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1.
In this paper, we measure U.S. technology shocks by implementing a dual approach, which is based on price data instead of
aggregate quantity data. By doing so, we find the relative volatility of technology shocks and the correlation between output
fluctuation and technology shocks to be much smaller than those revealed in most real-business-cycle (RBC) studies. Our results
support the findings of Burside et al. (Eur Econ Rev 40:861–869, 1996), who showed that the correlation between technology shocks and output is exaggerated in the RBC literature. This suggests
that one should examine other sources of fluctuations for a better understanding of the business cycle phenomena. 相似文献
2.
We show that the recently developed non-parametric procedure for fitting the term structure of interest rates developed by
Linton, Mammen, Nielsen, and Tanggaard (J Econ 105(1):185–223, 2001) overall performs notably better than the highly flexible
McCulloch (J Finon 30:811–830, 1975) cubic spline and Fama and Bliss (Am Econ Rev 77:680–692, 1987) bootstrap methods. However,
if interest is limited to the Treasury-bill region alone then the Fama–Bliss method demonstrates superior performance. We
further show, via simulation, that using the estimated short rate from the Linton–Mammen–Nielsen–Tanggaard procedure as a
proxy for the short rate has higher precision then the commonly used proxies of the one and three month Treasury-bill rates.
It is demonstrated that this precision is important when using proxies to estimate the stochastic process governing the evolution
of the short rate 相似文献
3.
We take a differential game approach to study the dynamic behaviour of labour managed (LM) firms, in the presence of price stickiness. We find that the oligopoly market populated by LM firms reaches the same steady state equilibrium allocation as the oligopoly populated by profit-maximising (PM) firms, provided that the LM membership and the PM labour force are set before the market game starts. The conclusion holds under both the open-loop solution and the closed-loop solution. The result confirms the point made by Sertel (Eur Econ Rev 31:1619–1625, 1987) in a static framework. 相似文献
4.
The paper compares decision-making on the centralisation of public goods provision in the presence of regional externalities
under representative and direct democratic institutions. A model with two regions, two public goods and regional spillovers
is developed in which uncertainty over the true preferences of candidates makes strategic delegation impossible. The political
economy argument against centralisation of Besley and Coate (J Public Econ 87:2611–2637, 2003) does therefore not apply. Instead,
it is shown that the existence of rent extraction by delegates alone suffices to make cooperative centralisation more likely
through representative democracy under reasonable assumptions. In the case of non-cooperative centralisation, the more extensive
possibilities for institutional design under representative democracy increase the likelihood of centralisation. Direct democracy
may thus be interpreted as a federalism-preserving institution. 相似文献
5.
This paper examines the congressional effect between the pre- and post-democratization on the stock market by the asymmetric
Generalized Autoregressive Conditional Heterosce desticity (GARCH) model in the period 1984–2004. The results found that the
congressional effect is negative effect on stock returns but volatility is not significant. However, the democratic effect
on stock returns is negative and increased of volatility. Moreover, the congressional effect on stock market returns following
democratization significantly exceeds that before democratization, but have no significant effect for the volatility in the
same circumstances. These results provide evidences consistent with the contention of liberalization (Hayek, Am. Econ. Rev.
35, 519–530, Individualism and Economic order, The university of Chicago press, Chicago, London, 1945, 1948; Popper, The open
society and its Enemies, Princeton university, NJ, 1950). 相似文献
6.
Procurement auction literature typically assumes that the suppliers are uncapacitated [see, e.g. Dasgupta and Spulber in Inf
Econ Policy 4:5–29, 1990 and Che in Rand J Econ 24(4):668–680, 1993]. Consequently, the auction mechanisms award the contract
to a single supplier. We study mechanism design in a model where suppliers have limited production capacity, and both the
marginal costs and the production capacities are private information. We provide a closed-form solution for the revenue maximizing
direct mechanism when the distribution of the cost and production capacities satisfies a modified regularity condition [Myerson in Math Oper Res 6(1):58–73, 1981]. We also present a sealed low bid implementation of the optimal direct
mechanism for the special case of identical suppliers. The results in this paper extend to other principle-agent mechanism
design problems where the agents have a privately known upper bound on allocation.
The authors would like to thank the anonymous referees for valuable suggestions and comments. 相似文献
7.
Change point test for tail index for dependent data 总被引:1,自引:0,他引:1
To test for the constancy of tail index, Quintos et al. (Rev Econ Stud 68:633–663, 2001) proposed three types of change point
tests for independent and ARCH type sequences. In this paper, we demonstrate that their tests can be successfully extended
to a large class of dependent stationary sequences. Further, we designate a time-reverse version of those tests since the
original tests produce very low powers in case the tail of distribution gets thinner. A simulation study is implemented for
illustration. 相似文献
8.
