A stock-flow consistent macro-econometric model of the UK economy—part II

This paper is the second of a series of two which describe the estimation and simulation of a stock-flow consistent macro-economic model of the UK economy. The first part (Davis, 1987) surveyed the theoretical literature on stock-adjustment dynamics, criticized existing UK forecasting models for omitting many potential stock-flow interactions and gave an outline of the model which is constructed here. The estimation and simulation results suggest that variables encapsulating such stock-flow effects are frequently significant in the estimation of key equations, and that their inclusion may make a sizeable difference to the simulation properties of a model.     

Partial privatization in transition economies

Privatization in transition countries has often been partial, with the state retaining a non-controlling ownership share in privatized assets. This paper reviews briefly the empirical evidence and then analyzes the justifications that have been put forward for adopting partial privatization. These are related to the objectives of economic efficiency and the generation of government revenue, as well as to political motivations. The issues covered are the stock-flow problem, risk-sharing and restructuring, informational considerations, the role of market structure, bargaining, foreign investment and the irreversibility of reform. The paper ends with some suggestions for further research.     

我国电子废弃物回收行业的相关回收政策比较研究

在分析了我国电子废弃物回收现状及联合回收模式的基础上,建立了电子废弃物回收流图。并以青岛市废弃电脑回收为例,运用系统动力学方法进行了仿真分析,得出"以旧换新"短期内可刺激回收率增加,但不利于回收行业的长期发展。"废弃电器电子产品处理基金"可以刺激回收率长期平稳增长,降低电子废弃物的社会保有量。     

A two-sector model with target-return pricing in a stock-flow consistent framework

In this paper, we build a generalized two-sector Kaleckian growth model and explore the dynamics towards long-run positions. The model incorporates conflicting claims of labour and firms over income distribution and endogenous labour-saving technical progress. Adopting a stock-flow consistent framework, our simulation experiments yield the following results. First, the ‘paradox of thrift’ and the ‘paradox of costs’ hold, meaning that lower saving rates generate higher growth rates while higher real wages generate higher profit rates, but the magnitude of the impact depends on the initial status of income distribution and monetary policy. Second, changes in autonomous labour-saving innovations might explain the phenomenon of the ‘New Economy’ of the second half of the 1990s within an alternative framework. Our simulations with a two-sector model retrieve the analytical results achieved with a one-sector Kaleckian model, with the addition of path dependence.     

Money-flow Computations

The standard input–output relationships are complemented by monetary stock-flow data. The flow of money is described as a Markov chain. Its ergodic state is equivalent to the economic equilibrium. The definition of the latter requires thus neither labour-theoretic nor marginalist assumptions. The Fisher equation for the velocity of money circulation can be expressed in this input–output context. The average velocity and its dispersion are then determined. The theorems are illustrated on a 5×5 sector Hungarian matrix.     

Heterogeneous expectations,boom-bust housing cycles,and supply conditions: A nonlinear economic dynamics approach

We combine a standard stock-flow housing market model, incorporating explicit relationships between house prices, the housing stock, and the rent level, with a parsimonious expectation formation scheme of housing market investors, reflecting an evolving mix of extrapolative and regressive expectation rules. The model results in a two-dimensional discrete-time nonlinear dynamical system. Based on realistic parameters, the model is able to generate endogenous boom-bust housing market dynamics with lasting periods of overvaluation and overbuilding. We thus exploit our model to investigate how real forces, in particular supply conditions, interact with expectations-driven housing market fluctuations.     

The price responsiveness of housing supply in OECD countries

The responsiveness of housing supply to changes in prices bears important implications for the evolution of housing prices and the speed of adjustment of housing markets. Based on a stock-flow model of the housing market estimated within an error correction framework, this paper estimates the long-run price elasticity of new housing supply in 21 OECD countries. Estimates suggest that the responsiveness of housing supply to price changes varies substantially across countries. It is relatively more flexible in North America and some Nordic countries, while it is more rigid in continental European countries and in the United Kingdom. The responsiveness of housing supply depends not only on national geographical and urban characteristics but also on policies, such as land use and planning regulations.     

