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1.
Eduardo L. Giménez 《Economic Theory》2003,21(1):195-204
Summary. This paper argues that the introduction of a short-sale constraint in the Arrow-Radner framework invalidates standard definitions
of complete and incomplete markets. Two threshold values with familiar properties arise in this constrained set-up. If short
sales are not allowed on some security, then financial markets will be incomplete in the standard sense. Beyond a particular
level of the short-sale bound, financial markets are “complete”, since the short-sale constraint is not effective. For intermediate
bounds the distinction between complete and incomplete financial markets is blurred. Although some technical definitions hold,
agents can not fully transfer wealth among states. These intermediate cases, called “technically incomplete markets”, exhibit
interesting welfare properties. For instance, the resulting equilibrium allocations may not be Pareto-dominated by those of
the non-restricted complete markets equilibrium.
Received: November 28, 2000; / revised version: November 9, 2001 相似文献
2.
Commitment to a strategy of uniform pricing in a two-period duopoly with switching costs 总被引:1,自引:0,他引:1
This paper studies decisions by firms of whether to attempt “behavior-based” price discrimination in markets with switching
costs by using a two-period duopoly model. When both firms commit themselves to a pricing policy and consumers are “sophisticated”
and have rational expectations, there is a dominant strategy equilibrium with both firms engaging in uniform pricing. Both
firms are better off in the uniform pricing equilibrium, compared with the discriminatory equilibrium.
相似文献
3.
We develop a dynamic factor model with Markov switching to examine secular and business cycle fluctuations in the U.S. unemployment
rates. We extract the common dynamics amongst unemployment rates disaggregated for 7 age groups. The framework allows analysis
of the contribution of demographic factors to secular changes in unemployment rates. In addition, it allows examination of
the separate contribution of changes due to asymmetric business cycle fluctuations. We find strong evidence in favor of the
common factor and of the switching between high and low unemployment rate regimes. We also find that demographic adjustments
can account for a great deal of secular changes in the unemployment rates, particularly the abrupt increase in the 1970s and
1980s and the subsequent decrease in the last 18 years.
First Version Received: December 2000/Final Version Received: June 2001 相似文献
4.
Klaus Nehring 《Economic Theory》2001,18(3):535-553
Summary. While the meaningfulness of the common prior assumption (CPA) under incomplete information has been established recently
by various authors, its epistemic rationale has not yet been adequately clarified. To do so, we provide a characterization
of the CPA in terms of a new condition called “Mutual Calibration”, and argue that it constitutes a more transparent and more
primitive formalization of the Harsanyi Doctrine than the existing characterizations. Our analysis unifies the understanding
of the CPA under incomplete information and clarifies the role of higher-order expectations and of the difference between
situations with only two and those with at least three agents. In the concluding section, the analysis is applied to the problem
of defining Bayesian consistency of the intertemporal beliefs of a single-agent with imperfect memory. The CPA yields a notion
of “Bayesian updating without a prior”.
Received: March 24, 2000; revised version: April 27, 2000 相似文献
5.
In this paper we examine the nature of currency crises. We ascertain whether the currency crises of the European Monetary
System (EMS) were based either on fundamentals, or on self-fulfilling market expectations driven by extrinsic uncertainty.
In particular, we extend previous work of Jeanne and Masson (J Int Econ 50:327–350, 2000) regarding the evaluation of currency
crisis. We contribute to the existing literature proposing the use of Markov regime-switching with time-varying transition
probability model. Our empirical results suggest that the currency crises of the EMS were not due only to market expectations
driven by external uncertainty, or ‘sunspots’, but also to fundamental variables that help to explain the behavior of market
expectations.
We would like to thank Joseph Byrne, James Mitchell, Martin Weale and two anonymous referees for very useful comments and
suggestions. 相似文献
6.
