Strategy-proofness, core, and sequential trade

We extend the Shapley-Scarf (1974) model - where a finite number of indivisible objects is to be allocated among a finite number of individuals - to the case where the primary endowment set of an individual may contain none, one, or several objects and where property rights may be transferred (objects inherited) as the allocation process unfolds, under the retained assumption that an individual consumes at most one object. In this environment we analyze the core of the economy and characterize the set of strategy-proof and Pareto efficient mechanisms. As an alternative approach, we consider property rights implicitly defined by a strategy-proof and Pareto efficient mechanism and show a core property for the mechanism-induced endowment rule.Received: 19 February 2004, Accepted: 14 April 2005, JEL Classification: C71, C78, D71, D78We would like to thank two anonymous referees for valuable comments. Financial support from The Swedish Council for Research in the Humanities and Social Sciences is gratefully acknowledged by Lars-Gunnar Svensson. Financial support from The Jan Wallander and Tom Hedelius Foundation is gratefully acknowledged by Bo Larsson.     

供应链中不对称市场信息的共享机制研究

本文通过简单的模型分析,指出由于供应链内部企业的收益取决于相互之间的权威分配,而不对称市场信息的共享将会改变原有权威分配结构,从而在一定程度上影响了供应链内部基于市场信息共享实现帕雷托优化的可能,导致信息共享机制不具备自实现性,只能通过有偿方式强制实现。     

金融素养、金融资产配置与投资组合有效性

基于动态最优控制理论模型，运用中国家庭微观调查数据，系统研究了金融素养在家庭金融资产配置中的作用及对投资组合有效性的影响。理论分析表明，在一定条件下，金融素养能够显著提升家庭资产中风险性资产的配置比重，有助于实现消费效用最大化。考虑了内生性的实证分析结果表明：金融素养对于风险性资产与金融资产具有显著的正向影响，但无法作用于国债这类无风险资产；金融素养的提升有助于增加股票与基金的配置概率，有助于实施积极的投资策略，但对消极投资策略不显著；金融素养的提升能够显著增加家庭投资组合有效性，促使家庭获得更多的超额回报。     

金融资产配置、金融杠杆与现金流风险

金融资产会计安排是企业执行金融工具准则的重要环节,具有显著的经济后果。基于实体企业金融化现象,研究金融资产配置与现金流风险关系,分析金融杠杆的调节功能,探讨非效率资本配置的传导作用,研究发现：金融资产配置与现金流风险之间存在U型关系;金融杠杆能够调节金融资产配置与现金流风险的关系,使关系曲线拐点右移与扁平化。区分金融资产配置类型后发现：交易类金融资产与现金流风险呈U型关系;委托贷款等新兴金融资产负向影响现金流风险;投资性房地产和长期金融股权投资未显著影响现金流风险。考虑企业生命周期后发现,成长期与衰退期企业金融资产配置与现金流风险呈U型关系,成熟期企业金融资产配置负向影响现金流风险;按照产权性质分组检验发现,金融资产配置与现金流风险的关系以及金融杠杆的调节效应在非国有企业中更显著;机制检验发现,非效率资本配置在金融资产配置影响现金流风险的过程中发挥中介作用。     

International business cycles and risk sharing with uncertainty shocks and recursive preferences

This paper analyzes the effects of output volatility shocks on the dynamics of consumption, trade flows and the real exchange rate, in a two-country, two-good world with consumption home bias, recursive preferences, and complete financial markets. When the risk aversion coefficient exceeds the inverse of the intertemporal substitution elasticity, then an exogenous rise in a country׳s output volatility triggers a wealth transfer to that country, to compensate for the greater riskiness of the country׳s output stream. This risk sharing transfer raises the country׳s consumption, lowers its trade balance and appreciates its real exchange rate. In the recursive preferences framework here, volatility shocks account for a non-negligible share of the fluctuations of net exports, net foreign assets and the real exchange rate. These shocks help to explain the high empirical volatility of the real exchange rate and the disconnect between relative consumption and the real exchange rate.     

Does organization capital matter? An analysis of the performance implications of CEO power

Chief executive officer (CEO) power reflects the ability of the CEO to influence the firm's decision-making. Whether the CEO of the firm could manage the firm’s investment assets to support maximizing the efficiency of resource allocation is an important issue. As previous studies found, organization capital is a key intangible asset that improves the firm’s production efficiency and affects long-term performance. This study explores how CEO power affects organization capital investments and how it further affects the efficiency of firm resource allocation. We use the following three variables to measure CEO power: CEO founder, CEO-only insider and CEO duality. Our results indicate that the level of CEO power can influence a firm’s value by controlling the organization capital. When the firm’s CEO is also the founder, the CEO will attempt to increase investments in organization capital to create growth opportunities for the firm, which will therefore increase the firm's value. Specifically, when the company is in financial distress, the powerful CEO's increasing in organizational capital investment will expose the company to greater risk of loss of intangible assets. This result may further increase the company's price volatility.     

