THE ACCOUNTING TREATMENT OF HUMAN INVESTMENT AND CAPITAL

Defining investment as outlays that increase income- and output-producing capacity, the author presents estimates of human investment in the United States 1929–69, comprising rearing costs, education, training, health, safety and mobility outlays. He develops an economic accounting framework to accommodate human investments and research and development in national and sector capital accounts, with appropriate adjustments to the current accounts to provide consistency. The associated balance sheets and wealth statements are also developed.
The wealth and corresponding income estimates are used to compute rates of return on human, non-human, and total capital. In the business economy the average net rate of return on total capital was 10.6 percent in 1969, compared with 10.0 percent in 1929. The average and marginal rates of return on human capital were generally somewhat higher than on non-human capital throughout the period.     

发展非利息业务对银行收益和风险的影响*——基于我国49家商业银行的实证研究

本文基于我国2005-2014年49家商业银行的面板数据,分别从收益因素、风险因素及收益风险综合因素方面,分析非利息业务对于不同类型商业银行收益和风险的影响。实证结果表明,从全部银行样本来看,非利息业务发展对于收益和经风险调整后的收益有显著正向影响,且收益提高主要源于手续费和佣金业务,但对风险影响不显著;对于国有银行,非利息业务的发展在增加了收益的同时也提高了风险,收益提高主要来源为手续费和佣金,风险增加主要来源是其他非利息收入;对于全国性股份制商业银行和城市商业银行,非利息业务的发展对收益、风险和经风险调整后的收益都没有明显影响;对于农村商业银行,非利息业务的发展降低了银行风险,且银行风险降低主要源于手续费和佣金业务,但对收益和经风险调整后的收益影响并不显著。     

The Role of Hedge Funds in International Financial Markets

This paper analyses the risk and return characteristics of a wide universe of hedge funds in the period 1990–2000. Most major categories of hedge funds are found to have outperformed (often by a considerable margin) the performance of traditional asset classes. The potential impact of hedge fund trading on market spreads and volatilities is examined especially in the period 1998, so as to provide some guidelines in terms of regulation of such funds. It is shown, however, that despite hedge fund difficulties in that period, the inclusion of hedge funds in investor portfolios definitely moves the efficiency frontier outwards, and allows significantly higher levels of returns for given levels of risk. This is primarily because of the low level of correlation of certain hedge fund styles, especially arbitrage strategies, with other hedge fund styles and with traditional assets.
(J.E.L.: G10, G11, G14, G23).     

INFLATION,INFLATION ACCOUNTING AND ITS EFFECT,CANADIAN MANUFACTURING, 1966–82*

This paper provides estimates of the effects of inflation in Canada on the reported rate of return in manufacturing from 1966 to 1982. It provides estimates for several different concepts of rate of return (both for all assets, whether financed by equity or debt, and for the narrower equity to the owners) and for both a narrow and wide range of financial assets. Comparisons are made with similar studies for the United Kingdom. Such studies show that reported profits are overstated and total assets are undervalued during and after periods of inflation with traditional accounting concepts relative to an economic concept designed to maintain the firm as an ongoing entity. The paper also discusses a number of factors that have contributed to the marked drop in the rate of return in Canadian manufacturing when both income and assets are valued at replacement costs. Some of these factors are also present in the other industrialized countries, such as increased raw materials prices, and a slower increase in productivity. Other factors have been relatively more important in Canada than in other countries, such as the historically higher level of production costs in Canada than in the United States and Japan, the two most important countries in Canadian trade. This is important during a period of tariff reductions when international competition in manufactured products is widespread. Although corporate profits and the adjusted profits rates of return were depressed by the severity of the 1981-82 recession, some of the key factors depressing the rates of return are longer-term in nature. A continued persistence of these factors during the balance of the 1980s could contribute to restraint in business investment in manufacturing when total returns on a replacement cost basis are so much below the corporate long-term cost of capital. This paper applies the concepts of inflation accounting to total Canadian manufacturing for the period from 1966 to 1982. Measures of rates of return for individual years are provided, both on the basis of total assets and on the basis of the net assets attributable to the owners. There are four sections in the paper after an introduction. Section 2 is a brief conceptual statement and outlines the methods. Section 3 makes comparisons with similar studies for the United Kingdom and summarizes the results of this and other studies. Section 4 discusses the environmental factors for Canadian manufacturing that appear to contribute to the lower rates of return in recent years. Section 5 discusses the implications of the results for future business decisions.     

