Characterization of the Walrasian equilibria of the assignment model

We study the assignment model where a collection of indivisible goods are sold to a set of buyers who want to buy at most one good. We characterize the extreme and interior points of the set of Walrasian equilibrium price vectors for this model. Our characterizations are in terms of demand sets of buyers. Using these characterizations, we also give a unique characterization of the minimum and the maximum Walrasian equilibrium price vectors. Also, necessary and sufficient conditions are given under which the interior of the set of Walrasian equilibrium price vectors is non-empty. Several of the results are derived by interpreting Walrasian equilibrium price vectors as potential functions of an appropriate directed graph.     

Jumps in cross‐sectional rank and expected returns: a mixture model

We propose a new nonlinear time series model of expected returns based on the dynamics of the cross‐sectional rank of realized returns. We model the joint dynamics of a sharp jump in the cross‐sectional rank and the asset return by analyzing (1) the marginal probability distribution of a jump in the cross‐sectional rank within the context of a duration model, and (2) the probability distribution of the asset return conditional on a jump, for which we specify different dynamics depending upon whether or not a jump has taken place. As a result, the expected returns are generated by a mixture of normal distributions weighted by the probability of jumping. The model is estimated for the weekly returns of the constituents of the SP500 index from 1990 to 2000, and its performance is assessed in an out‐of‐sample exercise from 2001 to 2005. Based on the one‐step‐ahead forecast of the mixture model we propose a trading rule, which is evaluated according to several forecast evaluation criteria and compared to 18 alternative trading rules. We find that the proposed trading strategy is the dominant rule by providing superior risk‐adjusted mean trading returns and accurate value‐at‐risk forecasts. Copyright © 2008 John Wiley & Sons, Ltd.     

Securities laws in the host countries and the capital structure of US multinationals

We examine whether securities laws in the host countries influence the capital structure choice of United States (US) multinational corporations. We develop firm-level global indices to classify each corporation in terms of its exposure to the security laws that govern the rights of security holders in the countries where it has subsidiaries. The results show that the use of long-term debt is positively related to the firm's global standing in terms of common law legal origin, burden of proof, investor protection, disclosure requirements, and public enforcement. The securities laws in a country affect the capital structure of multinational corporations that has subsidiaries in that country.     

Product quality and the theory of comparative advantage

We develop a simple model to investigate the possibility that two countries that differ significantly in income levels may be unable to gain from trading with each other. We consider two countries with identical preferences and different technologies. There are two types of goods: one homogeneous, and one quality-differentiated. We show that if one country has an absolute advantage in both types of goods, then no trade may be possible between the two countries, despite differences in relative autarky prices.     

Tests of real interest parity in international currency markets

The purpose of this paper is to examine the behavior of real bilateral exchange rates for major currencies and test the hypothesis of real uncovered interest parity with risk premia, and forward looking expectations. It is plausible that the hypothesis of rational expectations cannot be rejected given the unit root nonstationarity of real exchange rates but it is not unlikely that unit root nonstationarity may be due to rational expectations in foreign exchange markets.     

Do supervisory inputs matter in a capital-intensive industry? Some evidence from a Japanese car transplant

We estimate a translog production function based on data from a Japanese automobile plant in the Midwest where output is determined by capital and different supervisory time inputs. We fit a model which allows for heteroskedastic errors, where this heteroskedasticity is a function of various variables affecting perceived target severity. We find that while, as expected, capital inputs are important, each supervisory time input is also significant in this capital-intensive industry. Linear homogeneity in these inputs is rejected. We find evidence of asymmetry in substitution among different components of supervisory time. This asymmetry has implications for the design and allocation of supervisory tasks. © 1997 John Wiley & Sons, Ltd.     

