Sulla vitalità di un mercato finanziario

Questo lavoro discute un modello di mercato finanziario basato sulla teoria della vitalità associata allo studio delle inclusioni differenziali. Il modello permette di esplicitare l'esistenza di una relazione di dipendenza tra le quantità di un titolo detenute dagli agenti ed il suo prezzo di mercato. Basandosi su questa, è possibile ottenere rigorosamente l'esistenza di un sentiero temporale per il prezzo senza bisogno di introdurre ipotesiad hoc.

---

Summary This work discusses a model of a financial market based on viability theory and differential inclusions. The model makes it explicit the existence of a relationship between the quantities of a security held by agents and its market price. Based on this, we show how to establish rigorously the existence of a time path for the price which in the literature is usually assumed without much justification.

---

---

Ringraziamo E. Castagnoli per alcuni utili commenti. Le conversazioni con J.-P. Aubin, F. Moriconi e F. Ortu sull'etimologia e l'interpretazione dei concetti di vitalità ci sono state di grande beneficio.     

fines,leniency, and rewards in antitrust

This article reports results from an experiment studying how FINES, LENIENCY, and REWARDS for whistleblowers affect cartel formation and prices. Antitrust without LENIENCY reduces cartel formation but increases cartel prices: subjects use costly FINES as punishments. LENIENCY improves antitrust by strengthening deterrence but stabilizes surviving cartels: subjects appear to anticipate the lower postconviction prices after reports/LENIENCY. With REWARDS, prices fall at the competitive level. Overall, our results suggest a strong cartel deterrence potential for well‐run LENIENCY and REWARD schemes. These findings may also be relevant for similar white‐collar organized crimes, such as corruption and fraud.     

Social security and intergenerational equity

This paper considers the implications of social security for intergenerational equity. It shows that a balanced-budget unfunded system can be optimal even in a dynamically efficient economy without uncertainty and externalities. The relevant criteria for the optimality of the public transfer program are equity among generations and time consistency. The scheme can survive adverse shocks if the well-being of the elderly at each point in time is sufficiently valued.     

On the monetary nature of the interest rate in a Keynes–Schumpeter perspective

Abstract

Keynes, in the General Theory, explains the monetary nature of the interest rate by means of the liquidity preference theory. The objective of this article is twofold. The first objective is to point out the limits of the liquidity preference theory. The fundamental limitation of this theory is that it does not allow to realize the intent declared by Keynes in 1933 to elaborate a monetary theory of production The second objective is to present a more solid theory of the monetary nature of the interest rate. It will be shown that an essential element of this explanation is Schumpeter’s analysis of the role of bank money in a capitalist economy. In fact, this analysis represents a fundamental tool to explain the characteristics that, according to Keynes, distinguish a monetary economy from a real-exchange economy     

How efficient is maize production among smallholder farmers in Zimbabwe? A comparison of semiparametric and parametric frontier efficiency analyses

The controversial Fast Track Land Reform Programme in Zimbabwe that redistributes commercially-owned farmland to smallholder households has caused concerns about the efficiency of agricultural production in the country. In this paper, we estimate the efficiency of resource use among smallholder farmers in Zimbabwe when producing maize, the staple crop in the country. Using both a semiparametric model and a fully parametric stochastic frontier model, we find significant production shortfalls for smallholder maize production. While labor, capital, and land all significantly affect the total output, the estimated mean efficiency score for farms with less than 10 hectares of land (A1) appears to be under 0.75, and for the entire sample (A1 and A2) it ranges between 0.595 and 0.772. There clearly exists a great potential for maize farmers to improve the technical efficiency and increase the total output. Gender and age of the household head, access to extension services, and activities of other crops significantly affect the technical efficiency of smallholder maize production in Zimbabwe. We also find that all farms operate under increasing returns to scale and that the technical efficiency score tends to increase with the level of output.     

Forecasting industrial production and the early detection of turning points

In this paper we propose a simple model to forecast industrial production in Italy up to 6 months ahead. We show that the forecasts produced using the model outperform some popular forecasts as well as those stemming from an ARIMA model used as a benchmark and those from some single equation alternative models. We show how the use of these forecasts can improve the estimate of a cyclical indicator and the early detection of turning points for the manufacturing sector. This is of paramount importance for short-term economic analysis.The first draft of this paper was mostly prepared while Claudio Lupi was working as a Research Director at ISAE. The present version of the paper is a revision of a preliminary draft that was circulated under the same title as ISAE working paper 20/01. The authors would like to thank two anonymous referees, audiences at ISAE, Dublin (22nd International Symposium on Forecasting), and Ente Einaudi (econometrics seminars) for comments. Fruitful discussions and suggestions from Gianluca Cubadda, Sergio de Nardis, John FitzGerald, Antonio García-Ferrer, Franco Peracchi, and Tommaso Proietti are gratefully acknowledged. None of them is responsible for any remaining error. The opinions expressed in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of ISAE or its staff.First revision received: Ocotber 2002/Final revision received: May 2003     

Fiscal imbalances and the dynamics of currency crises

This paper analyzes links between the fiscal theory of the price level (FTPL) and the first generation models after Krugman (Journal of Money Credit and Banking 11 (1979), 311-325), exploring the idea that a synthesis between the two can become a new framework to analyze the fiscal dimension of currency crises. Working in a simple synthetic framework, we show how external nominal shocks can cause a fiscal imbalance and undermine currency stability, resolve two well-known paradoxes of the first generation model, discuss the role of seigniorage revenues, and illustrate how fiscal and interest rate policies interact to determine the magnitude and the timing of speculative attacks and devaluations.     

Budget Deficits and Exchange-Rate Crises

This paper investigates currency crises in an optimizing general equilibrium model with overlapping generations. It is shown that a rise in government budget deficits financed by future taxes generates a decumulation of external assets, leading up to a speculative attack and forcing the monetary authorities to abandon the peg.