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1.
Kari Heimonen 《Empirical Economics》2006,31(2):479-495
Nonlinearity in PPP has been carefully reported in number of studies. However, asymmetry with respect to the sign of the deviation and the dependency of the asymmetry on the exchange rate regime has largely remained outside the scope of those studies. The present paper partly fills this gap. It applies threshold cointegration techniques to real exchange rate dynamics between two Nordic countries, Finland and Sweden. First, it examines whether the sign of the deviation from equilibrium has any impact on adjustment. Second, it estimates an asymmetric band-type threshold cointegration in PPP. The results supported asymmetric adjustment in PPP. The single, asymmetric threshold indicated stronger adjustment during the flexible exchange rate regime. The band-type asymmetric threshold cointegration suggested that adjustment towards PPP would be fastest within the estimated band, which was interpreted as evidence for the target zone exchange rate regime. Accordingly, the inference on adjustment is sensitive to the type of nonlinearity used.I am grateful to the editor and two anonymous referees for many helpful comments and suggestions. 相似文献
2.
本文从实验金融学的视角介绍了资产泡沫最新的定义和分类,阐述了投机性泡沫、理性泡沫与非理性泡沫之间的区别和联系,着重从信息对称、信息不对称、有限套利泡沫、异质信念和实验金融五个方面系统评述了资产价格泡沫理论的发展历程和新进展,指出该领域进一步的研究方向和中国开展资产价格泡沫研究的重要意义。研究表明,随着现代金融学的高速发展,学界对资产泡沫的研究日益深入。特别是非理性和实验金融学视角的引入,突破了传统金融框架的束缚,为这一课题研究带来了新的认知和理解。即便如此,目前仍无法根除资产泡沫产生的可能性。很多相关问题,如资产泡沫产生的时间和根本原因,仍然等待着学者们去探索和研究。 相似文献
3.
Summary. The paper investigates the nature of market failure in a dynamic version of Akerlof (1970) where identical cohorts of a durable
good enter the market over time. In the dynamic model, equilibria with qualitatively different properties emerge. Typically,
in equilibria of the dynamic model, sellers with higher quality wait in order to sell and wait more than sellers of lower
quality. The main result is that for any distribution of quality there exist an infinite number of cyclical equilibria where all goods are traded within a certain number of periods after entering the market.
Received: December 21, 2000; revised version: September 5, 2001 相似文献
4.
Aya Kaya 《Games and Economic Behavior》2009,66(2):841-854
I analyze a class of repeated signaling games in which the informed player's type is persistent and the history of actions is perfectly observable. In this context, a large class of possibly complex sequences of signals can be supported as the separating equilibrium actions of the “strong type” of the informed player. I characterize the set of such sequences. I also characterize the sequences of signals in least cost separating equilibria (LCSE) of these games. In doing this, I introduce a state variable that can be interpreted as a measure of reputation. This gives the optimization problem characterizing the LCSE a recursive structure. I show that, in general, the equilibrium path sequences of signals have a simple structure. The shapes of the optimal sequences depend critically on the relative concavities of the payoff functions of different types, which measure the relative preferences towards payoff smoothing. 相似文献
5.
In this paper we examine the problem of dynamic adverse selection in a stylized market where the quality of goods is a seller׳s private information while the realized distribution of qualities is public information. We obtain that full trade occurs in every dynamic competitive equilibrium. Moreover, we show that if prices can be conditioned on the supply size then a dynamic competitive equilibrium always exists, while it fails to exist if prices cannot be conditioned on the supply size and the frequency of exchanges is high enough. We conclude that the possibility to condition prices on the supply size allows us to reach efficiency in the limit for exchanges becoming more and more frequent, while otherwise the welfare loss due to delays of exchanges remains bounded away from zero. 相似文献
6.
Yves Balasko 《Economic Theory》2003,21(1):1-18
Summary. In a two-period pure exchange economy with financial assets, a temporary financial equilibrium is an equilibrium of the current
spot and security markets given forecast functions of future prices and payoffs. The temporary equilibrium model can then
be interpreted as an Arrow-Debreu economy where preferences depend on prices. This identification implies, among other consequences,
the existence and the generic determinateness of the financial temporary equilibria associated with given forecast functions.
Received: December 29, 1999; revised version: December 20, 2001 相似文献
7.
Patrick Bajari 《Economic Theory》2001,18(1):187-205
Summary. Collusion is a serious problem in many procurement auctions. In this research, I study a model of first price sealed bid
procurement auctions with asymmetric bidders. I demonstrate that the equilibrium to the model is unique and describe three
algorithms that can be used to compute the inverse equilibrium bid functions. I then use the computational algorithms to compare
competitive and collusive bidding. The algorithms are useful for structural estimation of auction models and for assessing
the damages from bid-rigging.
