CENTRAL BANK POLICIES AND INCOME AND WEALTH INEQUALITY: A SURVEY

This paper reviews recent research on the relationship between central bank policies and inequality. A new paradigm which integrates sticky‐prices, incomplete markets, and heterogeneity among households is emerging, which allows for the joint study of how inequality shapes macroeconomic aggregates and how macroeconomic shocks and policies affect inequality. The new paradigm features multiple distributional channels of monetary policy. Most empirical studies, however, analyze each potential channel of redistribution in isolation. Our review suggests that empirical research on the effects of conventional monetary policy on income and wealth inequality yields mixed findings, although there seems to be a consensus that higher inflation, at least above some threshold, increases inequality. In contrast to common wisdom, conclusions concerning the impact of unconventional monetary policies on inequality are also not clear cut. To better understand policy effects on inequality, future research should focus on the estimation of General Equilibrium models with heterogeneous agents.     

Does more finance mean more inequality in times of crisis?

Many recent empirical studies show that both banking crises and financial development (FD) play an important role in understanding the dynamics of income inequality (IncI) over the last decades. However, so far no study has investigated the role of FD in the amplification of IncI following banking crises. This paper seeks to address this issue based on a sample of 69 banking crises in 54 countries over the 1977–2013 period. Our analysis suggests that FD is associated with a significant increase in IncI in the aftermath of banking crises. This result is robust to a broad range of alternative specifications and is unaffected by various potential sources of endogeneity. We also show that the relationship between FD and the redistributive consequences of banking crises is not subject to a threshold effect and is stronger for developing countries.     

Income inequality and the business cycle: A threshold cointegration approach

This paper investigates the impact of various socio-economic variables on various cohorts of the income distribution. We use asymmetric cointegration tests to show that unemployment and immigration shocks have real impacts on income inequality. In addition, using threshold test results we are able to show that positive and negative shocks to the economy do not have symmetric effects nor do the impacts of these shocks impact income quintiles uniformly.     

A minimum expected response model: Formulation, heuristic solution, and application

Responding to true emergencies in the shortest possible time saves lives, prevents permanent injuries and reduces suffering. Most covering models consider an emergency cover if an ambulance is available within a given time or distance threshold. From a modeling perspective, shorter or longer responses within this threshold are all tallied as covered; conversely, the emergencies immediately outside the threshold are considered uncovered. However, if the shorter responses are given more weight along with the volume of such incidents, while still meeting system-wide coverage requirements, both customers and providers can benefit from reduced response times. We formulate a model to determine the locations for a given set of ambulances to minimize the system-wide expected response distances while meeting coverage requirements. We solve the model with a heuristic search algorithm and present computational and comparative statistics using data from an existing Emergency Medical Services agency.     

Adaptive consistent unit-root tests based on autoregressive threshold model

This paper proposes SupWald tests from a threshold autoregressive model computed with an adaptive set of thresholds. Simple examples of adaptive threshold sets are given. A second contribution of the paper is a general asymptotic null limit theory when the threshold variable is a level variable. We obtain a pivotal null limiting distribution under some simple conditions for bounded or asymptotically unbounded thresholds. Our general approach is flexible enough to allow a choice of the auxiliary threshold model or of the threshold set involved in the test specifically designed for nonlinear stationary alternatives relevant for macroeconomic and financial topics involving arbitrage in presence of transaction costs. A Monte-Carlo study and an application to the interest rates spread for French, German, New-Zealander and US post-1980 monthly data illustrate the ability of the adaptive SupWald tests to reject unit-root when the ADF does not.     

Manipulation of voting schemes with restricted beliefs

In this paper we define manipulation with restricted beliefs as the possibility for some voter to have an insincere preference ordering that dominates the sincere one within the given individual beliefs over other agents’ preferences. We then show that all non-dictatorial voting schemes are manipulable in this sense, up to a given threshold.     

