微观经济行为的道德性研究

经济与道德是一个问题的两个方面,在市场经济的条件下,经济与道德之间的逻辑关联尤为显现。对此应对二者本身作价值论证。从微观经济的视角分析经济活动中的道德问题,说明经济与道德在价值层面是辩证统一、互为依存的,市场经济也是道德经济,所以推进社会主义市场经济的健康运行和发展,必须要建立起与之对应的道德上层建筑。     

寡头垄断市场结构的微观经济效率分析

文章将威廉姆森的垄断效率分析模型引入时间因素,构建自己的长期效率分析模型。分析结论是自发形成的,寡头垄断市场结构代替竞争性市场结构也常常是具有经济效率的。如果经济本身加上政府的政策可以使市场价格迅速收敛到产品平均成本水平,则寡头垄断市场代替完全竞争市场一定是有效率的,且其本身也在短期内达到帕累托最优。     

我国商品房价格增长与宏观经济因素的关联性研究

文章基于我国商品房价格增长率、利率、工业增加值增速、通货膨胀率以及货币供给量增长率五个主要的宏观经济指标,利用多变量向量自回归(VAR)模型研究了我国商品房价格增长与宏观经济运行之间的相互关系。所得到的结果表明,我国通货膨胀率和货币供给量增长率能够显著影响商品房价格增长率,而利率和工业增加值增速对我国商品房价格增长率的影响作用较弱,因此,控制房地产行业的货币供给对限制房地产价格快速增长是一项行之有效的调控政策。     

生态工业园的微观经济价值分析

转移价值、技术溢出价值、共生规模价值与治污成本削减是推动企业构建工业共生系统的核心经济驱动力,工业共生促进了物质与能量的集约使用,使整个企业社区能获得比单个企业通过个体行为最优化所能获得效益之和更大的效益。     

关于保险市场道德风险的微观经济学问题研究

保险市场是一个典型的信息不对称市场,主要表现为道德风险问题,这种对信息占有的不对称状况,很容易被保险市场参与者所利用,并导致保险市场运行的低效率。目前,中国保险市场上保险公司和投保人之间的道德风险问题表现得比较突出,已经成为制约保险业可持续发展的一个重要因素。本文从理论角度研究道德风险问题产生的机制,梳理信息不对称问题在理论上的解决方法,并从中得到保险市场应对道德风险问题的建议。     

Hourly wage rate and taxable labor income responsiveness to changes in marginal tax rates

Recently, a voluminous literature estimating the taxable income elasticity has emerged as an important field in empirical public economics. However, to a large extent it is still unknown how the hourly wage rate, an important component of taxable income, reacts to changes in marginal tax rates. In this study we use a rich panel data set and a sequence of tax reforms that took place in Sweden during the 1980s to estimate the elasticity of the hourly wage rate as well as the taxable labor income elasticity with respect to the net-of-tax rate. We also estimate elasticities with respect to the non-labor income in a way that is novel in the literature. While carefully accounting for the endogeneity of marginal tax rates we find a statistically significant response in wage rates both among married men and women. The estimates of the hourly wage rate elasticity with respect to the net-of-tax rate fall in the range of 0.14–0.16 for males and 0.41–0.57 for females, whereas the corresponding taxable labor income elasticity estimates hover between 0.19–0.21 for males and 0.96–1.44 for women. Moreover, for men we find that the taxable labor income elasticity with respect to non-labor income is statistically significant; the point estimate being ? 0.07. This implies that the compensated taxable labor income elasticity is about 5 percentage points higher than the uncompensated one. In general, we consider the estimates for males to be more certain and robust than the estimates for females.     

On adjusting for risk changes when assessing the profitability effects of regulatory changes

Since regulatory changes affect the profitability and the systematic risk of regulated firms, standard ‘residual’ analysis may not uncover the true impact of regulatory changes. This paper presents a method, based on the CAPM which uses pre- and post regulatory change information, to differentiate risk from profit related changes in stock market valuations.     

