A primal Divisia technical change index based on the output distance function

We derive a primal Divisia technical change index based on the output distance function and further show the validity of this index from both economic and axiomatic points of view. In particular, we derive the primal Divisia technical change index by total differentiation of the output distance function with respect to a time trend. We then show that this index is dual to the Jorgenson and Griliches (1967) dual Divisia total factor productivity growth (TFPG) index when both the output and input markets are competitive; dual to the Diewert and Fox (2008) markup-adjusted revenue-share-based dual Divisia technical change index when market power is limited to output markets; dual to the Denny et al. (1981) and Fuss (1994) cost-elasticity-share-based dual Divisia TFPG index when market power is limited to output markets and constant returns to scale is present; and also dual to a markup-and-markdown-adjusted Divisia technical change index when market power is present in both output and input markets. Finally, we show that the primal Divisia technical change index satisfies the properties of identity, commensurability, monotonicity, and time reversal. It also satisfies the property of proportionality in the presence of path independence, which in turn requires separability between inputs and outputs and homogeneity of subaggregator functions.     

Axiomatic properties of geo-logarithmic price indices

In the axiomatic approach to composite index numbers, a list of properties is given that both price and quantity indices should satisfy in order to ensure consistent comparisons. Usually, the price index is selected first and its cofactor is consequently adopted as the (implicit) quantity index. Unfortunately, even if the price index has good axiomatic properties, its cofactor need not, so the implicit quantity comparison may be axiomatically inconsistent. In this paper, we give a comprehensive study of a family of price indices sharing good axiomatic properties (proportionality, commensurability, and homogeneity) together with their cofactors. This family, called geo-logarithmic, is relevant also because of the empirical circumstance that all known price indices sharing such properties with their cofactors belong to it or can be obtained from geo-logarithmic index numbers through simple transformations. Thus, the geo-logarithmic family seems to play a central role when the joint consistency of price and quantity comparisons is concerned.     

Liquidity traps and large-scale financial crises

This paper estimates a nonlinear Threshold-VAR to investigate if a Keynesian liquidity trap due to a speculative motive was in place in the U.S. Great Depression and the recent Great Recession. We find clear evidence in favor of a breakdown of the liquidity effect after an unexpected increase in M2 in the 1921–1940 period. This evidence, which is consistent with the Keynesian view on a liquidity trap, is shown to be state contingent. In particular, it emerges only when a speculative regime identified by high realizations of the Dow Jones index is considered. A standard linear framework is shown to be ill-suited to test the hypothesis of a Keynesian liquidity trap. An investigation performed with the same data for the period 1991–2010 confirms the presence of a liquidity trap just in the speculative regime. This last result emerges significantly only when we consider the federal funds rate as the policy instrument and we model the Divisia M2 measure of liquidity.     

Divisia monetary aggregates for Russia: Money demand,GDP nowcasting and the price puzzle

The lack of developed financial markets and well-functioning transmission channels assigns monetary aggregates in emerging economies the potential role of nominal anchor, intermediate target, or informational variable for monetary policy. The effectiveness of this approach relies crucially on the correct measurement of money, which is not fulfilled by the conventional index based on the simple sum of financial assets. This paper calculates alternative Divisia monetary aggregates for Russia over the period 1998–2019, which account for the level of liquidity of a given monetary asset by assigning weights according to the usefulness of that asset for transaction services. Divisia is found to follow a markedly different growth pattern from the simple sum, whereby deviations between the two series are even more pronounced when foreign currency accounts are included. We conduct three empirical exercises to demonstrate the advantages of Divisia over the simple sum. Divisia confirms the stability of the money demand function and reflects portfolio shifts in response to changes in the opportunity cost of money. Divisia-based GDP nowcasting performs better in times of financial turmoil than the simple sum. Lastly, Divisia mitigates the price puzzle phenomenon relative to the conventional measure. We conclude that Divisia monetary aggregates would improve the effectiveness of monetary policy in Russia.     

Undesirable outputs and a primal Divisia productivity index based on the directional output distance function

Despite their great popularity, all the conventional Divisia productivity indexes ignore undesirable outputs. The purpose of this study is to fill in this gap by proposing a primal Divisia-type productivity index that is valid in the presence of undesirable outputs. The new productivity index is derived by total differentiation of the directional output distance function with respect to a time trend and referred to as the Divisia–Luenberger productivity index. We also empirically compare the Divisia–Luenberger productivity index and a representative of the conventional Divisia productivity indexes–the radial-output-distance-function-based Feng and Serletis (2010) productivity index–using aggregate data on 15 OECD countries over the period 1981–2000. Our empirical results show that failure to take into account undesirable outputs not only leads to misleading rankings of countries both in terms of productivity growth and in terms of technological change, but also results in wrong conclusions concerning efficiency change.     

