Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach

Increasing attention has been focused on the analysis of the realized volatility, which can be treated as a proxy for the true volatility. In this paper, we study the potential use of the realized volatility as a proxy in a stochastic volatility model estimation. We estimate the leveraged stochastic volatility model using the realized volatility computed from five popular methods across six sampling-frequency transaction data (from 1-min to 60- min) based on the trust region method. Availability of the realized volatility allows us to estimate the model parameters via the MLE and thus avoids computational challenge in the high dimensional integration. Six stock indices are considered in the empirical investigation. We discover some consistent findings and interesting patterns from the empirical results. In general, the significant leverage effect is consistently detected at each sampling frequency and the volatility persistence becomes weaker at the lower sampling frequency.     

Prospects for Some Australian Corporations Derived from a General Equilibrium Model

The ORANI computable general equilibrium model of the Australian economy has traditionally been used to estimate the effects of changes in the economy on industries. In this article the ORANI model is extended to include corporations. Medium-run forecasts of the Australian economy over the period 1988-95 89 to 1994-95 are used to estimate the effects on revenue and costs for selected corporations. These forecasts are generated by weighting the industry projections by the holdings of corporations across industries.     

Productivity Shocks and Monetary Policy in a Two-Country Model

In this paper, we examine the effects of foreign productivity shocks on monetary policy in a symmetric open economy. Our two-country model incorporates the New Keynesian features of price stickiness and monopolistic competition based on the cost channel of Ravenna and Walsh (2006). In particular, in response to asymmetric productivity shocks, firms in one country achieve a more efficient level of production than those in another economy. Because the terms of trade are directly affected by changes in both economies’ output levels, international trade creates a transmission channel for inflation dynamics in which a deflationary spiral in foreign producer prices reduces domestic output. When there is a decline in economic activity, the monetary authority should react to this adverse situation by lowering the key interest rate. The impulse response function from the model shows that a productivity shock can cause a real depreciation of the exchange rate when economies are closely integrated through international trade.     

The Determination of the Equilibrium Exchange Rate in a Simple General Equilibrium Model

In this article, we develop an analytical general equilibrium model of the equilibrium exchange rate for emerging countries. This theoretical framework allows us to identify a relevant set of variables which determinate the equilibrium exchange rate and to explore how these variables influence the trajectory of the equilibrium exchange rate.     

Trade and Indeterminacy in a Dynamic General Equilibrium Model

This paper introduces sector-specific externalities in the Heckscher-Ohlin two-country dynamic general equilibrium model to show that indeterminacy of the equilibrium path in the world market can occur. Under certain conditions in terms of factor intensities, there are multiple equilibrium paths from the same initial distribution of capital in the world market, and the distribution of capital in the limit differs among equilibrium paths. One equilibrium path converges to a long-run equilibrium in which the international ranking of factor endowment ratios differs from the initial ranking; another equilibrium path maintains the initial ranking and converges to another long-run equilibrium. Since the path realized is indeterminate, so is the long-run trade pattern. Therefore, the Long-Run Heckscher-Ohlin prediction is vulnerable to the introduction of externality. Journal of Economic Literature Classification Numbers: E13, E32, F11, F43.     

货币投机中的稳定汇率承诺与政府救助——基于序贯博弈模型的多重均衡分析与模拟

中国目前的稳定汇率政策是对金融危机前的稳定汇率承诺的兑现,它可以有效稳定市场汇率预期,抵制随时可能到来的货币投机行为.本文在Mundaca模型的基础上构建一个具有稳定汇率承诺特征的序贯博弈模型,通过博弈均衡理论与数值模拟相结合的方法,分析货币投机冲击下的政府救助和汇率承诺的作用机制,提出一种结合政府事前汇率承诺的政府救助机制,详细分析"自实现"的稳定汇率承诺的作用机理,进而提出政策建议.     

Resource Rights and Markets in a General Equilibrium Model of Production

Rights to a free resource lead to distributional deadweight losses in partial equilibrium. The present paper examines related distortions in a general equilibrium model of production with output prices constant for the small open economy. The free resource can result in lower output than a market with weak substitution in the other sector. The free resource also leads to a convex production frontier implying a price increase lowers output in the sector. Regarding policy, an import tariff, export subsidy, or price support would lower sector output. These general equilibrium distortions increase the incentives to favor resource markets over rights.     

