Collectives,communes, and incentives

A model of individual-worker incentives in alternative economic organizations—collective, communal, capitalist—is developed. It is demonstrated that, ceteris paribus, incentives are much higher in collectives than in communes, and are likely higher in collectives than in comparable capitalist organizations. The effect on incentives of changes in prices, rent, and organization size is examined, and it is shown that individual incentives in a collective increase with the scale of the organization. The impact of various parameters on hours worked is examined in the framework of utility maximization. The results are compared to those of Domar, Ward, and Vanek.     

Effect Symmetry of Benefit Criteria in Postpurchase Evaluations

This research proposes a theoretical model of postpurchase evaluations that incorporates seven sets of benefits: functional, symbolic, economic, safety, hedonic, moral, and leisure benefits. These benefit criteria are well documented in the literature. The study reported here was designed to test the effect symmetry of these benefit criteria in postpurchase evaluations. Effect symmetry refers to whether increases in a benefit are likely to cause proportional increases in postpurchase evaluations. The study tested the hypothesis that “must‐have” benefits (functional, economic, and safety benefits) are negatively asymmetric, whereas the “nice‐to‐have” benefits (symbolic, hedonic, moral, and leisure benefits) are positively symmetric. Five surveys were conducted in relation to five product categories in four countries (computers and automobiles in the United States, banks in France, housing in Korea, and leisure travel in Germany). Respondents completed 2386 questionnaires, of which 2291 were used in the statistical analysis. With respect to effect symmetry, the results indicate that the criterion of functional benefits is negatively asymmetric in predicting postpurchase evaluations, whereas symbolic and moral benefits are positively asymmetric. Hedonic and leisure benefits are symmetric. Managerial implications are discussed.     

Convenience samples of college students and research reproducibility

Tests of theory in marketing and consumer behavior research are frequently based on convenience samples of undergraduate college students. In a study of business-related ethicality, analysis of data from four dozen convenience samples of undergraduate business students revealed significant differences in means, variances, intercorrelations, and path parameters across the samples. Depending on the particular convenience sample used, relationships between variables and constructs were positive or negative and statistically significant or insignificant. The present research empirically documents, for the first time, the uncertainty created by using convenience samples of college students as research subjects. Only through empirical replications can researchers pragmatically assess the reliability, validity, and generalizability of research findings.     

New Evidence on the Impact of Index Funds in U.S. Grain Futures Markets

Commodity index trader position data are examined for the years prior to the 2007–08 commodity price increase. New data from 2004 to 2005 show that a large increase in commodity index positions occurred in select grain futures markets. However, the increased index participation took place well in advance of the 2007–08 boom in prices. Granger causality tests fail to find any causal link between commodity index activity and grain futures prices. Furthermore, there is little evidence of an index‐induced price bubble using long‐horizon regressions. Nous avons analysé les données sur les positions des opérateurs de marché au cours des années qui ont précédé la hausse des prix des denrées en 2007–08. Selon de nouvelles données pour la période 2004–05, une hausse substantielle des positions liées à l’indice des denrées est survenue sur des marchés de grain à terme sélectionnés. Toutefois, cette hausse des positions est survenue bien avant la montrée en flèche des cours en 2007–08. Le test de causalité de Granger n’a pas permis d’établir l’existence d’un lien de causalité entre l’activité liée à l’indice des denrées et les cours à terme des grains. De plus, les régressions pour processus à mémoire longue ne permettent pas de conclure à l’existence d’une bulle des prix induite par l’indice.     

Extending the universality of the Heath-Jarrow-Morton model

Heath, Jarrow, and Morton (HJM) developed an important model of the evolution of interest rates. A key assumption of the model is that interest rate changes are normally distributed in continuous time. Implementing the HJM-method of evolution of interest rates in discrete time for more complex volatility functions remains a significant challenge. In this article, we present a relatively simple and flexible method of implementation, that extends the usefulness of the HJM model. The derivation assumes that the distribution of interest rates is stable, but not necessarily identical, for each discrete time period. This allows us to identify the drift-adjustment terms necessary to build interest rate lattices and trees and Monte Carlo simulations that satisfy exactly the no-arbitrage and volatility conditions, even complex ones, of the model. The much more difficult discrete-time implementation methods suggested in the literature (Heath, Jarrow, and Morton (1991) [Heath, D., Jarrow, R. & Morton, A. (1991). Contingent claim valuation with a random evolution of interest rates. Review of Futures Markets, 54-76.] and Jarrow (1996) [Jarrow, R. (1996). Modeling fixed income securities and interest rate options. New York, NY: McGraw-Hill Companies Inc.]) do not accomplish that. We illustrate our analytical implementation with three examples of volatility functions and demonstrate its superiority to other methods of implementation.     

中国的金融体制改革为什么那么难?

在中国乃至整个亚洲有一种广泛的共识:银行体系需要改革.但是这项任务被证明是很难完成的. 在中国和亚洲其他地区,银行体系的脆弱性与各政府长久以来所奉行的产业政策有着明显的联系.由于中央计划体制的后遗症,中国的银行体系尤为脆弱.当年在计划体制下,中国的银行体系按照中央计划委员会的指令行事,扮演着被动的角色.政府利用银行贷款作为推动某些产业和企业发展的主要杠杆.即便没有中央计划体制,政府的这种干预仍然是造成道德风险和金融脆弱性的主要原因.     

A speculative bubble in commodity futures prices? Cross‐sectional evidence

Recent accusations against speculators in general and long-only commodity index funds in particular include: increasing market volatility, distorting historical price relationships, and fueling a rapid increase and decrease in the level of commodity prices. Some researchers have argued that these market participants—through their impact on market prices—may have inadvertently prevented the efficient distribution of food aid to deserving groups. Certainly, this result—if substantiated—would counter the classical argument that speculators make prices more efficient and thus improve the economic efficiency of the food marketing system. Given the very important policy implications, it is crucial to develop a more thorough understanding of long-only index funds and their potential market impact. Here, we review the criticisms (and rebuttals) levied against (and for) commodity index funds in recent U.S. Congressional testimonies. Then, additional empirical evidence is added regarding cross-sectional market returns and the relative levels of long-only index fund participation in 12 commodity futures markets. The empirical results provide scant evidence that long-only index funds impact returns across commodity futures markets.     

Diversification disasters

The recent financial crisis has revealed significant externalities and systemic risks that arise from the interconnectedness of financial intermediaries’ risk portfolios. We develop a model in which the negative externality arises because intermediaries’ actions to diversify that are optimal for individual intermediaries may prove to be suboptimal for society. We show that the externality depends critically on the distributional properties of the risks. The optimal social outcome involves less risk-sharing, but also a lower probability for massive collapses of intermediaries. We derive the exact conditions under which risk-sharing restrictions create a socially preferable outcome. Our analysis has implications for regulation of financial institutions and risk management.