多变时滞中立型系统稳定性研究

本文研究了一类多时变时滞中立型系统的渐近稳定性问题。基于Lyapunov第二方法,推导出新的时滞依赖稳定性判据。所给得判据可以保证多变时滞中立型系统渐进稳定,结论以线性矩阵不等式(LMI)形式表示,便于应用。仿真结果表明本文稳定性判定准则具有较小的保守性。     

On the effectiveness of firing costs

This paper evaluates the determinants of the effectiveness of firing costs in reducing layoffs. We define effectiveness as either the level of productivity at which firms start firing workers for a given level of firing costs, or the change in this level caused by a given change in the level of firing costs. We find that both are very sensitive to the rate of interest, the persistence of productivity shocks, and the level of uncertainty. An increase in the persistence of shocks makes firing costs less effective, independent of which definition is used. A rise in the real interest rates initially makes firms start firing earlier, but then later if interest rates rise above a certain threshold. A rise in firing costs affects the firing threshold most at high interest rates. Finally, a rise in the degree of uncertainty makes firms wait longer before firing workers, but the effectiveness of changes in firing costs is not much affected by the degree of uncertainty.     

基于路径可靠性的区域运输网络模型及算法

通过对经典运输问题在实际规模网络中进行扩展,建立了基于路径可靠性的区域运输网络运量分布模型。通过引入路径运输费用协方差矩阵,并进行类似金融网络中交易风险最小化的处理,建立明确的数值型最优化模型。在将最优化模型转化为等价的变分不等式后,充分利用运输网络的自身特征,提出了两阶段化的投影算法。新算法的投影算子具有明确的表达式,因此简单易行。通过一个算例,最终解的运量分布模式唯一性和算法的有效性得到了验证。     

Optimal information transmission in organizations: search and congestion

We propose a stylized model of a problem-solving organization whose internal communication structure is given by a fixed network. Problems arrive randomly anywhere in this network and must find their way to their respective specialized solvers by relying on local information alone. The organization handles multiple problems simultaneously. For this reason, the process may be subject to congestion. We provide a characterization of the threshold of collapse of the network and of the stock of floating problems (or average delay) that prevails below that threshold. We build upon this characterization to address a design problem: the determination of what kind of network architecture optimizes performance for any given problem arrival rate. We conclude that, for low arrival rates, the optimal network is very polarized (i.e. star-like or centralized), whereas it is largely homogenous (or decentralized) for high arrival rates. These observations are in line with a common transformation experienced by information-intensive organizations as their work flow has risen in recent years.     

Optimal regime switching and threshold effects

We consider a general control problem with two types of optimal regime switch. The first one concerns technological and/or institutional regimes indexed by a finite number of discrete parameter values, and the second features regimes relying on given threshold values for given state variables. We propose a general optimal control framework allowing to derive the first-order optimality conditions and in particular to characterize the geometry of the shadow prices at optimal switching times (if any). We apply this new optimal control material to address the problem of the optimal management of natural resources under ecological irreversibility, and with the possibility to switch to a backstop technology.     

Bayesian inference for the gravity model

This paper seeks to empirically extend the gravity model, which has been widely used to analyze volumes of trade between pairs of countries. We generalize the basic threshold tobit model by allowing for the inclusion of country‐specific effects into the analysis and also show how one can explore the relationship between trade volumes and a given covariate via a non‐parametric approach. We use our derived methodology to investigate the impact of a particular aspect of institutions—the enforcement of contracts—on bilateral trade. We find that contract enforcement matters in predicting trade volumes for all types of goods, that it matters most for the trade of differentiated goods, and that the relationship between contract enforcement and trade in our threshold tobit exhibits some nonlinearities. Copyright © 2007 John Wiley & Sons, Ltd.     

Generalized gauss-chebyshev inequalities for unimodal distributions

Letg be an even function on ℝ which is nondecreasing in |x|. Letk be a positive constant. Sharp inequalities relatingP(|X|≥k) toEg(X) are obtained for random variablesX which are unimodal with mode 0, and for random variablesX which are unimodal with unspecified mode. The bounds in the mode 0 case generalize an inequality due to Gauss (1823), whereg(x)=x ². The bounds in the second case generalize inequalities of Vysochanskiĭ and Petunin (1980, 1983) and Dharmadhikari and Joag-dev (1985).     