How Did It Happen?

This paper discusses the factors that led up to the stock price bubble of the 1990s. Foremost among these, it is argued, was the conventional view that stocks are the investment of choice for the long-run investor regardless of their price. This conventional view was based on a misunderstanding of academic theories developed over the past half century. Additional factors were the changing nature of US pensions which placed much more responsibility on the shoulders of the individual investor, and agency problems in investment management and the production of information about firm profitability. Finally there is some evidence that required rates of return were declining during this period.
(J.E.L.: G10 and G23).     

Optimal algorithms and lower partial moment: ex post results

Portofolio management in the finance literature has typically used optimization algorithms to determine security allocations within a portfolio in order to obtain the best trade-off between risk and return. These algorithms, despite some improvements, are restrictive in terms of an investor's risk aversion (utility function). Since individual investors have different levels of risk aversion, this paper proposes two portfolio-optimization algorithms that can be tailored to the specific level of risk aversion of the individual investor and performs ex postevaluation tests of the algorithm performance.     

做一个成功的企业领导者

本文着重探讨怎样才能成为一位成功的企业领导者。文章首先探讨成功领导者所须具备的素质，及所必备的能力要求，然後分析领导者应具备的正确观念，并追而讨论领导者处理工作时必须注意的几个原则及如何调整风格。     

THE TREND IN URBAN INCOME INEQUALITY IN TWO CHINESE PROVINCES, 1986–90

This paper discusses to what extent the economic growth in China in the 1980's has improved the economic well-being in urban regions of the provinces Sichuan and Liaoning and whether or not the economic growth has been attained at the cost of increased inequality. The study is based on individual household data from the State Statistical Bureau's Urban Household Survey during the 1986–90 period.     

Dynamics of Business Cycles in Asia: Differences and Similarities

The paper documents the extent of similarities and differences of business cycle characteristics of the Asian countries and compares the cyclical regularities in this region with those of the G‐7 countries. The Asian economies are generally more volatile than the G‐7 countries, but the amplitude of economic fluctuations in the Asian countries tends to decrease over time. Comovement and persistence properties of business cycles in the Asian countries are very similar to those of the G‐7 economies. The authors find that while the patterns of business cycle fluctuations in the main macroeconomic aggregates display important similarities, the behavior of fiscal and monetary policy variables exhibits significant differences across the Asian countries. Moreover, there is a high degree of comovement between the individual country business cycles and different measures of the Asian business cycle, indicating that there is a regional business cycle specific to the Asian countries.     

Ownership, Control and Performance of Turkish Listed Firms

The paper describes the main characteristics of ownership structure of the Turkish companies listed on the Istanbul Stock Exchange. We present information on the pyrimidal and complex ownership structures within business groups, on the main owner classes, and on changes in large shareholdings. Ownership is highly concentrated in Turkey, families being the dominant shareholders. Changes in large shareholdings do not suggest the existence of an active market for share stakes. We also show that concentrated ownership and pyramidal structures have a negative effect on performance as reflected in lower return on assets, market to book ratios and dividend payments. We conclude by discussing some important problems introduced or fostered by the presence of this type of ownership structure.     

