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1.
Tyler Watts 《The Review of Austrian Economics》2010,23(1):79-96
I investigate in depth the contemporary, nation-wide arbitrage phenomenon of copper penny hoarding. While penny hoarding represents
a “pure arbitrage” opportunity, it also clearly demonstrates the knowledge problems that face those entrepreneurs who are
fully informed about intra-market price differences. This paper contrasts the Neoclassical and Austrian views on the role
of information and knowledge in arbitrage, emphasizing the greater depth in understanding to be gained from the knowledge-based Austrian approach, as opposed to the information-based Neoclassical approach. 相似文献
2.
Lionel de Boisdeffre 《Economic Theory》2007,31(2):255-269
On the example of a pure exchange financial economy with two periods incomplete nominal-asset markets and differential information
of the adverse selection’s type, Cornet-De Boisdeffre (J Math Econ 38:393-410, 2002) introduced refined concepts of no-arbitrage
prices and equilibria, which extended to the asymmetric information setting the classical concepts of the symmetric information
literature. We now assess existence issues and extend a standard property of symmetric information models. Namely, we prove
that a no-arbitrage equilibrium always exists, as long as financial markets preclude arbitrage, under the same standard conditions,
whether agents have symmetric or asymmetric information. 相似文献
3.
Summary. We provide a detailed portfolio analysis for a financial market with an atomless continuum of assets. In the context of an
exact arbitrage pricing theory (EAPT), we go beyond the characterization of the existence of important portfolios (normalized
riskless, mean, cost, factor and mean-variance efficient portfolios) to furnish exact portfolio compositions in terms of explicit
portfolio weights. Such an analysis has not been furnished before in the context of the asymptotic arbitrage pricing theory
(APT). We also characterize conditions under which a mean-variance efficient portfolio is a benchmark portfolio used in the
EAPT to proxy essential risk. We illustrate our results with several examples of specific financial markets.
Received: May 30, 2002; revised version: August 15, 2002
RID="*"
ID="*"Some of the results reported here constituted part of Cowles Foundation Discussion Paper– No. 1139 circulated under the title “Hyperfinite Asset Pricing Theory”; additional results were obtained when Sun visited
the Department of Economics at Johns Hopkins University during March 2002. This paper was presented at the Conference on Economic Design held at NYU on July 6–9, 2002
Correspondence to: M. A. Khan 相似文献
4.
Synopsis This paper is the product of a collaboration between a biologist (Ghiselin 1997) who works on the philosophy of classification
and an economist (Landa 1981, 1994) who works on the ‘Economics of Identity’: how and why people classify people based on
identity in the context of a theory of ethnic trading networks. In developing the ‘bioeconomics’ (the synthesis of economics
with biology) of classification, we crossed a number of disciplinary boundaries—anthropology, economics, sociology, biology,
and cognitive psychology including evolutionary psychology’s ‘fast and frugal’ heuristics. Using a bioeconomics approach,
we argue that folk classifications—the classifications used by ordinary persons—have much in common with scientific classifications:
underlying both is the need for economy of information processing in the brain, for the efficient organization of knowledge,
and for efficiency of information acquisition and transmission of information to others. Both evolve as a result of trial
and error, but in science there is relatively more foresight, understanding, and planning. 相似文献
5.
At the beginning of the 1990s, China witnessed an increase in its international competitive strength in technology-intensive
and capital-intensive industries, and a decrease in strength in labor-intensive industries. This paper analyzes the effect
of vertical specialization on China’s international industrial competitive strength, explores how different industries have
varying reactions under its implementation, and employs theory to explain the possible causes of these reactions. It is found
that vertical specialization can help to strengthen China’s global industrial competitiveness, and on that basis, some suggestions
are given on how to improve that competitiveness.
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Translated from Shijie Jingji 世界经济 (Journal of World Economy), 2006(5): 12–21 相似文献
6.
