A Kaldor–Hicks–Goodwin–Tobin–Kalecki model of growth and distribution

This paper presents a Kaldorian model of growth that incorporates both Kaldor's theory of income distribution and his endogenous technical progress function. Growth is driven by demand‐side forces that induce supply‐side accommodation. The model incorporates Hicksian induced innovation; Goodwin Marxist style labor conflict that affects wage bill division between workers and managers; Tobin inflation effects; and Kalecki monopoly power effects. Unlike the neo‐Kaleckian model, a Kaldorian economy operates at normal capacity utilization. Monopoly power plays a role as a barrier to entry rather than determining the functional distribution of income.     

Testing a Goodwin model with general capital accumulation rate

We perform econometric tests on a modified Goodwin model where the capital accumulation rate is constant but not necessarily equal to one as in the original model (Goodwin, 1967 ). In addition to this modification, we find that addressing the methodological and reporting issues in Harvie ( 2000 ) leads to remarkably better results, with near perfect agreement between the estimates of equilibrium employment rates and the corresponding empirical averages, as well as significantly improved estimates of equilibrium wage shares. Despite its simplicity and obvious limitations, the performance of the modified Goodwin model implied by our results show that it can be used as a starting point for more sophisticated models for endogenous growth cycles.     

Real Exchange Rate Targeting,Macroeconomic Performance and Sectoral Income Distribution in Developing Countries

This paper uses a two-sector general equilibrium model to analyse both steady-state and stochastic dynamic effects of two real exchange rate targeting policies: a constant-target, and a band-target rule. In the model, targeting is implemented by imposing a stochastic fully-rebatable tax on the consumption of non-traded goods. The first result is that when comparing only steady states, a real exchange rate appreciation favours labour and capital in the non-traded sector, while factors in the traded sector are favoured by depreciations. A second result is that both rules reduce the volatility of investment and the trade balance. The third key result is that in the stochastic economy sectoral income distribution outcomes depend on the design of the constant and band-target rules. In particular, a variety of outcomes may be generated depending on the magnitude of the constant target, or the amplitude of the band, relative to the volatility of productivity shocks.     

投资倾向变动对初次收入分配结构的调整机制研究

初次收入分配结构调整是指调整国民收入在各项目之间的分配比例,是国民经济体系中的重要内容。文章对投入产出模型进行扩展,深入透析投资倾向的变动对初次收入分配中各项目的影响,以及对初次收入分配结构的调整作用。研究表明,投资倾向对初次收入分配的影响与各产业的项目系数、生产直接消耗系数,以及国内收入总额密切相关;在现有的要素价格和投资结构情况下,提高投资倾向会使国民收入中劳动报酬、生产税净额的比例降低,会使固定资产折旧和营业盈余的比例提高。     

Borrowing Without Debt? Understanding the U.S. International Investment Position

Sustained large U.S. current account deficits have led some economists and policymakers to worry that future current account adjustment could occur through a sudden and disruptive depreciation of the dollar and a sharp drop in U.S. consumption. Two factors that, to date, have cast doubt on such concerns are the stability of U.S. net external liabilities and the minimal net income payments made by the United States on these liabilities. We show that the stability of the external position reflects sizable capital gains stemming from strong foreign equity markets and a weaker dollar—conditions that could be reversed in the future. We also show that while minimal U.S. net income payments reflect a much higher measured rate of return on U.S. foreign direct investment (FDI) assets than on U.S. FDI liabilities, JEL Classification F21     

Valuation effects with transitory and trend productivity shocks

Changes in asset prices of a country's foreign assets and liabilities (“valuation effects”) are commonly thought of as stabilizing: they counteract current account movements and mitigate the impact of the current account on the country's net foreign asset (NFA) position. This paper shows that whether valuation effects are stabilizing or not depends critically on the nature of the underlying productivity shocks. In response to transitory shocks, valuation effects are stabilizing; but in response to trend shocks, such effects amplify the impact of the current account on NFA position. These contrasting effects arise because optimally smoothing consumers respond differently to a transitory shock than to a trend shock to income. This theoretical result finds empirical support with G7 countries' data, and is illustrated by the pattern of external imbalances between the U.S. and other G7 countries since the 1990s.     

VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS

This paper considers practically appealing procedures for estimating intraday volatility measures of financial assets. The underlying microstructure model accommodates the inherent properties of ultra high‐frequency data with the assumption of continuous efficient price processes. In this model, microstructure noise and trading times are endogenous but do not only depend on the prices. Using the (observed) last traded prices of the assets, we develop a new approach that enables to approximate the values of the efficient prices at some random times. Based on these approximated values, we build an estimator of the integrated volatility and give its asymptotic theory. We also give a consistent estimator of the integrated covariation when two assets (asynchronous by construction of the model) are observed.     

