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The data show that, upon being hit by adverse profitability shocks, large public firms have ample latitude to divest their least productive assets, reducing the risk faced by shareholders and the returns that they are likely to demand. In the one‐factor production‐based asset pricing model, when the frictions to capital adjustment are shaped to respect the evidence on investment, the model‐generated cross‐sectional dispersion of returns is only a small fraction of that documented in the data. Our conclusions hold even when operating or labor leverage is modeled in ways shown to be promising in the extant literature. 相似文献
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LUCA BENATI 《Journal of Money, Credit and Banking》2008,40(1):121-147
We use a Bayesian time-varying parameters structural VAR with stochastic volatility for GDP deflator inflation, real GDP growth, a 3-month nominal rate, and the rate of growth of M4 to investigate the underlying causes of the Great Moderation in the United Kingdom. Our evidence points toward a dominant role played by good luck in fostering the more stable macroeconomic environment of the last two decades. Results from counterfactual simulations, in particular, show that (i) "bringing the Monetary Policy Committee back in time" would only have had a limited impact on the Great Inflation episode, at the cost of lower output growth; (ii) imposing the 1970s monetary rule over the entire sample period would have made almost no difference in terms of inflation and output growth outcomes; and (iii) the Great Inflation was due, to a dominant extent, to large demand non-policy shocks, and to a lesser extent—especially in 1973 and 1979—to supply shocks. 相似文献
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We propose using model‐free yield quadratic variation measures computed from intraday data as a tool for specification testing and selection of dynamic term structure models. We find that the yield curve fails to span realized yield volatility in the U.S. Treasury market, as the systematic volatility factors are largely unrelated to the cross‐section of yields. We conclude that a broad class of affine diffusive, quadratic Gaussian, and affine jump‐diffusive models cannot accommodate the observed yield volatility dynamics. Hence, the Treasury market per se is incomplete, as yield volatility risk cannot be hedged solely through Treasury securities. 相似文献
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The main findings of the theory on the private provision of public goods under the assumptions of symmetric agents and normality are that (1) there exists a unique Nash equilibrium in which everybody contributes the same; and (2) this pattern is stable. We show that these findings no longer hold in a context characterized by local interaction. In this context, it is always possible to find preferences satisfying the assumption of normality such that the symmetric Nash equilibrium is unstable, and there exist asymmetric Nash equilibria which are locally stable. 相似文献
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LUCA MICHELETTO 《Journal of Public Economic Theory》2011,13(1):71-96
This paper deals with the consequences of the assumption of negatively interdependent preferences for the shape of the optimal nonlinear income tax and the efficient level of public good provision in a setting where the agents' market ability is private information. The analysis points out that the terms added in the tax formulas due to the presence of Veblen effects might justify a reduction in the optimal marginal tax rates faced by the different individuals. Also, the desirability of negative marginal tax rates cannot be ruled out. With respect to the issue of the optimal level of public good provision, I derive a modified Samuelson rule and highlight the fact that the Veblen‐based part of the formula might require to distort downwards the efficient level of public good provision. 相似文献
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LUCA SPINESI 《Journal of Public Economic Theory》2012,14(1):67-98
Empirical evidence shows the existence of relevant spillovers from the stock of academic basic knowledge on industry. Interestingly, such spillovers are highly specific in that firms’ academic learning responds strongly to federally funded R&D in closely affiliated universities. Moreover, with the aim of enhancing such a technological transfer from academia to industry, the policy design of many OECD countries allows worthy academic ideas to be granted the same intellectual property rights (IPR) as industrial innovations. In distinguishing the stages of an R&D process within a dynamic general equilibrium model, this paper explicitly considers both industrial and government R&D efforts, with heterogeneous academic knowledge spillovers among industry lines. The results show that both the industrial R&D effort and the growth rate are spurred more by a “softer” IPR regime granted to academic ideas than by an increase in the industrial R&D subsidy. 相似文献
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Like in most advanced countries, the labour income share in Japan has been falling since the mid‐1970s. However, in contrast to other advanced economies, Japan experienced an exceptional recessive period in the 1990s and 2000s, with the rate of unemployment rising to a historical maximum of 5.5% in 2002, to persist above 4% in subsequent years. In the present paper, we examine the main causes behind the paths followed by the labour income share and the unemployment rate during the post‐1997 crisis period (1997–2002) and the transition years that followed (2002–2009). We do so by estimating a multi‐equation macro model that allows us to look separately at the various components of this particular labour market: wages, output, and employment. Our main finding is that the fall in the labour share can be attributed to the changes that took place within the labour relations system (the weakening of unions mainly) and that the surge in unemployment can be altogether ascribed to the distorting effects of the sizeable and increasing public debt. 相似文献
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We investigate dynamic R&D for process innovation in an oligopoly where firms invest in cost‐reducing activities. We focus on the correlation between R&D intensity and market structure, proving that the industry R&D investment at equilibrium monotonically increases in the number of firms. This result contradicts the established wisdom acquired from static games on the same topic. We also prove that, if competition is sufficiently tough, any increase in product substitutability reduces R&D efforts. 相似文献