An axiomatic characterization of a generalized index of concentration

The Hannah-Kay [1977] generalized concentration index contains the well-known Herfindahl [1950]-Hirschman [1945] and the entropy indices as particular cases. In this papaer we show that the Hannah-Kay class can be regarded as a particular member of a generalized family of indices, which we refer to as self-weighted quasilinear means. We then show that among all self-weighted quasilinear means the Hannah-Kay family is the only class of concentration indices which satisfies the replication principle, a requirement which states that an m-fold replication of the industry, firm by firm, will multiply the concentration index by the factor 1/m.The refereeing process of this paper was handled through N.R. Adam.We are grateful to two anonymous referees for their suggestions.     

Index Number Theory Using Differences Rather Than Ratios

A bstract    Traditional index number theory decomposes a value ratio into the product of a price index times a quantity index. The price (quantity) index is interpreted as an aggregate price (quantity) ratio. The present paper takes an alternative approach to index number theory, started by Bennet and Montgomery in the 1920s, which decomposes a value difference into the sum of a price difference plus a quantity difference. Axiomatic and economic approaches to this alternative branch of index theory are considered in the present paper. The analysis presented has some relevance to accounting theory in which revenue, cost, or profit changes need to be decomposed into price quantity components or where standard or budgeted performance is compared with actual performance (variance analysis). The methodology presented in the paper is also relevant for consumer surplus analysis.     

On the pricing of real estate index linked swaps

In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing problem has been studied by Buttimer et al. in a previous paper in this journal (6 [1997]: 16). We show that their results are only approximately correct and that the true theoretical price of the swap is in fact equal to zero. This result is shown to hold regardless of the specific model chosen for the index process, the dividend process, and the interest rate term structure. We provide an intuitive economic argument as well as a full mathematical proof of our results. In particular we show that the nonzero result in the previous paper is due to two specific numerical approximations introduced in that paper, and we discuss these approximation errors from a theoretical as well as from a numerical point of view.     

Measurement Biases in Consumer Price Indexes

The Consumer Price Index (CPI) measures the cost of purchasing a fixed basket of goods at a fixed sample of outlets over time, and can be thought of as a practical approximation to a "true" cost-of-living index, and a measure of general inflation for the economy. In more recent times, concerns over the possibility that the U.S. CPI overstates the rate of inflation have grown. Annual changes in the CPI are used to adjust social security benefits, and wage contracts are often indexed to CPI changes. To the extent that the CPI overstates the rate of inflation individuals are being compensated for changes in the cost-of-living that have not occurred–with enormous implications for government fiscal budgets. This paper presents an up-to-date survey of the principal sources of measurement error or bias in the CPI. A number of sources of bias are examined, including the commodity substitution bias , the outlet substitution bias , and the elementary index bias . Traditional bilateral index number theory assumes that the number of goods remains constant over the pricing period and furthermore, that the goods are of unchanging quality. Changes in either of these give rise to two further biases: the new goods bias and the quality bias .     

How better monetary statistics could have signaled the financial crisis

This paper explores the disconnect of Federal Reserve data from index number theory. A consequence could have been the decreased-systemic-risk misperceptions that contributed to excess risk-taking prior to the housing bust. We find that most recessions in the past 50 years were preceded by more contractionary monetary policy than indicated by simple-sum monetary data. Divisia monetary aggregate growth rates were generally lower than simple-sum aggregate growth rates in the period preceding the Great Moderation, and higher since the mid 1980s. Monetary policy was more contractionary than likely intended before the 2001 recession and more expansionary than likely intended during the subsequent recovery.     

The Barnett critique after three decades: A New Keynesian analysis

This paper extends a New Keynesian model to include roles for currency and deposits as competing sources of liquidity services demanded by households. It shows that, both qualitatively and quantitatively, the Barnett critique applies: while a Divisia aggregate of monetary services tracks the true monetary aggregate almost perfectly, a simple-sum measure often behaves quite differently. The model also shows that movements in both quantity and price indexes for monetary services correlate strongly with movements in output following a variety of shocks. Finally, the analysis characterizes the optimal monetary policy response to disturbances that originate in the financial sector.     

An Implicit Törnqvist Index of Real GDP

Recently much attention has been devoted to superlative indexes in the context of the national accounts. In this paper we advocate the use of the implicit Törnqvist quantity index to measure real GDP. This index, which has been proposed by Diewert and Morrison (1986), has never received serious consideration in the literature. Yet, compared to the better-known Fisher index, the implicit Törnqvist index of real GDP has a number of advantages. Thus, it can be shown to be exact for the Translog GDP function, it allows for a complete multiplicative decomposition of nominal and real GDP, and it is consistent with state-of-the-art measures of total factor productivity that typically rely on the Törnqvist aggregation. Estimates for a sample of 26 countries are reported. We find that the Laspeyres quantity index still used by the statistical agencies of most countries tends to underestimate real growth. Over the 1960–1996 period, the cumulated shortfall was as much as 13.4% of GDP in the case of Japan.     

