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1.
In this paper we examine a number of issues that arise in investigating labor force dynamics using the Spanish Labor Force
Survey (EPA). These issues are by no means specific to the Spanish case and apply to most European-style labor force surveys.
Our main conclusions may be summarized as follows. First, survey nonresponse cannot be neglected. Second, the EPA tends to
underestimate employment and participation of high-educated young people, and to overestimate those of the low-educated elderly.
Finally, we find little evidence that attrition causes important selection biases in estimating quarterly transition probabilities. 相似文献
2.
Abstract. Researchers have used stylized facts on asset prices and trading volume in stock markets (in particular, the mean reversion
of asset returns and the correlations between trading volume, price changes and price levels) to support theories where agents
are not rational expected utility maximizers. This paper shows that this empirical evidence is in fact consistent with a standard
infinite horizon – perfect information – expected utility economy where some agents face leverage constraints similar to those
found in todays financial markets. In addition, and in sharp contrast to the theories above, we explain some qualitative differences
that are observed in the price-volume relation on stock and on futures markets.
We consider a continuous-time economy where agents maximize the integral of their discounted utility from consumption under
both budget and leverage constraints. Building on the work by Vila and Zariphopoulou (1997), we find a closed form solution,
up to a negative constant, for the equilibrium prices and demands in the region of the state space where the constraint is
non-binding. We show that, at the equilibrium, stock holdings volatility as well as its ratio to stock price volatility are
increasing functions of the stock price and interpret this finding in terms of the price-volume relation.
We would like to thank the editor and two anonimous referees for valuable substantive comments. Our gratitude also to Franklin
Allen, Kerry Back, Domenico Cuoco, Xavier Freixas, Sanford Grossman, Michel Habib, Lutz Hendricks, Richard Kihlstrom, Fernando
Restoy, Mary Thomson, Jean-Luc Vila, participants to seminars at Birkbeck College, Carnegie-Mellon, Columbia, ESSEC, HEC,
IAE, INSEAD, London Business School, London School of Economics, McGill, Michigan, National University of Singapore, Pompeu
Fabra, North Carolina, Washington-St-Louis, Wharton, the Jornadas de Economía Financiera BBV, and the Meetings of the Society
for Economic Dynamics and Control and the American Finance Association. Special thanks are due to Süleyman Basak for his enthusiastic
support and many helpful suggestions. The usual disclaimer applies. We gratefully acknowledge the support of the BBV and Caja
de Madrid Foundations and CREF (both authors) and of the Spanish Ministry of Education under DGICYT grant no. PB93-0388 (first
author). 相似文献
3.
In this paper, we look for asymmetries in the Spanish business cycle. To that end, we firstly propose an easy nonparametric
testing procedure to test for symmetry based on a Pearson's chi-squared statistic, which we call P-test. Then, we test for two popular forms of asymmetry, deepness and steepness, using a battery of nonparametric tests. In
addition, we analyse possible complementarities between the tests used in this paper, and we compute p-value adjustments for multiple tests. 相似文献
4.
Summary. This paper presents a model in which agents choose to use money as a medium of exchange, a means of payment, and a unit of
account. The paper defines conditions under which nominal contracts, promising future payment of a fixed number of units of
fiat money, prove to be the optimal contract form in the presence of either relative or aggregate price risk. When relative
prices are random, nominal contracts are optimal if individuals have ex ante similar preferences over future consumption. When the aggregate price level is random, whether from shocks to the money supply
or aggregate output, nominal contracts (perhaps coupled with equity contracts) lead to optimal risk-sharing if individuals
have the same degree of relative risk aversion. Finally, nominal contracts may be optimal if the repayment of contracts is
subject to a binding cash-in-advance constraint. In this case, a contingent contract increases the risk of holding excessive
cash balances.
Received: March 29, 1996; revised version: February 25, 1997 相似文献
5.
Summary. We investigate, in an experimental setting, the behavior of single decision makers who at discrete time intervals over an
“infinite” horizon may choose one action from a set of possible actions where this set is constant over time, i.e. a bandit
problem. Two bandit environments are examined, one in which the predicted behavior should always be myopic (the two-armed
bandit) and the other in which the predicted behavior should never be myopic (the one-armed bandit). We also investigate the
comparative static predictions as the underlying parameters of the bandit environments are changed. The aggregate results
show that the behavior in the two bandit environments are quantitatively different and in the direction of the theoretical
predictions.
Received: October, 27, 1994; revised version February 27, 1996 相似文献
6.
Javier Díaz-Giménez 《Economic Theory》1997,10(3):463-482
Summary. I study the role played by uninsured idiosyncratic risk and liquidity constraints in the propagation of aggregate fluctuations.
To this purpose, I compare the aggregate fluctuations of two model economies that differ in their insurance technologies only.
