Existence of financial equilibria with restricted participation

We consider a two-date model of a financial exchange economy with finitely many agents having nonordered preferences and portfolio constraints. There is a market for physical commodities at any state today or tomorrow and financial transfers across time and across states are allowed by means of finitely many nominal assets or numéraire assets. We prove a general existence result of equilibria for such a financial exchange economy in which portfolios are defined by linear constraints, extending the framework of linear equality constraints by Balasko et al. (1990), and the existence results in the unconstrained case by Cass (1984, 2006), Werner (1985), Duffie (1987), and Geanakoplos and Polemarchakis (1986). Our main result is a consequence of an auxiliary result, also of interest for itself, in which agents’ portfolio constraints are defined by general closed convex sets and the financial structure is assumed to satisfy a “nonredundancy-type” assumption, weaker than the ones in Radner (1972) and Siconolfi (1989).     

Endogenous restricted participation in general financial equilibrium

We consider an incomplete market model with numeraire assets. Each household faces an individual constraint on its participation in the asset market. In related literature, the constraint is described by a function whose sole argument is the asset portfolio. On the contrary, in our analysis the constraint depends not only on the asset portfolio, but also on asset and good prices—hence the reference to endogenous (in contrast to exogenous) in the title.     

Optimal money growth in a limited participation model with heterogeneous agents

This paper studies optimal money growth in a cash-in-advance production economy with heterogeneity in patience levels and know-how. We show that the rate of deflation suggested by the Friedman rule is limited by the subjective discount rate of the most patient agent in the economy. The output distortion due to cash-in-advance constraints on firms can completely be eliminated by means of the Friedman rule if and only if firms are run by the most patient agents.Received: 16 August 2003, Accepted: 22 March 2005, JEL Classification: D52, D90, E21, E41, E52Parts of this paper were completed while the first and second authors were visiting the University of York and Princeton University respectively. We are thankful for the hospitality of these institutions. The second author also acknowledges the hospitality and support of Bilkent University that he is currently visiting, the support from the Turkish Academy of Sciences in the framework of the ‘Distinguished Young Scientist Award Program’ (TUBA-GEBIP/2004), the grant awarded by the Scientific and Technical Research Council of Turkey (TUBITAK) under the NATO Science Fellowship Program as well as the support from the Center for Economic Design of Bogaziçi University. This paper was presented in the ERC/METU Second International Conference on Economics, Ankara, September 1998, and at seminars in Bilkent, Bogaziçi and Ohio State Universities. We thank, in particular, Emre Alper, Sumru Altug, Huw Dixon, Tatsuro Ichiishi, Ivan Pastine, Murat Sertel and Alan Sutherland for useful comments. We also thank two anonymous referees for comments and suggestions. The views expressed in this paper are those of the authors and do not necessarily reflect that of the Central Bank of Republic of Turkey.     

Taxes and money in incomplete financial markets

Abstract We analyze a model with incomplete financial markets, where money is needed to pay taxes. Equilibria exist, are typically regular and not Pareto optimal. Moreover, generically, there exists a redistribution of money among households which leads to a Pareto superior equilibrium. The intervention occurs only in the first period and it does not require either closing markets or upper bounds on the number of households. Mathematics Subject Classification (2000): 91B50 Journal of Economic Literature Classification: D52, D60, E50, H20     

Commodity money equilibrium in a convex trading post economy with transaction costs

Existence and efficiency of general equilibrium with commodity money is investigated in an economy where N   commodities are traded at N(N−1)/2$N(N-1)/2$ commodity-pairwise trading posts. Trade is a resource-using activity recovering transaction costs through the spread between bid (wholesale) and ask (retail) prices. Budget constraints, enforced at each trading post separately, imply demand for a carrier of value between trading posts. Existence of general equilibrium is established under conventional convexity and continuity conditions while structuring the price space to account for distinct bid and ask price ratios. Commodity money flows are identified as the difference between gross and net inter-post trades.     

