An agent-based model of payment systems

We lay out and simulate a multi-agent, multi-period model of an RTGS payment system. At the beginning of the day, banks choose how much costly liquidity to allocate to the settlement process. Then, they use it to execute an exogenous, random stream of payment orders. If a bank's liquidity stock is depleted, payments are queued until new liquidity arrives from other banks, imposing costs on the delaying bank. We study the equilibrium level of liquidity posted in the system, performing some comparative statics and obtaining insights on the efficiency of alternative system configurations.     

TOWARDS SOUND MONETARY INSTITUTIONS

Most people see money and central banking as shrouded by an impenetrable veil of mystery, as matters that ought to be delegated to expert economists in central banks. Yet the actual performance of central banks has been less than stellar. And there are good reasons to expect unchecked, discretionary monetary policy by central bankers to produce less‐than‐perfect results. Not only do central bankers not have the right incentives and knowledge to make beneficial discretionary decisions, but the economy does not always behave in a predictable fashion, reacting as an automaton to discretionary policy shifts. A market‐based monetary arrangement – such as Friedrich von Hayek's free banking proposal – would be preferable to a national or supranational monopoly on the issue of money. If such an arrangement is not attainable, then it is desirable, at the very least, that the behaviour of central bankers is constrained by rules, such as nominal income growth targets.     

Communication and transparency – The example of the ECB

Communication by central banks has two goals to fulfill: One is to be accountable and transparent to the public for its policy. The other is to make monetary policy by guiding expectations as effective as possible. Diversity of views inside the bank is instrumental for appropriate monetary policy decisions, but creates a tremendous challenge for communication. Central banks dispose of a variety of communication tools. Forward guidance seen as a revolution in central banks׳ communication raises new questions. Not maximum, but optimal transparency should be the final stage to strive for.     

Central banks’ interest rate projections and forecast coordination

We apply a simple test to study the effect of the publication of central banks’ interest-rate projections on the coordination of private-sector interest-rate forecasts. Our results indicate that the publication of interest-rate projections does not lead private-sector forecasters to coordinate their forecasts. In fact, private-sector forecasters rather seem to anti-coordinate, that is, they scatter their forecasts around a consensus forecast or around a central bank's interest-rate projections.     

Continuous utility functions in consumer theory: A set of duality theorems

The aim of this paper is to characterize, in terms of primitives, the class of expenditure functions and the class of indirect utility functions that are associated with the class of continuous utility functions. Once the duality results are established, the theory is extended by theorems which provide useful methods for identifying these classes of expenditure and indirect utility functions.     

Methodology of economic history as an approach to assessing monetary policy

Contribution to the panel session at the Hoover Institution conference on “Frameworks for Monetary Policy for the Next Century,” May 30, 2014.     

Efficient and optimal programs when investment is irreversible: A duality theory

An attempt is made in this paper to formulate a satisfactory duality theory of efficient and optimal programs in intertemporal models with irreversible inveatment. The introduction of the constraint that depreciated capital stock cannot be used for present consumption makes the meaningful choice and interpretation of dual variables a more difficult problem, as is pointed out by means of an example. A new definition of a competitive program is introduced, and this is seen to lead to useful characterizations of efficient and optimal programs.     

Business strategy,human resource systems,and organizational performance in the Spanish banking industry

Although human resource (HR) systems in the form of bundles of HR practices and their impact on organizational performance have attracted considerable attention, the role that business strategy could play in this relationship remains uncertain, particularly in service industries. In order to avoid any confounding effects, this study analyzes the performance impact of adopting different HR systems in an empirical setting in which employees are vital if the company is to remain competitive, the firms belong to the same industry and the primary activities involved are the delivery of services to customers. Based on survey data from 86 banking institutions in Spain, three HR systems were identified, two of which rendered better organizational performance when matched to defender strategies, thus supporting a contingency explanation of the adoption of HR systems. Findings showed that even in an industry under strong universalistic pressures to adopt certain predictable HR practices, matching HR systems with a business strategy pays off.     

Axiomatic characterizations of the duality correspondence in consumer theory

In this paper we present several axiomatic characterizations of the mapping assigning to the utility function of a consumer its associated indirect utility function as well as characterizations of the inverse correspondence. Some of them refer to the standard case of real-valued functions, while others involve functions taking values in an arbitrary complete chain. In this abstract framework, we also give some simultaneos characterizations of both transformations.     

Design of financial incentives and payment schemes in healthcare systems: A review

In this paper, we review the existing studies on the design of financial incentives and payment mechanisms for healthcare service providers, which have been published in the literature of operations research & management science. We classify these studies in two ways: first, by the care provider focused on: physicians or hospitals; and next, by categorizing payment/incentive schemes as retrospective or prospective models under each care provider group. The problem setting, including the geographic background and research methodology, are briefly discussed for each paper, as are the findings with regard to accessibility, quality, efficiency, and the facilitation of integration and collaboration, if reported. We also provide a detailed discussion of potential research problems that would offer promising avenues for future study.     

