中国通货膨胀动态路径的结构性转变及其启示

This article employs recently developed unknown structural break tests to investigate intrinsic structural instability in China inflation dynamics over 1981–2007. In order to capture accurately the statistical nature of potential structural beak, we use asymptotic p-value function under the non-standard distribution condition to compute the p-values for structural change tests in the presence of nuisance parameter. Empirical results suggest that China inflation dynamics witnessed a significant structural change at the end of 1994 and the instability appears to be originated from the dynamic parameters in the underlying model. The paper discusses important policy implications of the empirical findings through impulse response analyses.      

Cost estimation of patients admitted to the intensive care unit: a case study of the Teaching University Hospital of Thessaly

Objective: This study aimed to estimate the cost of patients admitted to the Intensive Care Unit (ICU) of the Teaching University Hospital of Thessaly (TUHT) in 2006 and to demonstrate discrepancies between actual hospitalisation cost and social funds’ reimbursement.

Methods: Cost analysis was performed using a macro-costing approach, which focused on the estimation of nominal and actual cost per ICU patient. Data were derived from the annual records of resources consumed in each hospital unit and from hospital balance sheets. Sensitivity analysis was also performed by inflating nominal costs to present values.

Results: There were 312 patients admitted to the ICU. Mean actual cost per ICU patient was estimated at €16,516, whereas actual reimbursement from social funds was only €1,671. This means that reimbursement accounted for just 10% of the actual hospitalisation cost. Once nominal costs were inflated to present values, the reimbursement accounted for 25% of the actual hospitalisation cost. The major cost drivers of ICU hospitalisation were personnel costs followed by infrastructure, hotel services and pharmaceutical expenditure. These results may be limited by a lack of consideration for clinical outcomes along with a high level of aggregation in cost data.

Conclusion: Reimbursement should be re-adjusted in order to balance public hospital deficits and make public-private mix viable. This way, intensive care capacity would increase and allow a more equitable distribution of healthcare resources.     

Adherence to guidelines for sensitivity analysis: cost-effectiveness analyses of dual oral antiplatelet therapy

Abstract

Objective: Cost-effectiveness analyses of new treatments for cardiovascular disease frequently require input parameters whose values are known with uncertainty due to limited data. The objective of this paper is to examine the extent to which published sensitivity analyses addressing this uncertainty adhere to Health Technology Assessment (HTA) guidelines.

Research design and methods: A systematic review of published cost-effectiveness analyses was performed for an example drug treatment scenario, dual oral antiplatelet therapy compared with aspirin alone following acute coronary syndromes and/or percutaneous coronary intervention. The following medical literature databases were searched for articles published from January 1997 to June 2007: PubMed, Cochrane Collaboration, EMBASE and the Health Economic Evaluation Database (HEED). Evidence tables were created to show the sensitivity of the cost-effectiveness estimates to changes in the input parameter values, as well as the data sources used for the reference-case and sensitivity analysis input parameter values. The extent to which the sensitivity analyses adhered to HTA guidelines were also examined.

Results: Cost-effectiveness ratios were most sensitive to changes in the efficacy of dual antiplatelet therapy and reference-case model assumptions about costs beyond the trial period. Although alternative values tested in the sensitivity analysis for some input parameters were based on observed ranges or distributions, alternative values tested for many other input parameters were assumed without justification.

Conclusions: Sensitivity analyses in the cost-effectiveness studies of dual oral antiplatelet therapy were not fully adherent with HTA guidelines. In particular, long-term costs and benefits were not always included in the sensitivity estimates, the impact of differential effects on death and myocardial infarction was not explored, and justification for the alternative parameter values tested was not always provided.     

Estimating aggregate autoregressive processes when only macro data are available

The aggregation of individual random AR(1) models generally leads to an AR(∞$\infty$) process. We provide two consistent estimators of aggregate dynamics based on either a parametric regression or a minimum distance approach for use when only macro data are available. Notably, both estimators allow us to recover some moments of the cross-sectional distribution of the autoregressive parameter. Both estimators perform very well in our Monte-Carlo experiment, even with finite samples.     