Endogenous household interaction

Most econometric models of intrahousehold behavior assume that household decision making is efficient, i.e., utility realizations lie on the Pareto frontier. In this paper, we investigate this claim by adding a number of participation constraints to the household allocation problem. Short-run constraints ensure that each spouse obtains a utility level at least equal to what they would realize under (inefficient) Nash equilibrium. Long-run constraints ensure that each spouse obtains a utility level at least equal to what they would realize by cheating on the efficient allocation and receiving Nash equilibrium payoffs in all successive periods. Given household characteristics and the (common) discount factor of the spouses, not all households may be able to attain payoffs on the Pareto frontier. We estimate these models using a Method of Simulated Moments estimator and data from one wave of the Panel Study of Income Dynamics. We find that both short- and long-run constraints are binding for sizable proportions of households in the sample. We conclude that it is important to carefully model the constraint sets household members face when modeling household allocation decisions, and to allow for the possibility that efficient outcomes may not be implementable for some households.     

Trading equilibrium in a public good economy with smooth preferences and a mixed measure space of consumers

Lindahl and Nash equilibria are often used in the theory of public good. Shitovitz and Spiegel (1998) present an example of 2-person economy with one private good and one pure public good, where the core efficient Lindahl allocation does not Pareto dominate the (inefficient) Nash allocation. In this paper we introduce the new concept of Trading equilibrium for a general public good economy with smooth preferences and a mixed measure space of consumers. We obtain that this economy admits a unique Trading equilibrium. Moreover, the Trading equilibrium induces a core allocation that strictly Pareto dominates the Nash allocation.     

The composite iteration algorithm for finding efficient and financially fair risk-sharing rules

We consider the problem of finding an efficient and fair ex-ante rule for division of an uncertain monetary outcome among a finite number of von Neumann–Morgenstern agents. Efficiency is understood here, as usual, in the sense of Pareto efficiency subject to the feasibility constraint. Fairness is defined as financial fairness with respect to a predetermined pricing functional. We show that efficient and financially fair allocation rules are in one-to-one correspondence with positive eigenvectors of a nonlinear homogeneous and monotone mapping associated to the risk sharing problem. We establish relevant properties of this mapping. On the basis of this, we obtain a proof of existence and uniqueness of solutions via nonlinear Perron–Frobenius theory, as well as a proof of global convergence of the natural iterative algorithm. We argue that this algorithm is computationally attractive, and discuss its rate of convergence.     

Risk sharing,risk shifting and the role of convertible debt

This paper considers a financial contracting problem between a risk neutral entrepreneur and a risk averse investor. Once the venture is started, the entrepreneur chooses an action that determines the riskiness of the venture’s payoff. When action choice is contractible, the optimal risk sharing consideration under limited liability calls for a pure debt contract and the low risk action is adopted. When the action choice is not contractible, due to the risk shifting problem implementing the low risk action requires a deviation from the optimal risk sharing. I focus on situations where despite this deviation, the risk averse investor prefers to implement the low risk action and show that a convertible debt contract is superior to pure debt, pure equity and any mixture of debt and equity.     

The Irrelevance of Control Rights in Agency Models under Risk Neutrality

The allocation of control rights is a key issue in incomplete contracts. In this paper, we add an exit option, the right of early termination, to the standard agency model for employment contracts. We address two questions: (1) Who should have this right? (2) What is the effect of its inclusion in a contract? Under risk neutrality, we find that (1) it does not matter for investments and economic efficiency to whom this right belongs, although it may affect contractual terms and income sharing, and (2) although the allocation of this right does not matter, its inclusion can have either a positive or a negative effect on economic efficiency. Our analysis provides a benchmark for more general analyses on control rights under risk aversion. Copyright © 2013 John Wiley & Sons, Ltd.     

