RETHINKING DYNAMIC CAPITAL STRUCTURE MODELS WITH ROLL‐OVER DEBT

Dynamic capital structure models with roll‐over debt rely on widely accepted arguments that have never been formalized. This paper clarifies the literature and provides a rigorous formulation of the equity holders’ decision problem within a game theory framework. We spell out the linkage between default policies in a rational expectations equilibrium and optimal stopping theory. We prove that there exists a unique equilibrium in constant barrier strategies, which coincides with that derived in the literature. Furthermore, that equilibrium is the unique equilibrium when the firm loses all its value at default time. Whether the result holds when there is a recovery at default remains a conjecture.     

DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING

We consider a portfolio optimization problem in a defaultable market with finitely‐many economical regimes, where the investor can dynamically allocate her wealth among a defaultable bond, a stock, and a money market account. The market coefficients are assumed to depend on the market regime in place, which is modeled by a finite state continuous time Markov process. By separating the utility maximization problem into a predefault and postdefault component, we deduce two coupled Hamilton–Jacobi–Bellman equations for the post‐ and predefault optimal value functions, and show a novel verification theorem for their solutions. We obtain explicit constructions of value functions and investment strategies for investors with logarithmic and Constant Relative Risk Aversion utilities, and provide a precise characterization of the directionality of the bond investment strategies in terms of corporate returns, forward rates, and expected recovery at default. We illustrate the dependence of the optimal strategies on time, losses given default, and risk aversion level of the investor through a detailed economic and numerical analysis.     

A GENERAL EQUILIBRIUM MODEL OF A MULTIFIRM MORAL‐HAZARD ECONOMY WITH FINANCIAL MARKETS

We present a general equilibrium model of a moral‐hazard economy with many firms and financial markets, where stocks and bonds are traded. Contrary to the principal‐agent literature, we argue that optimal contracting in an infinite economy is not about a tradeoff between risk sharing and incentives, but it is all about incentives. Even when the economy is finite, optimal contracts do not depend on principals’ risk aversion, but on market prices of risks. We also show that optimal contracting does not require relative performance evaluation, that the second best risk‐free interest rate is lower than that of the first best, and that the second‐best equity premium can be higher or lower than that of the first best. Moral hazard can contribute to the resolution of the risk‐free rate puzzle. Its potential to explain the equity premium puzzle is examined.     

STEADY‐STATE GROWTH AND DISTRIBUTION WITH AN ENDOGENOUS DIRECTION OF TECHNICAL CHANGE

A model of labor‐constrained accumulation and economically directed technical progress has a stable steady state at which the class distribution of income is invariant with respect to population and saving parameters yet sensitive to workers’ stances in wage bargaining and to the tax and transfer policies of a redistributive state.     

中国与新加坡汇率制度比较分析

从2005年7月21日开始,我国实行以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度。人民币不再单一钉住美元,也不是严格钉住一篮子货币,可简单称之为“软钉住篮子货币”。一些机构和市场人士认为, 中国最终将实行新加坡式的BBC (Basket,Band and Crawling)制度,     

资本结构理论的发展与中外企业融资选择

资本结构理论是基于实现企业价值最大化或股东财富最大化的目标 ,着重研究资本结构的变动对企业总价值的影响 ,通过资本结构理论的研究可以得出企业应遵循的融资规则。分析我国上市公司的融资选择后可以发现 ,当前我国的上市公司普遍存在明显的股权性融资偏好 ,这与资本结构理论的基本准则相悖。纠正这种不良偏好 ,是推进我国上市公司改革与发展的重要环节与内容。     

GROWTH,AUTONOMOUS DEMAND AND A JOINT‐PRODUCT TREATMENT OF FIXED CAPITAL

The aim of this paper is to shed light on the idea of demand‐led growth by exploring the relation between growth and autonomous demands in a two‐sector model that includes fixed capital with variable efficiency. The paper considers disequilibrium only in relation to quantities, with prices set at their long‐period levels. Results of computer simulations suggest that where producers' expectations of future growth allow for dispersion in past growth rates, as well future growth in autonomous demand, this may have a significant stabilizing effect on the dynamics of output and demand.     

A POST‐KEYNESIAN STOCK‐FLOW CONSISTENT MODEL FOR DYNAMIC ANALYSIS OF MONETARY POLICY SHOCK ON BANKING BEHAVIOUR

We try to make Keynes' approach compatible with an endogenous theory of the money supply. For that purpose, the principle of liquidity preference is generalized within a competitive banking framework. Private banks can impose a monetary rationing independently of the central bank. Then, we analyse the consequences of a monetary policy shock on the financial behaviour of banks. We clarify the dynamic process between the monetary policy and net investment within a Minskyan approach. First, we build a Post‐Keynesian stock‐flow consistent model with a private‐bank sector introducing more realistic features. Second, we perform some simulations.     

