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This article examines option pricing performance using realized volatilities with or without handling microstructure noise, non‐trading hours and large jumps. The dynamics of realized volatility is specified by ARFIMA(X) and HAR(X) models. The main results using put options on the Nikkei 225 index are that: (i) the ARFIMAX model performs best; (ii) the Hansen and Lunde (2005a) adjustment for non‐trading hours improves the performance; (iii) methods for reducing microstructure noise‐induced bias yield better performance, while if the Hansen–Lunde adjustment is used, the other methods are not necessarily needed; and (iv) the performance is unaffected by removing large jumps from realized volatility. 相似文献
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There is a controversy in the USA and several European countries on whether or not an increase in imports in manufacturing goods from low-wage developing countries has major effects on employment and wages in industrialized countries. This paper examines the issue for Japanese imports, paying a particular attention to the effect of manufacturing imports from Asian countries on employment and wages in Japan. It is found that the effect has not been large to date, but that there could be negative effects on employment and, in particular, wages if imports from China and India were to increase substantially. 相似文献
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Presence of foreign commercial banks, especially the Japanese Commercial banks, in the United States has become the subject of much attention. As of December 1990, assets owned by branches of foreign banks amount to $626.4 billion of which Japanese bank branches hold a 59.4 percent share and of the $154.5 billion worth of assets held by subsidiaries of foreign banks, the share held by Japanese-owned subsidiaries is 41.2 percent. This paper presents an economic analysis of the situation drawing upon the comparative behavior patterns with respect to direct foreign investment of Japanese and U.S. commercial banks. 相似文献
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Ritsuko Futagami Kimiyoshi Kamada & Toshiaki Tachibanaki 《Review of Income and Wealth》2002,48(2):235-244
This paper investigates income transfers between dynastic families caused by a public pension system. Using Japanese data, we present simulation results based on a model in which intergenerational altruism works, and income distribution exists between and within generations. The growth rates of income and population, as well as the formulation for the determination of the contribution rate and the payment rate, are crucial to determine both the qualitative and quantitative effects. Especially, under negative income growth over generations, pay–as–you–go public pensions can cause negative income redistribution. 相似文献
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This paper examines the redistributive effect of public pension programs in the framework of a two-period analysis. Private saving is also considered for comparison purposes as an alternative to public pension for assuring consumption during retirement. An emphasis is placed on investigating the effect of the various formulae for the determination of both the benefit level and the contribution, with the additional purpose of examining the effect of a maximum limit. The Japanese pension systems are evaluated on the basis of the above model framework in comparison with the British system. 相似文献
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Tomohiko Takeuchi Toshiaki Tachibanaki 《Journal of the Japanese and International Economies》2004,18(4):551-564
This paper investigates the differences between the defined benefit plans (DB) and the defined contribution plans (DC) in the enterprise pension programs in Japan. Attention is paid not only to the effect of labor turnover but also to the difference in various categories of workers, which are classified by gender, education, timing of labor turnover, etc. Also, we take into consideration the effect of interest rates. One important conclusion of this paper is that the DC plan is superior to the DB plan, in contrast to the common belief. J. Japanese Int. Economies 18 (4) (2004) 551–564. 相似文献
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In this paper, we consider reforming the tax system to a comprehensive income tax model in order to amend the differential treatment of income sources. Our simulation analysis shows that the tax reform improves the effectiveness of the tax system on the redistribution of all sources of income including earned income, financial wealth income, and imputed rent. The analysis of incidence of the tax reform suggests that the tax burden for young renters decreases the most and that for young loan-free land owners increases the most through this tax reform. 相似文献
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Populations of many countries are expected to decrease rapidly, with a simultaneous increase in the proportion of elderly people. These population dynamics will affect residential location patterns of young and old people because of their different preferences for local (zonal) amenities. Using an overlapping generations model in a closed city with two zones, this paper demonstrates how younger and older generations reside in the two zones and classifies the residential patterns into three patterns. Results of analyses underscore how the three residential patterns arise according to the respective population dynamics and zone amenities. Furthermore, by exploring the equilibrium utility paths of young and old people for each residential pattern, we show that the change in the population dynamics can produce an unfair change over generations with different birthdates. 相似文献
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