Time Inhomogeneous Multiple Volatility Modeling

Price variations at speculative markets exhibit positive autocorrelationand cross correlation. Due to large parameter spaces necessaryfor joint modeling of variances and covariances, multivariateparametric volatility models become easily intractable in practice.We propose an adaptive procedure that identifies periods ofsecond-order homogeneity for each moment in time. To overcomethe high dimensionality of the problem we transform the multivariateseries into a set of univariate processes. We discuss thoroughlythe implementation of the adaptive technique. Theoretical andMonte Carlo results are given. We provide two applications ofthe new method. For a bivariate exchange rate series we comparethe multivariate GARCH approach with our method and find thelatter to be more in line with the underlying assumption ofindependently distributed innovations. Analyzing a 23-dimensionalvector of asset returns we underscore the case for adaptivemodeling in high-dimensional systems.     

Determinants of Current Account Imbalances in 16 OECD Countries: An Out-Of-Sample Perspective

We employ panel data as well as country-specific models to uncover empirically the determinants of current account imbalances. We find evidence of slope heterogeneity likely rendering the fixed-effect estimator inconsistent. Mean group estimation is followed to overcome the latter difficulty. Both estimation techniques are evaluated by means of in- and out-of-sample criteria. The mean group estimator outperforms the fixed-effect approach and, moreover, only three economic variables are found to impact on the current account balance significantly. These are the government budget balance, the domestic output gap and the changes of the terms of trade. We finally propose a parsimonious dynamic model of the current account, including only these variables and illustrate that it has similar predictive accuracy as country-specific benchmark models. JEL no. F32, C23, C53     

Random Advertising and Monopolistic Price Dispersion

We investigate the role of price advertising in a market where consumers are imperfectly informed about prices. We consider a monopolist whose demand depends on price and advertising expenditure. This demand function is derived from optimizing behavior of consumers. Uninformed consumers may pay a cost to visit the seller and obtain price information. Advertising enables the monopolist to increase the number of informed consumers. In equilibrium the uninformed consumers form rational price expectations, and the seller necessarily adopts a random pricing and advertising strategy.     

Analysis of cointegrated VARMA processes

VARMA (vector autoregressive moving average) processes are proposed for modelling cointegrated variables. For this purpose the echelon form is combined with the error correction form. Procedures for estimating the Kronecker indices which characterize the echelon form and for specifying the cointegration rank are discussed. The asymptotic distribution of the coefficient estimators is given. An example based o n US macroeconomic data illustrates the procedure and demonstrates its feasibility in practice.     

Infrastructure provision and international market share rivalry

The paper examines a model of strategic infrastructure investment. Two oligopolistic firms compete on home and foreign product markets for market shares. The national governments support the firms in the market rivalry by providing cost reducing public infrastructure services that are financed out of taxing an input used in the production process. It is shown, that infrastructure policy can be used as an instrument for strategic trade policy. However, governments are facing the problem of balancing the burden of taxation and the benefits of infrastructures. The theoretical model also raises some critical issues with respect to the policy relevance of recent empirical infrastructure research.     

Consumer reporting: A conceptual framework for the organizational level

In this paper, a conceptual framework for consumer reporting at the organizational level is developed. Consumer reporting is defined as the provision of information by an organization to its consumers with respect to the effects of its activities judged relevant by those consumers. In this context, the term organization covers business firms but also governmental agencies, hospitals, charities, and other non-profit organizations with relations to their consumers/clients.The concept of consumer satisfaction is regarded as the core element of consumer reporting. Several issues with respect to consumer satisfaction and dissatisfaction as well as their measurement are discussed. It is concluded that perceptual indicators of consumer satisfaction should constitute the core of consumer reporting in establishing the consumer profile of the organization. However, additional information could be provided too, for instance situational indicators of consumer satisfaction or information about consumer dissatisfaction. All of this information should be geared towards the goal of accounting for the resulting organizational strategy and policies towards the consumers. Several practical examples are given to illustrate the items about which information can be provided and the fact that consumer reporting can be realized in practice.

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Berichterstattung von Organisationen für Verbraucher: ein konzeptioneller Rahmen

Zusammenfassung Eine solche Berichterstattung wird im vorliegenden Beitrag definiert als Informationen einer Organisation für ihre Konsumenten über diejenigen Wirkungen ihrer Aktivitäten, die von diesen Konsumenten für wichtig gehalten werden. Der Begriff Organisation steht hier nicht nur für kommerzielle Firmen, sondern auch für Behörden, Krankenhäuser, Stiftungen und andere nicht gewinnorientierte Organisationen mit ihren jeweiligen Beziehungen zu ihren Verbrauchern bzw. Klienten.Das Konzept der Verbraucherzufriedenheit steht dabei im Mittelpunkt. Deshalb werden zunächst dieses Konzept und die Methoden zur Messung von Verbraucherzufriedenheit diskutiert. Ergebnis ist dabei, daß das Konsumentenprofil einer Organisation durch perzipierte Indikatoren ermöglicht wird. Figur 1 gibt hierfür ein Beispiel. Das Konsumentenprofiel kann durch situative Indikatoren und durch Informationen über Verbraucherzufriedenheit ergänzt werden (Figur 2). Alle diese Informationen sollten zum Ziel haben, die Unternehmenspolitik gegenüber den Konsumenten zu verantworten.Zum Schluß werden einige praktische Beispiele behandelt, die einerseits zeigen, welche Informationen solche Berichterstattungen enthalten können, und andererseits, daß es in der Praxis bereits Ansätze in dieser Richtung gibt.

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Hans Kasper is Associate Professor of Marketing and Hein Schreuder Professor of Business Economics at the Faculty of Economics, University of Limburg, P.O. Box 616, NL-6200 MD Masstricht, The Netherlands.