Carlo Mari 《Decisions in Economics and Finance》2003,26(1):39-52
In the spirit of the Heath–Jarrow–Morton
methodology, we provide an analytical characterization of bond prices within the context of single factor term structure models
in which the spot rate follows a Markov process and the volatility structure of zero coupon bond returns is stochastic. Also,
a perturbative analysis of the extended Cox–Ingersoll–Ross model is proposed.
Received: 7 February 2001 / Accepted: 8 June 2002 相似文献
9.
Sandrine Ollier 《Review of Economic Design》2007,11(1):1-11
Faynzilberg and Kumar (Rev Econ Design 5(1):23–58, 2000) show that the usual Mirrlees–Rogerson conditions to validate the
first-order approach in moral hazard agency models are no longer valid in the generalized agency case. They consider the risk-averse
agent case and identify one set of technological conditions, where the production technology satisfies the linear distribution
function condition in actions and types, that validates ex-ante the first-order approach. With the usefulness of their decomposition approach, we show that the first-order approach in the
generalized agency case can be checked ex-ante under the Mirrlees–Rogerson conditions when the agent is risk-neutral but there is a binding limited liability constraint on the agent’s wage.
相似文献
10.
Charles Blackorby Daniel Primont R. Robert Russell 《Journal of Productivity Analysis》2007,28(3):203-208
We show that the Hotelling–Lau elasticity of substitution, an extension of the Allen–Uzawa elasticity to allow for optimal
output-quantity (or utility) responses to changes in factor prices, inherits all of the failings of the Allen–Uzawa elasticity
identified by Blackorby and Russell [(1989) Am Econ Rev 79: 882–888]. An analogous extension of the Morishima elasticity of
substitution to allow for output quantity changes preserves the salient properties of the original Hicksian notion of elasticity
of substitution.
We thank Paolo Bertoletti for drawing our attention to the issue addressed in this paper and for his comments on an earlier
draft. 相似文献
11.
Productivity drivers and market dynamics in the Spanish first division football league 总被引:1,自引:1,他引:0
This paper analyses efficiency drivers of a representative sample of Spanish football clubs by means of the two-stage data
envelopment analysis (DEA) procedure proposed by Simar and Wilson (J Econ, 136:31–64, 2007). In the first stage, the technical
efficiency of football clubs is estimated using a bootstrapped DEA model in order to establish which of them are the most
efficient; the ranking is based on total productivity in the period 1996–2004. In the second stage, the Simar and Wilson (J
Econ, 136:31–64, 2007) procedure is used to bootstrap the DEA scores with a truncated bootstrapped regression. Policy implications
of the main findings are also considered. 相似文献
12.
Matthew J. Ryan 《Decisions in Economics and Finance》2010,33(2):139-147
Mixture sets were introduced by Herstein and Milnor (Econometrica 21:291–297, 1953) to prove a generalised expected utility theorem. Mixture
sets provide an axiomatisation of convexity suitable for discrete, as well as continuous, environments (Mongin in Decis Econ
Finance 24:59–69, 2001). However, the nature of mixture sets over finite domains has been little studied. In this paper, we
provide a complete characterisation. More recently, another abstract convex structure for finite domains, the antimatroid, has appeared in the literature on decision theory and social choice. The relationship between mixture sets and antimatroids
has not previously been explored. We show here that neither concept is a special case of the other. 相似文献
13.
Ruey-Ching Hwang Jhao-Siang Siao Huimin Chung C. K. Chu 《Journal of Productivity Analysis》2011,36(3):263-273
We use a stochastic frontier model with firm-specific technical inefficiency effects in a panel framework (Battese and Coelli
in Empir Econ 20:325–332, 1995) to assess two popular probability of bankruptcy (PB) measures based on Merton model (Merton in J Financ 29:449–470, 1974) and discrete-time hazard model (DHM; Shumway in J Bus 74:101–124, 2001). Three important results based on our empirical studies are obtained. First, a firm with a higher PB generally has less
technical efficiency. Second, for an ex-post bankrupt firm, its PB tends to increase and its technical efficiency of production
tends to decrease, as the time to its bankruptcy draws near. Finally, the information content about firm’s technical inefficiency
provided by PB based on DHM is significantly more than that based on Merton model. By the last result and the fact that economic-based
efficiency measures are reasonable indicators of the long-term health and prospects of firms (Baek and Pagán in Q J Bus Econ
41:27–41, 2002), we conclude that PB based on DHM is a better credit risk proxy of firms. 相似文献
14.
