Why elementary price index number formulas differ: Evidence on price dispersion

Most countries use either the Dutot or Jevons index number formula for the compilation of their consumer price index at the elementary level of aggregation. The difference between the formulas is shown to be accounted for by changes in price dispersion. In turn, some of this difference is shown to be explained by product heterogeneity. Scanner data on television sets (TVs) are used to calculate Dutot and Jevons indexes. The difference between them is successfully explained in terms of changes in price dispersion and much reduced using an hedonic, heterogeneity-controlled Dutot index.     

The house price determination process: Rational expectations with a spatial context

Applying the rational expectations hypothesis, this essay models the current value of a house as the conditional expectation of the discounted stream of housing services accruing to the owner of the house. The value of housing services is determined by neighborhood effects as well as the physical attributes of the property itself. In the existing hedonic literature, future transactions have not been utilized to describe neighborhood effects. The rational expectations asset pricing model in this study accounts for expected future neighborhood effects as well as observed current neighborhood effects. The reduced form of the rational expectations model is a spatial autoregressive (SAR) model with two spatial lags. After employing the generalized method of moments (GMM) in estimating the spatial asset pricing model, I find that both expected future transactions and prior transactions in the neighborhood are significant. The inclusion of expected future transaction prices in the neighborhood takes into account the influence of expected changes in the community and factors these potential changes into the current house price. This is consistent with forward-looking households. The forward-looking model generates superior out-of-sample prediction performance relative to both the conventional hedonic model without considering neighborhood effects or the standard spatial hedonic model including only past transactions.     

Selling shares to retail investors: auction vs. fixed price

We analyze the problem of selling shares of a divisible good to a large number of buyers when demand is uncertain. We characterize equilibria of two popular mechanisms, a fixed price mechanism and a uniform price auction, and compare the revenues. While in the auction truthful bidding is a dominant strategy, we find that bidders have an incentive to overstate their demand in the fixed price mechanism. For some parameter values we find that the fixed price mechanism outperforms the auction.     

中小企业实施电子商务的思路——以昆明宝成生物科技有限公司为例

本文以昆明宝成生物科技有限公司为例,为中小企业如何实施电子商务提出一种思路。     

Structural VAR and financial networks: A minimum distance approach to spatial modeling

In this paper, I interpret a time series spatial model (T-SAR) as a constrained structural vector autoregressive (SVAR) model. Based on these restrictions, I propose a minimum distance approach to estimate the (row-standardized) network matrix and the overall network influence parameter of the T-SAR from the SVAR estimates. I also develop a Wald-type test to assess the distance between these two models. To implement the methodology, I discuss machine learning methods as one possible identification strategy of SVAR models. Finally, I illustrate the methodology through an application to volatility spillovers across major stock markets using daily realized volatility data for 2004–2018.     

Evaluating the value of an entrepreneurial city with a spatial hedonic approach: A case study of London

This study assesses the value of a city by using the housing price function with a geographically weighted regression model, including various social, economic, and environmental factors. To assess these values, various specific data scores—such as those related to ethnic groups, green areas, crime rates, education, unemployment rates, number of entrepreneurs, and environmental quality—were considered in a case study of London. The results indicate that some variables such as time to city center and entrepreneurship have a positive impact on the local areas’ value in London, as shown by housing prices, while those related to unemployment have a negative impact. Moreover, although the London city center has benefitted more in terms of value than its outskirts have, a few specific policies related to startups and entrepreneurship have succeeded in connecting these areas to existing companies and entrepreneurs. In general, large cities may be better equipped to promote such startup and entrepreneurship policies under local industry plans for future development.     

The codispersion map: a graphical tool to visualize the association between two spatial variables

The codispersion coefficient quantifies the association between two spatial processes for a particular direction (spatial lag) on a two‐dimensional space. When this coefficient is computed for many directions, it is useful to display those values on a single graph. In this article, we suggest a graphical tool called a codispersion map to visualize the spatial correlation between two sequences on a plane. We describe how to construct a codispersion map for regular and non‐regular lattices, providing algorithms in both cases. Three numerical examples are given to illustrate how useful this map can be to detect those directions for which the codispersion coefficient attains its maximum and minimum values. We also provide the R code to construct the codispersion map in practice.     