Two issues are addressed in this paper. First, we explore the issue of price index invariance in the linearized Almost Ideal
demand system. We establish that the Stone index, which lacks invariance, and the recently proposed invariant Laspeyres, Paasche
and Tornqvist indices all generate biased and inconsistent estimators. Monte Carlo evidence shows that invariance does not
necessarily lead to better estimates of price and income elasticities insofar as the Stone and Paasche indices are unambiguously
inferior to the Laspeyres and Tornqvist indices, especially if prices are not strongly positively correlated. Second, we examine
the merits of the widely used conditional ML estimator of the non-linear Almost Ideal system in which a prior value is chosen
for the “subsistence” parameter. We find that the bias and trace mean square error increases induced by conditional estimation
are modest. The choice between the linearized and the non-linear models favors the latter although in some cases linear methods
are as good as non-linear.
First Version Received: January 1999 / Final Version Received: March 2000 相似文献
7.
This paper tests between fads and bubbles using a switching regression to distinguish between competing models. Two main
features of the bubbles model distinguish it from the fads model. First, the bubbles model implies that returns are drawn
from regimes which differ in the way returns vary with deviations from fundamental prices. Second, the bubbles model implies
that deviations from fundamental price will help predict regime switches. Using US data for 1926–89, we find evidence which
is consistent with the fads model even when we allow for variation in expected dividend growth rates and expected discount
rates. However, the restrictions which the fads model implies for a more general switching-regression specification are rejected.
The rejections point in the direction of the bubbles model, although not all of the implications of the bubbles model are
supported by the data.
First Version Received: October 2000/Final Version Received: October 2001 相似文献
8.
Summary. Asset prices and returns are known to vary significantly more than␣output or aggregate consumption growth, and an order of
magnitude in excess of what is justified by innovations to fundamentals. We study excess price volatility in a lifecycle economy
with two assets (claims on capital and␣a public debt bubble), heterogeneous agents, and increasing returns to financial intermediation.
We show that a relatively modest nonconvexity generates a set valued equilibrium correspondence in asset prices, with two␣stable
branches. Price volatility is the outcome of an equilibrium selection mechanism, which mixes adaptive learning with “noise”,
and alternates stochastically between the two stable branches of the price correspondence.
Received: March 19, 1998; revised version: June 2, 1998 相似文献
9.
Summary. We study the implications of optimal dynamic contracts in private information environments for fluctuations in effort and
employment across time and productivity states. To this end, we incorporate temporary layoffs and permanent separations as
well as on-the-job effort variations into a dynamic model of moral hazard. We consider two different “commitment” environments.
In a “full commitment” environment, although the firm can temporarily lay a worker off, neither party can dissolve the contractual
relationship once it has been initiated. On the other hand, in a “limited commitment” environment, both parties can dissolve
the relationship at the beginning of any period in order to pursue an outside option.
We use our model to study the implications of optimal contracts for incentives, employment histories, layoffs and separations
across full information, full commitment and limited commitment settings. We compute solutions to the relevant principal-agent
problems, endogenously determining the set of states in which separations occur and the domain of the firm's value function,
as well as the value function itself.
Received: February 28, 2000; revised version: January 21, 2001 相似文献
10.
Gregor W. Smith 《The Canadian journal of economics》2001,34(4):882-902
During a currency crisis, speculators usually do not know the value of a central bank's foreign exchange reserves. In this paper I show that modelling speculators as having imperfect knowledge of reserves enriches the predictions of the classical model of speculative attacks. With realistic lags in reserve reporting and costs to unsuccessful speculation, successful speculative attacks will involve a jump depreciation, unsuccessful attacks may occur, attacks may occur when fundamentals are improving, attacks may not be preceded by large increases in interest rates, and fixed exchange rates may be abandoned with no attack and no decline in the money supply. JEL Classification: F31 相似文献
11.