Received: January 14, 2000; revised version: February 28, 2001 相似文献
8.
为研究转子系统耦合故障特性,采用有限元方法建立了含有横向裂纹、转静碰摩的非线性转子动力学模型。首先研究了不同转速下裂纹、碰摩单一故障下转子系统的振动响应,其次研究了两种故障耦合情况下系统的振动响应特征。采用波形图、FFT谱图、瞬时频率和Hilbert-Huang时频谱(HHS)相结合的方法对故障转子振动信号进行了分析。分析结果表明:运用多种时频分析相结合的方法可以较为全面地了解转子的故障特征,裂纹转子在1/5、1/3临界转速时会发生较为明显的5X、3X谐波,且裂纹的产生会导致响应幅值增大,从而引起更为严重的碰摩。 相似文献
9.
We aim to add empirical evidence to the already studied field of wage differentials between temporary and permanent workers in Spain. Our goal is to find out which determinants of wage differentials are relevant when explaining such differences. Furthermore, the endogeneity of such feature (the type of contract) is controlled for. The same exercise is done with two data sets: the ECHP and the Structure of Earnings Survey. Results show that wage differentials between temporary and permanent workers are explained by the differences in the distribution of personal and job characteristics in both groups, but not by differences in the rewards for those characteristics. These results remain mostly unchanged during the second part of the 1990s, using information from five waves of the ECHP, and are robust to different changes in the econometric specification.JEL Classification:
J31, J41The authors would like to thank the participants in the 3rd Summer School of Labour Economics (organised by IZA in Amersee, Munich), in a seminar in the University of Alcalá and in another seminar in the European University Institute in Florence and especially Alison Booth, Luis Toharia, Juan F. Jimeno, Juan José Dolado and two anonymous referees for their helpful comments and suggestions. Florentino Felgueroso kindly helped us with the handling of data. The usual disclaimer applies. The ECHP is being used on behalf of the contract reference ECHP/15/00 between the University of Alcalá and EUROSTAT. 相似文献
10.
Giulio Seccia 《Economic Theory》2000,16(2):323-332
Summary. A simple example shows that although non-convexities might prevent the existence of a fully revealing rational expectations equilibrium, they need not prevent the existence of a non-informative one. Indeed, the economy in this example does not possess any fully revealing equilibria, but does have a continuum of non-informative ones. Received: February 9, 1999; revised version: October 20, 1999 相似文献
11.
Do housing and equity booms significantly raise the probability at the margin of the realization of extreme outcomes in output and prices, and are the worst outcomes just as likely to occur as the good ones? This study addresses these questions for a group of eight East Asian countries. The risk of extreme outcomes occurring is measured by the probability of being in the tails of a distribution. The distributions of real output-and price level-gaps exhibit fat tails, in which the probability and size of the worst possible outcomes are higher than if the distribution were normal. Expected real output- and price level-losses from asset booms would therefore be larger than suggested by the normal distribution if asset price booms significantly raise the risk of extreme outcomes occurring. The main findings are that (i) asset price booms in housing and equity markets, but especially in housing, significantly raise the probability at the margin that real output- and price level-gaps will be in the tails of worst outcomes of their respective distributions and (ii) the risks arising from asset booms are not symmetric-only particularly bad outcomes are more likely. The implication for monetary policy is that an approach that is ex-ante more compatible with risk management may be appropriate. 相似文献
12.
Corporate bond markets enable the efficient allocation of capital among competing firms, as well as an extensive degree of disintermediation. While the role of the junk bond market in financing leveraged buyouts, “fallen angels,” start-ups, small firms, and sovereign governments is known, little is known about interactions between low-risk (AAA) bonds markets and high-risk (CCC and below) bonds markets. In this study, we used a sample of daily data spanning 20 years to investigate the dynamic link in first and second moments between low-risk and high-risk bonds during calm and turbulent periods in the U.S. financial markets. Using asymmetric and nonlinear causality tests, as well as the extended DCC-GJR-GARCH model, we found evidence of an asymmetric and nonlinear unidirectional causal link from high-risk to low-risk bonds markets, which intensifies during bear markets. There is a bidirectional volatility and shock transmission only during normal bond market conditions. The high-risk bonds market induces more destabilizing effects in the corporate bond market than the low-risk bonds market. The time-varying, highly persistent, and negative correlation during normal market conditions provides the opportunity for combining low-risk and high-risk bonds to diversify a portfolio. 相似文献
13.
We consider first-price and second-price auctions with asymmetric buyers, and examine whether pre-auction offers to a subset of buyers are profitable. A single offer is never profitable prior to a second-price auction, but may be profitable prior to a first-price auction. However, a sequence of offers is profitable in either type of auction. In our model, suitably chosen pre-auction offers work because they move the assignment when bidder valuations are “near the top” closer to the optimal, revenue-maximizing assignment. 相似文献
14.
