投资基金、资本市场及其因果分析

本文从宏观和市场发展层面上,利用格兰杰因果分析和有向非循环图（DAG）技术,对我国2002-2010年的证券投资基金与股票、M2、债券和居民存款之间的因果关系进行了分析。研究结果表明,我国金融市场仍处于分割状态,证券投资基金还没有有效地发挥联系渠道和资产优化配置的功能。证券投资基金存在着导致资本市场风险波动的羊群行为和惯性行为,这是对发展不完善的资本市场所作出的被动性的适应性反应。中国证券投资基金对股票市场具有显著性影响,规范和发展证券投资基金对促进股票市场健康发展具有重要作用。     

OUTPUT CONTINGENT SECURITIES AND EFFICIENT INVESTMENT BY FIRMS

We analyze competitive economies with risky investments. Unlike the classic Arrow–Debreu framing, firms and agents cannot contract upon the exogenous states underlying production risks. They can trade equities and any security written on the endogenous aggregate output. This financial structure is rich enough to promote efficient risk sharing among consumers. However, markets are incomplete from the production perspective, and the absence of prices for each primitive state of nature raises the question about the objective of firms. We show that output‐contingent asset prices convey sufficient information to compute the competitive shareholder value that leads to efficient investment by firms.     

INVESTMENT BEHAVIOR OF U.S. FIRMS OVER HETEROGENEOUS CAPITAL GOODS: A SNAPSHOT

Previous research has shown that the composition of investment and capital can matter for investment dynamics and productivity. However, very little is known about the composition of investment at the micro level. The goal of this note is to help fill this knowledge gap by assessing the nature of the cross-firm variation in investment composition using micro data from the 1998 Annual Capital Expenditure Survey (ACES), a sample of roughly 30,000 firms drawn from the private, nonfarm economy. The data reveal substantial variation that can be characterized by heterogeneous lumpiness of investment in the asset-type dimension. The data also show that some of the variation in investment composition is due to the state of firms' total investment; specifically, computers account for a significantly larger share of firms' incremental investment than of lumpy investment.     

COMPETITIVE SEARCH,EFFICIENCY, AND MULTIWORKER FIRMS*

I study competitive search equilibrium in an environment where firms operate a decreasing‐returns production technology and hire multiple workers simultaneously. Firms post wages, possibly several of them. The equilibrium can feature wage dispersion even though all firms and workers are ex ante identical. Unlike the benchmark where firms hire a single worker, hiring is constrained inefficient. Efficiency requires that firms commit to the number of hires, pay all applicants, or pay wages that depend on the number of applicants. Under wage‐posting, the inefficiency is highest at intermediate levels of labor market tightness.     

异质性企业贸易理论的起源与发展

本文旨在系统性地探究异质性企业贸易理论的起源与发展过程。首先对促使该理论诞生的实证挑战从企业的选择性出口、市场进入成本、资源再分配三个方面进行了综述;然后指出该理论发展的两条脉络和各自的理论基础,并在此基础上从平均生产率和贸易利得两个角度阐述了异质性企业贸易理论和新贸易理论之间的紧密联系,二者最大的差别便在于对边际生产成本的处理上,前者以边际成本的异质性替代企业的异质性,后者则忽略了企业之间的异质性。同时,针对国内学者的一些认识,本文也提出了自己的看法。     

#br# 异质性消费者、异质性厂商与异质性匹配内生贸易——一个贸易理论的新范式*

异质性消费者与异质性厂商的异质性匹配从需求与供给两方面诱致贸易活动产生,基于消费者异质性假定与厂商异质性假定所构建的异质性匹配内生贸易模型,是在新贸易理论与新新贸易理论基础上的综合性拓展和研究新范式引入的逻辑起点。本文的主要贡献在于,在消费者异质性与厂商异质性假定条件下构建国内国际均衡模型,从异质性消费者与异质性厂商的异质性匹配角度对贸易活动进行内生性解释,把产业内贸易与跨国公司内贸易纳入到统一的贸易理论分析框架之中,基于贸易理论新范式对跨国公司产生、产业内贸易与跨国公司内部贸易、企业跨国投资、企业跨国并购与合并、跨国企业贸易联盟的形成进行内生解释,把一个异质性匹配新范式引入贸易理论研究并对当代主流贸易理论进行新拓展。     