Long-run consequences of debt

Empirical evidence suggests that both public and private debt may have long-run detrimental effects on the economy. However, theoretical works have not provided a unique explanation to the issue. In this paper, therefore, we propose a framework that is able to describe the long-run effects of different kinds of debt. We introduce a stock-flow consistent dynamic model where the economy is represented as a network of trading relationships among agents. Debt contracts are one of such relationships. The model is characterized by a unique and stable steady-state and predicts that: (i) aggregate income is always limited from the above by the money supply; (ii) debts cause in the long-run a redistribution of borrowers’ wealth and income in favor of lenders; (iii) the redistribution is magnified by the level of the interest rate and (iv) by the degree of debt persistence. In the aggregate this may also lower the average marginal propensity to spend and nominal income, providing therefore a clear-cut explanation to the empirical evidence.     

Marketplace matching in Britain: Evidence from individual unemployment spells

This paper investigates job matching patterns in Great Britain. Evidence from individual transitions out of unemployment demonstrates that recently unemployed workers are likely to find jobs in the existing stock of vacancies. If, however, they are unlucky and fail to match early on, job seekers cease matching with existing vacancies. Workers with longer unemployment spells instead form matches with the flow of new vacancies. This pattern is more pronounced for workers who experienced only short spells of employment prior to their current job search. This evidence provides robust support for stock-flow matching but is difficult to reconcile with random matching.     

在负信用期允许情况下供应商最优信用期决策

在许多采购活动中,买家被允许经过一段时间后再付货款,而在这段时间内买家并不需要支付任何利息费用．这段时间被称为信用期（credit period）。国内外有许多关于这个问题的研究。然而。如今负信用期逐渐兴起,即供应商先收款后发货,尤其是在网络交易或者供应链中处于强势地位的供应商很多采用了这种方式。文章研究了基于负信用期条件下的供应商最优信用期决策。 首先．假设商品的终端需求对价格是敏感的,即其价格需求弹性小于-1。其次．采用Stackelberg模型来界定买家与供应商的关系,即供应商先制定其策略,买家再根据供应商的策略做出反应进而做出自己的决策。然后通过建立模型分别给出供应商提供正信用期和负信用期时供应商和买家为了使得各自利润最大化的决策制定方法。通过数学算例得出供应商做出的最优信用期决策随着条件变化而变化．并通过灵敏度分析．找出影响供应商做出决策的一些重要因素。     

Deficits,expected deficits,financial markets,and the economy

This paper assesses the implications of U.S. budget and current account deficits for financial and economic stability. The primary focus is on the behavior of interest rates in response to deficits, then effects on the economy through the financial system. The paper argues, and shows with empirical evidence, including from a large-scale econometric model, that expected, but not realized, budget deficits affect interest rates. Under certain circumstances, particularly near full employment, sustained budget and current account deficits can lead to financial disarray and a severely constrained economy.     

考虑人口因素的公共应急服务设施选址问题研究

研究了考虑人口因素的公共应急服务设施选址问题,建立了该问题数学模型,分别设计了求解该问题的精确算法和启发式算法,并通过具体的案例进行了求解及分析,得到了满意的结果。     

Bayesian model averaging for mortality forecasting using leave-future-out validation

Predicting the evolution of mortality rates plays a central role for life insurance and pension funds. Various stochastic frameworks have been developed to model mortality patterns by taking into account the main stylized facts driving these patterns. However, relying on the prediction of one specific model can be too restrictive and can lead to some well-documented drawbacks, including model misspecification, parameter uncertainty, and overfitting. To address these issues we first consider mortality modeling in a Bayesian negative-binomial framework to account for overdispersion and the uncertainty about the parameter estimates in a natural and coherent way. Model averaging techniques are then considered as a response to model misspecifications. In this paper, we propose two methods based on leave-future-out validation and compare them to standard Bayesian model averaging (BMA) based on marginal likelihood. An intensive numerical study is carried out over a large range of simulation setups to compare the performances of the proposed methodologies. An illustration is then proposed on real-life mortality datasets, along with a sensitivity analysis to a Covid-type scenario. Overall, we found that both methods based on an out-of-sample criterion outperform the standard BMA approach in terms of prediction performance and robustness.     