Non-falsified Expectations and General Equilibrium Asset Pricing: The Power of the Peso

We discuss the extent to which the expectation of a rare event which happens not to materialise over the sample period, but which is not rationally excludable from the set of possibilities – the peso problem –, can affect the behaviour of rational agents and the characteristics of market equilibrium. To that end we describe quantitatively the macroeconomic and financial properties of a standard equilibrium business cycle model modified to allow for a very small probability of a depression state. We produce a model specification for which both business cycle characteristics and mean financial returns are in accord with United States observations.This paper examines the possibility that the large equity premium observed in the United States may result from the expectations of a disaster event, or set of events, which happen not to have materialised in the sample period of observations. Such a possibility, which falls under the rubric of a peso phenomenon, is supported by recent empirical work of Goetzman and Jorion (1997). Using return data for a wide range of countries, these authors conclude that the high historical premium in the United States is unique, and they conjecture that it may be attributable to the fact that disastrous events affecting other financial markets (e.g. WWII for Japan, Germany, and other European countries) have largely bypassed the American economy.     

GROSS AND NET CAPITAL, AND THE FORM OF THE SURVIVAL FUNCTION: THEORY AND SOME NORWEGIAN EVIDENCE

In this paper we discuss the empirical measurement of capital stocks derived from data on gross investment. Two capital concepts are involved: gross capital-representing the capital's capacity dimension-and net capital–representing its wealth dimension. A brief summary of their components is presented.
The data base consists of long series of Norwegian national accounts data for gross investment at a disaggregated level of sector classification and for 1–3 capital categories within each sector. Survival functions, representing the process of retirement and decline in efficiency of capital units over time, with different curvature (concave, convex) and non-zero interest rates for the discounting of future capital service flows are considered. The effects of these parameters on the calculated gross and net capital stocks in the years 1956–82 as well as on the implied replacement and depreciation rates and rates of return are discussed.     

Social Security Liabilities

This paper reviews the long-term financial problems facing the U.S. Social Security system. Not only is the system out of long-term actuarial balance, but implicit rates of return on worker contributions are low and dropping. The paper discusses different approaches for dealing with the twin problems suggested by the 1994–1996 Advisory Council on Social Security, ending with a case for a middle-of-the-road approach featuring modest long-term benefit cuts and small, centrally managed, add-on individual accounts. Journal of Economic Literature Classification Number: H55.     

跨境资本流动与宏观周期研究述评

实际经济周期理论(RBC)无法解释国内偏好(Home Bias)和资产异质性(Idiosyncratic Asset)问题,因而无法全面阐释金融危机时期国际资本流动。通过大量文献将投资组合理论引入开放动态随机一般均衡(ODSGE)模型较好地解决了以上问题。与此同时,对国际资本流动的研究从一阶矩扩展到二阶矩,即由单独关注收益因素到关注收益因素并关注风险因素,构建了研究国际资本流动与经济周期波动一般性分析框架。这一新进展对于研究中国实施资本管制和构建国际资本流动管理体系具有较强的理论和现实意义。文章对以上研究成果进行了梳理,重点梳理了跨境资本流动与金融危机、周期波动的相关研究并对之进行述评。     

Membership has its privileges: the effect of social capital and neighbourhood characteristics on the earnings of microfinance borrowers

In this paper we examine the determinants of self-employment success for microcredit borrowers. Theories of social capital and neighbourhood effects are integrated in an attempt to account for earnings differentials among a unique sample of microfinance borrowers. We posit that social capital – social relations that facilitate individual action – is essential for microentrepreneurial success. Based on a survey and data collected by the authors, it is demonstrated that social capital is a positive determinant of self-employment earnings. The role that neighbourhoods play in fostering social capital and improving microentrepreneurial performance are also highlighted. JEL classification: J23, O17, Z13     