This paper examines to what extent the intermediation of Temporary Help Agencies affects workers transitions into and out of employment in the Spanish youth labour market throughout the 1990s. The results obtained show that this type of intermediation presents a positive impact on the likelihood of leaving unemployment, although only for short-term unemployed individuals; at the same time, however, the employment hazard rate is substantially higher for agency workers. We also find that employment hazard rates were substantially affected in the 1990s by the extensive use of fixed-term contracts, although the 1997 labour market reform is found to slightly reduce this hazard rate. Finally, very young workers, women and those with low qualification levels are more likely to be affected by high labour turnover.JEL Classification:
J24, J62This work has benefited from financial support by CICYT SEC2002-04471 and SEC 2003-C4028. We would like to express our gratitude to the Spanish Ministry of Labour for providing the database for this research, and to the seminar participants at IV Jornadas de Economía Laboral (Valencia), XXVI Simposio de Análisis Económico (Alicante), U. Santiago, U. Toulouse, U. Pompeu Fabra, the Workshop on Job Stability and Security in European Labor Markets (IZA, Bonn) and the XIV EALE Conference (Paris) for valuable suggestions. The comments from the editor and one referee were very useful to improve the final version of this paper. The usual disclaimer applies. 相似文献
15.
金融监管制度与机会主义行为机理研究 总被引:2,自引:0,他引:2
由于金融市场的信息不对称和外部性难以根本消除,致使机会主义行为难以避免。金融监管制度的演变即是保障存款人利益、预防和化解金融风险维护金融系统稳定的过程,也是对金融机构和监管机构及相关代理人机会主义行为规避和治理的过程。本文以委托代理模型为起点,分析金融机构经营信息已知和未知两种状态下监管机构和金融机构各自的效用函数,通过引入监管制度和代理人风险偏好变量分析其对机会主义行为的影响。研究发现:信息状态转变会引起监管契约从强制型契约向合作关系型契约转变,机会主义表现形式也随之变化;不对称信息下绩效挂钩的监管收入激励模式会同时增加监管者和金融机构代理人的机会主义倾向;信息结构变化要求监管制度也应发生变化才能适应监管有效性要求。 相似文献
16.
Rent-seeking bureaucracies, inequality, and growth 总被引:1,自引:0,他引:1
This paper develops a Schumpeterian growth model in which institutional quality matters for inequality and growth. In particular, asymmetric information between political authorities and rent-seeking bureaucratic agencies diverts resources from innovative activities – crucial for development to take off in middle and low income countries – and unnecessarily exacerbates income inequality. The theoretical predictions not only match empirical facts on inequality, institutional quality and growth well documented in the literature, but are easily assessed in two groups of Latin American and African countries, as shown in the final calibration analysis. 相似文献
17.
18.
Summary. We analyze an infinite horizon model where a seller who owns an indivisible unit of a good for sale has incomplete information
about the state of the world that determines not only the demand she faces but also her own valuation for the good. Over time,
she randomly meets potential buyers who may have incentives to manipulate her learning process strategically. We show that
i) the seller's incentives to post a high price and to experiment are not necessarily monotonic in the information conveyed
by a buyer's rejection; and ii) as the discount factors tend to one, there are equilibria where the seller always ends up
selling the good at an ex-post individually rational price.
Received: January 6, 1999; revised version: July 15, 2000 相似文献
19.
Taxes versus quotas for a stock pollutant 总被引:3,自引:0,他引:3
We compare the effects of taxes and quotas for an environmental problem where the regulator and polluter have asymmetric information about abatement costs, and environmental damage depends on pollution stock. An increase in the slope of the marginal abatement cost curve, or a decrease in the slope of the marginal damage curve, favors taxes. An increase in the discount rate or the stock decay rate favors tax usage. Taxes dominate quotas if the length of a period during which decisions are constant is sufficiently small. An empirical illustration suggests that taxes dominate quotas for the control of greenhouse gasses. 相似文献
20.
Bank's capital structure under non-diversifiable risk 总被引:2,自引:0,他引:2
Masaya Sakuragawa 《Economic Theory》2002,20(1):29-45
Summary. The aim of this paper is to study the design of optimal capital structure of a “large” intermediary when the intermediary
faces a non-diversifiable risk, within the standard costly-state-verification (CSV) model. I demonstrate that, under weaker
conditions, a “large” intermediary realizes more efficient allocation by issuing both debt and equity than by issuing only
debt. Unlike Diamond (1984) and Williamson (1986), the set of optimal contracts involves ex ante monitoring made by shareholders
of the intermediary. Changes in parameters, such as the variance of the aggregate risk or the cost of monitoring, affect bankruptcy
costs and the capital structure.
Received: October 12, 1998; revised version: March 20, 2001 相似文献