Breeding places for ethnic entrepreneurs: a comparative marketing approach

This paper aims to examine the performance conditions of ethnic (migrant) entrepreneurs in a modern economy. After a broad overview of key issues, an analytical tool from marketing theory is proposed, based on the five Ps (Product, Price, Place, Personnel and Promotion). Next, an empirical application is presented, in which results from an in-depth interview study on Moroccan entrepreneurs in Amsterdam are discussed. Given the linguistic and qualitative information in our data base, two recently developed pattern recognition methods for categorized information, namely Apriori and rough set methods, are deployed in order to derive meaningful association and classification rules that are helpful to identify conditional success or performance rules.     

Endogenous monetary policy and the liquidity effect

We compare the transmission mechanism of exogenous and endogenous monetary policies in a calibrated small open economy model with nominal and real rigidities. Under an exogenous monetary policy rule it takes implausible values of the intertemporal elasticity of substitution and the price adjustment costs to generate the liquidity and overshooting effects. Endogenous rules with strong feedback to inflation and output help to reproduce the response of the nominal interest and exchange rates to unanticipated monetary policy shocks that characterize the transmission mechanism of standard sticky price models. The liquidty and overshooting effects are always obtained when the model is augmented with a Taylor interest rate rule.JEL Classification: E32, E43Javier Andrés acknowledges support of CICYT grant SEC2002-0026. We thank the comments of two anonymous referees and the editor, Jordi Caballé, to an earlier version of the paper. The views expressed here are those of the authors and do not represent the view of the Banco de España.     

Optimization of Monte Carlo Procedures for Value at Risk Estimates

This paper proposes a methodology which improves the computational efficiency of the Monte Carlo simulation approach of value at risk (VaR) estimates. Principal components analysis is used to reduce the number of relevant sources of risk driving the portfolio dynamics. Moreover, large deviations techniques are used to provide an estimate of the minimum number of price scenarios to be simulated to attain a given accuracy. Numerical examples are provided and show the good performance of the methodolgy proposed.
(J.E.L.: C15, G1).     

Economic valuation of biodiversity: A comparative study

In recent years, an intensive debate on the economic valuation of biodiversity has entered the environmental-economics literature. The present paper seeks to offer first a critical review of key concepts that are essential for a proper understanding of such evaluation issues. Particular attention is given here to various monetary valuation approaches and to comparative (i.e., meta-analytical) methods from the perspective of conservation and sustainable use of biodiversity. Several illustrative examples are presented in order to highlight the usefulness of the various approaches discussed. Next, an attempt is made to infer general findings and lessons from past applied research by means of meta-analysis. In this context, a multi-dimensional technique originating from the field of artificial intelligence is deployed. It allows us to identify the most important variables responsible for changes in economic estimates of biodiversity.     

The measure of blocking coalitions in differential information economies

We provide an evaluation of the measure of privately blocking coalitions in differential information economies. In the case of atomless economies, it is proved that for a Pareto optimal allocation that is not a Walrasian expectations equilibrium, to any symmetric profile there corresponds a ball such that "almost half” of the profiles it contains are privately blocking. Analogous results are proved in the case of finite differential information economies for generalized coalitions and social coalition structures. From a different point of view, the paper can be considered as a contribution showing private core equivalence theorems under restrictions on coalition formation. We thank an anonymous referee for observations and comments improving an earlier version of the present paper.     

Measuring the set of blocking coalitions in infinite dimensional economies

The classical core-Walras equivalence is investigated via the measurement of the set of blocking coalitions. In the framework of continuum economies with an infinite dimensional space of commodities, we find the measure of the set of coalitions that block a non-competitive Pareto optimal allocation. Then, from the relation between coalitions of a continuum economy with a finite number of types and fuzzy coalitions of an economy with finitely many agents, the previous results are translated as results on the measure of blocking fuzzy coalitions. Both results imply classically formulated core-Walras equivalence theorems. Finally, the measure of blocking "social communication structures" is determined.     

Optimal credit risk transfer, monitored finance, and banks

We examine the implications of optimal credit risk transfer (CRT) for bank-loan monitoring, and the incentives for banks to engage in optimal CRT. In our model, properly designed CRT instruments allow banks to insure themselves against loan losses precisely in those states that signal monitoring. We find that optimal CRT enhances loan monitoring and expands financial intermediation, in contrast to the findings of the previous literature. Optimal CRT instruments are based on loan portfolios rather than individual loans and have credit-enhancement guarantees, pretty much as banks do in practice. But the extent of credit enhancement needs to be precisely delimited. Above that exact level, monitoring incentives are undermined (loan quality deteriorates) and wealth is transferred from the bank's financiers to the bank. Properly designed risk-based capital requirements are shown to prevent such a wealth transfer and to provide banks with the incentive to engage in optimal CRT.