The Modigliani–Miller (M–M) theorem of financial asset theory concludes that asset values are independent of financing. In
other words, debt-solvency (credit constraints) does not affect asset values. Therefore, using the M–M theorem one can argue
that credit constraints in the farm sector (where land is the most important asset) do not affect the value of farmland. However,
this proof relies on several arbitrage assumptions that are violated in the case of agricultural assets. This paper examines
the effect of debt-solvency and government payments on changes in annual farmland values by state in the United States. Using
panel cointergration method, results indicate that farmland values are significantly affected by both solvency and government
payments. In addition, the results imply that government payments may affect agricultural asset values beyond the direct effect
hypothesized in the literature.
相似文献
7.
Frank Strobel 《Research in Economics》2012,66(4):391-397
Using a two-country general equilibrium framework with heterogeneous agents and uncertainty, we examine how countries' adoption of different fundamental approaches to taxing international capital income will affect portfolio choices and pricing relationships in international bond and foreign exchange markets. We characterize an equilibrium where (tax-)arbitrageurs in the country applying the source principle may exploit the resulting tax arbitrage opportunities up to some individual bound, normal investors in either country refrain, or are restrained, from constructing such (tax-)arbitrage portfolios, while arbitrageurs in the country using the residence principle do not share in any tax arbitrage profits. 相似文献
8.
This paper presents a new answer to the old question of how to aggregate individual beliefs. We construct a model which allows agents to take arbitrage opportunities against the aggregated belief by making contingent claims against the states, and the aggregator (market maker) regulates the probability of states. When all claims from the agents are mutually covered for every realization of the state, an aggregation of individual beliefs is thus obtained. We prove the existence and uniqueness of the equilibrium aggregation, and also show that the aggregate belief lies in the convex hull of individual beliefs. This model allows us to address some important problems such as how individual agent’s attitude toward risk and wealth endowment affect the outcome of the aggregation process, and whether the aggregate belief satisfies the well-known properties like equal treatment. 相似文献
9.
Changyuan Luo 《Frontiers of Economics in China》2007,2(1):92-113
Based on panel data at the provincial level in China, this paper found that direct effects foreign direct investment (FDI)
had on economic growth were of insignificance. However, through improving technical efficiency and “crowding” in domestic
investment, FDI produced positive effects on China’s economy. The state sector still played a major part in the total fixed
investment, therefore, direct effects on growth were significant. Although private sector was increasingly important for the
whole economy, it had no direct influences on economic growth. Meanwhile, neither the state sector nor private sector made
contribution to the improvement on technical efficiency.
__________
Translated from Shijie Jingji Wenhui 世界经济文汇 (World Economic Papers), 2006, (4): 27–43 相似文献
10.
The main difficulty in treatment effect analysis with matching is accounting for unobserved differences (i.e., selection problem)
between the treatment and control groups, because matching assumes no such differences. The traditional way to tackle the
difficulty has been “control function” approaches with selection correction terms. This paper examines relatively new approaches:
sensitivity analyses—sensitivity to unobservables—in Rosenbaum (Biometrika 74:13–26, 1987), Gastwirth et al. (Biometrika 85:907–920,
1998) and Lee (J Appl Econ 19:323–337, 2004). These sensitivity analyses are applied to the data used in Lee and Lee (J Appl
Econ 20:549–562, 2005) to see how the assumption of no unobserved difference in matching affects the findings in Lee and Lee,
to compare how the different sensitivity analyses perform, and to relate the “sensitivity parameters” in the different sensitivity
analyses to one another. We find (i) the conclusions in Lee and Lee are weakened in the sense that only the “strong” ones
survive, (ii) the sensitivity analysis in Rosenbaum (Biometrika 74:13–26, 1987) is too conservative (and inferior to Gastwirth
et al.’s), and (iii) Gastwirth et al.’s and Lee’s approaches agree on some findings to be insensitive, but the two approaches
also disagree on some other findings.