火电供应链金融中发电企业融资模式比较研究

火电供应链金融中发电企业有三种基本的融资模式:应收账款融资模式、存货质押融资模式、预付账款融资模式。文章从流程、成本效益、风险三方面对发电企业这三种基本的融资模式进行比较分析,提出每一种融资模式的适用条件,为火电供应链金融融资模式在电力行业的具体应用提供了有价值的参考。     

Multicointegration in Stock-Flow Models

Multicointegration, in the sense of Granger and Lee (1990), frequently occurs in models of stock-flow adjustment and implies cointegration amongst I(2) variables and their differences (polynomial cointegration). The purpose of this article is two-fold. First, we demonstrate that based on a multicointegrated vector autoregression (VAR) two equivalent error correction model (ECM) representations can be derived; the first is expressed in terms of adjustments in the flows of the variables (the standard I(2) ECM), and the second is expressed in terms of adjustments in both the stocks and the flows. Secondly, we apply I(2) estimation and testing procedures for multicointegrated time series to analyze data for US housing construction. We find that stocks of housing units started and completed exhibit poly- nomial cointegration (and hence the flows are multicointegrated) and the associated ECM's are estimated. Lee (1992, 1996) also found multicointegration in this data set but without explicitly exploiting the I(2) property.     

考虑成本/物流服务水平权衡的双层规划工厂选址

合理的选址方案,良好的配置当前和未来的设施资源,是企业适应和满足不断变化的动态经营环境,从而提高服务质量,增强其核心竞争力的重要途径之一。对工厂选址问题进行了描述,分析了选址中需考虑物流服务水平的必要性,提出了利用双层规划协调供应链整体利益。在现有大多数研究只考虑优化成本的基础上,建立了基于成本/物流服务权衡的双层规划工厂选址模型。     

我国农业公共科研投资的配置:要素稀缺性技术诱导假说的检验

本文首先推导出了要素稀缺性技术诱导假说的数学形式，然后在此基本上充分考虑我国农业公共科研投资配置的“基数”行为，将现有的检验模型拓展为三元计量模型，并采用我国30个省市的综列数据进行了实证分析。研究结果显示，近年来，我国农业公共科研投资的分配基本上以节约耕地面积技术为主要投入方向，这与要素稀缺性技术诱导假说基本一致。这个结论的理论意义是可将技术诱导性假说扩展到不完全市场经济下的技术创新，其政策含义是我国农业公共科研投资分配的倾斜对象依然是以提高土地生产率为目标的技术创新。     

机场场面飞机滑行调度优化问题的MILP模型及算法

本文考虑了顺序约束、安全约束、起始与终止时间约束和速度约束四种约束,建立了以总滑行时间最小为目标函数的机场场面飞机滑行调度优化的MILP模型。该模型求解分解为两步,先用遗传算法求解各航班经过交叉点的顺序,然后再求解各航班到达各节点的时间。最后结合国内某枢纽机场的航班信息,对模型进行仿真实验,结果表明本文提出的MILP模型有效解决了滑行冲突。     

Uniform and nonuniform staggering of wage contracts

This paper provides a model that can account for the almost uniform staggering of wage contracts in some countries as well as for the markedly nonuniform staggering in others. In the model, short and long contracts as well as long contracts concluded in different periods are strategic substitutes, which provide a powerful rationale for staggering. We show that for realistic parameter values, there is a continuum of possible equilibria with various degrees of staggering of long contracts. If the contracting cost is not too large, then the lowest possible degree of staggering decreases with the contracting cost and increases with monetary uncertainty.     

A Primer on Financial Contagion

Abstract.  This paper presents a theoretical framework to highlight possible channels for the international transmission of financial shocks. We first review the different definitions and measures of contagion adopted by the literature. We then use a simple multi-country asset pricing model to classify the main elements of the current debate on contagion and provide a stylized account of how a crisis in one country can spread to the world economy. In particular, the model shows how crises can be transmitted across countries, without assuming ad hoc portfolio management rules or market imperfections. Finally, tracking our classification, we survey the results of the empirical literature on contagion.