Existence of financial market equilibria with transaction costs

The purpose of this paper is to give an existence proof of equilibria in a two-period exchange economy with incomplete markets and transaction costs. When tradings on financial markets incur real transaction costs —interpreted as costs of enforcement of financial contracts or real taxation of financial revenues —the set of individual portfolios is bounded by the limited resources of the economy. Existence of equilibria then follows from Kakutani 's fixed point theorem.     

COMPETITIVE LONG RUN INDUSTRY EQUILIBRIUM AND FACTOR-PRICE UNCERTAINTY*

In this paper we have considered competitive long run industry equilibrium with factor-price uncertainty. We discussed the long run equilibrium output of firms with risk neutrality, output price and their responses to changes in uncertainty, factor price and industry demand. In the first part of this paper we have derived a result that, given risk neutrality, the firms operate at proper capacity, i.e. where expected long run marginal cost is equal to expected long run average cost, as shown in the case of output-price uncertainty. This result is, however, different from that obtained from Sheshinski and Dréze (1976). From the comparative static analysis we first discovered that even under risk neutrality factor-price uncertainty affects the long run industry equilibrium: that is, a mean preserving increase in uncertainty leads firm's to enter the industry, because they can decrease expected long run costs as the variability of factor price increases. Consequently, output price goes down. In contrast, firm size is kept invariable in response to its increase as long as the cost function is separable, i.e. the separability of the cost function holds when production functions are the Cobb-Douglas and CES types used commonly in empirical work, although firm size might, generally, be affected by the increase. It is an interesting fact that firm size and industry size will express different responses to a change in risk. The result that the long run industry equilibrium with cost uncertainty is explicitly affected is a sharp contrast to the result under output-price uncertainty and provides a new aspect for understanding about the behaviour of the industry with uncertainty. Secondly, increased factor-price causes the number of firms in the industry to decline and output price to rise. In addition, firm's size will expand with its increase if that factor is inferior, while the effect on firm size is ambiguous if it is normal. The firm's output, i.e. firm size, is, however, kept constant if the cost function is separable. Thirdly, the long run equilibrium output of the firm remains intact but the number of firms increases as industry demand rises. This result holds, regardless of the firm's attitude towards risk. Finally, we find throughout the paper that the functional form of the cost function plays a significant role in determining the behaviour of the industry with factor-price uncertainty.     

Using the allocation of emission permits for strategic trade purposes

We show that the presence of transaction costs in emission permit markets challenges the common presumption that grandfathering permits corresponds to lump-sum transfers with no strategic effects on output. Fixed transaction-costs influence firms’ decision to participate in the permits market, while variable transaction-costs affect firms’ output choice by creating a wedge between buyers’ and sellers’ opportunity cost of using permits. Thus, permit grandfathering can be used as a strategic trade instrument even when firms are price takers in the permit markets. Grandfathered permits differ from subsidies in that the stimulus they provide is bounded exogenously and rather limited.     

Understanding the evolution and performance of water markets and allocation policy: A transaction costs analysis framework

Water markets and associated allocation policy reforms have struggled to achieve their intended goals in many water-stressed rivers, in part due to the institutional friction imposed by transition and transaction costs. This paper elaborates a transaction costs analysis framework to examine the evolution and performance of water markets and allocation policy reforms. This analysis rests on three pillars: i) a synthesis of three theoretical traditions of institutional analysis (Williamson, North, and Ostrom) often considered independently; ii) a framework to examine the types and interactions of transaction costs in market-based water allocation over time; and iii) an illustrative analysis of three large river basins – the Colorado, Columbia and Murray–Darling – with varying levels of success in market-based water policy reforms. The resulting framework accounts for water's complexity as an economic good. This framework and the case studies lead to the identification of several policy implications including the need for: a multiphase sequencing of reform, strategic investment in institutional transition costs, and institutional choices that preserve future flexibility to adjust water rights and diversion limits to manage social and environmental externalities.     

信誉的价值:基于淘宝数据对我国电子市场的特色解释

为了解释信誉在我国特色电子市场中的价值,本文基于2008年3月下旬淘宝网上三个电子产品的相关数据,分析卖方的长短期肯定信用度和否定信用度、运费、剩余时间、消费者保障服务及价格等对其销售价格、售出概率、售出数量及售出价格的影响。实证分析发现:信誉度对卖方销售及售出行为存在一定的显著影响;价格对销售等行为没有显著相关作用,而只有价格升水对售出概率存在调节作用;剩余时间会正向影响卖方的销售价格,运费却只对卖方售出概率存在负向影响,而消费者保障尚不能显著影响卖方的销售及售出行为。     

Uncertainty and the Voluntary Provision of a Pure Public Good in a Two‐Moment Decision Model