论通货紧缩预警指标的选择 --以日本为例

上世纪90年代发生于日本的通货紧缩,对日本经济打击沉重,使日本经济陷入了长期的低迷状态。因此,研究怎样对通货紧缩进行预警不仅具有重要的理论意义,也具有重要的实际意义。本文利用日本1998～2002年的相关经济数据,分析了这次通货紧缩发生的一些先兆,旨在提出一套能对通货紧缩进行预警的指标体系。     

Yield measure for the process with multiple streams

Process capability indices, such as C _pk , have been widely used in the manufacturing industry to provide common quantitative measures for process performance. The index C _pk only provides an approximate rather than an exact measure of the process yield. To obtain an exact measure of the process yield, Boyles proposed a yield index S _pk . Capability measures for processes with single stream have been investigated extensively; however, multiple streams processes often occur in practice. Bothe presented a capability index for multiple streams process. In the present paper, a new index that is able to provide an exact measure of yield for a multiple streams process is developed. Three examples are given for illustration. From the results of the yield measure in the three examples, the conventional approach, using the arithmetic average of the estimated yield indices of all streams, will certainly over-estimate the process yield.     

On the Functional Form of an Efficiency Index

An input efficiency index gives a numeric assessment of the degree to which a given input combination falls short of being efficient in producing a fixed amount of output. This paper presents a system of axioms which characterise a certain family of efficiency indices containing the well-known Farrell and Färe-Lovell indices. The family of indices satisfying the axioms can be obtained by minimizing a suitable function, called a performance evaluation, and different choices of performance evaluation will result in different indices.     

Different effects of technological progress on China's carbon emissions based on sustainable development

In this paper, we respectively decompose and study different effects of technological progress on carbon emissions in China based on the combination of the logarithmic mean Divisia index method, the Solow residual model, and spatial econometrics. Furthermore, we propose an improved approach to estimate the rebound effect index. By comparing the different effects of technological progress on carbon emissions, our results indicate that China's overall domestic technological progress reduced its carbon emissions over this period. As for the rebound effect index, the estimated results are higher than in previous studies because of the spatial rebound effect, which was ignored by previous studies. Regionally, although the eastern region had high rebound effects, the western region is at the greatest risk from the rebound effects. Finally, we present specific environmental policy proposals for China's sustainable development based on empirical results.     

Shadow Price Approach to Total Factor Productivity Measurement: With an Application to Finnish Grass-Silage Production

This paper explores an intermediate route between the Fisher and the Malmquist productivity indexes so as to minimize data requirements and assumptions about economic behavior of production units and their production technology. Assuming quantity data of inputs and outputs and the behavioral hypothesis of allocative efficiency, we calculate the exact value of the Fisher ideal productivity index using implicit shadow prices revealed by the choice of input–output mix. The approach is operationalized by means of a nonparametric data envelopment analysis (DEA) model. Empirical application to Finnish grass silage farms suggests that the Malmquist and the Fisher productivity indices yield similar results when averaged over firms, but there can be major differences in the results of the two approaches at the level of individual firms.     

An alternative quality of life ranking on the basis of remittances

Remittances provide an essential connection between people working abroad and their home countries. This paper considers these transfers as a measure of preferences revealed by the workers, underlying a ranking of countries around the world. In particular, we use the World Bank bilateral remittances data of international salaries and interpersonal transfers between 2010 and 2015 to compare European countries. The suggested least squares method has favourable axiomatic properties. Our ranking reveals a crucial aspect of quality of life and may become an alternative to various composite indices.     

An axiomatic theory of heterogeneity and homogeneity

Summary Indices of heterogeneity and homogeneity are used in biology and ecology as well as in other fields of scientific research, e.g. economics, genetics, antropology, sociology. With respect to these indices, reference is made frequently to information theory. In this paper it is shown that especially recent developments in statistical information theory can contribute to the measurement of heterogeneity and homogeneity. They can lead to a more fundamental and unifying approach and bring together both heterogeneity and homogeneity indices in one axiomatically founded theory. Therefore a generalized heterogeneity index is introduced axiomatically. Algebraic, analytic and geometrical properties are investigated. Special attention is paid to the interpretation of these properties and to the choices of the values of the parameters for practical applications. Based on this generalized heterogeneity index, it is possible to given an axiomatic characterization for a class of homogeneity indices. The properties of this class are the reverse of those of the heterogeneity index. Finally, some potential measures for heterogeneity or homogeneity change are discussed.Presently with Delft University of Technology, Department of Electrical Engineering, Information Theory Group, P.O. Box 5031, 2600 GA Delft, The Netherlands.     

制造业企业供应商选择评价指标体系设计

基于制造业企业供应商选择的现状,构建了一个有5个一级指标和15个二级指标组成的选择评价指标体系。对各个指标进行了详细的说明,并对定性和定量指标分别进行了量化研究。较为全面地反映了供应链环境下新型的供应商关系的特点,突出了供应商的合作能力和发展能力的评价。