The Austrian theory of the marginal use and of ordinal marginal utility

Conclusion The Austrian theory of the marginal use raises almost as many problems as it has solved. We list here a few of these unsolved problems.Complementarity and rivalness do lead to the ALEP criterion in the examples we worked out above, but we have made no attempt to formalize this rule into a general theorem. Intuitively, the ALEP condition must appear when the complementary or rival relationships are somehow active in the inner or outer marginal uses, but it is not clear exactly what the circumstances are under which this holds.Although the theory leads to quasi-concavity of commodity preferences over goods in the particular cases we worked out, even when rival or complementary interactions are present, it has only been proven that this must be generally true when there are two goods, and then only in the case when the two goods are independent. Perhaps preferences do not really have to be quasi-concave after all.And finally, it must be resolved whether the possibility of intrinsically ordinal preferences nullifies the von Neumann-Morgenstern axiom system, or if instead the validity of those axioms rules out intrinsically ordinal preferences.After over a century, the Austrian theory is still in its youth. Perhaps the day has come for Felix Kaufmann's youngGrenznutzler to return from the netherworld of economic doctrine: There I will quietly lie in wait, Amid my neglected writings, Until I hear the trumpet call of Complementary Goods. Then through the sky will gallop Böhm-Bawerk, Polemics will thunder and flash! Then armed with a quill I'll rise up from the grave, To fight for theGrenznutzen school!²⁷ The author is Scherman Research Fellow at NBER-West and Assistant Professor at Boston College. He is grateful for helpful suggestions made by J. R. Meginniss and by various participants in seminars at Boston College, at the Universities of Hartford and Chicago, at Stanford University, and at NBER-West.     

The value of changes in individual risk in a large mixed economy

Changes in an individual's risk will affect all other individuals in the economy because of the interdependence created by the government's budget constraint. If government policy is optimal, these spillover benefits are measured by the change in the expected government budget surplus.     

The marginal utility of income

In normative public economics it is crucial to know how fast the marginal utility of income declines as income increases. One needs this parameter for cost-benefit analysis, for optimal taxation and for the (Atkinson) measurement of inequality. We estimate this parameter using four large cross-sectional surveys of subjective happiness and two panel surveys. Altogether, the data cover over 50 countries and time periods between 1972 and 2005. In each of the six very different surveys, using a number of assumptions, we are able to estimate the elasticity of marginal utility with respect to income. We obtain very similar results from each survey. The highest (absolute) value is 1.34 and the lowest is 1.19, with a combined estimate of 1.26. The results are also very similar for subgroups in the population. Thus, on the basis of our estimates, the marginal utility of income declines somewhat faster than in proportion to the rise in income.     

Mixed data sampling expectile regression with applications to measuring financial risk

To avoid information loss or measurement error in traditional methods dealing with mixed frequency data, we develop a novel mixed data sampling expectile regression (MIDAS-ER) model to measure financial risk. We construct the MIDAS-ER model by introducing a MIDAS structure into expectile regressions. This enables us to perform an expectile regression on raw mixed frequency data directly. We apply the proposed MIDAS-ER model to estimate two popular financial risk measures, namely, Value at Risk and Expected Shortfall, with both simulated data and four stock indices, and compare the model's performance with those of several popular models. The outstanding performance of our model demonstrates that high-frequency information helps to improve the accuracy of risk measurement. In addition, the numerical results also imply that our model can be a significant tool for risk-averse investors to control risk losses and for financial institutions to implement robust risk management.     

Decreasing absolute prudence: Characterization and applications to second-best risk sharing

In this paper, we provide two basic properties of utility functions u which exhibit decreasing absolute prudence i.e. (− u/u″)′ ≤ 0. These properties are used to examine the allocation of risks in an economy when some agents bear non-transferable risks. We show that it is fair Pareto-efficient to let those with a non-transferable risk bear relatively less of the transferable risk in the economy if and only if absolute prudence is decreasing. In another model, there is a complete set of contingent markets, but some agents have no direct access to them. We examine the fair efficient allocation of risk in a pool gathering a trader and a non-trader. Decreasing absolute prudence provides an upper bound to the share of the pool's risk that should be borne by the trader.     