In one of these model economies liquidity constrained households vary their holdings of a nominally denominated asset in order
to buffer an uninsured idiosyncratic shock to their individual production opportunities. In the other economy every idiosyncratic
component of risk can be costlessly insured. I find that the limited insurance technology implies fluctuations in output that
are 20% larger, fluctuations in hours relative to output that are 9% larger, fluctuations in consumption relative to output
that are 18% smaller, and a correlation of hours and productivity that is 15% smaller than those that obtain under the full
insurance technology.
Received: March 6, 1996; revised version August 15, 1996 相似文献
7.
Retirement flexibility and inability to borrow against future labor income can significantly affect optimal consumption and investment. With voluntary retirement, there exists an optimal wealth-to-wage ratio threshold for retirement and human capital correlates negatively with the stock market even when wages have zero or slightly positive market risk exposure. Consequently, investors optimally invest more in the stock market than without retirement flexibility. Both consumption and portfolio choice jump at the endogenous retirement date. The inability to borrow limits hedging and reduces the value of labor income, the wealth-to-wage ratio threshold for retirement, and the stock investment. 相似文献
8.
We study a continuous-time version of the optimal risk-sharing problem with one-sided commitment. In the optimal contract, the agent?s consumption is a time-invariant, strictly increasing function of a single state variable: the maximal level of the agent?s income realized to date. We characterize this function in terms of the agent?s outside option value function and the discounted amount of time in which the agent?s income process is expected to reach a new to-date maximum. Under constant relative risk aversion we solve the model in closed-form: optimal consumption of the agent equals a constant fraction of his maximal income realized to date. In the complete-markets implementation of the optimal contract, the Alvarez–Jermann solvency constraints take the form of a simple borrowing constraint familiar from the Bewley–Aiyagari incomplete-markets models. 相似文献
9.
Summary. We show that the set of balanced steady state (resp. golden rule) equilibria, parameterized by endowments, of stationary
overlapping-generations economies are smooth manifolds diffeomorphic to Euclidean spaces. These properties extend similar
properties of the Walrasian equilibria and enable one to apply the natural projection approach to the study of these equilibria.
Received: October 30, 1995; revised version: October 10, 1996 相似文献
10.
Recursive utility and preferences for information 总被引:2,自引:0,他引:2
Costis Skiadas 《Economic Theory》1998,12(2):293-312
Summary. This paper presents an axiomatic foundation for recursive utility that captures the role of the timing of resolution of uncertainty
without relying on exogenously specified objective beliefs. Two main representation results are proved. In the first one,
future utility enters the recursion through the type of general aggregators considered in Skiadas (1997a), and as a result
the formulation is purely ordinal and free of any probabilities. In the second representation these aggregators are conditional
expectations relative to subjective beliefs. A new recursive representation incorporating disappointment aversion is also
suggested. The main methodological innovation of the paper derives from the fact that the basic objects of choice are taken
to be pairs of state-contingent consumption plans and information filtrations, rather than the temporal (objective) lotteries
of the existing literature. It is shown that this approach has the additional benefit of being directly applicable to the
continuous-time version of recursive utility developed by Duffie and Epstein (1992).
Received: February 18, 1997; revised version: July 18, 1997 相似文献
11.
Fiscal policy and the Spanish business cycle 总被引:1,自引:0,他引:1
Juan Solé López-Pinto 《Spanish Economic Review》2001,3(4):295-311
A main result of the RBC literature is that technological factors drive fluctuations of macroeconomic variables around its
long-run growth path. Nevertheless, it has been shown that in some countries fluctuations of some fiscal variables may explain
some of the business cycle fluctuations. In this paper I show that a result of this sort can be obtained for the Spanish economy.
Specifically, I use both technological and fiscal shocks to reproduce the observed volatility of hours of work to output,
hours of work to average productivity, and the negative correlation between hours and average productivity. 相似文献
12.
Abstract. The aim of this paper is to estimate the effect of fertility on the decision of labour force participation of married females
in Spain, allowing for the existence of unobserved characteristics that affect both fertility and participation. We use a
pooling of five waves of the European Household Panel for Spain (1994–1998). Results indicate that not taking into account
the unobserved characteristics that affect both variables imposes on average a strong downward bias on the true effect of
fertility on participation. This bias is especially strong for highly educated females.
We are grateful to Raquel Carrasco and an anonymous referee for helpful comments. Financial support from Gobierno Vasco (PI-1999-160)),
Ministry of Education and Science (BE2000-1394), Instituto de la Mujer and Universidad del País Vasco (UPV 00035.321-13511/2001)
is gratefully acknowledged. 相似文献
13.
Summary. Consumption fluctuations in a simple 2-D addiction model are investigated. The behavioural equations of the model are suggested
by a related ‘rational addiction’ model of Becker and Murphy [2]. Our model generates erratic, seemingly unpredictable consumption
patterns of the addicted persons. The occurence of chaos is proven by locating a so called horseshoe map in the phase space.
