A Base Model for Multifactor Specifications of the Term Structure

In this article, we aim to show that most of the recent multifactor specifications of the term structure can be traced back to a common general equilibrium model, based on an economy of the Cox, Ingersoll and Ross type. This base model of the term structure has a very general form and includes both square root and Gaussian dynamics of the underlying state variables. We establish a direct link among the state variables used in the different specifications of many multifactor models and analyse the structure of the resultant implied relationships. This technique has relevant implications from a practical point of view, as it can allow one to recover from the estimated coefficients of one model the implied value of the coefficients of other models. Moreover, it provides a way of recovering from the term structure the values of such unobservable variables as the real short rate and the expected inflation rate.
(J.E.L.: E43, G12).     

Intra-Industry Trade: A Static and Dynamic Panel Data Analysis

This study examines the features and determinants of intra-industry trade (IIT), horizontal IIT (HIIT) and vertical IIT (VIIT) between Portugal and the European Union in the period 1996–2002, using a static and a dynamic panel data analysis. The findings indicate that Portuguese VIIT increased significantly during the period in accordance with the values expected for a developed country. The regression results show that there is evidence supporting the explanation of VIIT by Heckscher–Ohlin’s (HO) theory and that Portugal has comparative advantages in low-quality differentiated products. The findings support the theory that, in general, there is no positive statistical association between HIIT and HO variables. The central theme of this paper is to show that it may be preferable to use the GMM approach in empirical studies of IIT rather than pooled OLS, fixed effects or random effects estimators. The results also suggest that the GMM system estimator obtains more reasonable parameter estimates than the first-differenced GMM estimator.

A Dynamic Model for International Environmental Agreements

In this paper we develop a model that uses a dynamic framework to analyze the process through which countries join international environmental agreements (IEAs). In the model, while all countries suffer from the same environmental damage as a result of total global emissions, non-signatory countries decide on their emission levels by maximizing their own welfare, whereas signatory countries decide on their emission levels by maximizing the aggregate welfare of all signatory countries. It is assumed that signatory countries will be able to punish non-signatories, at some cost to themselves. When countries decide on their pollution emissions, they account for the evolution of the stock of pollution over time. Moreover, we propose a mechanism to describe how countries reach a stable IEA. The model is able to capture situations characterized by partial cooperation within an IEA that is stable over time. It also captures situations where all countries participate in a stable agreement, and situations where no stable agreement is feasible. Where more than one possibility coexist, the long-term outcome of the game depends on the initial conditions (i.e., the initial number of signatory countries and pollution level).     

A Model of Behavior in Coordination Game Experiments

This paper constructs a structural model for behavior in expeiments where subjects play a simple coordination game repeatedly under a rotating partner scheme. The model assumes subjects' actions are stochastic best responses to beliefs about opponents' choices, and these beliefs update as subjects observe actual choices during the experiment. The model accounts for heterogeneity across subjects by regarding prior beliefs as random effects and estimating their distribution. Maximum likelihood estimates from experimental data suggest that distributions of initial beliefs vary across games, but in all games studied imply a convergence dynamic toward risk-dominant equilibrium.     

Static and Dynamic Productivity among Yugoslav Enterprises: Components and Correlates

This paper calculates both static and dynamic measures of productivity for a sample of Yugoslav enterprises over the five-year period 1975–1979 using Farrell measures of efficiency and the frontier Malmquist index of productivity change. The influences of market share, export orientation, joint ventures, labor groupings, capital intensity, and regional development on the static efficiency measures and on the dynamic Malmquist index and its components are also examined. We find that the analysis of single-period efficiency scores does not necessarily provide much insight into performance over time.J. Comp. Econom.,December 1998, 26(4), pp. 805–821. University of Arkansas, Fayetteville, Arkansas 72701; University of Southern Mississippi, Hattiesburg, Mississippi 39406; and University of Arkansas, Fayetteville, Arkansas 72701.     

动态拟和激励模型及其静态博弈分析

本文首先从经营者的激励模型研究出发,由于模型的粗象性影响线性规划的求解,所以就探讨了对模型进行数据函数化的处理方法,以此得到了人力资源管理和激励的拟合模型.然后根据人力资源的拥有者和人力资源的使用者,对于拟和模型中的两个参与者进行静态博弈分析,并得到了人力资源管理和激励模型的对偶命题.最后,本文还建立了两阶段动态激励模型.     