Optimal Protection of Property Rights in a General Equilibrium Model of Growth*

We incorporate weak property rights into an otherwise standard general equilibrium model of growth and second‐best optimal policy. In this setup, the state plays two of its key roles: it protects property rights and provides public services. The government chooses policy (the income tax rate, as well as the allocation of collected tax revenues between law enforcement and public services) to maximize the growth rate of the economy. The focus of our analysis is on how weak property rights generate multiple decentralized competitive equilibria, the different properties of these equilibria, and the implications of second‐best optimal policies.     

On the Neutrality of Redistribution in a General Equilibrium Model with Public Goods

Models on private provision of public goods typically involve a single private good and linear production technology for the public good. We study a model with several private goods and nonlinear (strictly concave) production technology. We revisit the question of „neutrality” of government interventions on equilibrium outcomes and show that relative price effects that are absent with a single private good and linear production technology become a powerful channel of redistribution in this case. Contrary to previous results, redistributing endowments in favor of contributors is shown to be neither necessary nor sufficient for increasing the equilibrium level of public good.     

The Efficiency of the Realized Range Measure of Daily Volatility: Evidence from Greece

In this study we estimate and compare the realized range volatility, a novel efficient volatility estimator computed by summing high–low ranges for intra‐day intervals, to the recently popularized realized variance estimator obtained by summing squared intra‐day returns. Our results, derived from a Greek equity high‐frequency data set, show that realized range‐based measures improve upon the corresponding realized variance‐based ones in most cases, especially for the most actively traded stocks. The usefulness of high‐frequency data in measuring and forecasting financial volatility is apparent throughout the paper.     

中国货币经济波动的一般均衡分析

文章构建了一个动态随机一般均衡的模型,从理论和实证两个方面分析了中国货币经济的波动问题.实证结果表明我国经济中货币余额的波动更多地源于消费者货币需求的波动,投资的波动与货币余额的波动关联不大,因此不能简单地以货币余额的变化来判断投资的状况.投资波动、经济增长波动与消费波动存在背离现象,投资造成大量的成本,这是我国经济非均衡的主要表现.文章的结论支持当前的宏观经济调控政策.     

论银行体系在货币投机攻击中的融资角色

20世纪末爆发于东南亚国家的金融危机给该地区乃至整个世界经济都造成了严重的损失。危机之后一些学者对于该地区银行的经营业绩与危机之间的关系作了大量的研究,研究结果表明经营状况较差的银行体系往往会诱发货币危机的爆发。本文在前人研究的基础上独辟蹊径,论述了一国良好的银行体系在投机性货币攻击中所扮演的角色,进而提出了对一国国内信贷量进行控制的政策操作建议。     

转轨国家的机制性腐败:一个一般均衡模型

本文通过一个一般均衡模型考察腐败对经济福利，分工的网络规模以及社会生产力的影响，我们首先计算了在每个个体均可自由择业的市场经济中的瓦尔拉斯均衡。然后考察当一个特权集团被选定为高层管理者时对社会福利产生的影响；最后考虑在管理者通过其代理人而形成共谋时的情形，即机制性腐败，此时，这个代理人通过索取一笔相当于贿赂的进入费用来为管理者的利益服务，而这时的管理者服务的价格仍然由一个瓦尔拉斯市场的供给和需求决定。该模型表明腐败增加了转轨国家特权集团（包括腐败的官员以及与其密切联关的人）的福利，并以牺牲大众的利益为代价。     

Ecological Transfers in Non-Human Communities Parallel Economic Markets in a General Equilibrium Ecosystem Model

Synopsis: The oft-cited analogies between ecological and economic systems are exploited to develop a many-species model of population dynamics. In economies, markets are the fundamental institutions in which the interaction of demands and supplies determine the quantities and prices of goods. However, economic markets are not appropriate for ecological communities, because markets rely on voluntary exchange, whereas plants and animals engage in involuntary transfers of biomass. A properly defined counterpart to markets based on biomass transfers permits a general equilibrium model of predator/prey and competitive interactions in a many-species community. Functional response from optimal foraging and predation risk provide the demand and supply, respectively, in the biomass transfers. Energy per unit time is scarce and predators and prey make optimum choices with respect to functional response and risk avoidance based on required energy expenditures. The energy expenditures are similar to economic prices: they determine foraging strategies and are beyond the control of the predators and prey, yet they are determined by the aggregate choices of all predators and prey and by population densities. The energies acquired from foraging are used in a new way to construct difference equations that determine the population dynamics. This revised version was published online in July 2006 with corrections to the Cover Date.     

