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This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection buyer or seller the right to step-up, step-down, or cancel the swap position. The pricing problem is formulated under a structural credit risk model based on Lévy processes. This leads to the analytic and numerical studies of several optimal stopping problems subject to early termination due to default. In a general spectrally negative Lévy model, we rigorously derive the optimal exercise strategy. This allows for instant computation of the credit spread under various specifications. Numerical examples are provided to examine the impacts of default risk and contractual features on the credit spread and exercise strategy.  相似文献   
2.
This paper attempts to reconcile the controversy regarding Japan's total factor productivity during its slump in the 1990s by clarifying the role of capital utilization. Hayashi and Prescott (2002) emphasized that the decline in the exogenous total factor productivity growth rate was the main cause. However, some empirical studies have also pointed out that the fall in capital utilization rates accounted for a large part of the decline in the total factor productivity growth rate. In this study we incorporate variable capital utilization into a neoclassical growth model, calculate total factor productivity taking into account capital utilization, and simulate the aggregate output and capital-output ratio. We found that although our total factor productivity growth rate in the 1990s is consistent with empirical studies, our simulation can explain the observed data. This result indicates the importance of capital utilization rates as a source of propagation during Japan's depression.  相似文献   
3.

The economic role of elderly people is underestimated in the context of the debate on pension reforms. This is because, as healthy life expectancy increases, the elderly become more active not only in the labor market but also in household production. Using a three-period overlapping-generations model in which grandparents allocate time between labor and informal childcare (“grandparenting”), we analyze the interaction among grandparenting, fertility, elderly labor, and public pensions. We obtain two analytical results. First, increasing the pension contribution rate increases grandparenting. Second, elderly labor force participation rates are negatively (positively) related to the fertility rates among countries with small (large) public pensions. The nonlinear relationship between elderly labor and fertility is empirically supported.

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4.
The globalization of twenty well-known retailers and fast food operators is measured by two geographical indices, dispersion and locus, based on various measures of activity. Both are compared with similar indices based on the GDP. An attempt to explain varying degrees of globalization with own manufacturing, store ownership and company age fails. This leads to increasingly ‘soft’ verbal, even personalized, explanations.  相似文献   
5.
This paper studies the effects of the levels and the structure of prizes on the efforts of agents with heterogeneous ability in a tournament model. In particular, we examine how the presence of a highly able agent affects the effort levels of other agents as well as the effects of the total and the marginal prizes. Using panel data from the Japan Golf Tour, we estimate the effects of the presence of a superstar, and the size of the total and marginal prizes on the scores of professional golfers. We find that the presence of a superstar adversely affects the scores of the other players; that the larger the size of the total prize, the better are the scores; and that the larger the marginal prizes that players face at the end of the third round, the better the scores they achieve in the final round.  相似文献   
6.
Are the changes in the future technology process, the so-called “news shocks,” the main contributors to the macroeconomic fluctuations in Japan over the past forty years? In this paper, we take two structural vector-auto-regression (SVAR) approaches to answer this question. First, we quantitatively evaluate the relative importance of news shocks among candidate shocks, estimating a structural vector-error–correction model (SVECM). Our estimated results suggest that the contribution of the TFP news shocks is nonnegligible, which is in line with the findings of previous works. Furthermore, we disentangle the source of news shocks by adopting several kinds of restrictions and find that news shocks on investment-specific technology (IST) also have an important effect. Second, to minimize the gap between the SVAR approach and the Bayesian estimation of a dynamic stochastic general equilibrium model, we adopt an alternative approach: SVAR with sign restrictions. The SVAR with sign restrictions reconfirms the results that the news shocks are important in explaining the Japanese macroeconomic fluctuations.  相似文献   
7.
This paper presents a new method to clarify intergenerational effects of the demographic change in industrialized countries, i.e., the trend of aging. Recognized effects of aging are twofold; a disincentive effect and a product variety effect. The results are consistent with the empirical findings in Cutler et al. (1990). With the evidence, our model predicts that diminished fertility represents a problem rather than an opportunity, and that diminished mortality represents an opportunity rather than a problem.  相似文献   
8.
I explore the effects and optimum features of the borrowing structure in an incomplete contracting framework with a verification opportunity. In this framework, liquidation and verification, both of which are inefficient and consequently the objectives of renegotiation, are devices to implement repayments. While the number of creditors affects the outcomes in the liquidation-deterrence renegotiation, the share structure affects the creditors’ incentive for verification activity and consequently the outcomes in the verification-deterrence renegotiations. The optimal borrowing structure balances these effects. It is shown that borrowing structures with multiple differentiated large-share creditors can be optimal.  相似文献   
9.
This note shows that Proposition 5 in Chang and Weisman (Southern Economic Journal 71:821–36) contains a mistake. Although not affecting the paper's basic intuition, our result shows that the parental transfer under the noncooperative game could be less than under the cooperative one if the children oversupply family services.  相似文献   
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