Regional Disparity in the Body Mass Index Distribution of Indonesians: New Evidence Beyond The Mean

This article studies the differentials in body mass index (BMI) across the distribution of Indonesian people in urban and rural regions, using the latest wave of the Indonesia Family Life Survey. Besides the mean difference decomposition, this study implements a quantile decomposition analysis and decomposes the differentials between rural and urban populations at various quantile points of the distributions. This study offers new evidence of the substantial heterogeneity of their determinants and their impacts across the distribution, which has been overlooked in the literature. Physical activities explain the distributional differentials across the distribution for men and women, and their relative contribution sizes are larger at the higher quantiles. The significance of the structural effect of food expenditure and choices is observed at the middle and higher quantile points of the female distribution. This article shows the importance of analysing distributional differences by elucidating the heterogeneity of the effects of determinants.     

A non-linear filtering approach to stochastic volatility models with an application to daily stock returns

This paper develops a new model for the analysis of stochastic volatility (SV) models. Since volatility is a latent variable in SV models, it is difficult to evaluate the exact likelihood. In this paper, a non-linear filter which yields the exact likelihood of SV models is employed. Solving a series of integrals in this filter by piecewise linear approximations with randomly chosen nodes produces the likelihood, which is maximized to obtain estimates of the SV parameters. A smoothing algorithm for volatility estimation is also constructed. Monte Carlo experiments show that the method performs well with respect to both parameter estimates and volatility estimates. We illustrate our model by analysing daily stock returns on the Tokyo Stock Exchange. Since the method can be applied to more general models, the SV model is extended so that several characteristics of daily stock returns are allowed, and this more general model is also estimated. Copyright © 1999 John Wiley & Sons, Ltd.     

Market variance risk premiums in Japan for asset predictability

This article evaluates the predictive performance of variance risk premiums (VRPs) in Japan on the Nikkei 225 returns, credit spreads, and the composite index of coincident indicators. Different monthly VRPs, such as expected and ex-post VRPs, are measured by using model-free implied and realized variances from option prices and high-frequency (HF) data, and their predictive ability is compared with that of VRPs using a realized measure based on coarser frequency return observations. The empirical results show that the VRPs in Japan with HF data are useful in predicting credit spreads and the composite index of coincident indicators, but lose their predictive ability for the Nikkei 225 returns. Such significant predictive power tends to be greater for the expected VRPs with HF data relative to the ex-post VRP with HF data and VRPs with daily data as well as for lower investment grade credit spreads.     

Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk

The purpose of this paper is to demonstrate the powerful and flexible applicability of the Gram–Charlier expansion to pricing of a wide variety of interest rate related products involving interest rate risk and credit risk. In this paper, we develop easily implemented approximations of the prices of several derivatives; swaptions, CMS, CMS options, and vulnerable options. Associated with the default risk, a survival contingent forward measure is constructed.     

Schumpeter on money,banking and finance: an institutionalist perspective

Abstract

The main purpose of this paper is to clarify on the evidence of primary material how Keynes transformed his theory from the Tract to the Treatise. Keynes went on working along the lines of the Tract theory until around April 1926, subsequently adopting the Transaction Approach up until September 1927. The paper stresses the importance of the three TOC between September 1927 and September 1928 as pointing the way towards the Treatise's fundamental equations – the breakthrough opening the way to the Treatise. The second fundamental equation, the TM supply function and the natural rate of interest had made their appearance by April 1930.     

An Empirical Analysis of Planned Obsolescence

This paper examines the decision to introduce new products by durable goods producers. Conventional wisdom suggests that durable goods producers introduce new products to kill off used products. However, used units may not compete with new units if initial price can capture the present value of all future transactions. Using new data from the textbook market, I find that publishers revise editions more frequently when competition from used textbooks increases. This suggests the presence of planned obsolescence. However, the time since the previous revision also significantly affects revision decisions, indicating that publishers' frequent revision cannot be attributed to planned obsolescence alone .