On a double-threshold autoregressive heteroscedastic time series model

Tong's threshold models have been found useful in modelling nonlinearities in the conditional mean of a time series. The threshold model is extended to the so-called double-threshold ARCH(DTARCH) model, which can handle the situation where both the conditional mean and the conditional variance specifications are piecewise linear given previous information. Potential applications of such models include financial data with different (asymmetric) behaviour in a rising versus a falling market and business cycle modelling. Model identification, estimation and diagnostic checking techniques are developed. Maximum likelihood estimation can be achieved via an easy-to-use iteratively weighted least squares algorithm. Portmanteau-type statistics are also derived for checking model adequacy. An illustrative example demonstrates that asymmetric behaviour in the mean and the variance could be present in financial series and that the DTARCH model is capable of capturing these phenomena.     

Regression discontinuity inference with specification error

A regression discontinuity (RD) research design is appropriate for program evaluation problems in which treatment status (or the probability of treatment) depends on whether an observed covariate exceeds a fixed threshold. In many applications the treatment-determining covariate is discrete. This makes it impossible to compare outcomes for observations “just above” and “just below” the treatment threshold, and requires the researcher to choose a functional form for the relationship between the treatment variable and the outcomes of interest. We propose a simple econometric procedure to account for uncertainty in the choice of functional form for RD designs with discrete support. In particular, we model deviations of the true regression function from a given approximating function—the specification errors—as random. Conventional standard errors ignore the group structure induced by specification errors and tend to overstate the precision of the estimated program impacts. The proposed inference procedure that allows for specification error also has a natural interpretation within a Bayesian framework.     

What makes a blockbuster? Economic analysis of film success in the United Kingdom

In this paper, we attempt to evaluate whether a film's commercial performance can be forecast. The statistical distribution of film revenues in the UK is examined and found to have unbounded variance. This undermines much of the existing work relating a film's performance to its identifiable attributes within an OLS model. We adopt De Vany and Walls' approach and transform the revenue data into a binary variable and estimate the probability that a film's revenue will exceed a given threshold value; in other words, the probability of a blockbuster. Furthermore, we provide a sensitivity analysis around these threshold values. Copyright © 2002 John Wiley & Sons, Ltd.     

区间时变时滞线性系统稳定性准则的改进

研究了区间时变时滞线性系统的稳定性问题,基于Lyapunov泛函方法,使用新的处理技术估计Lyapunov泛函导数的上界,以线性矩阵不等式形式给出了系统稳定性准则的改进结果。所给稳定性准则比已有结果具有更低的保守性,数值实例表明了结果的有效性。     

Global recessions as a cascade phenomenon with interacting agents

This paper examines global recessions as a cascade phenomenon. In other words, how recessions arising within one or more countries might percolate across a network of connected economies. An agent based model is set up in which the agents are Western economies. A country has a probability of entering recession in any given year and one of emerging from it the next. In addition, the agents have a threshold propensity, which varies across time, to import a recession from the agents most closely connected to them. The agents are connected on a network, and an agent’s neighbours at any time are either in (state 1) or out (state 0) of recession. If the weighted sum exceeds the threshold, the agent also goes into recession. Annual real GDP growth for 17 Western countries 1871–2006 is used as the data set. The model is able to replicate three key features of the statistical distribution of recessions: the distribution of the number of countries in recession in any given year, the duration of recessions within the individual countries, and the distribution of ‘wait time’ between recessions i.e. the number of years between them. The network structure is important for the interacting agents to replicate the stylised facts. The country-specific probabilities of entering and emerging from recession by themselves give results which are by no means as well matched to the actual data. We are grateful to an anonymous referee for some extremely helpful comments.     

Statistical inference in simplicially contoured sample distributions

For generalizations of the n-dimensional two parameter exponential distribution with identical marginals with threshold and dispersion parameters the exact distributions of estimators and test statistics are given. Under certain conditions the consistency of the estimators and the rate of convergence is shown. Therefore generalized Gamma- and F-distributions are defined.