The paper analyzes the robustness of stable volatility strategies, i.e. strategies in which the portfolio weight of the stock is inversely proportional to its local volatility. These strategies are optimal for a CRRA investor if the stock follows a diffusion process, the expected excess return is proportional to its volatility, and the hedging demand is zero. We assess the performance of stable volatility strategies when these restrictive assumptions do not hold, in particular, when the risk premium is not proportional to volatility and when the stock price is subject to jumps. We find that stable volatility strategies are indeed robust or close to robust under a maxmin decision rule. In addition to our theoretical results, we perform a simulation analysis to evaluate strategies that scale the portfolio weight by the volatility, variance or a constant portfolio weight, and also analyze the strategies using empirical excess returns. Both analyses confirm the robustness of stable volatility strategies. 相似文献
15.
We here critique the articles by Dmitruk & Koshevoy (1991, J Econ Theory 55:121–144) and by Bol (1986, J Econ Theory 38:380–385)
by showing how to solve the examples they erected to show the non-existence of functions for evaluating performance efficiencies
in DEA. We also show that functions satisfying these criteria—and other important criteria as well—were already available
prior to the publications of D&K and by Bol and have since been greatly extended to increase the power and scope of DEA.
相似文献
J. ZhuEmail: |
16.
本文提出一个利用混频数据估计资产波动率的框架,该框架使用日内高频数据构造蕴含潜在发生概率的跳跃和扩散波动指标,以外生的滞后项进入回馈函数,既能充分利用样本信息,又能避免无限滞后期的回馈影响。在对沪深300指数的实证分析中,考虑一个跳跃对扩散波动具有非对称性溢出效应的双向波动率回馈模型。相对于基准模型,这一模型对数据的描述更优。分析结果显示,两类波动间存在正向回馈效应:跳跃向扩散的溢出导致自回归条件异方差(ARCH)系数存在两个区制且区制内的变异性明显;扩散向跳跃的溢出致使跳跃强度的自相关性在极端市场环境中出现强化。波动率回馈机制使得信息释放后价格反复调整变化,导致波动率高企;熔断事件折射出A股信息流质量差、融解效率低等问题。由此可以得出结论:相关监管和交易制度亟待完善。 相似文献
17.
Abstract
It is market practice to quote interest rate derivatives traded “over the counter” in terms of their implied volatility. For
this reason, the term structure of at-the-money cap volatilities as well as the volatility surface of at-the-money swaptions
are directly observed. This paper analyzes the case of caps. Any analysis of these markets would most likely report two main
facts. The first is that the level of the volatility is inversely related to the level of the interest rates. The second is
that the term structure is either a decreasing or a humped function of maturity. For a reference, see Rebonato (2003) and
Brigo and Mercurio (2001). Rebonato (2003) suggests that the structure of implied volatility is humped in periods of normal
market conditions and decreasing when markets are “excited”. Interpreting and explaining such phenomena is indeed an interesting
and important issue.
Mathematics Subject Classification (2000): 91B70
Journal of Economic Literature Classification: E43, C13 相似文献
18.
Toyotaka Sakai 《Review of Economic Design》2011,15(4):337-342
In a general one-to-many matching model with contracts, Hatfield and Milgrom (Ame Econ Rev 95:913–935, 2005) show that the
doctor optimal stable rule is strategy-proof from the doctor side. We strengthen their result by showing that this rule is
in fact the unique stable rule that is strategy-proof from the doctor side. 相似文献
19.
Taeyoung Doh 《Journal of Applied Econometrics》2013,28(3):478-497
This paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their time‐varying volatility determine asset price variation. The model features Epstein–Zin recursive preferences, which determine the market price of macro risk factors. Analysis of the US nominal term structure data from 1953 to 2006 shows that agents dislike high uncertainty and demand compensation for volatility risks. Also, the time variation of the term premium is driven by the compensation for inflation volatility risk, which is distinct from consumption volatility risk. The central role of inflation volatility risk in explaining the time‐varying term premium is consistent with other empirical evidence including survey data. In contrast, the existing long‐run risks literature emphasizes consumption volatility risk and ignores inflation‐specific time‐varying volatility. The estimation results of this paper suggest that inflation‐specific volatility risk is essential for fitting the time series of the US nominal term structure data. Copyright © 2012 John Wiley & Sons, Ltd. 相似文献
20.
George A. Waters 《Journal of Economics and Finance》2011,35(4):371-381
Within a New Keynesian framework, interest rate rules that respond to public expectations lead to determinate and expectationally
stable solutions for any level of commitment, as shown by Waters (Macroecon Dyn 13(4):421–449, 2009). That paper also demonstrates gains to commitment, under least square learning, though over-commitment can lead to some
very poor outcomes for some parameter values. This paper shows an identical outcome under rational expectations. The optimal
level of commitment is unchanged if there are observation errors in the policymaker’s knowledge of public expectations, which
is not the case under learning. However, if there is sufficient policymaker uncertainty about the parameter values, partial
commitment is best. 相似文献