Pricing American options with stochastic volatility: Evidence from S&P 500 futures options

This article is the first attempt to test empirically a numerical solution to price American options under stochastic volatility. The model allows for a mean‐reverting stochastic‐volatility process with non‐zero risk premium for the volatility risk and correlation with the underlying process. A general solution of risk‐neutral probabilities and price movements is derived, which avoids the common negative‐probability problem in numerical‐option pricing with stochastic volatility. The empirical test shows clear evidence supporting the occurrence of stochastic volatility. The stochastic‐volatility model outperforms the constant‐volatility model by producing smaller bias and better goodness of fit in both the in‐sample and out‐of‐sample test. It not only eliminates systematic moneyness bias produced by the constant‐volatility model, but also has better prediction power. In addition, both models perform well in the dynamic intraday hedging test. However, the constant‐volatility model seems to have a slightly better hedging effectiveness. The profitability test shows that the stochastic volatility is able to capture statistically significant profits while the constant volatility model produces losses. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:625–659, 2000     

Mergers and acquisitions in Latin America 1990–2014: Factorial distribution and contractionary impacts

The evolution of mergers and acquisitions (M&A) in Latin America from 1990 to 2014 is analyzed herein. A one‐sector production model without government and external sectors that links prices/costs, income distribution, demand and output is proposed, and the effects of changes in M&A on profit margins, income distribution and gross domestic product (GDP) are evaluated. The model is applied to most regional economies to determine the impact of these transactions on the profit share and level of economic activity. Our analysis does not reject the hypotheses that M&A have distributive effects favorable to profits and that they have contractionary effects on GDP in Latin American countries.     

PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH

Using tools from spectral analysis, singular and regular perturbation theory, we develop a systematic method for analytically computing the approximate price of a large class of derivative‐assets. The payoff of the derivative‐assets may be path‐dependent. In addition, the process underlying the derivatives may exhibit killing (i.e., jump to default) as well as combined local/nonlocal stochastic volatility. The nonlocal component of volatility may be multiscale, in the sense that it may be driven by one fast‐varying and one slow‐varying factor. The flexibility of our modeling framework is contrasted by the simplicity of our method. We reduce the derivative pricing problem to that of solving a single eigenvalue equation. Once the eigenvalue equation is solved, the approximate price of a derivative can be calculated formulaically. To illustrate our method, we calculate the approximate price of three derivative‐assets: a vanilla option on a defaultable stock, a path‐dependent option on a nondefaultable stock, and a bond in a short‐rate model.     

Factor allocation,economic growth and unbalanced regional development in China

On the basis of development accounting techniques and a factor misallocation framework, we use panel data of 30 Chinese provinces from 2000 to 2013 to assess how factor allocation affects economic growth and unbalanced regional development in China. In particular, we decompose economic growth into three parts, namely sector productivity (SP ), factor market efficiency (FME ) and factor endowment (FE ). We then conduct counterfactual analyses to investigate the short and long‐run roles of factor allocation in the income distribution across provinces. The results show that SP , FME and FE can explain 23%, 8.5% and 68.5% of economic growth, while labour, capital and energy reallocation account for aggregate productivity growth of about 47%, −4.8% and −0.1%. Furthermore, when the factors are efficiently allocated, transferring labour (capital, energy) from agriculture (service, industry) to the other sectors will increase the income per capita by 29.5% and 42.5% in the short and long term. Meanwhile, efficient factor allocation accounts for 32% and 29.7% of aggregate productivity and reduces the income variation across provinces by 25.5% and 23% in the short and long run, respectively.     

Long‐term Effects of the Efficiency Wage Hypothesis in Goodwin‐type Economies

The existence of an efficiency wage mechanism in Goodwin‐type models may lead to the unexpected appearance of an economically meaningful equilibrium with zero labour share, which is globally stable for some parameter constellation and allows the system to attain its ‘maximal growth'. A subsequent ‘normative’ comparison between the possible long‐term regimes of the economy shows that (1) the zero labour share equilibrium can be the ‘preferred’ equilibrium in terms of welfare; (2) in all the long‐term regimes the welfare is higher than in the original Goodwin model; (3) a point of maximal welfare exists. Moreover, the effects of rational behaviour of firms are compared with the ‘traditional’ situation in which rationality is not explicitly assumed. A striking result appears: myopic rationality can have deleterious effects on the profit of firms and on the overall welfare of the economy.     

A Life-Course Approach to Measuring Household Wealth

This paper illustrates how to measure per-period wealth and compares per-period wealth to more traditional measures, such as current net worth (current assets minus current liabilities). Per-period wealth differs from net worth in two major ways. First, per-period wealth adds future entitlements that are contingent upon survival, such as the present value of defined benefit pension and Social Security entitlements. Second, the wealth measure used here is measured as a flow instead of a stock. It is the amount of income that the present value of assets, liabilities, and contingent claims would earn each year in order to draw this present value down to exactly zero at the end of an individual's life. Three alternative strategies for calculating per-period wealth are illustrated in detail. Using the 1992 Survey of Consumer Finances, the U.S. distribution of per-period wealth is estimated using all three models and is contrasted against the distribution of conventional net worth. Furthermore, the sensitivity of the estimates with respect to the parameters of the model is discussed. The results suggest that the distribution of per-period wealth is less evenly distributed than the distribution of net worth.     