非均衡的经济动态模型

本文旨在按现实世界的本来面目建立一个非均衡的内生经济动态模型。在这个模型中 ,源于部门内和部门间关系的内生变量导致资本市场、消费品市场上产量和价格的波动。市场的非均衡过程、存货调节机制以及经济人的最优行为和适应性行为是基于对现实世界的观察进行模拟的。静态性质及其稳定性是作为一般市场动态过程的特例加以讨论的。     

我国人口因素对环境污染的影响——基于省级静态与动态面板数据模型研究

通过我国30个省份2000~2011年的省级面板数据,综合运用静态面板数据模型和动态面板数据模型,实证研究了我国人口因素对环境污染的影响,结果表明:人口规模、家庭小型化是加大我国环境污染程度的主要人口因素;年龄结构、城市化水平的提高促进工业废气和工业固废的排放,而对工业废水的排放起到抑制作用;此外,收入水平、研发强度、工业结构和贸易开放也是影响我国环境污染的其他重要因素,只是对于不同的环境污染指标而言,它们对其影响程度存在一定的差异性。     

有政府的动态资产定价模型

文章建立了一个有政府的动态资产定价模型.政府被模型化为具有垄断力量的市场参与者,它可以利用自己的税收和交易行为影响市场.我们求解了一个政府先行,私人跟随的均衡,得到了一个资产定价的双因子(总消费因子和税收因子)模型.文章证明:资产的超额收益不但取决于与总消费的相关性,还受与政府税收相关性的影响;资本市场的波动行为依赖于税收的随机模式.我们的模型预言,在一个政府作用比较大的经济体里,如果忽略政府的作用,单因子的ICAPM可能低估均衡的股权超额收益.同没有政府的经济相比,有政府经济中风险资产的波动率会更高.分析还表明:在动态资产定价模型中引入政府行为是可能的.     

A Dynamic Model of Public Opinion Formation

In this paper, we seek to shed new light on the social process of public opinion formation. Drawing on previous contributions in cognition studies and political science, we propose and analyze a model in which heterogeneous agents (citizens) collectively learn and modify their opinions about a specific policy issue. The assumption of nonrationality on the part of agents gives core values, enduring general needs, social interaction, and the combination of the citizens´ intuition and occasional deliberate reasoning a key role in the dynamics of public opinion formation.     

Investment in Tourism Market: A Dynamic Model of Differentiated Oligopoly

We present a theoretical dynamic model in tourism economics, assuming that the market for tourism is an oligopoly with differentiated products. Destinations can invest in order to improve their stock of physical, natural or cultural resources. Tourism flows yield current revenues, but they are usually detrimental for the stock of resources. We find the solution of the dynamic model, and in particular we find the open-loop Nash equilibrium of the game among destinations, under alternative settings, depending on whether the degree of differentiation among destinations is exogenous or endogenous. In particular, under the latter case, an increase of the number of destinations leads to a higher degree of product differentiation in steady state.     

Payoff Assessments without Probabilities: A Simple Dynamic Model of Choice

We develop a model which reflects the tendency of people to simplify the decision problems they face. The decision maker chooses among alternate strategies only on the basis of the payoff she assesses she would obtain from them, and these assessments do not explicitly take into account her subjective judgements regarding the likelihood of alternate states of the world. At each stage, the decision maker chooses the strategy that she assesses to give the highest payoff. She updates her assessments adaptively. We show that such behavior leads to maxmin choices. We also consider the decision maker who experiences shocks. Journal of Economic Literature Classification Numbers: C7, D8.     

Dynamic and Comparative Static Analysis of Imperfectly Competitive International Fishery

A dynamic system for change of fish stock is formulated assuming that two asymmetric rival countries harvest fish from a common fishing ground and sell it in an imperfectly competitive market. The existence of a unique stable steady state is examined based on the dynamic system. Comparative static analysis is conducted in relation to changes in national fishing management policies to explore, among other things, rent-shifting from one country to another.     

A Dynamic Model of the Environmental Kuznets Curve: Turning Point and Public Policy

We set up a simple dynamic macroeconomic model with (i) polluting consumption and a preference for a clean environment, (ii) increasing returns in abatement giving rise to an EKC and (iii) sustained growth resulting from a linear final-output technology. There are two sorts of market failures caused by external effects associated with consumption and environmental effort. The model is employed to investigate the determinants of the turning point and the cost effectiveness of different public policies aimed at a reduction of the environmental burden. Moreover, the model offers a potential explanation of an N-shaped pollution–income relation. It is shown that the model is compatible with most empirical regularities on economic growth and the environment.      

