Resource scarcity,effort allocation and environmental security: An agent-based theoretical approach

It is widely feared that environmental degradation induced by climate change may lead to economic and political insecurity through channels such as resource scarcity and mass migration. In this paper, we have developed an agent-based model to study whether resource scarcity is likely to lead to an increase in the appropriation of resources in environments where adaptive agents can allocate a fraction of their effort to predatory behavior. By enriching a production and conflict model through the introduction of separate product and resource appropriations, we show how boundedly-rational agents capable of learning can update their adaptive expectations and optimize their allocation decisions using a genetic framework. Arising from a few simple rules, the results show a high level of complexity in agents' allocation behavior with outputs ranging from no statistically significant allocation changes to widespread conflict in the environment, depending on the initial conditions and the nature of the scenarios. Overall the results support previous empirical findings that the main link between resource scarcity and conflict is through changes in the distribution of resources rather than their overall availability.     

Product Patent Reform and its Impact on Korea's Pharmaceutical Industry

Our analysis focuses on the effect of U.S. government pressure on Korea to adopt product patents for chemical and pharmaceutical products. American pressure began in November 1985 and ended with the Korean Legislature's passage of a new patent law in December 1986. We conduct an event study of the effect of the new patent law on the value of Korean pharmaceutical firms listed on the Korea Stock Exchange. Regression analysis shows that the new law induced excess returns of-74 percent over the 14-month analysis period. The results suggest that adoption of stronger patent laws reduced Korea's wealth. [G14, O34]     

The knowledge management strategy and the formation of innovative networks in emerging industries

This paper presents an agent-based simulation model with local network externality to analyze strategic interactions over investment on new economic knowledge. R&D knowledge flows and spillovers are the results of non-cooperative games played between neighboring agents in the model. The model demonstrates a situation where no agents have incentives to hide their economic knowledge, a situation that is observed in open source software development projects. The likelihood of obtaining a stable situation where new economic knowledge is openly shared is increased when heterogeneity of agents is introduced.      

Volume and share quotas in Cournot competition

In this paper, we theoretically discuss volume and share quotas in the market where firms engage in Cournot competition. We show the equivalence among specific taxes, and volume quotas and share quotas with respect to equilibrium quantities. By using these results, we analyze comparative statics effects of volume and share quotas. Further, we apply the results to the examination of international oligopoly models with tariffs, import volume quotas, and import share quotas. Finally, we extend the model to endogenize the set of firms and derive a non-equivalence result of volume quotas and specific taxes.     

Decreasing marginal impatience destabilizes multi-country economies

Despite the empirical evidence that consumers' degree of impatience decreases with wealth, the implication of decreasing marginal impatience (DMI) for general equilibrium dynamics has been insufficiently analyzed. By deriving the stability condition of multi-country equilibrium, we show that DMI is hardly compatible with stability. If there are two or more DMI countries, wealth distribution is necessarily unstable and hence inequality is inevitably divergent. In the presence of a DMI country, the number of interdependent countries should be small enough for stability. To integrate capital markets, participant countries must thus arrange jointly certain stabilizing international schemes.     

ON DECREASING MARGINAL IMPATIENCE*

One of the most controversial assumptions in endogenous time preference theory is that the degree of impatience is marginally increasing in wealth. We examine the implications of an empirically more relevant specification whereby time preference exhibits decreasing marginal impatience (DMI). With DMI, there are multiple steady‐state non‐satiated and satiated equilibria. In a constant interest rate economy, the non‐satiated steady‐state point is necessarily unstable. In a capital economy with decreasing returns technology, both the non‐satiated and satiated steady‐state points can be saddlepoint stable. The model is used to examine policy implications for the effects of capital taxation and government spending.     

Volatility timing: How best to forecast portfolio exposures

This paper investigates how best to forecast optimal portfolio weights in the context of a volatility timing strategy. It measures the economic value of a number of methods for forming optimal portfolios on the basis of realized volatility. These include the traditional econometric approach of forming portfolios from forecasts of the covariance matrix. Both naïve forecasts using simple historical averages, and those generated from econometric models are considered. A novel method, where a time series of optimal portfolio weights are constructed from observed realized volatility and direct forecast is also proposed. A number of naïve forecasts and the approach of directly forecasting portfolio weights show a great deal of merit. Resulting portfolios are of similar economic benefit to a number of competing approaches and are more stable across time. These findings have obvious implications for the manner in which volatility timing is undertaken in a portfolio allocation context.     

Inference on transformed stationary time series

The paper is about an approach for parametric inference on instantaneously transformed stationary processes. The paper discusses the asymptotics of the Whittle estimator of the parameters involved and also provides the explicit expression of the asymptotic covariance matrix which does not necessarily require the innovation Gaussianity assumption. As a specific instantaneous transformation, the paper introduces a new version of the Box–Cox transformation and investigates in detail the vector ARMA processes implemented by that transformation, proposing a computation-intensive procedure for parametric estimation and testing. As a computationally feasible test not relying upon the knowledge of the explicit analytic form of the asymptotic covariance matrix or on the information equality, the paper proposes a Monte Carlo Wald test, providing illustrative simulation and real-data examples.     

GARCH族的模型平均估计方法

研究目标：对模型平均方法进行理论扩展,构建GARCH族的模型平均估计量及相应权重选择准则。研究方法：蒙特卡洛模拟实验方法。研究发现：在一定条件下最小化权重准则选择的权重向量将在渐近意义上最小化真实KL偏离度;蒙特卡洛模拟结果表明,与AIC准则、BIC准则、AIC模型平均、BIC模型平均的估计结果相比较,本文提出的模型平均法具有更小的KL偏离度。研究创新：将模型平均估计方法引入条件异方差模型族中。研究价值：本文结果将为捕捉金融市场资产的时变波动性提供强有力的研究工具。     

Completing Incomplete Revealed Preference Under Limited Attention

This paper discusses how to improve the identification of the preference of a decision‐maker (DM) with limited attention proposed by Masatlioglu, Nakajima and Ozbay (2012). in “Revealed Attention”. Their identification method relies on choice reversals so the obtained revealed preference is often incomplete. We propose three approaches to address this problem. The first one is accommodating a model‐free approach, which respects the DM's choice in making a welfare analysis, as long as it does not contradict the revealed preference of Masatlioglu et al. The second approach incorporates the DM's exogenously obtained attention/inattention information into the model of Masatlioglu et al. The third approach is to take framings that influence the DM's attention into effect for the identification.