Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor

In this paper a multi-factor generalization of Ho–Lee model is proposed. In sharp contrast to the classical Ho–Lee, this generalization allows for those movements other than parallel shifts, while it still is described by a recombining tree, and is a process with stationary independent increments to be compatible with principal component analysis. Based on the model, generalizations of duration-based hedging are proposed. A continuous-time limit of the model is also discussed. This research was supported by Open Research Center Project for Private Universities: matching fund subsidy from MEXT, 2004–2008 and also by Grants-in-Aids for Scientific Research (No. 18540146) from the Japan Society for Promotion of Sciences.     

Cyclical growth in a Goodwin–Kalecki–Marx model

This paper presents a disequilibrium macrodynamic model that incorporates certain elements from Goodwin (the dynamics of the rate of employment and income distribution), Kalecki (an investment function independent of savings, and mark-up pricing in oligopolistic goods markets), and Marx (the reserve-army and reserve-army-creation effects). The model has a system of differential equations for the rate of utilization, profit share, and rate of employment. We show that there exist limit cycles that depend on the sizes of the reserve-army effect and reserve-army-creation effect. This implies that there exists a situation in which the economy experiences endogenous and perpetual growth cycles. Moreover, we show that if the stable long-run equilibrium corresponds to the profit-led growth regime, an increase in the bargaining power of workers increases the rate of unemployment; conversely, if the equilibrium corresponds to the wage-led growth-regime, an increase in the bargaining power of workers decreases the rate of unemployment.     

The proposal and validity of the Customer Science Dual System--The key to corporate management innovation

A future successful global marketer must develop an excellent quality marketing system that impresses users and continuously provides excellent, quality products in a timely manner through corporate management. In this study, the authors proposed the Customer Science Dual System, CS-TMNS ＆ CS-SDSM. For the purpose of innovating strategic product development systems so called Customer Value Creative System, the Total Marketing Network System, CS-TMNS is established. In addition, for intelligent utilization of the established CS-TMNS, statistical science is incorporated so as to create the Strategic Designing Support Methods, CS-SDSM, as a new approach to the creation of wants that are vital to product planning and designing. Concretely, the author will also introduce the effectiveness of this system that reflects latent customer needs through scientific marketing application examples via Automobile Design Profile for the Younger Generation.     

Shift of the short-term temperature mortality relationship by a climate factor - some evidence necessary to take account of in estimating the health effect of global warming

Several studies have reported a 'V'-shaped relationship between short-term temperature and mortality rates, characterized by mortality rates that are higher when the temperature is extremely low or high than when the temperature is moderate. To quantify the effect of adaptation to a certain climate on this V-shaped short-term temperature-mortality relationship, we studied the prefecture-specific relationship between daily maximum temperature and mortality rates for 65+-years-old Japanese from 1972 to 1990. For both genders, the optimum daily maximum temperature (OT) category at which the mortality rate was minimum ranged from 23C-28 C to 33+C, and the OT level became lower when the climate became colder. The mean OT level was lower for women than for men by 1.7C. The mortality rate at the OT was almost constant across prefectures, regardless of the climate. From the results, we considered that the adaptation effect on the short-term temperature-mortality relationship is mainly described by the 'horizontal shift model': the V-shape moves horizontally according to the climate. This 'shift' should be taken into account in estimating the health effect of global warming, and the model would be useful for the estimation.     

THE IMPORTANCE OF THE RETENTION RATIO IN A KALECKIAN MODEL WITH DEBT ACCUMULATION

By using a Kaleckian model with debt accumulation, Hein (2007; Metroeconomica, 56 (2), pp. 310–39) found that the long‐run equilibrium value of the debt–capital ratio is positive and stable only if interest rates are extremely high and if the short‐run equilibrium exhibits the ‘debt‐led’ growth regime. However, this conclusion crucially depends on the assumption that the retention ratio of firms is equal to unity. By relaxing this assumption, we show that there exists a positive and stable long‐run equilibrium even under the ‘debt‐burdened’ regime without any constraint on the nominal interest rate.     

International Competition and Distributive Class Conflict in an Open Economy Kaleckian Model

This paper constructs an open economy Kaleckian model in which international competition affects the bargaining process between firms and workers, and investigates the effects of such bargaining on the macroeconomy. We show that the effects of a change in the bargaining power on aggregate demand depends not only on the demand regimes but also on which agents bears more of the burden arising from the international price competition. Moreover, if the real exchange rate has a small impact on the trade balance, the economy is stable, whereas if it has a larger impact on the trade balance, the economy is unstable.     

Roles of Public Capital in Pakistan's Economy: Productivity, Investment and Growth Analysis

This study analyzes the role of public capital in Pakistan's economy, tracing the relationship between productivity of public capital and economic growth. We estimate a production function, with public capital as an inputs. The results indicate that the productivity (output elasticity) of aggregate as well as different components of public capital are sufficiently high. We also analyze substitutability and complementarity between public and private capital by estimating investment functions, revealing that public capital has worked as a substitute for private investment. The net effect of public capital on the national economy is analyzed by estimating reduced forms, with the result that public capital has a positive net effect on national product. The growth analysis shows that the contribution of public capital is declining over time.     

Bayesian Statistical Computations of Nonlinear Financial Time Series Models: A Survey with Illustrations

A survey of Bayesian statistical computations of quadratureformula, Laplace approximation, and Markov Chain Monte Carlo algorithms ispresentedand their applications to nonlinear financial time series models arediscussed.     

Asian Financial Crisis.Prologue and the Case of Thailand

We suggest that the Asian financial crisis began because of theinconsistent exchange rate system and miss-management within Thailand. We showthat prior tothe Asian financial crisis the Thai Baht against the Yen followed the theoryofpurchasing power parity but the Baht against the U.S. Dollar did not. We givebriefsummaries of the papers included in this issue.