欧元对我国金融市场的影响分析

欧元从最初构想到进入正式流通历经坎坷,终于成功统一了欧洲多国的货币。在过去半个世纪中,国内、外学者提出并发展了关于最优货币区、国际货币体系改革和金融市场一体化等方面的多项理论,欧元的出现为这些理论提供了一个绝佳的验证机会。文章旨在研究欧元诞生后对国际金融市场以及对我国金融市场的影响。     

Taxation, money, and credit, in a liberalizing socialist economy

Understanding the system of financial control in the pre-existing régime of classical socialism is a key to understanding what might go wrong in the transition. Accordingly, this paper proceeds in four steps by examining:

The influence of financial participation and participation in decision-making on employee job attitudes

This study investigates the direct and indirect effects of financial participation (FP) and participation in decision-making (PDM) on employee job attitudes. The central premise is that both financial participation and participation in decision-making have effects on job attitudes, such as integration, involvement and commitment, perceived pay equity, performance-reward contingencies, satisfaction and motivation. After reviewing the theoretical and empirical literature and testing two theoretical frameworks, developed by Long (1978a) and Florkowski (1989), a new model was constructed to consider a combined effects of both FP and PDM, herein referred to as employee participation (EP). The underpinning of the model is based on the assumption that both (a) the combination of financial participation and participation in decision-making (‘employee participation’), and (b) participation in decision-making produce favourable effects on employee job attitudes. The test of the new model showed that employee participation does not produce more favourable effects on employee job attitudes, than does participation in decision-making on its own. The data were gathered from a questionnaire study administered in a large British retail organization that operates two types of ownership schemes – profit-sharing and SAYE schemes.     

Lending attitude as a financial accelerator in a credit network economy

In existing literature, commercial banks are often considered mere financial intermediaries that facilitate the flow of credit in an imperfect credit market. However, as demonstrated in the history of financial instability, the behavior of financial institutions plays an important role. This paper examines how lenders’ attitudes affect macroeconomic performance. In our analysis, the economy is composed of multiple borrowers (firms) and one lender (bank). Each borrower is directly connected to the lender through its credit contract. At the same time, each borrower is indirectly connected to all the other borrowers within the credit network. Using this model, we execute computer simulations to examine the economic consequences of lending attitudes. The results of the simulations demonstrate that the bank’s lending attitude functions as a financial accelerator; that is, it significantly affects the dynamics of the economic system through the credit network. Consequently, the same level of exogenous shock generates completely different outcomes depending on the different lending attitudes. The results also show that there exists an optimal lending attitude that leads to high economic growth and a stable growth path.     

On the monetary policy in an economy with banks endogenously creating money

This paper attempts to employ a microeconomic model (industrial-organization approach to banking) to formalize the concept that banks in an economy may also unilaterally create money, at least initially, rather than passively multiplying the base money exogenously issued by the Central Bank in the money creation process. It shows that in equilibrium, banks may indeed create money (bank deposits) when making loans without relying on the newly issued base money from the Central Bank. Instead, the endogenously created money by banks would cause the Central Bank to endogenously adjust base money to hit the target policy interest rate.     

The welfare foundations of regional planning: General equilibrium and Pareto Optimality in a spatial economy

This paper is an attempt to define the conditions of a Pareto Optimum in a spatial economy. The conditions for an optimal allocation of commodities and factors are determined in either a centralized or a decentralized economic system.     

Introducing financial frictions and unemployment into a small open economy model

Which are the main frictions and the driving forces of business cycle dynamics in an open economy? To answer this question we extend the standard new Keynesian model in three dimensions: we incorporate financing frictions for capital, employment frictions for labor and extend the model into a small open economy setting. We estimate the model on Swedish data. Our main results are that (i) a financial shock is pivotal for explaining fluctuations in investment and GDP. (ii) The marginal efficiency of investment shock has negligible importance. (iii) The labor supply shock is unimportant in explaining GDP and no high frequency wage markup shock is needed.     

Credit behavior and financial stability in an emerging economy

One relevant issue for the management of financial stability is the monitoring of the credit market. In this sense, Basel III proposed the credit gap as the most appropriate measure to anticipate financial stability issues. However, the adoption of the credit gap has been criticized, especially for emerging markets. Through panel data analysis, this study investigates the effect of the credit gap and the credit growth rate on financial stability in Brazil, which represents a relevant emerging economy. For this purpose, we use a set of financial stability measures traditionally found in the literature: the z-score, regulatory capital and credit risk. The results suggest that the credit gap and credit growth rates are adequate metrics to indicate the sustainability of credit growth in Brazil. However, credit growth rates are more attractive, since they indicate a threshold for credit growth in the Brazilian economy concerning financial stability.     