The multi-country transmission of sovereign and banking risk: a spatial vector autoregressive approach

ABSTRACT

This paper develops a spatial vector autoregressive (SpVAR) model to investigate the transmission of sovereign, banking and corporate default risks among 11 Eurozone countries for the period January 2008–December 2013. The results show that a significant proportion of default risk variation is explained by foreign shocks. However, the cross-border sovereign–bank nexus is statistically significant, but economically moderate. Among the three sectors, shocks to the banking sector play the most critical role. On average, for the 11 countries, a foreign banking shock can explain 7%, 23% and 18% of the forecast error variance of changes in sovereign, banking and corporate credit default swap spreads respectively.     

Forecasting using a periodic transfer function: with an application to the UK price of ferrous scrap

The familiar concept of cointegration enables us to determine whether or not there is a long-run relationship between two integrated time series. However, this may not capture short-run effects such as seasonality. Two series which display different seasonal effects can still be cointegrated. Seasonality may arise independently of the long-run relationship between two time series or, indeed, the long-run relationship may itself be seasonal. The market for recycled ferrous scrap displays these features: the US and UK scrap prices are cointegrated, yet the local markets exhibit different forms of seasonality. The paper addresses the problem of using both cointegrating and seasonal relationships in forecasting time series through the use of periodic transfer function models. We consider the problems of testing for cointegration between series with differing seasonal patterns and develop a periodic transfer function model for the US and UK scrap markets. Forecast comparisons with other time series models suggest that forecasting efficiency may be improved by allowing for periodicity but that such improvement is by no means guaranteed. The correct specification of the periodic component of the model is critical for forecast accuracy.     

Using neural network to forecast stock index option price: a new hybrid GARCH approach

This study aims to apply a new hybrid approach to estimate volatility in neural network option-pricing model. The analytical results also indicate that the new hybrid method can be used to forecast the prices of derivative securities. Owing to combines the grey forecasting model with the GARCH to improve the estimated ability, the empirical evidence shows that the new hybrid GARCH model outperforms the other approaches in the neural network option-pricing model.     

Process innovation laboratory: a new approach to business process innovation based on enterprise information systems

Most organizations today are required not only to operate effective business processes but also to allow for changing business conditions at an increasing rate. Today nearly every business relies on their enterprise information systems (EIS) for process integration and future generations of EIS will increasingly be driven by business process models. Consequently business process modelling and improvement is becoming a serious challenge. The aim of this paper is to establish a conceptual framework for business process innovation (BPI) in the supply chain based on advanced EIS. The challenge is thus to create a new methodology for developing and exploring process models and applications. The paper outlines the process innovation laboratory (Π-Lab) as a new approach to BPI. The Π-Lab is a comprehensive framework and a collaborative workspace for experimenting with process models. The Π-Lab facilitates innovation by using an integrated action learning approach to process modelling in a controlled environment. The study is based on design science and the paper also discusses the implications to EIS research and practice.     

Push and pull factors in medical employees' turnover decisions: the effect of a careerist approach and organizational benefits on the decision to leave the job

This paper aims at understanding the relative impact of 'careerist' attitudes and organizational benefits on prospective turnover decisions. We argue that the push/pull trade-off between careerist attitudes and organizational benefits in relation to turnover is occupation-specific. This is assessed by combining the sociological hypothesis of occupational 'market viability' and the organizational focus on opportunities. Testing this assertion, we examined turnover decisions for four occupational groups from eight medical institutions located in seven geographic areas. Initial results showed occupational variations in the weight given to 'careerist' versus organizational benefits in turnover decisions. Results from two logistic regression models suggest that organizational benefits, in contrast to a 'careerist' orientation to work, restrain occupation-specific turnover behaviour, even when controlling for the effect of perceived opportunities. These results are interpreted in terms of the 'market viability' hypothesis which stresses occupational variations in opportunities. Economic fluctuations for peripheral employees possessing general, rather than firm-specific skills may improve, rather than limit employment alternatives and hence enhance rather than constrain turnover decisions.