THE IMPORTANCE OF THE RETENTION RATIO IN A KALECKIAN MODEL WITH DEBT ACCUMULATION

By using a Kaleckian model with debt accumulation, Hein (2007; Metroeconomica, 56 (2), pp. 310–39) found that the long‐run equilibrium value of the debt–capital ratio is positive and stable only if interest rates are extremely high and if the short‐run equilibrium exhibits the ‘debt‐led’ growth regime. However, this conclusion crucially depends on the assumption that the retention ratio of firms is equal to unity. By relaxing this assumption, we show that there exists a positive and stable long‐run equilibrium even under the ‘debt‐burdened’ regime without any constraint on the nominal interest rate.     

CREDIT MARKET IMPERFECTIONS AND THE INCIDENCE OF WORKER-OWNED FIRMS

Under plausible conditions, in a market economy with both democratic and capitalist firms, credit market imperfections imply that the fraction of workers in democratic firms is an increasing function of the share of worker wealth. Our analysis addresses two agency problems that all firms must solve: eliciting effort from a team of workers and choosing the appropriate level of risk, in a situation where neither effort nor risk is contractually specified. The democratic firm enjoys a relative advantage in dealing with the agency problems surrounding labor, while the capitalist firm has a relative advantage in dealing with agency problems involving risk-bearing.     

THE LABOUR MARKET AND TECHNICAL CHANGE IN ENDOGENOUS CYCLES

The paper examines how a macro model, where there is an endogenous technical progress and strong interdependence between real and monetary aspects in both the labour and capital markets, can generate endogenous business cycles. This approach helps to understand the ambiguity of the NAIRU, the nature of the Phillips curve and the impact of labour productivity changes on the curve itself. Finally, the presence of expectation functions based upon a Markov‐switching time series process fosters endogenous dynamics and contributes to make asymmetries an important feature of the cycles.     

银行客户转换成本与中外资银行之间的市场竞争

转换成本，尤其是关系成本增加了银行客户转向外资银行的难度，即使他们对银行服务不满意，也不会随意转换银行。[编者按]     

ENDOGENOUS ADAPTIVE DYNAMICS IN PASINETTI MODEL OF STRUCTURAL CHANGE

This paper formalizes in a very stylized way localized learning of consumers and of producers within Pasinetti model of structural change. In this way, we are able to endogenize technological and consumption dynamics with bounded rational firms and consumers. We show that the theoretical framework here provided is able to deal with process innovation and with product innovation as well. Finally, we point out that our model can easily and consistently incorporate a variety of firms, and therefore it provides a bridge between evolutionary theory and the theory of structural change.     

HYSTERESIS IN THE KALECKIAN GROWTH MODEL: A BAYESIAN ANALYSIS FOR THE US MANUFACTURING SECTOR FROM 1984 TO 2007

Responding to the Classical criticism of the baseline Kaleckian growth model which is not fully adjusted in the long run, post‐Kaleckians have proposed model variants that imply the economy to converge to a steady state in which the realized and the normal utilization rates as well as the realized and the expected secular rate of sales growth are congruent. Convergence is caused by endogenous adjustments of the conventional rates to their respective realized rates which is theoretically justified by hysteresis effects. Using a dynamic linear specification of the Kaleckian investment function in state‐space form and by the aid of the Kalman filter, this paper studies the endogeneity of the normal utilization rate and the expected secular rate of sales growth empirically for the US manufacturing sector and its sub‐sectors. We find evidence for an endogenous adjustment of both variables.     

AN ALTERNATIVE TO GOODWILL IN ADVERTISING COMPETITION MODELS

The concept of a goodqill stock is often used to model advertising competition under dynamic conditions. Goodwill is unobservable and consequently leads to results that are fuzzy and untestable. This paper dispenses with that concept and uses instead a Lanchester-Kimball structure to derive an advertising response function and other insights which are empirically testable. It also examines the factors behind firms' dominance and their individual impact on equilibrium market share.     

买方市场条件下就业结构转换停滞的原因探析

我国 1997年基本进入买方市场后 ,就业结构转换明显处于停滞。在对出现这种现象的一般原因进行探讨之后 ,从宏观经济政策层面和企业层面对就业结构转换停滞的深层原因进行了分析。为了消除不利影响 ,必须从调整宏观经济政策作用方向入手 ,使就业结构转换尽快走出停滞状态     

THE EIGENFUNCTION EXPANSION METHOD IN MULTI-FACTOR QUADRATIC TERM STRUCTURE MODELS

We propose the eigenfunction expansion method for pricing options in quadratic term structure models. The eigenvalues, eigenfunctions, and adjoint functions are calculated using elements of the representation theory of Lie algebras not only in the self-adjoint case, but in non-self-adjoint case as well; the eigenfunctions and adjoint functions are expressed in terms of Hermite polynomials. We demonstrate that the method is efficient for pricing caps, floors, and swaptions, if time to maturity is 1 year or more. We also consider subordination of the same class of models, and show that in the framework of the eigenfunction expansion approach, the subordinated models are (almost) as simple as pure Gaussian models. We study the dependence of Black implied volatilities and option prices on the type of non-Gaussian innovations.     

入世后金融服务业开放与资本项目可兑换的关系分析

截至2006年年底,我国加入世贸组织五年过渡期结束,金融服务业开放和资本与金融项目(以下简称"资本项目")可兑换进程在入世后都取得长足进步.作为我国金融发展的重要内容,金融服务业开放和资本项目可兑换在政策制定、实施有效性等方面息息相关.为此,有必要把两者关系弄清楚,弄透彻,以把握、协调好金融服务开放与可兑换进程的步伐,避免相互脱离,顾此失彼.     