The authors are grateful to the Editor and anonymous reviewers for their constructive and helpful comments. 相似文献
11.
在新一代信息技术支撑下的智慧城市中,构建信息化资源共享的虚拟平台成为其信息转移和共享的有效途径。因此文章分析了信息作为生产要素在农业时代、工业时代、信息时代、智慧时代的表现形式及转移虚拟平台构建的必要性。在信息传递主体有限理性的情况下,将演化博弈理论引入到信息转移过程中形成政府与信息主体的收益矩阵,并研究虚拟平台在官管民营模式下,信息转移过程中资源主体和政府的复制动态方程及稳定状态点现实解释。用复制动态相位图表示政府和信息资源主体在转移共享和激励行为比例变化的复制动态关系,探讨四种情况下稳定状态的收敛性与抗扰动性。最后得出结论为不管任何状态下的复制动态关系和稳定性,政府通过调整战略和信息平台中的收益分配比重,既不影响信息主体的积极性,同时又能提高其收益,使博弈双方主体均有能力和动力推动信息转移共享,从而达到帕累托上策均衡。 相似文献
12.
In this paper, we develop the Renminbi’s dynamic model to analyze the relationship between the flow directions of foreign
direct investment (FDI) and the exchange rate’s expectations on the basis of distinguishing the real interest rate from the
desired interest rate. We find that the exchange rate expectation has a self-intensifying mechanism, which could have a reverse
effect on the country’s macroeconomic stabilization. We discuss the issue on how expectation impacts the macro economy and
then analyze the conditions of successful intervention, which is helpful for policy management.
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Translated from the The Journal of World Economy (世界经济), 2005, (7) (in Chinese) 相似文献
13.
The authors believe that the financial operation based on the issuance of paper money in excess of economic capacity resulting
from dependence on the state investment is the central manifestation of factors of China’s financial insecurity. The financial
support for the economic reform, the financial reform and the impact of globalization constitute the major logic of its formation.
The fundamentals to safeguard financial security lie in the persistence of the state’s comprehensive development strategy,
so as to maintain long-term accumulation of the state’s net wealth and the stability of faith in markets.
Translated from Jingji Lilun yu Jingji Guanli 经济理论与经济맜理 (Economic Theory and Business Management), 2006, (7): 5–12 相似文献
14.
In China’s transitional economy, government regulation could be a substitute for the lack of law mechanism and regulator’s
power could spill over into other areas not regulated. Then, theoretically it could construct implicit contracts. For example,
China Securities Regulatory Commission (CSRC) has the rights to choose initial public offering(IPO) firms among applicants.
It might construct implicit contracts between CSRC and local governments if the former consider the frequency and the severity
of the scandals among different areas. Local governments could make decisions on whether and how much to implement the implicit
contracts.
__________
Translated from Jingji yanjiu 经济研究 (Economic Research Journal), 2008, (3): 60–72 相似文献
15.
Nikolai Wenzel 《The Review of Austrian Economics》2010,23(1):55-78
This paper develops the concept of constitutional culture—the attitude, thoughts, and feelings about constitutional constraints
and the nature, scope, and function of constitutionalism. Constitutional culture is approached as a complex emergent phenomenon
bridging Hayekian cognitive and institutional insights. It can be studied as a mental model, a series of expectations and
understandings about the constitutional order, how it is, and how it ought to be. The “map” and “model” approach from Hayek’s
Sensory Order (1952) is employed to understand how individuals and (cautiously) groups of individuals at the national level approach constitutionalism.
This paper goes beyond the more traditional one-size-fits-all approach where all individuals respond uniformly to incentives,
as provided by the constitution qua contract. Instead, constitutionalism is tied up in the individual’s vision of the world,
that is, what Hayek (1948) labels “the facts of the social sciences.” The paper concludes with four areas where constitutional
culture can further the insights of constitutional political economy: comparative political economy, constitutional stickiness,
constitutional maintenance, and the new development economics. 相似文献
16.
