Home Bias and High Turnover in an Overlapping-generations Model with Learning

This paper develops a two‐country overlapping‐generations (OLG) model under the assumption that investors are on a learning path. While investors from both countries receive identical information flows, domestic investors start off with less precise prior beliefs concerning foreign fundamentals. On a learning path, differences in beliefs and estimation risk generate portfolio biases that match the empirical evidence: home bias in equity portfolios and trend‐chasing in international flows. In addition, due to the higher volatility of the estimates of foreign state variables, our model produces excessive turnover in foreign securities. We calibrate the model on the historical path of quarterly real GDP data for the US and Europe. Under the assumption of a financial liberalization in the 1970s, the model produces preference for domestic securities and turnover.     

Semiparametric Difference-in-Differences Estimators

The difference-in-differences (DID) estimator is one of the most popular tools for applied research in economics to evaluate the effects of public interventions and other treatments of interest on some relevant outcome variables. However, it is well known that the DID estimator is based on strong identifying assumptions. In particular, the conventional DID estimator requires that, in the absence of the treatment, the average outcomes for the treated and control groups would have followed parallel paths over time. This assumption may be implausible if pre-treatment characteristics that are thought to be associated with the dynamics of the outcome variable are unbalanced between the treated and the untreated. That would be the case, for example, if selection for treatment is influenced by individual-transitory shocks on past outcomes (Ashenfelter's dip). This article considers the case in which differences in observed characteristics create non-parallel outcome dynamics between treated and controls. It is shown that, in such a case, a simple two-step strategy can be used to estimate the average effect of the treatment for the treated. In addition, the estimation framework proposed in this article allows the use of covariates to describe how the average effect of the treatment varies with changes in observed characteristics.     

Optimal Growth with Endogenous Technical Progress: Hicksian Bias in a Macro Model

If productivity growth is endogenous, the question of whether to allocate some resources to increase the efficiency of capital needs to be examined in spite of the conventional wisdom that only Harrod-neutral technical progress is compatible with the steady state. This paper describes the crucial role that the production technology and research sectors play in determining the allocation of resources for accumulating physical capital and enhancing the productivity of inputs. We develop a model of biased growth, where, even in the steady state, the efficiency of capital and labour are increasing due to the allocation of resources to the research sector.
JEL Classification Numbers: C62, O31.     

信息传递模式、投资者心理偏差与股价“同涨同跌”现象

股价"同涨同跌"又称"股价同步性",是世界各国证券市场发展过程中的一种普遍现象,也是近年来财务学的研究热点和前沿课题。本文收集1994—2004年中国股市的相关数据,用R2度量股价同步性,对股票收益的"惯性"和"反转"与R2之间的关系进行系统的实证检验和理论分析。研究发现:(1)总体上,我国股市不存在"惯性"现象,而存在显著"反转"现象,并且反转效应随着R2的上升而逐渐减弱,两者呈负相关关系;(2)不同市场态势下惯性和反转的表现形式不同,且与R2的关系也不同:牛市阶段存在"反转"现象,且R2越高反转越明显;在熊市阶段存在"惯性"现象,且R2越小惯性越明显,说明不同市场态势下股价同步性的生成机理不同。对此,作者提出了一种基于信息与心理行为互动关系的新解释,丰富并完善了股价同步性形成机理的理论研究。     

Welfare Effects of Reducing Home Bias in Government Procurements: A Dynamic Contest Model

This paper models an international contest for government procurement as a dynamic game between a domestic firm and a foreign firm. We show that trade liberalization, in the form of a reduction in bias against the foreign firm, improves both domestic and global welfare if (i) either the foreign firm's profit is sufficiently large or (ii) the initial degree of home bias is sufficiently small. If the initial home bias is large, a small reduction in the bias may reduce welfare.     

论社会排斥

“社会排斥”目前已经成为西方社会政策的研究重点。本文考察了社会排斥与贫困、能力剥夺之间的关系，论述了能力剥夺的关系特征，并指出“社会排斥”兼具建构性和工具性两种特征。最后，文章分析了“社会排斥”的多样性，讨论了不平等与关系贫困、劳动力市场上的排斥、信贷市场上的排斥、与性别相关的排斥与不平等、医疗保健、食品市场与贫困等问题。     

Exclusion by cognitive limitation

We show a model where exclusion can be the only outcome because of some cognitive limitation.     

我国金融排斥程度研究——基于金融排斥指数的构建与测算

金融排斥问题是当前世界大多数国家面临的共同难题,要解决金融排斥问题首先必须对金融排斥的程度进行科学测算。文章借鉴联合国开发计划署编制的人类发展指数,构建了金融排斥指数的测度模型,确定了衡量金融排斥程度的金融服务的深度、金融服务的可得度、金融服务的使用度、金融服务的可负担度等四个维度和相应的评价指标体系,并基于省际数据和确定的金融排斥指数测度模型,对我国各省份的金融排斥程度进行了具体测度和分析。研究发现,我国各省区金融排斥程度普遍较重而且存在巨大差异。     

多维认知偏差投资风险能量密度模型探究

金融全球化下,金融活动的参与主体逐步多样化,投资者的认知偏差加剧了证券投资活动中风险度量的难度。现有的金融证券投资的理论研究与实践应用基本都是围绕着如何处理风险与收益的关系而展开的。但是,传统的理论方法与标准的金融风险度量方法在一定程度上忽略了人的心理认知行为等因素的影响,使得对现有的风险度量工具和方法的借鉴与应用增加了投资者额外的决策风险。鉴于此,本文引入心理行为因素的时间变量,在理论研究与投资者认知行为研究的基础上,借助物理学中能量密度相关理论与思想方法构建多认知偏差的时间风险度量模型,度量金融投资活动中基于多种偏差的投资组合风险,克服了传统风险度量方法在完全理性人条件下主要依赖于历史数据推导的缺陷,从而使得证券组合的风险度量更接近于实际的证券投资组合状况。最后文章根据模型分析提出相关政策建议。     

Constitutional Rules of Exclusion in Jurisdiction Formation

The rules under which jurisdictions (nations, provinces) can deny immigration or expel residents are generally governed by a constitution, but there do not exist either positive or normative analyses to suggest what types of exclusion rules are best. We stylize this problem by suggesting four constitutional rules of admission: free mobility, admission by majority vote, admission by unanimous consent, admission by a demand threshold for public goods. In a simple model we characterize the equilibria that result from these rules, and provide a positive theory for which constitutional rules will be chosen.     

