BANK OUTPUT MEASUREMENT IN THE EURO AREA: A MODIFIED APPROACH

Banks do not charge explicit fees for many of the services they provide, bundling the service payment with the offered interest rates. This output therefore has to be imputed using estimates of the opportunity cost of funds. We argue that rather than using the single short‐term, low‐risk interest rate as in current official statistics, reference rates should match the risk characteristics of loans and deposits. This would lower euro area imputed bank output by, on average, 28–54 percent compared with the current methodology, implying that euro area GDP (at current prices) is overstated by 0.11–0.18 percent. This adjustment also leads to more plausible shares in value added of income from fixed capital in the banking industry.     

The Chilean Agrarian Transformation: Agrarian Reform and Capitalist 'Partial' Counter-Agrarian Reform, 1964–1980

This article, which is published in two parts, is an empirical analysis of the Chilean agrarian reform (1964–1973) and 'partial' counter-agrarian reform (1974–1980). Its aim is to explain and interpret their logic and the changes they brought to Chile's agrarian property regime in particular and Chilean life in general. Chile's agrarian reform was successful in expropriating (under the Frei and Allende administrations, 1964–1973) the great estates of the hacienda landed property system. The capitalist 'partial' counter-reform then redistributed it (under the military, 1974–1980). CORA, the country's agency for agrarian reform, expropriated and subsequently redistributed 5809 estates of almost 10 million hectares, or 59 per cent of Chile's agricultural farmland. A large amount of the expropriated land (41 per cent) benefited 54,000 peasant households with small-sized family farms and house-sites. The rest of the farmland benefited efficient and competitive commercial farmers and agro-business and consolidated medium-sized farms. Of central concern is the role of the agrarian reform and subsequent 'partial' counter-reform processes in fostering the transformation of the erstwhile agrarian structure of the hacienda system toward agrarian capitalism. The redistribution of the agricultural land previously expropriated made possible the formation of an agro-industrial bourgeoisie, small commercial farmers, an open land market and a dynamic agricultural sector. While, however, under military rule, a selected few benefited with family farms and became independent agricultural producers, a large majority of reformed and non-reformed campesinos were torn from the land to become non-propertied proletarians in a rapidly modernizing but highly exclusionary agricultural sector.     

Pricing of Transport Networks,Redistribution, and Optimal Taxation

The author studies optimal pricing of roads and public transport in the presence of nonlinear income taxation. Individuals are heterogeneous in unobservable earning ability. Optimal transport tariffs depend on time costs of travel and work schedule adjustments (days and hours worked per day) as a response to commuting costs. The author finds that discounts for low‐income individuals are optimal only if the time cost of a trip is small enough. Lower travel time costs facilitate screening; therefore, redistribution provides an additional motive for congestion pricing. Finally, the study investigates the desirability of means‐testing of transport tariffs.     

The Creditor Channel of Liquidity Crises

This paper presents a model to study the transmission of liquidity shocks across financial institutions through the creditor channel. In the model, a borrower institution obtains funds from a large institutional lender and small investors. When the large lender's asset market is hit by a liquidity shock, it might decide to withdraw funding extended to the borrower. The potential withdrawal by the large lender causes small investors to panic and to close positions even if the large lender does not. Facing funding problems, the borrower has to cut its activities, contributing to further shocks to the supply of market liquidity. The original shock is exacerbated, which reinforces withdrawals by all creditors. The model helps explain how the spreading of liquidity shocks from the broker–dealer sector to the hedge fund sector and the feedback contribute to a systemic crisis.     

SIGN- AND VOLATILITY-SWITCHING ARCH MODELS: THEORY AND APPLICATIONS TO INTERNATIONAL STOCK MARKETS

This paper develops two conditionally heteroscedastic models which allow an asymmetric reaction of the conditional volatility to the arrival of news. Such a reaction is induced by both the sign of past shocks and the size of past unexpected volatility. The proposed models are shown to converge in distribution to absolutely continuous Itô diffusion processes, as happens for other heteroscedastic formulations. One of the schemes developed in the paper—the Volatility-switching ARCH—differs from the existing asymmetric models insofar as it is able to capture a particular aspect of the behaviour of the volatilities, i.e. the reversion of their asymmetric reaction to news. Empirical evidence from stock market returns in six countries shows that such a model outperforms traditional asymmetric ARCH equations. © 1997 by John Wiley & Sons, Ltd.