The economic value of volatility transmission between the stock and bond markets

This study has two main objectives. Firstly, volatility transmission between stocks and bonds in European markets is studied using the two most important financial assets in these fields: the DJ Euro Stoxx 50 index futures contract and the Euro Bund futures contract. Secondly, a trading rule for the major European futures contracts is designed. This rule can be applied to different markets and assets to analyze the economic significance of volatility spillovers observed between them. The results indicate that volatility spillovers take place in both directions and that the stock‐bond trading rule offers very profitable returns after transaction costs. These results have important implications for portfolio management and asset allocation. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1066–1094, 2008     

INVESTING WITH LIQUID AND ILLIQUID ASSETS

We find optimal trading policies for long‐term investors with constant relative risk aversion and constant investment opportunities, which include one safe asset, liquid risky assets, and an illiquid risky asset trading with proportional costs. Access to liquid assets creates a diversification motive, which reduces illiquid trading, and a hedging motive, which both reduces illiquid trading and increases liquid trading. A further tempering effect depresses the liquid asset's weight when the illiquid asset's weight is close to ideal, to keep it near that level by reducing its volatility. Multiple liquid assets lead to portfolio separation in four funds: the safe asset, the myopic portfolio, the illiquid asset, and its hedging portfolio.     

交易效率、贸易条件与经济发展

通过对一个有交易成本的李嘉图贸易模型进行超边际分析,证明一国均衡的综合生产力和人均真实收入水平的提高,并不完全受制于贸易条件恶化的影响。在衡量一国经济发展状况时,相对于贸易条件来说,交易效率的提高对一国经济的发展更为重要。忽视其它相关条件,盲目地认为随着一国贸易条件的恶化,该国将从贸易中得到的好处下降的看法,具有一定的误导性。     

MODELS OF COMPETITION BETWEEN FIRMS: ENDOGENOUS MARKET STRUCTURE IN THE KALECKIAN MODEL

The purpose of this paper is to incorporate free entry into the Kaleckian model. To this end, we consider a model with monopolistic competition, mark‐up pricing and a free‐entry condition. Using this model, the Kaleckian model is unstable under a wage‐led growth regime, and it is stable under a profit‐led growth regime, when the interest rate is supposed to be constant. Stability under a wage‐led growth can be achieved if the interest rate is allowed to respond positively to capacity utilization. We also find that a goods market policy, but not an income distribution policy, is then effective from an economic growth perspective.     

Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes

This study investigated the volatility linkages between energy and agricultural futures, including possible causes for these comovements, such as external macroeconomic and financial shocks during low and high volatility regimes. A combination of Markov-switching regressions and quadrivariate VAR–DCC–GARCH and VAR–BEKK–GARCH modeling revealed that external shocks have an asymmetric effect on the relationship of these assets with higher cross-correlations reported during high volatility regimes. This comovement effect outweighs the substitution effect between energy and agricultural products. Furthermore, the quadrivariate VAR–BEKK–GARCH model provides strong evidence of a bidirectional price volatility spillover between the agricultural and energy markets during periods of high volatility. Overall, the results suggest that energy futures can be effectively used for hedging in a portfolio comprising agricultural futures (and vice versa), while a combination of macroeconomic and financial index futures can serve as an effective hedging tool in investment portfolios comprising both energy and agricultural commodities.     

On the bankruptcy of internet companies: An empirical inquiry

In this paper we investigate bankruptcy of Internet (dotcoms) companies. Using a calendar-time model, we identify three key predictors of company failure; net income to total assets, cash flow to total liabilities, and total assets. In addition, we use an event-time model and find that liquidity becomes more important as a predictor than profit potential about one year prior to the failure, but that this finding is reversed (i.e. liquidity is less important than profit potential) three years prior to bankruptcy. Our results also suggest that three years prior to bankruptcy, a higher ratio of total liabilities to total assets is associated with lower odds of survival.     

中国城乡劳动力流动影响因素研究——理论模型与实证分析

结合中国实际情况,对哈里斯-托达罗模型的基本假设进行修定,从农民追求预期净收益现值最大化出发,运用动态宏观经济学的递归方法,推导出均衡条件下中国城乡劳动力流动影响因素的理论模型,并采用动态面板计量方法实证检验各影响因素对城乡劳动力流动的作用方向和程度。研究发现：城乡劳动力流动率的滞后值、城乡实际收入差距、非农产值比和农业比较劳动生产率对城乡劳动力流动有正的影响,但城乡实际收入差距的影响系数值偏小;城镇失业率、城乡消费支出比和农村工业化对城乡劳动力流动有负的影响;制度变迁和全社会固定资产投资率对城乡劳动力流动也有一定程度但不显著的正影响。为了解决农民工就业问题,应加强城乡联动共同发展。