Received: April 4, 1994; revised version March 25, 1996 相似文献
14.
We present a laboratory investigation of intertemporal choice (i.e., elicited discount rates) allowing for the influence of the endowment effect. Consistent with the previous literature, we hypothesize that the endowment effect in an intertemporal choice setting results in substantially higher discount rates relative to when individuals treat the resources in question as found money. Our results support this hypothesis and our experimental design provides a new protocol for conducting choice experiments wherein the endowment effect is an important determinant of behaviour. 相似文献
15.
We analyze the impact of product diversification on performance. This topic has been discussed in the literature, and there
is no consensus so far as to the significance or the direction of the impact. Performance is measured using Tobin's q for
a sample of 103 large, non-financial Spanish firms (1992–1995). Diversification is measured by means of a categorical variable,
as suggested by Varadarajan. The principal results indicate that the firms with intermediate levels of product diversification
have the highest performance, while the firms with low and high levels of diversification show significantly lower performance,
which performance is not significantly different between them. 相似文献
16.
Keith Waehrer 《Economic Theory》1999,13(1):171-181
Summary. In the model presented, a buyer uses competitive bidding to facilitate her purchase of a good (the primary good of the exchange). Not included in the original purchase is the possible procurement of a good related to the original
purchase: the supplementary good. The primary and supplementary goods are closely related; knowing a bidder's cost of producing the primary good implies
that the buyer can infer the bidder's cost of producing the supplementary good. I show that a bidding mechanism for the primary
good will fail to ensure an efficient allocation if the buyer learns the bid of the winner and the price of the supplementary
good is determined through sequential bargaining.
Received: August 22, 1996; revised version: June 23, 1997 相似文献
17.
Pervasive overbidding represents a well-documented feature of all-pay auctions. Aggregate bids exceed Nash predictions in laboratory experiments, and individuals often submit bids that guarantee negative profits. This paper examines three factors that may reduce pervasive overbidding: (a) repetition (experience), (b) reputation (strangers vs. partners), and (c) active participation. Reputation and repetition reduce aggregate overdissipation, but they eliminate it only in conjunction with active participation. 相似文献
18.
Siu Fai Leung 《Journal of Economic Theory》2007,134(1):470-493
In life-cycle models of saving under uncertain lifetime and borrowing constraint, the consumer's wealth must be depleted before the maximum lifetime. This paper investigates the existence, uniqueness, and optimality of the terminal wealth depletion time. It is proved that the optimal terminal wealth depletion time, if such exists, must be unique. If the equation that determines the optimal terminal wealth depletion has multiple solutions, then the location of the optimal solution will depend on the configuration of the solutions. An optimality test is developed to verify whether a candidate solution for the terminal wealth depletion time is indeed optimal. The paper introduces a method new to economics, the Dubovitskii-Milyutin adjoint equation, to analyze the properties of the optimal control problem. 相似文献
19.
Abstract. It is well-known that the legal form adopted by a firm determines the type of legal responsibility borne by its owners in
case of bankruptcy. In this paper we argue that a firm under a limited liability status should be characterized by a higher
than average bankruptcy probability, which ultimately captures their risk exposure when output is affected by exogenous shocks.
To test this prediction we extend Lee's (1976) switching regressions model to a panel dataset of 1313 Spanish firms from 1990–1994,
separating them into corporate and entrepreneurial forms (with/without limited liability, respectively). We consider both
random effects and fixed effects panel data models, taking into account the potential endogeneity between risk exposure and
the legal form choice. Our results confirm the hypothesis that firms under limited liability have significant higher risk
exposure than firms under unlimited liability.
The authors gratefully acknowledge valuable suggestions from Maite Martínez-Granado, A. Jorge Padilla, Javier Suárez and two
anonymous referees. Data and financial support provided by the Fundación Empresa Pública (Madrid) and comments from participants
at seminars held at CEMFI, Simposio de Análisis Económico and Universidad de Vigo are also sincerely appreciated. Mr. Campos
particularly acknowledges research funding by the University of Las Palmas. 相似文献
20.
Kenneth J. Matheny 《Economic Theory》1998,11(2):379-402
Summary. To a greater extent than is often stressed in existing literature, preference assumptions affect responses to money shocks
in equilibrium monetary models. Temporary money shocks can have persistent real effects if the marginal utility of leisure
is a decreasing function of consumption, where leisure is measured as time endowment less market labor effort, and consumption
refers to market produced goods. This condition is an empirically supported implication of home production models. Though
not theoretically necessary for supporting the existence of short run real effects, the presence of distortionary taxes and
endogenous productivity can have significant quantitative effects on responses to temporary money supply shocks.
Received: August 21, 1996; revised version: February 3, 1997 相似文献