商业银行:高层经营管理者激励约束机制的动态模型

过去公司治理的中心是以货币资本为基础的所有者与经营者关系的界定,而目前公司治理的中心则是以货币资本和人力资本共同为基础的两种资本相互关系的界定.主要集中在对人力资本的激励和约束机制的研究上.本文运用动态博弈分析的方法,试图构建我国银行高层经营管理者激励约束机制的动态模型.通过确立最优激励因子来激励和约束银行高层经营管理者,使之将自身利益与银行长远发展相结合,实现银行经营收入最大化.     

Linear Public Goods Experiments: A Meta-Analysis

Objective: To use meta-analysis techniques to assess the impact of various factors on the extent of cooperation in standard linear public goods experiments using the voluntary contributions mechanism. Data Sources: Potentially relevant experiments were identified through searches of EconLit, the Internet Documents in Economics Access Service (IDEAS), and a survey article. Review Methods: A total of 349 potentially relevant studies were identified. Of these, 27 (representing a total of 711 groups of participants) met the inclusion criteria. Data were abstracted from these studies using a standardized protocol. Results were analyzed using weighted ordinary least squares. Average group efficiency was the dependent variable. Results: The marginal per capita return, communication, constant group composition over the session (partners), positive framing, and the use of children as subjects had a positive and significant effect (p < 0.05) on the average level of contribution to the public good. Heterogeneous endowments to subjects, experienced participants, and soliciting subjects' beliefs regarding other participants' behaviour prior to the start of the session/period had a negative and significant effect. A number of other factors were not identified as significant. Conclusion: The meta-analysis results parallel several key findings from previous literature reviews. In addition, they offer parameter estimates and an analysis of significance based on the totality of the available research evidence. More consistent reporting of the results of experiments would greatly improve the ability to conduct this type of research.     

A Dynamic Heckscher–Ohlin Model: The Case of Costly Factor Reallocation

The role of the static Heckscher–Ohlin model in providing general equilibrium comparative statics is emphasized. It is shown that (i) market-clearing dynamics can be constructed if and only if the costly reallocation of factors is accommodated, and (ii) the introduction of market-clearing and resource-using dynamics fails to sharpen (and may even blunt) the comparative statics. Thus, a new (non-)Correspondence Principle is derived.     

考虑基准资产的动态投资组合选取

职业基金经理的目标经常是希望自己的投资组合以稳定的表现能够超越所某一基准资产或组合。因此本文给出一个考虑基准资产的动态均值——方差投资组合选取模型。假设状态之间的转移遵循马氏过程,给定状态转移矩阵,可以得到对风险资产最优投入的解析表达式。此表达式表明对风险资产的投入由三项构成,前两项是不考虑基准资产时对风险资产的投入,最后一项与基准资产有关;在基准资产上的权重由基准资产收益的大小来决定,与积极投资组合管理者的风险厌恶程度无关;随着风险厌恶程度的增加,管理者会减少在风险资产上的投入。数值分析显示考虑基准资产的投资组合是一个积极的投资组合。     

A Dynamic Model of Privatization with Endogenous Post-Privatization Performance

This paper presents a dynamic model of privatization, driven by improved institutional protection of private property rights and constrained by the buyer's financial constraints. Government ownership is more efficient than private ownership when private property rights are insecure. Improved institutional protection of property rights over time creates the need to privatize. The buyer's financial constraints affect the timing of privatization, causing the firm's post-privatization performance either to improve or to deteriorate in the short run. Financial constraints also have the possibility of inducing an underpricing phenomenon during privatization where the firm is priced below both what the buyer is willing to pay and the buyer's ability to pay. Faster institutional development calls for earlier privatization, but it also has the potential to either create or exacerbate deadweight losses associated with inefficient privatization. A host of empirically testable implications are derived.     

Tax Amnesties In A Dynamic Model of Tax Evasion

We present a dynamic model of tax evasion, where tax liabilities last for two periods and the probability of an inspection decreases with the sum of taxes evaded this period plus taxes evaded last period. We show that a tax amnesty that pardons more than the evasion penalties (an extensive amnesty) can temporarily improve compliance. Whenever the inspection technology improves, steady state compliance also improves, but the economy takes time to transit from one steady state to the other. We show that an amnesty may accelerate this transit, or even make it instantaneous if the amnesty is extensive enough.