BREAKING THE GLASS CEILING: SLOW PROGRESS AHEAD

Studies show that the percentage of female senior managers in large corporations continues to grow slowly. I consider a firm that initially has an entirely male management structure. If this firm suddenly shifts its behavior and begins to hire male and female managers in equal numbers and treats them equally, then the gender composition of the firm's managers will change over time. Using well‐established mathematical methods, I derive equations that show how rapidly this change will occur. Using data from previously published studies to establish parameter bounds, I draw random samples for parameter values and use these to investigate how quickly the gender composition of a firm's management structure can change. I find that the gender composition at lower management levels changes quickly, compared to the upper management levels. (JEL J71)     

When does Strategic Debt-service Matter?

Recent work in corporate finance has suggested that strategic debt-service by equity-holders works to lower debt values and raise yield spreads substantially. We show that this is not quite correct. With optimal cash management, defaults occassioned by deliberate underperformance (strategic defaults) and those forced by inadequate cash (liquidity defaults) work as substitutes: allowing for strategic debt-service leads to a decline in the equilibrium likelihood of liquidity defaults. In some cases, this decline is sufficiently sharp that equilibrium debt values actually increase and yield spreads decline. We provide an intuitive explanation for these results in terms of an interaction of optionalitiesExpanded versions of this paper were presented in conferences and seminars at the Scottish Institute for Research in Finance, European Finance Association, Western Finance Association, Financial Management Association, 10th Derivative Securities Conference, Santa Clara University, Virginia Tech, the Norwegian School of Management, the Norwegian School of Business and Economics, Duke University, and Carnegie-Mellon University. We benefitted greatly from the comments of participants at these seminars and would particularly like to thank Francesca Cornelli, Kose John, Pete Kyle, Sanjay Unni, and Raman Uppal in this context     

Nonpoint Source Pollution Control under Incomplete and Costly Information

We analyze the efficient management of nonpoint source pollution (NPS) under a limited pollution control budget and incomplete information. We focus on the tradeoff between data collection and pollution abatement efforts by incorporating information acquisition into a NPS pollution control model. Comparative static results show conditions under which (i) a favorable change in the abatement costs at one source may lead to an increase in the treatment level at all sources, and vice versa, (ii) an increase in data collection cost leads to an increase in data collection level, and (iii) an increase in the efficiency of information acquisition leads to a decrease in the level of data collection. More importantly, the model simulations illustrate that acquiring and exploiting information on heterogeneity of sediment loading distributions across polluting sources leads to a more efficient budget allocation and hence a greater reduction in pollution damage than would be the case without such information.     

Products and Productivity*

When firms make decisions about which product to manufacture at a more disaggregated level than observed in the data, measured firm productivity reflects both characteristics of the firm and attributes of the products that are non‐randomly chosen by the firm. This paper develops a model of industry equilibrium in which firms endogenously sort across products and characterizes the resulting bias in measured firm and aggregate productivity. Calibrating the model's parameters, we show that endogenous product selection can have quantitatively important effects on measured firm and aggregate productivity and their response to changes in parameter values.     

MONOPOLY INSURANCE AND ENDOGENOUS INFORMATION

We study a monopoly insurance model with endogenous information acquisition. Through a continuous effort choice, consumers can determine the precision of a privately observed signal that is informative about their accident risk. The equilibrium effort is, depending on parameter values, either zero (implying symmetric information) or positive (implying privately informed consumers). Regardless of the nature of the equilibrium, all offered contracts, also at the top, involve underinsurance, which discourages information gathering. We identify a missorting effect that explains why the insurer wants to discourage information acquisition. Moreover, lower information gathering costs can hurt both consumer and insurer.     