Modelling optimal strategies for the allocation of wealth in multicurrency investments

This paper analyzes rates of return on financial assets denominated in five major currencies and provides a framework for the determination of optimal strategies for the allocation of wealth in multicurrency investments. Three models are estimated: a univariate autoregressive conditional heteroskedasticity (ARCH) model, an extended ARCH model using the random coefficient (RC) procedure, and a pure RC model. A comparison of the forecasts of these models with those generated by a random walk model demonstrates that forecasts based on the RC/extended ARCH procedure are superior to those based on the random walk model and those based on direct ARCH estimation. These results could be useful for both international investors for the allocation of their wealth among fixed-income investment securities and central banks for the management of their external reserve assets.     

户主受教育程度对家庭风险性金融资产选择的影响研究

利用中国家庭金融调查数据（CHFS）,通过Probit和Tobit模型解释户主受教育程度对风险性金融资产选择的影响,并对内在传导机制进行中介效应、调节效应分析。结果显示：户主的受教育水平对风险性金融资产的参与度和持有比例有积极影响,地区、城乡间影响差异明显,风险态度和家庭收入对户主受教育程度影响金融资产选择存在中介和调节效应。研究结论对进一步优化家庭金融资产配置有一定启示意义。     

Productivity,price recovery,capacity constraints and their financial consequences

Mining and fishing are both extractive industries, although one resource is renewable and the other is not. Miners and fishers pursue financial objectives, although their objectives may differ. In both industries financial performance is influenced by productivity and prices. Finally, in both industries capacity constraints influence financial performance, perhaps but not necessarily through their impact on productivity, and both industries encounter external as well as internal capacity constraints. In this study we develop an analytical framework that links all four phenomena. We use return on assets to measure financial performance, and our analytical framework is provided by the duPont triangle. We measure productivity change in two ways, with a theoretical technology-based index and with empirical price-based indexes. We measure price change with empirical quantity-based indexes. We measure internal capacity utilization by relating a pair of output quantity vectors representing actual output and full capacity output, and we develop physical and economic measures of internal capacity utilization. We also show how external capacity constraints can restrict the ability to reach full capacity output. The analytical framework has productivity change, price change and change in capacity utilization influencing change in return on assets.     

Optimality in a financial economy with outside money and restricted participation

We analyze an economy with inside financial assets and outside money. Households have differing restricted access on both types of assets and, according to a well-known approach, they use money to pay taxes. Since competitive equilibria are generically inefficient, we perform a Pareto improvability analysis through a monetary intervention. It results that, if the government modifies the amount of money endowments for just one consumer in period one, then Pareto improvements upon the market equilibrium are possible.     

Monetary general equilibrium with transaction costs

Commodity money arises endogenously in a general equilibrium model with separate budget constraints for each transaction. Transaction costs imply differing bid and ask (selling and buying) prices. The most liquid good—with the smallest proportionate bid/ask spread—becomes commodity money. General equilibrium may not be Pareto efficient. If zero-transaction-cost money is available then the equilibrium allocation is Pareto efficient. Fiat money is an intrinsically worthless instrument. Its positive price comes from acceptability in paying taxes, and its use as a medium of exchange is based on low transaction cost.     

一种基于相对风险的风险预算方法

风险预算是针对积极投资管理者进行的,所以我们预算和控制的风险主要来自于相对风险而不是绝对风险。本文中的风险预算方法则是在相对风险的基础上,利用边际跟踪误差、相对于基准的调整量、积极因子和积极beta系数等一系列相对概念。通过两个最优化模型,分别在战略资产配置和战术资产配置过程中,将风险配置于投资管理者和管理者资产,并且根据投资者,给定的管理者风险贡献和管理者实际风险贡献之间的误差,进行及时的动态调整,从而完成风险预算的整个过程。     

高校国有资产共建共享信息化及平台建设的探讨

在分析高校国有资产共建共享信息化及平台建设的意义、存在问题及现状和可行性基础上,我们提出了高校资产管理信息化及共享共建平台建设的实施方案,利用网络技术将各高校仪器设备管理系统通过中间平台进行互联,实现高校国有资产信息资源共享,通过资产信息资源的共享和利用,从而达到节约资金,提高国有资产的利用率。     

Marriage Market,Parents’ Bargaining Powers,and Children's Nutrition and Education*

Test of resource pooling and test of effect of sex ratio in the marriage market on intrahousehold resource allocation are combined to test the unitary household model. The consistency condition between the two tests is derived to test the Nash household bargaining and Pareto‐efficient household models. I examine intrahousehold resource allocation to children's nutrition and education in Indonesia. For children's nutrition, the unitary household model is rejected in favour of the non‐unitary models. The results for investment in education are mixed. The decision‐making process may differ depending on the type of decision being made.