Regulating Exclusion from Financial Markets

We study optimal enforcement in credit markets in which the only threat facing a defaulting borrower is restricted access to financial markets. We solve for the optimal level of exclusion, and link it to observed institutional arrangements. Regulation in this environment must accomplish two objectives. First, it must prevent borrowers from defaulting on one bank and transferring their resources to another bank. Second, and less obviously, it must give banks the incentive to make sizeable loans, and to honour their promises of future credit. We establish that the optimal regulation resembles observed laws governing default on debt. Moreover, if debtors have the right to a "fresh start" after bankruptcy then this must be balanced by enforceable provisions against fraudulent conveyance. Our optimal regulation is robust, in that it can be implemented in a way that does not require the regulator to have information about either the borrower or lender. Our results isolate the way in which specific institutions surrounding bankruptcy–namely rules governing asset garnishment and fraudulent conveyances–support loan markets in which borrowers have no collateral.     

Import Protection Bias

Rodrik (1995) notes that trade regimes tend to be biased towards import protection, while the standard political economy models either yield no prediction on the bias of the trade regime or predict, counterfactually, a bias towards the export sector. This constitutes an important shortcoming in the political economy of trade literature. In this paper, the Grossman and Helpman (1994 ) “Protection for Sale” model is extended by adding government expenditure. This expenditure may be financed via a combination of tariff revenue and a distorting wage tax. In addition to the government expenditure, export subsidies need to be financed either via tariff revenue or a distorting wage tax. With this addition, plausible values of the model's parameters yield import protection bias.     

Choke Price Bias in Choice Experiments

This paper reports on the results from a split sample choice experiment, where the effect of changing the maximum level of the cost attribute is investigated. The hypothesis was that changing the maximum price level would either give rise to an income effect or have no effect on consumers’ preferences. This was tested in the framework of a valuation study of different quality characteristics of minced pork. The data was analysed using a mixed logit error component model, which accounts for correlation in the unobserved part of the utility. Results suggest that the size of the maximum price level does matter, and that changing the maximum price level has a statistically significant effect on both the general preferences structure and the WTP estimates. Hence, researchers should be very careful when defining not only the range of the price attribute but also the maximum level of the price attribute.     

Home Bias in US Beer Consumption

We apply the Berry, Levinsohn and Pakes market equilibrium model to data from 30 brands of beer sold in 12 US cities over 20 quarters (1988–1992) to estimate consumers' preference for beer characteristics as well as for their cultural regions of origin. Consumer heterogeneity is accounted for with respect to age and income. Overall, our data is comprised of 7200 beer brand observations and 13 920 hypothetical consumer observations. Empirical results indicate that there is, indeed, home bias with respect to foreign beers, although it varies with consumer age and income.     

Gender Bias in Education in West Bengal

This paper attempts to capture gender bias at two different levels of education, namely, below class-10 and above class-10 using NSSO 64th round education expenditure data on West Bengal. The analysis for the below class-10 level involves an intra household framework and Heckman’s two step model. Further, for this section the analysis is split up into classes 1–8 and classes 9–10 in view of the Right to Education act (2005). For above class-10 level, gender bias has been captured through a multinomial logit model for selection of subjects across households.

     

Rivalry, Exclusion, and Coalitions

This paper analyzes a model where groups can attain exclusive ownership of a resource by means of a contest. We show that more concave production technologies and more egalitarianism within groups induce higher levels of social conflict. We then study endogenous coalition formation. Under cooperative exploitation of the resource, the grand coalition is the efficient partition but there exists a strong tendency toward bipartisan conflicts. Under noncooperative exploitation, conflict can ex ante Pareto dominate peaceful access and it becomes more difficult to support the grand coalition as a stable structure.     

社会排斥、贫困和失业

本文主要分析了社会排斥、贫困和失业三者之间的关系,提出了社会排斥概念的三个要素：(1)相对性;(2)能动性;(3)动态性。在着重讨论了社会保障收入对社会排斥的影响以及雇主在劳动力市场上的作用之后,文章认为社会保障收入是重要的,不能取消社会保障收入项目。社会排斥不仅与失业有关,而且政府政策也可能影响社会排斥,有必要检验所有政策建议对提高社会融合的作用。     

Collusion, Exclusion, and Inclusion in Random-Order Bargaining

This paper examines the profitability of three types of integration in a cooperative game solved by a random-order value ( e.g. the Shapley value). Collusion between players  i  and  j  is a contract merging their resources in the hands of one of them, say  i  . This contract can be represented as a combination of exclusion, which lets  i  exclude  j  's resource but not use it himself, and inclusion, which lets  i  use  j  's resource but not exclude  j  from it. This representation yields a third-difference condition on the characteristic function that determines the profitability of collusion, generalizing existing results for specific games. Namely, collusion is profitable [unprofitable] when the complementarity of the colluding players is reduced [increased] by other players.