企业负债水平分析与最佳资本结构的确定

企业负债水平与最佳资本结构的确定是市场经济条件下企业生存、发展的基础因素，文章对企业负债水平和资本结构进行了理论分析和公式推导分析，并提出了确定最佳资本结构所应考虑的因素和权衡依据。     

A SUMMARY AND ANALYSIS OF MULTI‐ITEM SCALES USED IN LOGISTICS RESEARCH

Academic disciplines are strengthened through many years of theoretical research leading to significant knowledge advancements in the field. One primary technique for measuring concepts important for theory development is the use of multi‐item scales. This research documents the multi‐item scales utilized throughout the history of leading logistics journals. The test results for validity and reliability with respect to each scale are disclosed. Results indicate a need for logistics researchers to continue developing new measures and refining existing measures by employing rigorous methods to establish scales having highly acceptable psychometric properties.     

FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY‐OFFS

We introduce a new class of numerical schemes for discretizing processes driven by Brownian motions. These allow the rapid computation of sensitivities of discontinuous integrals using pathwise methods even when the underlying densities postdiscretization are singular. The two new methods presented in this paper allow Greeks for financial products with trigger features to be computed in the LIBOR market model with similar speed to that obtained by using the adjoint method for continuous pay‐offs. The methods are generic with the main constraint being that the discontinuities at each step must be determined by a one‐dimensional function: the proxy constraint. They are also generic with the sole interaction between the integrand and the scheme being the specification of this constraint.     

GROWTH,UNEMPLOYMENT AND ENDOGENOUS TECHNICAL PROGRESS: A HICKSIAN RESOLUTION OF HARROD'S KNIFE‐EDGE

This paper presents a neo‐Kaleckian growth model with unemployment, endogenous technical progress, and a steady‐state requirement of balanced labor demand and supply growth. There are two key innovations: first, a Marx–Hicks unemployment rate–profit rate channel affecting labor‐saving technical progress; second, a Keynesian unemployment rate channel affecting saving and investment. Changes in the unemployment rate change the profit rate, rebalancing effective labor supply and employment growth. This provides a Hicksian resolution of Harrod's knife‐edge. The Keynesian unemployment rate channel strengthens the growth benefits of a lower unemployment rate, potentially obviating any growth–unemployment trade‐off.     

THE PUBLIC SECTOR IN A MODEL OF GROWTH AND DISTRIBUTION À LA PASINETTI: EXISTENCE OF ONE‐ OR TWO‐CLASS ECONOMIES

This paper explores the implications of different regimes of taxation and fiscal policies on the existence of a one‐ or two‐class economy in the Kaldor–Pasinetti approach of growth and income distribution. A simple model and its diagrammatical representation provide a complete taxonomy of the possible steady state equilibria and synthesize some early and recent contributions. It shows that the distribution among factors and the personal distribution among socio‐economic classes depend on the fiscal policy of the government, the behavioural parameters of actors and technology; but, provided that some conditions are fulfilled, the Cambridge Theorem and its distributional implications hold.     

THE TWO FUNDAMENTAL THEOREMS OF ASSET PRICING FOR A CLASS OF CONTINUOUS‐TIME FINANCIAL MARKETS

The paper is concerned with the first and the second fundamental theorems of asset pricing in the case of nonexploding financial markets, in which the excess‐returns from risky securities represent continuous semimartingales with absolutely continuous predictable characteristics. For such markets, the notions of “arbitrage” and “completeness” are characterized as properties of the distribution law of the excess‐returns. It is shown that any form of arbitrage is tantamount to guaranteed arbitrage, which leads to a somewhat stronger version of the first fundamental theorem. New proofs of the first and the second fundamental theorems, which rely exclusively on methods from stochastic analysis, are established.     

ECR AND GROCERY RETAILING: AN EXPLORATORY FINANCIAL STATEMENT ANALYSIS

Efficient Consumer Response (ECR) is a grocery industry strategy in which distributors and suppliers work together to improve value for consumers. It is well known and often cited in textbooks as an example of a modern approach to logistics strategy. However, little empirical research has been done on ECR and food retailers. Here, financial and operating results for thirteen grocers that adopted ECR are compared with twelve grocers that did not adopt.