Einsparpotenziale bei Verwaltungs- und Verfahrenskosten durch die Fusion von gewerblichen Berufsgenossenschaften — eine empirische Analyse für Deutschland

We analyze the cost savings potential with regard to administration and management costs by merging Commercial Employment Accident Insurance Funds (Berufsgenossenschaften) in Germany. We use data from the German Federation of institutions for statutory accident insurance and prevention (HVBG) for 1999 to 2004. Large Berufsgenossenschaften (BGs) have lower administration and management costs per insured person. However, costs per insured person are negatively correlated with insured risk of the BGs which in turn is an important source of administration and management costs.Results of a multivariate regression analysis help to identify cost drivers and the existence of economies of scale. Notifiable accidents, occupational diseases and risk explain administration and management costs. All estimation results are highly significant and allow to conclude that remarkable economies of scale are likely to be present in the organization of the BGs. Our results are robust to alternative specifications. Also, risk turns out to be an important cost driver with regard to management costs.A hypothetical policy reform is considered that reduces the number of BGs from formerly 35 to 18. We come up with an estimate of expected cost savings (without cutting benefits) of 83 million euros, about 10 % of the current management costs of the BGs under consideration.     

Can the small dairy farm remain competitive in US agriculture?

Smaller dairy farms in the US are observed to have higher costs than larger farms, and whether those higher costs are due to technology or inefficiency has implications for policy to address the small farm. If high cost of production on smaller farms is due to a higher cost frontier, then to make small farms competitive would require research to devise and design technology that is suitable for small farms. If instead high cost is due to inefficiency, then educational approaches are needed to ensure small dairy farms use technology efficiently. To determine the cause of higher costs on small farms, the cost of milk production by farm size was decomposed into frontier and efficiency components with a stochastic cost curve using data on USA dairy farms. Although the frontier cost of production decreases with farm size, that cost reduction is not as pronounced as a cost curve that includes inefficiency. The higher cost of production on many smaller farms is caused by inefficiency rather than technology.     

An econometric study on the relationship between unemployment and vacancies in the United Kingdom

Zusammenfassung Eine ?konometrische Studie über die Beziehung zwischen Arbeitslosigkeit und offenen Stellen im Vereinigten K?nigreich. — Dieser Aufsatz soll zeigen, da\ die stabile Beziehung zwischen echter Arbeitslosigkeit und echten offenen Stellen seit 1966 unterbrochen ist. Au\erdem sollen die Faktoren untersucht werden, die die Beziehung zwischen echter Arbeitslosigkeit und echten offenen Stellen bestimmen, wobei einerseits ein ?konometrisches Modell, das auf nichtbeobachtbare Variable besonders eingeht, und andererseits eine neoklassische Theorie der überschu\nachfrage herangezogen wird. Die allgemeine Hypothese in diesem Artikel lautet, da\ sowohl die echte als auch die registrierte oder gemessene H?he der Arbeitslosigkeit infolge verschiedener Gesetze und/oder des Rückgangs der wirtschaftlichen Aktivit?t angestiegen ist. Anschlie\end werden zwei weitere Modelle konstruiert, um die Rolle der Nachfrage- und Angebotsfaktoren zu analysieren.

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Résumé Une étude économétrique sur la relation entre le ch?mage et les vacances en Royaume-Uni. — Le but de cet article est de démontrer que la relation stable entre le vrai ch?mage et les vrais vacances a croulé depuis 1966 et d’analyser les facteurs qui déterminent les relations entre le vrai ch?mage et les vrais vacances en appliquant séparément des modèles économétriques avec des variables inobservables et une théorie néoclassique de la demande d’excès. Notre hypothèse générale est que le montant du vrai ch?mage et le montant du ch?mage régistré ou mesuré augmentaient comme conséquence de la législation gouvernementale et/ou de la baisse de l’activité économique. Finalement, l’auteur construit deux modèles de plus pour analyser le r?le des facteurs de demande et d’offre.

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Resumen Un estudio econométrico sobre la relación entre empleo y vacantes en el Reino Unido. — Los objetivos de este artículo son mostrar que la relación estable entre desempleo verdadero y vacantes verdaderas se ha quebrado a partir de 1966 y también analizar los factores subyacentes a las relaciones de desempleo verdadero y vacantes verdaderas separadamente, usando modelos econométricos con variables no observables y una teoría neoclásica de exceso de demanda. Nuestra hipótesis general es que tanto la cantidad verdadera de desempleo y el desempleo registrado o medido creció como consecuencia de la legislación gubernamental y/o la declinación en la actividad económica. Finalmente, formulamos dos modelos adicionales para analizar el rol de factores de demanda y oferta.