Julio Dávila 《Economic Theory》1998,12(1):213-223
Summary. It is shown in this note that in an incomplete markets economy with uncountably many states of the world there may be uncountably
many isolated equilibria as well as uncountably many non-isolated equilibria. Moreover, both subsets can be simultaneously
of second category. Therefore, none of the subsets can be considered negligible with respect to the other, neither from a
cardinality point of view nor from a topological one. Unfortunately, this fact prevents from claiming that these economies
may have “typically” determinate equilibria – even though uncountably many of them – as would have been desirable for comparative
statics exercises.
Received: May 19, 1995; revised version: March 24, 1997 相似文献
12.
Unay Tamgac 《International Review of Economics & Finance》2011,20(1):44-58
In this paper we analyze the role of fundamentals and self-fulfilling expectations in the crisis episodes of Turkey in 1994 and 2001. The question is how much of the occurrence of a crisis can be attributed to market expectations and how much to fundamentals. The model is estimated using a Markov switching framework in which the devaluation expectations affect crisis probability via three different specifications. Such a framework which allows for sunspots performs better than a purely fundamental-based model. The study shows that besides the fundamentals in the economy, shifts in agents' devaluation expectations have played a crucial role and that a Markov switching model with constant transition probabilities provides better estimates for the Turkish currency crises. 相似文献
13.
Chengze Simon Fan 《Economic Theory》2001,17(2):399-418
Summary. Extending some existing literature, this paper formalizes the idea that intergenerational transfers occur because people
care about the “characteristics” (i.e quantity and quality) of their offspring, rather than their children's welfare per se
or consumption. The model analyzes this transfer motive in an infinite Markovian game framework, and it proves the existence
of a stationary Markov Perfect equilibrium. Further, the analysis shows that under certain conditions, the proposed transfer
motive will diminish, as the average income of an economy is sufficiently high. Thus, it suggests that as incomes continue
to rise beyond a certain level, the (extended) life-cycle hypothesis will likely be a better and better approximation for
explaining most people's saving behavior. This result also provides an explanation for the decline of the saving rates in
the U.S. and other developed countries.
Received: December 28, 1998; revised version: February 17, 2000 相似文献
14.
Improving GARCH volatility forecasts with regime-switching GARCH 总被引:1,自引:0,他引:1
Franc Klaassen 《Empirical Economics》2002,27(2):363-394
Many researchers use GARCH models to generate volatility forecasts. Using data on three major U.S. dollar exchange rates
we show that such forecasts are too high in volatile periods. We argue that this is due to the high persistence of shocks
in GARCH forecasts. To obtain more flexibility regarding volatility persistence, this paper generalizes the GARCH model by
distinguishing two regimes with different volatility levels; GARCH effects are allowed within each regime. The resulting Markov
regime-switching GARCH model improves on existing variants, for instance by making multi-period-ahead volatility forecasting
a convenient recursive procedure. The empirical analysis demonstrates that the model resolves the problem with the high single-regime
GARCH forecasts and that it yields significantly better out-of-sample volatility forecasts.
First Version Received: November 2000/Final Version Received: August 2001 相似文献
15.
Juan-Manuel Renero 《Economic Theory》1998,11(2):275-294
Summary. I provide new results concerning dynamics for a version of the Kiyotaki-Wright model (1989) in which strategies (either mixed
or pure) are restricted so that agents play the same strategy for each opportunity set. My results demonstrate the importance
of examining stability in such models, because they show that many steady states focused on in the literature are not stable. Furthermore, I exhibit examples of two-period-convergent equilibria in which agents are indifferent among media of
exchange. Consequently, their endogenous transaction pattern is analog to the coexistence of assets whose acceptability or “liquidity” varies inversely with their
rates of return.
Received: June 21, 1996; revised version: December 2, 1996 相似文献
16.