A Nonlinear Approach for Modeling and Forecasting US Business Cycles

The purpose of this paper is to provide a complete evaluation of four regime-switching models by checking their performance in detecting US business cycle turning points, in replicating US business cycle features and in forecasting US GDP growth rate. Both individual and combined forecasts are considered. Results indicate that while the Markov-switching model succeeded in replicating all the NBER peak and trough dates without an extra-cycle detection, it seems to be outperformed by the Bounce-back model in term of the delay time to a correct alarm. Concerning business cycle features characterization, none of the competing models dominates over all the features. The performance of the Markov-switching and bounce back models in detecting turning points was not translated into an improved business cycle feature characterization since they are outperformed by the Floor and Ceiling model. The forecast performance of the considered models varies across regimes and across forecast horizons. That is, the model performing best in an expansion period is not necessarily the same in a recession period and similarly for the forecast horizons. Finally, combining such individual forecasts generally leads to increased forecast accuracy especially for h=1.     

Tax-induced Dissimilarities Between Domestic and Foreign Mutual Funds in Italy

Using data from Italy over the period 1998–2002, this study investigates whether tax effects can account for differences in return patterns between domestic and foreign mutual funds, and if this dissimilarity translates into performance. The paper presents evidence that much of the difference between domestic and foreign funds is explained by the different tax systems. The asymmetry between the two groups, due to the fact that domestic funds are obliged to pay taxes on a daily basis while foreign funds are taxed when capital gains are collected, also affects performance. We prove that comparing pre-tax returns, Italian funds are virtually indistinguishable from their foreign counterparts in terms of risk-adjusted returns, while when comparing after-tax returns, foreign funds outperform.     

Risk Mapping and Key Risk Indicators in Operational Risk Management

In this article I describe a methodology for the mapping of Operational Risk with the objective of identifying the risks inherent in the different steps of a business process, selecting a set of variables providing an estimate for the likelihood and the severity of operational risk (Key Risk Indicators – KRIs) and designing the most appropriate control activities. I then present two examples of how the methodology described can be applied to map risks and of how a set of relevant KRIs can be identified in the front office of a trading business and in the back office of a lending business. Finally, I discuss how the information conveyed by the KRIs can be organised and summarised in order to provide a comprehensive look at the risk profile of the various business lines. The structured presentation of KRIs covering the business processes of a bank is what we call an Operational Risk Scorecard.     

Female Labour Supply, Flexibility of Working Hours, and Job Mobility

Traditional labour supply models do not address to what extent working hours are constrained within jobs, and to what extent working hours can be adjusted by means of changing employer. This paper measures the flexibility of working hours within and between jobs by relating subjective information on individual preferences to adjustments in working hours. Empirical analysis based on a sample of employed women in the Dutch Socio-Economic Panel (1987–9) shows that the flexibility of working hours within jobs is low.     

Enforcing the 1988 Basel Capital Requirements: Did it Curtail Bank Credit in Emerging Economies?

We examine whether the enforcement of bank capital asset requirements (CARs) curtailed the supply of credit in emerging economies. Preliminarily, we identify 16 emerging economies that – according to official and impartial reports – enforced the 1988 Basel standard during the 1990s. Then we perform our twofold econometric analysis. In the former part, we use macro data to test whether, controlling for economic fundamental variables, the enforcement brought about a slowdown in aggregate credit in these countries vis-a-vis other emerging economies. We find some support for our hypothesis. In the latter part, we employ individual bank data to better identify the 'capital crunch' effect of the enforcement. Here, we find that CAR enforcement – according to the 1988 Basel standard – significantly curtailed credit supply, particularly at less well-capitalized banks. The two empirical parts together suggest that the CAR enforcement did curtail aggregate credit in the examined emerging countries and that this result is rooted in the attempt by under-capitalized banks to reduce their loans. We argue that among developing countries – where banks are often the only source of financial intermediation – the positive effect of higher capital requirements, represented by the reduction of poor quality lending, may be offset by their negative impact on bank liquidity and on the level of economic activity. Hence, our results suggest that particular care is required to avoid potential negative macroeconomic effects when phasing in new and higher capital requirements in emerging economies.
(J.E.L.: G18, G21, G28)