The role of information in profit-maximizing and labor-managed duopoly models

This paper analyzes the welfare implications of acquiring information for profit-maximizing and labor-managed duopolies. We invent a unified method of exploring the role of information in a two-person game under uncertainty on the basis of comparative static analysis, and then apply the method to both the PMF and the LMF. It is shown that whereas the LMF's behavior is analogous to that of the PMF twin in some circumstances, the former may be entirely different from the latter in others. Because a special status is accorded to labor as a variable factor of production, the informational analysis of the LM economy requires special care for both computations and interpretations.     

ECONOMICS OF STOCK-PRICE VIBRATIONS: RIDING SPECULATIVE WAVES WITHOUT SPECULATION

Abstract.  When speculation causes share prices to fluctuate, even the best speculators may do 'hardly better than the comprehensive common-stock averages' (Samuelson). We further demonstrate in this paper that non-speculators can indeed benefit, in terms of both utility and wealth, from speculative price fluctuations by choosing their portfolio optimally. In particular, we show both how much and how fast non-speculators' wealth can accumulate, presumably at speculators' expenses, over periods of price fluctuations. We also show a seemingly paradoxical outcome where a rational individual would rejoice more when stock prices fall than when they rise by the same (absolute) amounts.     

Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat‐tailed errors and leverage

The portfolio optimization problem is investigated using a multivariate stochastic volatility model with factor dynamics, fat‐tailed errors and leverage effects. The efficient Markov chain Monte Carlo method is used to estimate model parameters, and the Rao–Blackwellized auxiliary particle filter is used to compute the likelihood and to predict conditional means and covariances. The proposed models are applied to sector indices of the Tokyo Stock Price Index (TOPIX), which consists of 33 stock market indices classified by industrial sectors. The portfolio is dynamically optimized under several expected utilities and two additional static strategies are considered as benchmarks. An extensive empirical study indicates that our proposed dynamic factor model with leverage or fat‐tailed errors significantly improves the predictions of the conditional mean and covariances, as well as various measures of portfolio performance.     

Long-run matching relationship in the Japanese labor market

This paper investigates the long-run relationship among new hiring, unemployment (job seekers), and unfilled vacancies in Japan, using an annual panel data on 47 prefectures for 1972-1999. We find that these three variables are I(1) processes, and are cointegrated in our panel data. Further, we estimate the panel cointegration equation derived from a Cobb-Douglas matching function by the heterogeneous fully modified OLS and heterogeneous dynamic OLS. The estimation results reveal that conventional within estimates could have non-negligible biases.First version received: November 2002/Final version received: October 2003All correspondence to Shigeki Kano. The authors are grateful to the associate editor and two anonymous referees of this journal for helpful comments. Doctor Stephen J. Turnbull (University of Tsukuba) is also acknowledged for correcting English errors in this paper. Remaining errors are due to the authors. The data set and GAUSS programming code used in this paperare available upon request.     

Experimental analysis on the role of a large speculator in currency crises

Corsetti et al. (2004) demonstrate that the presence of a large speculator in the foreign exchange market makes the remaining traders more aggressive in their speculative attacks. We conduct an experiment designed to test their theoretical predictions and also use the experiment to analyze an additional aspect that has not been previously covered in the literature: namely, whether the entry of a large speculator and the exit of the same speculator have the same effect in magnitude on the probability of a successful speculative attack. We obtain two main findings. First, the results support the main conclusion of Corsetti et al. (2004) that the presence of a large speculator makes other small speculators more aggressive. Second, the results suggest that the effect of the entry of a large speculator on the probability of successful speculative attacks is larger than that of the exit of the same speculator.     

International commodity taxation in the presence of unemployment

In this paper, we evaluate the impact of commodity tax competition on welfare and employment under the destination and origin principles, when the labor market is imperfectly competitive owing to a binding fixed wage. Our main finding is that commodity taxation causes an employment externality whose signs may be opposite under the two principles. While tax competition leads to inefficient tax rates under both principles, we also prove that the origin principle guarantees lower unemployment and higher welfare when the fixed wage is high. Finally, we show that the employment externality still exists in a standard union model of wage determination.     

Consumption externalities with endogenous time preference

This paper shows that in a model with inelastic labor supply, consumption externalities have impacts on stationary consumption and capital. The key element in observing the effects of consumption externalities on stationary consumption and capital is the endogeneity of the time preference rate, which depends on future-oriented resources rather than on private consumption. We conclude that when individuals experience jealousy, they become more impatient, leading to a lower level of capital stock and a higher level of consumption relative to those of the social optimum, while when they experience admiration, these relationships are reversed. We examine an optimal tax policy that replicates the socially optimal path in the centrally planned economy. Finally, using numerical analysis we explore how this economy evolves through time.      

Increasing marginal costs and satiation in the private provision of public goods: group size and optimality revisited

It is widely recognized that the degree of inefficiency in the voluntary provision of a public good increases with the group size of an economy. However, we find that only a slight modification in the conventional assumptions gives rise to a profound difference in outcome. In particular, we show that there is a case where the Nash equilibrium provision and the efficient provision will converge as the size of an economy grows. To show this, we assume individuals face increasing marginal cost of voluntary provision and their preference function has a finite satiety point.      

Mental health of UK university business students: Relationship with shame,motivation and self-compassion

There is growing awareness of mental health problems among UK business students, which appears to be exacerbated by students’ attitudes of shame toward mental health. This study recruited 138 UK business students and examined the relationship between mental health and shame, and mental health and potential protective factors such as self-compassion and motivation. A significant correlation between each of the constructs was observed and self-compassion was identified as an explanatory variable for mental health. Shame moderated the relationship between self-compassion and mental health. Integrating self-compassion training into business study programs may help to improve the mental health of this student group.