Financial conditions and monetary policy in the US

We examine the FED’s monetary policy rule with financial stability considerations and under asymmetry. We use the National Financial Conditions Index constructed by the Chicago FED in order to test whether financial stability concerns enter monetary policy formulations in the US. We model nonlinearity in monetary policy by a Markov regime-switching model. The results show that the monetary policy implemented by the FED can be characterized as a two-state Markov process and financial instability significantly increases the likelihood of regime-switching from a “tranquil” to a “distressed” regime. Moreover, the likelihood of a switch in the FED’s monetary policy regime between tranquil and distressed seems to increase when a certain threshold level of the financial conditions index is reached. Finally, our results seem to be robust to alternative specifications of the reaction function and different forms of non-linearity.     

A new approach for detecting shifts in forecast accuracy

Forecasts play a critical role at inflation-targeting central banks, such as the Bank of England. Breaks in the forecast performance of a model can potentially incur important policy costs. However, commonly-used statistical procedures implicitly place a lot of weight on type I errors (or false positives), which results in a relatively low power of the tests to identify forecast breakdowns in small samples. We develop a procedure which aims to capture the policy cost of missing a break. We use data-based rules to find the test size that optimally trades off the costs associated with false positives with those that can result from a break going undetected for too long. In so doing, we also explicitly study forecast errors as a multivariate system. The covariance between forecast errors for different series, although often overlooked in the forecasting literature, not only enables us to consider testing in a multivariate setting, but also increases the test power. As a result, we can tailor our choice of the critical values for each series not only to the in-sample properties of each series, but also to the way in which the series of forecast errors covary.     

A survey on performance analysis of warehouse carousel systems

This paper gives an overview of recent research on the performance evaluation and design of carousel systems. We discuss picking strategies for problems involving one carousel, consider the throughput of the system for problems involving two carousels, give an overview of related problems in this area and present an extensive literature review. Emphasis has been given on future research directions in this area.     

A dynamic migration theory and its evaluation for concrete systems

This paper presents a theoretical framework for analyzing multiregional migration as a stochastic process. The equation of motion is formulated as a master equation. A quasi-deterministic mean value equation is derived from the master equation. The analysis is focused on the solution of the mean value equation. Finally, it is described how the approach can be applied to empirical migration data in a study of migration processes in Canada for which the migration stress is evaluated. The relation to static random utility is also established. (author's)     

Six Sigma and information systems project management: A revised theoretical model

Previous information systems (IS) research has significantly improved the success rate of IS projects, but the result is still far from satisfying. The effort to advance IS project management theories continues. One notable effort is Ravichandran and Rai (2000). Based on quality management principles, they developed a model (the R&R model) describing a qualityoriented organizational system that leads to software development quality performance. This study analyzed Six Sigma to propose major revisions to the R&R model. Six Sigma is a recent approach to quality management with proven effectiveness. The analysis of Six Sigma suggested that several constructs in the R&R model need to be respecified, leading to the definition of a new quality‐oriented organizational system. More importantly, the revised model posits that the new organizational system leads to IS project success that can be measured by organizational performance improvement. This study contributes to the literature and provides practical guidance to IS project managers.     

一类大型非线性前馈系统的分散镇定

文章运用互联系统有界性、稳定性判据以及自下而上的迭代分析方法,将设计任务转化为镇定上层各子系统的标称部分及镇定底层子系统,明确构造简单饱和控制律,并给出证明方法有效性的仿真例子。     

Quasi ex-ante inflation forecast uncertainty

We propose a measure of the effects of monetary policy based on an analysis of the distribution of the ex-post inflation forecast uncertainty. We argue that the difference between the distributions of the ex-ante and ex-post uncertainties reflects the impact of monetary policy decisions. Using the theoretical background of the New Keynesian model with imperfect information and a monetary policy rule, we derive a proxy for ex-ante inflation uncertainty called quasi ex-ante forecast uncertainty, which is free to a certain extent of the effects of monetary policy decisions. Furthermore, we introduce the compound strength measure of monetary policy, as well as the uncertainty ratio, which approximates the impact of monetary policy on the reduction of the inflation forecast uncertainty. Our empirical results show that the greatest policy effect in reducing the inflation forecast uncertainty occurs for countries which conduct either a well-established or a relatively pure inflation targeting policy.     

高速公路经营主体行为风险指标体系的构建

文章借鉴国内外风险研究成果,提出了高速公路经营主体行为风险的定义,阐述了指标体系的构建基础,进而从主体行为的角度对政府、高速公路经营公司、竞争者及道路使用者的行为进行分析,构建出一套适用于高速公路经营预警的风险指标体系。     

The relationship among systems engineers' capacity for engineering systems thinking,project types,and project success

In recent years, systems engineering and Project Management Bodies of Knowledge have been rapidly growing. However, despite the vast amount of literature available on systems engineering and project management, about two‐thirds of all projects still fail. A review of both project management and systems engineering publications reveals that most of these works focus on processes. We suggest focusing on people—project managers and systems engineers. One of our previous studies dealt with project managers; this article focuses on systems engineers. This article presents findings of a study aimed at exploring the relationship among systems engineers' capacity for engineering systems thinking (CEST), project types, and project success. The instrument used in this study was a self‐report questionnaire, composed of three parts. The first part assessed the participants' CEST, the second part assessed several measures of project success, and the third part assessed four dimensions of project type. The simple random sampling method was used, and the sample included 114 senior systems engineers who were randomly selected from the sampling frame. The study findings show that there is a statistically significant correlation between CEST and project success. The extent of the project's novelty, complexity, and technological uncertainty are moderator variables that affect this correlation.