Fictitious play in games: The transition between periodic and chaotic behaviour

In the 1960s Shapley provided an example of a two-player fictitious game with periodic behaviour. In this game, player A aims to copy B's behaviour and player B aims to play one ahead of player A. In this paper we generalise Shapley's example by introducing an external parameter. We show that the periodic behaviour in Shapley's example at some critical parameter value disintegrates into unpredictable (chaotic) behaviour, with players dithering a huge number of times between different strategies. At a further critical parameter the dynamics becomes periodic again, but now both players aim to play one ahead of the other. In this paper we adopt a geometric (dynamical systems) approach. Here we prove rigorous results on continuity of the dynamics and on the periodic behaviour, while in the sequel to this paper we shall describe the chaotic behaviour.     

Aggregation of Directional Distance Functions and Industrial Efficiency

Three main objectives are pursued in this paper. First, we intend to analyze the aggregation problem of directional distance functions from a constructive viewpoint. We provide necessary and sufficient conditions concerning the structural properties of the production technology and of the nature of groups of firms. Indeed, exact additive aggregation holds for a linear technology and for a direction solely defined in the output space. Second, since these conditions are somewhat restrictive, we are interested in providing a measure for the aggregation bias through the relationship between industrial and structural technical efficiency. Finally, we show that this aggregation bias is a lower bound for industrial allocative efficiency.     

Unemployment Insurance under Moral Hazard and Limited Commitment: Public versus Private Provision

This paper analyzes a model of private unemployment insurance under limited commitment and a model of public unemployment insurance subject to moral hazard in an economy with a continuum of agents and an infinite time horizon. The dynamic and steady‐state properties of the optimum private unemployment insurance scheme are established. The interaction between public and private unemployment insurance schemes is examined. Examples are constructed to show that for some parameter values increased public insurance can reduce welfare by crowding out private insurance more than one‐to‐one and that for other parameter values a mix of both public and private insurance can be welfare maximizing.     

Habit,aggregation and long memory: evidence from television audience data

Many economic outcomes appear to be influenced by habit or commitment, giving rise to persistence. In cases where the decision is binary and persistent, the aggregation of individual time series can result in a fractionally integrated process for the aggregate data. Certain television programmes appear to engender commitment on the part of viewers and the decision to watch or not is clearly binary. We report an empirical analysis of television audience data and show that these series can be modelled as I(d) processes. We also investigate the proposition that temporal aggregation of a fractionally-integrated series leaves the value of d unchanged.     

THE 2005 LAWRENCE R. KLEIN LECTURE: EMERGENT CLASS STRUCTURE*

This article presents a model of the emergent class structure, in which a society inhabited by inherently identical households may be endogenously split into the rich bourgeoisie and the poor proletariat. For some parameter values, the model has no steady state where all households remain equally wealthy. In this case, the model predicts emergent class structure or the rise of class societies. Even if every household starts with the same amount of wealth, the society will experience “symmetry‐breaking” and will be polarized into two classes in steady state, where the rich maintain a high level of wealth partly due to the presence of the poor, who have no choice but to work for the rich at a wage rate strictly lower than the “fair” value of labor. The nonexistence of the equal steady state means that a one‐shot redistribution of wealth would not be effective, as wealth inequality and the class structure would always reemerge. Thus, the class structure is an inevitable feature of capitalism. For other parameter values, on the other hand, the model has the unique steady state, which is characterized by perfect equality. In this case, the model predicts dissipating class structure or the fall of class societies. Even if the society starts with significant wealth inequality, labor demand by the rich employers pushes up the wage rate so much that workers will escape from the poverty and eventually catch up with the rich, eliminating wealth inequality and the class structure in the long run. In an extension, we introduce self‐employment, which not only provides the poor with an alternative to working for the rich, but also provides the rich with an alternative to investment that creates jobs. Due to this dual nature of self‐employment, the effects of self‐employment turn out to be quite subtle. Yet, within the present framework, it is possible to offer a complete characterization of the steady states even in the presence of self‐employment.     