Interbank credit and the money manufacturing process: a systemic perspective on financial stability

Interbank lending and borrowing occur when financial institutions seek to settle and refinance their mutual positions over time and circumstances. This interactive process involves money creation at the aggregate level. Coordination mismatch on interbank credit may trigger systemic crises. This happened when, since summer 2007, interbank credit coordination did not longer work smoothly across financial institutions, eventually requiring exceptional monetary policies by central banks, and guarantee and bailout interventions by governments. Our article develops an interacting heterogeneous agent-based model of interbank credit coordination under minimal institutions. First, we explore the link between interbank credit coordination and the money generation process. Contrary to received wisdom, interbank credit has the capacity to remove the inner limits of monetary system capacitance. Second, we develop simulation analysis on imperfect interbank credit coordination, studying impact of interbank dynamics on financial stability and resilience at individual and aggregate levels. Systemically destabilizing forces prove to be related to the working of the banking system over time, especially interbank coordination conditions and circumstances.

     

加强企业货币资金的内部控制，防范企业财务风险

企业的现金及银行存款作为企业流动性最强的资产,对它的内部会计控制尤为重要。目前一些企业对现金及银行存款的内部控制还存在不少问题,企业应从建立货币资金业务的岗位责任制,配备合格的人员,严格的授权批准制度以及货币资金控制的监督检查制度方面,完善货币资金的内部控制。     

Optimality and consistency in a differential game with non-renewable resources

Imperfect competition amongst buyers for a non-renewable resource is modeled as a Stackelberg differential game. The buyers may act as a cartel or behave non-cooperatively in setting tariffs, which the sellers take as given. The buyer's optimal policy is not consistent when extraction costs depend on the stock level. Both optimal and consistent, unit and ad valorem tariff's are analyzed. When a buyers' cartel uses a consistent tariff, the sellers may prefer to behave as perfect competitors or a monopolist, depending on the functional form of demand and cost. Non-cooperative buyers who are constrained to act consistently are unable to extract any rent from competitive sellers.     

Sufficiency of an outside bank and a default penalty to support the value of fiat money: Experimental evidence

We present a model in which an outside bank and a default penalty support the value of fiat money, and experimental evidence that the theoretical predictions about the behavior of such economies, based on the Fisher-condition, work reasonably well in a laboratory setting. The import of this finding for the theory of money is to show that the presence of a societal bank and default laws provide sufficient structure to support the use of fiat money and use of the bank rate to influence inflation or deflation, although other institutions could provide alternatives.     

A financial accelerator in the business sector of a macroeconometric model of a small open economy

We have incorporated a financial accelerator mechanism operating through investments in the business sector in a dynamic macroeconometric model of the Norwegian economy. In this new and amended model aggregated credit and equity prices are determined simultaneously in a system characterized by a two-directional contemporaneous causal link, which has been designed and estimated by a new procedure for simultaneous structural model design. Combined with a mechanism where credit and asset prices are mutually influenced by real investments, this creates a financial accelerator amplified by a credit-asset price spiral. Simulations illustrate how the introduction of a financial accelerator significantly reinforces and extends the economic cycles in projections and forecasts, in particular when confronted by a severe shock. Furthermore, monetary policy has a markedly stronger effect in the short and medium term, while the impact of fiscal policy is affected to a relatively small degree as it is more remotely linked to financial markets.     

Structural change and female participation in recent economic growth: a multisectoral analysis for the Spanish economy

ABSTRACT

Economic growth has different impacts on gender gaps. In recent decades the growing participation of women in the labour market has reduced the gender employment gap, however a notable gender pay gap still persists standing at around 15% on average in the European Union. In this context, this paper evaluates the impact of economic growth patterns on the evolution of gender employment and pay gaps. First, sectorial feminization, direct discrimination, and structural change factors are identified and evaluated as ways to explain changes observed in the gender pay gap. Second, we explore the influence of demand, technology, and intensity factors on the evolution of employment combining gender, skill, sectorial, and temporal perspectives. As a case study, we examine Spanish economic growth from 1980 to 2007 and the influences on the size, composition (by skill), and distribution (by sector) of female and male employment, as well as the consequences for gender gaps. Our results show that structural change contributed to reduce the gender employment gap in Spain; while the evolution of the gender pay gap is less conclusive, following a sort of inverted U-shape. This paper shows the suitability and potential of the multisectorial input–output framework to analyse structural and technological changes and their impacts on the gender employment and pay gaps.