Antonio Quesada 《Economic Theory》2002,20(3):623-627
Summary. Arrow's theorem is proved on a domain consisting of two types of preference profiles. Those in the first type are “almost
unanimous": for every profile some alternative x is such that the preferences of any two individuals merely differ in the ranking of x, which is in one of the first three positions. Profiles of the second type are “appropriately heterogeneous”, with preferences
similar to those generating the “paradox of voting”.
Received: March 9, 2000; revised version: June 7, 2001 相似文献
17.
Tetsuo Ono 《Economic Theory》2003,22(1):141-168
Summary. The purpose of this paper is to consider environmental taxation which would control emissions of firms in a model of growth
cycles. In the model presented below, the economy may experience two phases of growth and environmental quality: “the no-innovation
growth regime” and “the innovation-led growth regime”. Aggregate capital and environmental quality remain constant in the
no-innovation growth regime, while they perpetually increase in the innovation-led growth regime. The paper shows that the
tax plays a key role in determining whether the economy stably converges to one of the two regimes or fluctuates permanently
between them. It also shows that there is a critical level of the tax and that the economy obtains higher growth rates of
capital and environmental quality by raising (or reducing) the tax if the initial tax is below (or above) the critical level.
Received: April 2, 2001; revised version: March 21, 2002
RID="*"
ID="*" This research reported here was conducted within the research project “Project on Intergenerational Equity” at Institute
of Economic Research, Hitotsubashi University. I am deeply grateful to an anonymous referee for his or her insightful comments,
which greatly improved the paper. I also thank Hiroshi Honda, Yasuo Maeda, Yuji Nakayama, and participants in workshops at
Hitotsubashi University, Kyoto University, Nagoya University, Osaka University, University of Tsukuba, Yokohama National University,
and University of Tokyo for their valuable comments and suggestions. Any remaining errors are mine. 相似文献
18.
Summary. We study the core and competitive allocations in exchange economies with a continuum of traders and differential information.
We show that if the economy is “irreducible”, then a competitive equilibrium, in the sense of Radner (1968, 1982), exists.
Moreover, the set of competitive equilibrium allocations coincides with the “private core” (Yannelis, 1991). We also show
that the “weak fine core” of an economy coincides with the set of competitive allocations of an associated symmetric information
economy in which the traders information is the joint information of all the traders in the original economy.
Received March 22, 2000; revised version: May 1, 2000 相似文献
19.
Frédéric Lordon 《Journal of Evolutionary Economics》1997,7(1):1-21
The slow and endogenous twist of economic macro-structure makes up an important evolutionary feature of capitalist economies,
and may be at the root of structural crisis. In this line, a Goodwinian growth model with increasing returns and profit-sharing
that tries to picture a simple scenario of the seventies crisis is considered. It is shown that the exhaustion of the Kaldor-Verdoorn
“productivity law” can entail, in a nonlinear framework, a “catastrophic” bifurcation from a “high” to a “low” growth path.
Slow/fast dynamical systems then allow one to formalize a multiple time-scales dynamics where the growth path is shaped by
the structural framework in which it takes place, but has also a long -un feedback. Structural change and crisis appear as
long term and endogenous outcomes. 相似文献
20.
Steven Russell 《Economic Theory》2003,22(1):111-140
Summary. This paper uses a general equilibrium model to study the determination of the exchange rate in an economy with fundamental
uncertainty. The model has steady state equilibria in which the exchange rate is constant. These equilibria may coexist with
“quasi-fundamental” equilibria – nonstationary equilibria in which the exchange rate displays stochastic fluctuations that
are correlated with the fluctuations in fundamental random variables. The quasi-fundamental equilibria are Pareto dominated
by the corresponding constant-exchange-rate steady states. They also converge to these steady states, inevitably or with positive
probability.
Received: October 2, 1999; revised version: March 26, 2002
RID="*"
ID="*" This paper began as a joint project with Alex Mourmouras, who has made many helpful comments and suggestions but is
not responsible for any errors or deficiencies. In addition, I thank an anonymous referee for helpful comments. 相似文献