Robust Volatility Estimation with and Without the Drift Parameter

We find the closed form solution for the joint probability of the running maximum and the drawdown of the Brownian motion with a non-zero drift parameter at a random time that is exponentially distributed and independent of the Brownian motion. This characterization leads us to come up with a robust method of estimating volatility using open, high, low and closing prices. We rigorously show the independence of robust volatility estimators based on extreme values of asset prices relative to the standard robust volatility estimator based on closing price alone. We further prove that the proposed robust volatility ratio is unbiased with no drift parameter. Moreover, we find that the robust volatility ratio with a non-zero drift parameter has only a second order effect. We have shown that our proposed extreme value robust volatility estimator is 2–3 times relatively more efficient when compared to the classical robust volatility estimator based on Monte Carlo simulation experiment. On the empirical side, we test the proposed robust volatility ratio based on high and low prices on different asset classes like stock indices, exchange rate and precious metals.

     

Aggregation and long-memory: An analysis based on the discrete Fourier transform

Datasets constructed via temporal aggregation or skip sampling are widely used by empirical studies in economics and finance, which leads to substantive discussion and debates on the effects of temporal aggregation and choice of sampling frequency. This paper studies a key feature of data aggregation by deriving the representation of the discrete Fourier transform (dft) of the aggregated series considering the aliasing effect. Analyses are not limited to the spectrum of the stationary series under aggregation, but extended to the periodogram of the non-stationary series. We further apply our results of the dft to a particular example of fractional processes under aggregation. We show that the estimates of the long-memory parameter are the same for the temporally aggregated series and the original one if the same bandwidths are used, regardless of the stationarity of the series. The theoretical findings are empirically verified by the analysis of S&P 500 volatility from 1928 to 2011.     

Group identification

I study a model of group identification in which individuals' opinions as to the membership of a group are aggregated to form a list of group members. Potential aggregation rules are studied through the axiomatic approach. I introduce two axioms, meet separability and join separability, each of which requires the list of members generated by the aggregation rule to be independent of whether the question of membership in a group is separated into questions of membership in two other groups. I use these axioms to characterize a class of one-vote rules, in which one opinion determines whether an individual is considered to be a member of a group. I then show that the only anonymous one-vote rule is self-identification, in which each individual determines for himself whether he is a member of the group.     

University attendance and academic performance: Encouraging student engagement

Absenteeism in higher education has motivated the investigation of its effect on academic performance. This paper examines the effect of implementing an incentive scheme on seminar PPA (prior preparation and attendance) and performance focusing on a cohort of international postgraduate students over two academic years in two conversion economics (quantitative and non-quantitative) modules at a Scottish business school. The results show that the scheme leads to an increase in the class PPA in both modules and in the probability of passing the quantitative module, however academic performance is affected at a lesser extent.     

How Reliable are ORANI Conclusions?*

This paper seeks to systematically review the main criticisms of the ORANI model by developing a graphical version of a two-sector (exportables and nonexportables) miniature ORANI model. This model shows that ORANI results occur because while supply curves in both sectors have similar slopes. the slopes of the demand curves are polar opposites. Furthermore this model shows that results will tend to be more sensitive to variations in supply rather than demand parameters. Experiments using the ORANI model itself verified these findings. These results indicate that some form of sensitivity analysis with respect to assigned parameter values should form an integral part of any ORANI experiment.     

Uncertainty,Learning and Heterogeneity in International Environmental Agreements

This paper concerns the formation of International Environmental Agreements under uncertainty about environmental damage with different models of learning (complete learning, partial learning or no learning). The results of the existing literature are generally pessimistic: the possibility of either complete or partial learning generally reduces the level of global welfare that can be achieved from forming an IEA relative to no learning. That literature regards uncertainty as a parameter common to all countries, so that countries are identical ex ante as well as ex post. In this paper we extend the literature to the case where there is no correlation between damage costs across countries; each country is uncertain about a particular parameter (in our case the benefit-cost ratio) drawn from a common distribution but, ex post, each country’s realized parameter value is independently drawn. Consequently, while countries remain identical ex ante, they may be heterogeneous ex post. We show that this change reinforces the negative conclusions about the effects of partial learning on international environmental agreements, but, under certain conditions, moderates the negative conclusions about the effects of complete learning.