The Concept of Income in a General Equilibrium

This paper derives a concept of aggregate real income for a competitive economy in general equilibrium consisting of heterogeneous infinitely lived people and relates it to current and future consumption possibilities. An important characteristic of our measure of income, which we call Real Income, is that deflation is carried out using a consumption deflator rather than any price index of output. We suggest that it may be inappropriate to regard capital gains as income. We also present a coherent treatment of the effects of changes to the terms of trade on Real Income and explain the implications of this for resource-exporting economies.     

Changing Economic Structures and Impacts of Shocks: Evidence from a Dynamic Stochastic General Equilibrium Model for China

We present a small‐scale dynamic stochastic general equilibrium model that features price rigidities, habit formation in consumption and costs in capital adjustment. We estimate the key parameters and calibrate the model with data for the Chinese economy. Our interest centres on the impact of technology and monetary policy shocks for different structures of the Chinese economy. In particular, we evaluate how a rebalancing of the economy from investment‐led to consumption‐led growth would affect the economic dynamics after a shock occurs. Our findings suggest that a rebalancing would reduce the volatility of the real economy in the event of a technology shock, which provides support for policies aiming to increase the consumption share in China.     

Partial Delegation in a Model of Currency Crisis

This paper shows that, in a fixed exchange-rate system with an escape clause, delegating the decision on the magnitude of realignment to an inflation-averse central banker reduces the range of realignment costs for which the policy-maker necessarily devalues. Stressing the influence of devaluation expectations on currency crises, it is also shown that this strategy of delegation reduces the width of the multiple equilibria zone within which self-fulfilling crises occur, thus promoting further the exchange-rate system's stability. The higher the central banker's degree of inflation aversion, the greater is this reduction.     

Work Schedules, Wages, and Employment in a General Equilibrium Model with Team Production

This paper provides a prototype general equilibrium model of team production. Team production refers to production processes which require that the work schedules of heterogeneous workers be closely coordinated. The key innovation in the framework is that the work schedules, wages, and employment of heterogeneous workers are endogenously determined in the presence of team production. I demonstrate the potential importance of modeling team production through a quantitative example.Journal of Economic LiteratureClassification Numbers: E23, J20.     

Calibration of Computable General Equilibrium Models from Synthetic Benchmark Equilibrium Data Sets*

The most common procedure for estimating the share parameters of a CGE model is to calibrate the model using a particular year-of-record benchmark equilibrium data set. In this paper we argue the case for calibration from synthetic benchmark equilibrium data sets which portray the economy in a notional typical year. The development of a synthetic agricultural sector in the benchmark equilibrium data set of the ORANI model of the Australian economy is described Finally a comparison is made of the results from ORANI of an across-the-board tariff cut simulation computed with both the synthetic benchmark equilibrium data set and a particular year-of-record data set.     

A stochastic estimated version of the Italian dynamic General Equilibrium Model

This paper aims at identifying the main drivers of the Italian economic cycle. To this end, we estimate a small-open economy model based on a dual labor market, which captures the main features of the Italian economy. Our results indicate that labor market rigidities are important structural features of the Italian economy, but they provide a limited contribution in explaining the business cycle fluctuations. Long-term dynamics are mostly driven by supply factors (productivity and markups). However, demand factors, including monetary and fiscal policies, play a sizeable role in the short run. Policy experiments show that expansionary fiscal policies crowd out private consumption and investment. The paper also contributes to the recent debate on fiscal consolidation. Estimated fiscal multipliers support the view that plans aimed at reducing the public debt should be based on tax increases rather than expenditure cuts.