SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS

We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models; wherein a particle approximation to the posterior is built iteratively through tempering the likelihood. Using two empirical illustrations consisting of the Smets and Wouters model and a larger news shock model we show that the SMC algorithm is better suited for multimodal and irregular posterior distributions than the widely used random walk Metropolis–Hastings algorithm. We find that a more diffuse prior for the Smets and Wouters model improves its marginal data density and that a slight modification of the prior for the news shock model leads to drastic changes in the posterior inference about the importance of news shocks for fluctuations in hours worked. Unlike standard Markov chain Monte Carlo (MCMC) techniques; the SMC algorithm is well suited for parallel computing. Copyright © 2014 John Wiley & Sons, Ltd.     

Supply Chain Collaboration,Integration, and Relational Technology: How Complex Operant Resources Increase Performance Outcomes

How firms coordinate efforts to collectively compete as supply chains is a key concern of supply chain management scholars and practitioners. One avenue, the development of collaborative relational capabilities that support supply chain integration, offers promise. However, the effectiveness of collaboration as a supply chain resource has been questioned due to concerns associated with collaborative technologies, and thus prior research has called for a deeper examination of the role that technologies play in facilitating integration. Employing a Service‐Dominant Logic view of hierarchical resources, grounded in Resource Advantage Theory, this research tests a model subsuming relationships between collaboration, integration, and interfirm coordination technologies, and their associated performance outcomes. A sample of 282 supply chain managers from a variety of industries were surveyed, with proposed relationships examined employing structural equation modeling. Test results indicate that collaboration and integration interact to form higher order resources that collectively influence firm performance outcomes through interfirm coordination technologies.     

Speculative Attacks with Multiple Sources of Public Information*

We propose a speculative attack model in which agents receive multiple public signals. Diverse pieces of public information can be taken into account differently by different players and are likely to lead to different appreciations ex post. This process defines players' expected private values of a successful attack. The main result shows that equilibrium uniqueness depends on two conditions: (i) signals are sufficiently dispersed and (ii) private beliefs about signals' relative precision differ sufficiently. We derive some implications for information dissemination policy. Transparency in this context is multidimensional: it concerns the publicity of announcements, the number of signals disclosed and their precision.     

Monopoly in the UK: What determines whether the MMC finds against the investigated firms?

This paper draws on data from 73 UK Monopolies and Mergers Commission reports on monopoly between 1973 and 1995. It shows that there is a roughly two in three chance that the Commission will come to an adverse conclusion against the investigated firms in a given case. 75–80% of decisions can be explained purely in terms of the market share of the leading firm and knowledge of the broad nature of the alleged anti-competitive practice. An adverse finding is most likely in cases involving exclusive dealing, and least likely where other vertical restraints are involved.     

The dominant senior manager and the reasonably careful, skilful, and cautious auditor

This paper examines a paradox in corporate audit history that threatens the credibility of the current audit as a means of protecting stakeholders from corrupt senior managers. Using a historical analysis of legal cases of fraudulent reporting and subsequent public accountancy responses, the study reveals the paradox of a corporate auditor denying or limiting responsibility to detect material accounting misstatement (MAM) facilitated by dominant senior managers (DSM), while relying on the honesty of senior managers. The primary finding of the legal case analysis is the persistent presence of a DSM or team of DSM in the context of various contributing features, and the creation by Victorian lawyers of a model of excuses for the corporate auditor. The primary finding from the responses of public accountants is, within the context of the model of excuses and the assumption of managerial honesty, continuous denial, or limitation of auditor responsibility for detecting MAM facilitated by DSM. The consequence of this history is that DSM intent on MAM currently face corporate auditors generally untrained to assess the audit risk of managerial domination facilitating MAM. The paper's single recommendation is that corporate auditors be educated and trained to assess the audit risk associated with DSM facilitating MAM. The paper's contribution to corporate auditing is its use of historical analysis to bring together previously known but relatively disparate matters into a coherent whole that signals a fatal flaw in existing practice.     

Conjectures on the influence of the 1920s Betriebswirtschaftslehre on Sweeney's Stabilized Accounting

The antecedents of Sweeney's Stabilized Accounting are early examples of responses to economic and political pressures. Sweeney's 1927 and 1928 works promulgating Goldmark Balance Sheets (Goldmarkbilanz) appeared, however, when the unique events (viz. hyperinflation and potential collapse of the Reich), which were the catalysts for backwards rescaling procedures of Goldmarkbilanz, had disappeared. Sweeney's writings pre and post 1928 differ markedly. Vacillations between indexation (backwards then forwards), historical cost, then replacement cost based stabilisation methods, which pepper his work, mirror the changing fortunes of Schmalenbach's, Mahlberg's and Schmidt's proposals. Sweeney's legacy is twofold: (i) the popularisation of indexed accounting, particularly in Anglo-American countries, and (ii) recognition of the need to couple a homogeneous (stable) unit of measure with a function of accounting which was to provide a measure of an entity's command over goods and services and any changes therein.     

Taxing a Commodity with and without Revenue Neutrality: A Calibrated Theoretical Consumer Equilibrium Model

It has long been recognized that taxing a commodity that generates negative externalities can be used to reduce its consumption. One way to do this is to impose revenue neutrality but that may alter the tax rate required to meet a consumption reduction target. We explore the relationships among the commodity tax rate, the demand and supply elasticities, and the revenue offsets by calibrating a theoretical consumer equilibrium model and then recalibrating it with alternative parameter configurations. For each configuration we simulate equilibrium for three policy scenarios: no neutrality, neutrality achieved by subsidizing other commodities, and neutrality achieved by income transfer.