IMPLEMENTATION CYCLES,INVESTMENT, AND GROWTH*

We develop a model of “intrinsic” cycles, driven by the decentralized behavior of entrepreneurs and firms making continuous, divisible improvements in their productivity. We show that when the introduction of productivity improvements is endogenous, implementation cycles arise even in the presence of reversible investment and consumption smoothing. The implied cyclical equilibrium is unique within its class and shares several features in common with actual business cycles. In particular, its predictions are qualitatively consistent with the joint behavior of the investment rate and Tobin's Q during U.S. recessions.     

A COMOMENT CRITERION FOR THE CHOICE OF RISKY INVESTMENT BY FIRMS*

This article uses Taylor series expansions and the assumption of small risks to derive a comoment criterion that firms should maximize so that the resulting equilibrium is Pareto optimal. This is done in two models of production under uncertainty: the state‐of‐nature model in which the firms’ outputs depend on states of nature and financial markets are complete with respect to these states of nature and the probability model in which the firms’ risky outputs are modeled by their joint probabilities and financial markets span the outcome space of the firms. The comoment criterion provides a unifying framework for the two equilibrium models of production under uncertainty, has the merit of being based on information which is readily available to firms, and provides greater insight than the theoretical criterion into the risk characteristics of its profit stream that a firm should focus on when choosing its investment plan.     

SOCIAL INVESTMENT AND YOUTH LABOR MARKET PARTICIPATION

In this paper, we first rely on small area techniques to derive from EU statistics on income and living conditions (EU‐SILC) survey new indicators of compensatory and social‐investment policies at regional level. While compensatory policies have mainly the goal of protecting individuals from “old” risks (e.g., old‐age), investment‐related social policies tend to focus more on “new social risks” (e.g., skill deficits). We rely on these new indicators to perform a data‐driven structural vector autoregressive (SVAR) analysis to investigate the causal relationships between youth labor market outcomes and these two types of spending. Our results support the view that social‐investment policies are effective for tackling new social challenges. (JEL C18, C54, E02)     

THE MARKET SELECTS THE WRONG FIRMS IN THE LONG RUN*

We consider the effects of free entry on the market structure and social welfare of an asymmetric Cournot oligopoly. Even if we allow for the existence of different types of firms initially, only one type (in almost all cases) can survive in the long run. Free entry leads an economy to a symmetric equilibrium, in which the excess entry theorem holds. Further, we consider the socially optimal policy for this economy. In cases of either (i) a concave demand (which implies strategic substitutability) or (ii) strategic complementarity (which implies a convex demand), the type of firms that should remain in the market to achieve social optimality does not necessarily coincide with the type of firms that will survive in the long run. The market may select not only the wrong number of firms but also the wrong type of firms in the long run.     

OUTWARD INVESTMENT TO CHINA AND LOCAL INNOVATION OF TAIWANESE MANUFACTURING FIRMS

Does outward investment induce more domestic innovation or simply move local innovative efforts to foreign plants? This question is topical and relevant to Taiwan in view of its large share of outward investment concentrated in China and the special political relationship between the two sides of the Taiwan Strait. The purpose of this paper is to examine the effect of outward investment in China on domestic innovative activity in Taiwan. Overall, this study finds that a positive relationship exists between outward investment and innovation in terms of R&D intensity and patents, implying that investing in China is part of a global resource allocation strategy of Taiwanese multinational enterprises to allocate production in China and pay more attention to innovative activity in their domestic plants. Moreover, the deregulation of the policy regarding investing in China in 2001 has induced an upsurge in investment in China, although it does not seem to have brought about an outflow of technologies.     