Summary. In view of the fundamental price taking hypothesis, arbitrage is never compatible with equilibrium in Walrasian markets because the existence of an arbitrage opportunity in a competitive situation always leads to unbounded arbitrage activity. In strategic markets however, the mere effort of individuals to profit alters market clearing prices and thus distorts arbitrage opportunities as well. This observation suggests a different relationship between arbitrage and equilibrium, than in the competitive model. Indeed, we show that in such markets a spread between the cost of a portfolio and its returns is compatible with equilibrium. We provide an example of an equilibrium where a resourceless individual holds a portfolio with zero cost and positive return in every state. We further demonstrate via an asymptotic result, that no arbitrage is intimately related to price taking behaviour.Received: 8 September 2001, Revised: 6 March 2003, JEL Classification Numbers:
G12, D4, D5, D52. Correspondence to: Leonidas C. Koutsougeras 相似文献
17.
David Sloan Wilson 《Journal of Bioeconomics》2009,11(2):185-190
The comments on Janet Landa’s (J Bioecon 10(3):259–278, 2008) target article provide a fascinating snapshot of how multilevel
selection theory is perceived across several disciplines. When we focus on the zone of agreement among the commentators, Landa’s
article provides an important example of convergent cultural evolution. When we focus on the zone of disagreement, we find
a snapshot of the current status of the group selection controversy that goes beyond narrow scientific issues and requires
a ‘truth and reconciliation’ process to resolve, as discussed in my series of blogs titled “Truth and Reconciliation for Group
Selection” (Wilson , 2009) and briefly summarized here.
相似文献
18.
Economic models typically allow for “free disposal” or “reversibility” of information, which implies non-negative value. Building
on previous research on the “curse of knowledge” we explore situations where this might not be so. In three experiments, we
document situations in which participants place positive value on information in attempting to predict the performance of
uninformed others, even when acquiring that information diminishes their earnings. In the first experiment, a majority of
participants choose to hire informed—rather than uninformed—agents, leading to lower earnings. In the second experiment, a
significant number of participants pay for information—the solution to a puzzle—that hurts their ability to predict how many
others will solve the puzzle. In the third experiment, we find that the effect is reduced with experience and feedback on
the actual performance to be predicted. We discuss implications of our results for the role of information and informed decision
making in economic situations.
Electronic Supplementary Material Supplementary material is available in the online version of this article at http://dx.doi.org/10.1007/s10683-006-9128-y.
JEL Classification C91, D83 相似文献
19.
《Journal of Economic Theory》1987,41(2):392-404
In this paper, we use a no unbounded arbitrage condition to give a very direct proof of the existence of equilibrium in Hart's unbounded securities exchange model (J. Econ. Theory, 9 (1974), 293–311). We also examine the relationship between the no unbounded arbitrage condition and the sufficiency conditions of Hart, ibid. and Hammond (J, Econ. Theory, 31 (1983), 170–175). We present an example to show that if traders are not sufficiently risk averse, then Hammond's overlapping expectations condition is not, in general, equivalent to the no unbounded arbitrage condition or Hart's sufficiency conditions, and therefore, is not sufficient to guarantee the existence of equilibrium. We also present an example to show that it is possible for the no unbounded arbitrage condition to hold without overlapping expectations, and therefore, it is possible for equilibrium to exist without overlapping expectations. 相似文献
20.
This paper argues that the stock-flow consistent approach tomacroeconomic modelling (SFCA) is a natural outcome of the pathtaken by Keynesian macroeconomic thought in the 1960s and 1970s,a theoretical frontier that remained largely unexploredwith the end of Keynesian academic hegemony. It does so in twosteps. First, it phrases the representative views of Davidson,Godley, Minsky and Tobin as different closuresof the same (SFC) accounting framework, calling attention totheir similarities and logical implications. Second, it discussesunresolved issues within this approach and how it differs frommodern theorising. 相似文献