks their tractability, and modeling and simulating become an arduous task. We introduce a new class of Heath–Jarrow–Morton (HJM) models that both fit the dynamics of real market data and remain tractable. We call these models consistent recalibration (CRC) models. CRC models appear as limits of concatenations of forward rate increments, each belonging to a Hull–White extended affine factor model with possibly different parameters. That is, we construct HJM models from “tangent” affine models. We develop a theory for continuous path versions of such models and discuss their numerical implementations within the Vasi?ek and CIR frameworks.     

A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES

A method based on transformations of well-known solutions of term structure equations is presented in order to incorporate Martin Barlow's spot price model for electricity into a model for future prices on electricity. The setting for the evolution of term structures is chosen in the spirit of Da Prato and Zabczyk.     

Interregionale Lieferverflechtungen in Österreich 1976

Summary The first multiregional input-output table (MRIOT) for Austria is the product of an attempt to apply an information-minimizing model to a set of data of varying quality. This set includes data of high reliability, rough estimates, and a number of hypotheses. Since this exercise represents a kind of pilot study, not much attention was paid to refined statistical analysis. Thus the results should rather be taken as an attempt to test the underlying methodology.However, the relatively favorable data situation for 1976 and the flexibility of the mathematical model led to estimates which might be considered a rough approximation of intersectoral and interregional relations in Austria.     

Die Erstellung der fortgeschriebenen Input-Output-Tabelle 1970

Summary The Austrian Input-Output Table for 1970 (32×32, current, purchaser prices) was estimated on the basis of the official 1964 table (55×55), using a slightly modified version ofC. Almon's rejuvenating procedure. This biproportional algorithm permits the introduction of information on intermediate deliveries for the target year as well as the explicit consideration of different degrees of reliability attached to this kind of information. In addition, an import matrix for 1970 was used to define lower boundaries for the elements of the updated Input-Output Table. The results of the updating procedure were tested for plausibility in successive steps and a number of restrictions was imposed on elements or sums of elements to ascertain a good updating performance.Besides methodological aspects of updating the article concentrates on statistical problems connected with the estimation of margins (gross production, value added and final demand by Input-Output sectors) and intermediate deliveries in Austria for 1970.