In this paper, we explore the potential benefits of uncertainty that may arise in a two‐moment model of the voluntary provision of a pure public good. We find that an increase in a given contributor i’s risk associated with the aggregate contribution level of the other contributors (i.e., an increase in social uncertainty) induces that contributor to increase his own contribution level if and only if the uncertainty's incremental effect on the expected value of his net marginal utility is negative. Contributor i’s welfare likewise increases when a closely related condition is met, namely that the uncertainty's marginal effect on his expected marginal utility value of the public good exceeds its countervailing effect on the numeraire. Further, the corresponding aggregate contribution to the public good increases in the presence of free‐riding if and only if the incremental effect of contributor i’s contribution on the aggregate expected value of all other contributors’ net marginal utilities is small‐enough positive. We derive similar conditions for the case of private uncertainty, where the increase in contributor i’s risk is associated with his own marginal valuation of the public good. A simple example illustrates these conceptual results. Numerical analysis demonstrates that an increase in private uncertainty can have a nonmonotonic impact on contributor i’s welfare.     

Knowledge,coordination and the firm: Historical perspectives

Abstract

This paper illustrates the problems and processes of developing economic knowledge by a selective historical treatment of ideas about the firm. Coase thought it necessary to explain firms as organizations, but not as distinctive productive units; neither did he explain why markets exist. Chamberlin's attempt to introduce product differentiation and selling costs is compared with Allyn Young's process theory and Marshall's treatment of the firm, and inter-firm relations, as means of organizing the growth of knowledge. The firm is a decision-making system in a context of Knightian uncertainty, and Simon's concept of quasi-decomposability applies to human brains and human organizations.     

Risk sharing and export performance with firm heterogeneity

We investigate how market uncertainty affects the export performance of a firm through financial frictions. We first extend Melitz's (2003) heterogeneous firm trade model by incorporating demand shocks, linking the demand uncertainties to the financing costs of firms. In this extension, the default probability is endogenously determined by a firm's productivity and demand uncertainty. Hence, firms with higher productivity or lower market uncertainty are offered lower interest rates and thus show better export performance. As an application, we also show that a risk-sharing mechanism, that pools default risk for a certain group of firms, lowers the default risk. This mechanism allows banks to charge lower interest rates to the member firms and therefore ultimately improves their export performance in both extensive and intensive margins. We find a real-world example of such a mechanism from business groups in Korea. Using Korean firm-level data, we show that the more diversified the business group, the greater the likelihood that its member firms export and the bigger their export revenues. We also show that our results are robust to alternative explanations for Korean business groups’ export competitiveness.     

环境管制:从管理到治理的转变

环境管制旨在应对因资源环境消费而产生的外部性问题,它通过三种不同类型政策工具的运用得以实施,即:命令与控制型、基于市场型以及自愿型。对政府而言,这意味着三种具有不同交易成本发生和负担机制的管制手段选择。环境管制的发展沿革包含了一种政府在管制过程中不断减少交易成本的尝试,这种努力使得在最新的环境管制形态——自愿环境协议中,企业、非政府组织等多元社会主体共同形成决策并参与管制的实施,分担改善环境质量的社会责任与成本投入,环境管制因而实现了从管理到治理的转变。     

The internal organization of complex teams: Bounded rationality and the logic of hierarchies

This paper explains the emergence of hierarchical organization in teams of specialized producers carrying out a production activity when their members are constrained by bounded rationality. In contrast to the focus on transaction costs, monitoring and incentive structures, it derives hierarchical organization as the only feasible organizational response to the need to solve complex coordination and information problems that emerge in carrying out the production, in a changing environment, of a product composed of many parts.     

数字化转型助力企业外循环：影响机理和实现路径

在"十三五"的收官之年,基于当前和今后一个时期国内外环境变化,中央提出,要建立以国内大循环为主体,国际国内双循环相互促进的新发展格局,对开放水平和开放质量提出了更高要求.本文旨在考察数字化转型是否有助于促进企业外循环,并且提出其影响机理和实现路径.机制分析表明,数字化转型增强了企业的数据资本,数据资本赋能企业,降低参与国际分工的交易成本,助力企业打通外循环,提高企业外循环水平.经验研究证实,数字化转型能够助力企业打通外循环,提高企业外循环水平,对企业直接参与外循环的促进作用显著大于间接参与外循环.异质性分析表明,与小微型企业相比,数字化转型对大中型企业外循环的促进作用更大;对于大中型企业而言,数字化转型着力助推其直接参与外循环,对其间接参与外循环的促进作用不显著;与非主要商业城市相比,数字化转型对位于主要商业城市的企业直接参与外循环的促进作用更大;与主要商业城市相比,数字化转型对位于非主要商业城市的企业间接参与外循环的促进作用更大.     