INTERNATIONALIZATION STRATEGIES IN OLIGOPOLY WITH HETEROGENEOUS FIRMS

This paper examines the foreign direct investment (FDI) versus exports decision of foreign oligopolistic firms under cost heterogeneity. An additional motivation for firms to invest abroad is the technological sourcing via spillovers, which flow from the host more efficient firm to foreign less advantaged firms. For intermediate values of the set‐up costs associated with FDI entry, it is shown that foreign firms choose opposite entry strategies. An equilibrium where the less efficient foreign firm exports whereas the more efficient invests is more likely to happen when foreign firms become more heterogeneous, the larger the trade costs and not too big oligopolistic profitability. Interestingly, the opposite may also be an equilibrium thus finding that the more efficient firm does not choose to invest, a result that emphasizes the relevance of the strategic setting under consideration. The latter result identifies a market failure since welfare in the host market is higher when both firms undertake FDI; a finding that calls attention to how appropriate are host government policies towards internationalization strategies.     

HETEROGENEOUS CONTESTS AND LESS INFORMATIVE SIGNALS*

We consider rank‐order contests with heterogeneous agents in which the principal is restricted to using a fair contest (or a symmetric contest), focusing on the optimal accuracy of output signals. As opposed to the absolute performance evaluation, we show that it is optimal for the principal to deliberately make the signals noisier according to the degree of heterogeneity. Some economic interpretations of controlling noise are discussed.     

MARKET POWER,PRICE ADJUSTMENT,AND INFLATION*

We study a monetary search economy in which endogenous fluctuations in market power driven by changes in consumers' search intensity determine the extent of price adjustment to movements in productivity and the money growth rate. A calibrated version of the economy exhibits countercyclical fluctuations in markups and is consistent with the observed incomplete response of nominal prices to cost movements associated with productivity fluctuations and to changes in the money growth rate. Furthermore, a higher average rate of inflation results in a lower average markup and increases the sensitivity of prices to fluctuations in either productivity or money growth.     

SHAKEOUTS AND MARKET CRASHES*

This article provides a microfoundation for the rise in optimism that seems to precede market crashes. Small, young markets are more likely to experience stock‐price run‐ups and crashes. We use a Zeira–Rob type of model in which demand size is uncertain. Optimism then grows rationally if traders' prior distribution over market size has a decreasing hazard. Such prior beliefs are appropriate if most new markets are duds and only a few reach a large size. The crash occurs when capacity outstrips demand. As an illustration, for the period 1971–2001 we fit the model to the Telecom sector.     

PRODUCT QUALITY,REPUTATION, AND MARKET STRUCTURE*

In a repeated game in which firms simultaneously choose price and product quality, but quality is observed only after consumption takes place, equilibria exhibiting high quality may exist in oligopoly markets even when the low‐quality one is a unique equilibrium outcome in monopoly and competitive markets. Oligopolists can sustain high quality through the threat of both a loss of reputation and a breakdown in tacit collusion. While we abstract from other reasons that market structure might affect product quality, we show that the inverted‐U shaped relationship between feasible quality and market structure is robust to several generalizations of the model.     

VOLUNTARY IMPORT EXPANSION AND DIRECT INVESTMENT*

This paper analyses the welfare effects of a market‐share Voluntary Import Expansion (VIE) in the presence of foreign direct investment utilizing a duality approach. Introducing the cost burden of VIE explicitly, this paper considers the conditions under which a market‐share VIE is voluntary to the importing country. It is shown that the voluntary nature of VIE depends upon the capital import, cost burden and price difference effects and that a VIE is truly voluntary if it is accompanied by direct investment. We also show the existence of a complementary relationship between VIE and direct investment in attaining a particular level of welfare.