Supply and marginal firms in general equilibrium

For economies with a large number of small firms, price induced changes in supply are decomposed into substitution and entry effects. Marginal firms (those earning zero profit) play a significant role in the determination of the slope of aggregate supply.     

Effects of structural changes on the risk characteristics of REIT returns

This investigation provides evidence and identifies two important structural changes in the risk characteristics of real estate investment trusts (REITs), namely, the 1993 tax reform and the inclusion of REITs in the mainstream S&P indices in 2001. Using daily data from 1989 to 2008, this study finds that institutional investors tended to increase their investment in REITs following the 1993 tax reforms, and these increases in institutional investment are significantly reducing exposure to interest rate risk, which may result from the benefits of external monitoring. Additionally, the inclusion of REITs in the Standard and Poor's mainstream indices since 2001 has increased the market risk of REITs, led to associated returns behaving more like those of stocks, and improved the market efficiency in processing new information. These observation results demonstrate these two structural changes in the risk characteristics of REIT returns. Finally, the study results confirm that the shape of the distribution of REIT returns varies among sub-samples, indicating that risk management is increasingly important.     

The dynamics of marginal wage-cost subsidies

The effects of subsidies to firms that increase their level of employment are studied. The dependence of the optimal employment policy on the length of the period during which such subsidies will be in force is analyzed.     

Comparative risk aversion: A formal approach with applications to saving behavior

We consider a formal approach to comparative risk aversion and apply it to intertemporal choice models. This allows us to ask whether standard classes of utility functions, such as those inspired by Kihlstrom and Mirman (1974) [16], Selden (1978) [27], Epstein and Zin (1989) [10] and Quiggin (1982) [25] are well ordered in terms of risk aversion. Moreover, opting for this model-free approach allows us to establish new general results on the impact of risk aversion on savings behaviors. In particular, we show that risk aversion enhances precautionary savings, clarifying the link that exists between the notions of prudence and risk aversion.     

Average marginal tax rates in the UK economy

Using a known methodology, this paper calculates the average tax rate (ATR) and three different average marginal tax rate (AMTR) measures for the UK. The three different AMTR measures are greater than the ATR in the same year because of the progressive tax system in the UK. Barro's AMTR measure weighted by total income is greater than Barro's AMTR measure weighted by number of returns because of the unequal distribution of income, and Barro's AMTR measure weighted by total income exceeds Seater's AMTR measure because total income before tax in Seater's AMTR measure is greater than total income after tax in Barro's AMTR measure.     

Decreasing marginal impatience in a two-country world economy

By using a two-country model with endogenous time preference, this paper examines the dynamic implication of decreasing marginal impatience (DMI). To ensure stability, we assume that one country has DMI whereas the other has increasing marginal impatience (IMI). The resultant equilibrium dynamics differ from what can be inferred from the analysis of the standard IMI model (e.g., Devereux and Shi in J Int Econ 30:1–25, 1991). An increase in fiscal spending, in either country with DMI or IMI, has always contrasting long-run effects on domestic and foreign consumption and hence on domestic and foreign welfare; and the same policy definitely raises the interest rate in the long run.     

Liquidity and the marginal value of information

We revisit Kyle’s (Econometrica 53:1315–1335, 1985) model of price formation in the presence of private information. We begin by using Back’s (Rev Financ Stud 5(3):387–409, 1992) approach, demonstrating that if standard assumptions are imposed, the model has a unique equilibrium solution and that the insider’s trading strategy has a martingale property. That in turn implies that the insider’s strategies are linear in total order flow. We also show that for arbitrary prior distributions, the insider’s trading strategy is uniquely determined by a Doob $h$ -transform that expresses the insider’s informational advantage. This allows us to reformulate the model so that Kyle’s liquidity parameter $\lambda $ is characterized by a Lagrange multiplier that is the marginal value or shadow price of information. Based on these findings, we can then interpret liquidity as the marginal value of information.