中美建设工程交易费用影响因素比较——基于中美调研数据

从影响建设工程交易费用的决定性因素入手,构建了建设工程交易费用影响因素假设模型。利用来自中国和美国的调研数据,应用结构方程模型验证了研究假设。结果显示:中国业主行为的不确定性对交易费用有正向影响,且该影响在中国比在美国大;承包商行为的不确定性对建设工程交易费用具有正向影响,且该影响在美国比在中国大;交易环境和机制的不确定性对项目管理效率具有负向影响,且该影响在中国比在美国大;交易环境和机制的不确定性对建设工程交易费用具有负向影响,项目管理效率对建设工程交易费用具有正向影响。     

The challenge to china’s enterprises from increasing labor costs: the product quality perspective

ABSTRACT

Using China Employer–Employee Survey data, this paper investigates the possible heterogeneous results of increasing labor costs of different firms. The paper finds that, unskilled labors have a higher wage growth rate than the skilled labor. Firms with higher product quality employ more skilled labor, and thus are less affected by the increasing labor costs. On the other hand, firms with higher product quality have less elastic demand, which makes it possible for them to increase their prices without demand decreasing. The conclusions are well supported by the data. Therefore, we should treat the challenge of increasing labor cost in a new way. The real challenge of increasing labor cost is greater for low-quality firms. The empirical results suggest that some of the low-quality firms should upgrade their quality to a higher level to offset their labor cost increase.

Abbreviations: CEES: China Employer-Employee Survey LP: Labor productivity LTP: Lewis turing point TFP: Total factor productivity     

企业间合作治理模式选择的实证研究

根据交易成本经济学中“交易特征-治理模式”的分析框架,对北京市156家企业进行了问卷调查,并基于调查数据对企业间合作治理模式选择机制进行了实证研究。研究结果表明：随着企业间资源的结构依赖性、过程依赖性以及环境不确定性程度的提高,企业更倾向于采用股权式合作治理模式;而合作经验对企业闯合作治理模式同时存在直接和间接影响,其中间接影响主要通过资源依赖性的中介效应来实现。这一研究结果证实了交易成本逻辑的合理性。     

Trading with Tigers: A Technical Analysis of Southeast Asian Stock Index Futures

ABSTRACT

Our paper examines the profitability of technical trading rules in Southeast Asian (SEA) ‘tiger cub’ stock index futures markets during and after the global financial crisis (GFC) of 2007/2008. Using daily closing price data from 2007 to 2012, we explore technical trading rules such as exponential moving averages (EMA (20), EMA (100), EMA (20,100)) and moving average convergence divergence (MACD) in Indonesia, Malaysia, the Philippines and Thailand. The findings reveal that after applying trading rules that account for transaction costs and risk, abnormal profits cannot be achieved above a naı¨ve ‘buy-and-hold’ strategy (with the exception of EMA (100) and EMA (20,100) in Indonesia, and EMA (20,100) in both the Philippines and Thailand). There appears to be some degree of success with the application of longer-term trading rules; however, unless transaction costs can be reduced, investors are best advised to pursue passive investment approaches. Despite the economic uncertainty associated with the GFC and ongoing market volatility, it appears that SEA tiger cub stock index futures markets are weak-form efficient.     

IS THERE A ROLE FOR TRANSACTION COST ECONOMICS IF WE VIEW FIRMS AS COMPLEX ADAPTIVE SYSTEMS?

This article assesses the usefulness of transaction cost economics when we view economic organizations, such as firms, as complex adaptive systems. Modern complexity science is radically different in orientation to neoclassical economics, which deals with decision making in contexts that are presumed to be simple and, therefore, disconnected from complex reality. However, transaction cost economics can be related to aspects of modern complexity science: bounded rationality, opportunism, and asset specificity are all associated with behavioral complexity. Furthermore, the emphasis of transaction cost economics on hierarchy and organizational rather than technological considerations is also consistent with complexity science. Drawing on literature in psychological economics, this article synthesizes transaction cost economics with aspects of complexity science in a manner that offers a new research agenda, not only in the context of the organization of production but in economics generally. Such theoretical developments are vital if policy makers are to have at their disposal analytical perspectives that are coherent and applicable in complex historical settings.     

国际制度的形式选择——一个基于国家间交易成本的模型

根据制度化水平的三个维度,国际制度安排的基本形式可分为非正式协议、自我实施的正式协议、一般的正式国际组织和超国家组织。那么,缔约国如何在上述国际制度安排形式之间进行选择?本文尝试从国家间交易成本的角度为这一问题提供一个解释模型。国家间交易成本包括国家间治理成本与国家间缔约成本两个部分。国家间治理成本随着制度化水平的提高而递减,国家间缔约成本随着制度化水平的提高而递增。缔约国在选择国际制度安排形式时,将在国家间治理成本与国家间缔约成本之间进行权衡。作为理性的国际行为主体,缔约国在交易收益给定的情况下,将选择使国家间交易成本最小化的国际制度安排形式。根据这一制度选择模型,本文进一步提出了分别涉及问题领域敏感性、国家同质性、透明度、资产专用性、不确定性和交易频率的六个假说。