RETHINKING ENDOGENOUS MONEY: A CONSTRUCTIVE INTERPRETATION OF THE DEBATE BETWEEN HORIZONTALISTS AND STRUCTURALISTS

Beyond a widespread agreement on the idea that ‘loans create deposits’ and ‘deposits make reserves’, there is much controversy in the endogenous money literature over the workings of the reserve market, the credit market and the financial markets. In this paper a constructive interpretation of the debate between horizontalists and structuralists is suggested and their arguments are taken forward by showing that these controversial issues can be explained rigorously once a single‐period–continuation framework is adopted.     

资本结构理论的发展与中外企业融资选择

资本结构理论是基于实现企业价值最大化或股东财富最大化的目标 ,着重研究资本结构的变动对企业总价值的影响 ,通过资本结构理论的研究可以得出企业应遵循的融资规则。分析我国上市公司的融资选择后可以发现 ,当前我国的上市公司普遍存在明显的股权性融资偏好 ,这与资本结构理论的基本准则相悖。纠正这种不良偏好 ,是推进我国上市公司改革与发展的重要环节与内容。     

THEORY AND CALIBRATION OF SWAP MARKET MODELS

This paper introduces a general framework for market models, named Market Model Approach, through the concept of admissible sets of forward swap rates spanning a given tenor structure. We relate this concept to results in graph theory by showing that a set is admissible if and only if the associated graph is a tree. This connection enables us to enumerate all admissible models for a given tenor structure. Three main classes are identified within this framework and correspond to the co-terminal, co-initial, and co-sliding model. We prove that the LIBOR market model is the only admissible model of a co-sliding type. By focusing on the co-terminal model in a lognormal setting, we develop and compare several approximating analytical formulae for caplets, while swaptions can be priced by a simple Black-type formula. A novel calibration technique is introduced to allow simultaneous calibration to caplet and swaption prices. Empirical calibration of the co-terminal model is shown to be faster, more robust, and more efficient than the same procedure applied to the LIBOR market model. We then argue that the co-terminal approach is the simplest and most convenient market model for pricing and hedging a large variety of exotic interest-rate derivatives.     

RE‐EXAMINING THE IMPLICATIONS OF THE NEW CONSENSUS: ENDOGENOUS MONEY AND TAYLOR RULES IN A SIMPLE NEOCLASSICAL MACRO MODEL

This paper re‐examines the impact of endogenous money in a neoclassical model with interest‐sensitive expenditures. It first outlines a benchmark model with exogenous money and the usual full employment and money growth‐determined inflation results. It then replaces exogenous money with endogenous money, which is shown to generate model indeterminacy. Two methods of resolving this indeterminacy are then explored: money illusion and a Taylor rule for monetary policy, a key feature of new consensus models. The paper concludes that endogenous money has negative implications for the behaviour and interpretation of neoclassical and new consensus models.     

走进鼠年的中国资本

猪年的中国资本市场让人感慨万千。“有形之手”和“无形之手”的较量给人留下了深刻印象。两市市值屡创新高，股市规模进一步扩大是中国资本市场配置资源能力的提高，是市场深度和投资环境的日臻完善，显现了中国股市经济“晴雨表”的功能。但同时，新股发行的弊端、中石油独霸熊头以及指数失真、美国次级债风暴等问题也暴露出了监管层的监管空白。[编者按]     

THE ROLE OF LOGISTICS IN MARKET ORIENTATION

In today's increasingly competitive environment, survival depends on two key aspects of being market‐oriented ‐ understanding the external environment and executing decisions based on that understanding. Logistics personnel are uniquely positioned to play a key role in creating and maintaining a market‐oriented organization as they are progressively gaining more responsibilities in integrating cross‐functional processes and implementing supply chain strategies. This paper explores how logisticians participate in market orientation behaviors and how a market‐oriented logistics function impacts logistics and business performance. Based on a qualitative field research study involving in‐depth interviews with seventeen logistics personnel that draws and builds upon the logistics, market orientation, knowledge management, organizational behavior, information processing, and strategic management literatures, a theoretical model of logistics market orientation and its effect on logistics and business performance is developed and propositions are presented. Findings highlight logistics' central role in generating, disseminating, reaching a shared interpretation of, and responding to market intelligence.     

PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION

This paper studies the price‐setting problem of market makers under risk neutrality and perfect competition in continuous time. The classic approach of Glosten–Milgrom is followed. Bid and ask prices are defined as conditional expectations of a true value of the asset given the market makers' partial information that includes the customers' trading decisions. The true value is modeled as a Markov process that can be observed by the customers with some noise at Poisson times. A mathematically rigorous analysis of the price‐setting problem is carried out, solving a filtering problem with endogenous filtration that depends on the bid and ask price processes quoted by the market maker. The existence and uniqueness of the bid and ask price processes is shown under some conditions.     

COMPARATIVE DYNAMICS AND OPTIMAL FISCAL POLICY IN A SIMPLE MODEL OF ENDOGENOUS GROWTH

I analyze optimal fiscal policy choices in a continuous time endogenous growth model similar to Barro’s. The government uses income taxes from representative ‘rich’ and ‘poor’ households to finance purchases of productive goods and to make transfer payments to poor households. Increases in government purchases can increase the growth rate, while increases in transfers reduce growth. I examine the socially optimal allocation of government resources to purchases and transfer payments and describe conditions under which both the rich and poor would benefit from cuts in entitlements if the savings are used to finance increased government purchases of productive goods.