Bayesian estimation of an extended local scale stochastic volatility model

A new version of the local scale model of Shephard (1994) is presented. Its features are identically distributed evolution equation disturbances, the incorporation of in-the-mean effects, and the incorporation of variance regressors. A Bayesian posterior simulator and a new simulation smoother are presented. The model is applied to publicly available daily exchange rate and asset return series, and is compared with t-GARCH and Lognormal stochastic volatility formulations using Bayes factors.     

On the identification of the procurement model

Under multiplicative separability of the cost function, this paper investigates the identification of the procurement model. Moreover, we characterize the model restrictions on observables and show its observational equivalence to one where the function of private information is the identity.     

Design principles for corporate venture transition processes in established technology firms

Corporate venturing has become a well‐known approach toward new business development and strategic renewal for established technology firms. However, without an effectively designed process for aligning and integrating a corporate venture in the established business, the firm increases the risk of venture failure. This paper provides a process perspective on corporate venture transition. Based on the results of an empirical study of six corporate venture transition processes, we present suitable actions for each of the different phases of the venture transition process. In addition, we indicate the proper timing for venture transition, which is one of the long‐standing difficulties in this area. Finally, we integrate the results of the empirical study with knowledge from extant literature in a set of design principles. These design principles provide practical guidelines to improve corporate venture transition processes.     

Fee-for-service payments and consultation length in general practice: a work–leisure trade-off model for French GPs

This article presents an adaptation of the labour supply model applied to the independent medical sector. First, we model simultaneous General Practitioner (GP) decisions on both the leisure time and the consultation length for two payment schemes: fixed fees and unregulated fees. The objective of this econometric study is to validate the theoretical prediction that doctors under unregulated fees may make choices about the length of patient consultations independent of their personal leisure decision. Indeed, according to our empirical results, the bidirectional link between leisure choice and consultation length – verified with fixed fees – does not hold any longer under unregulated fees. Our findings can be seen as a necessary but not a sufficient condition to legitimize unregulated fees in general practice.     

Expectations and intertemporal separability in an empirical model of consumption and investment under uncertainty

An intertemporal model of consumption and investment under uncertainty is formulated, and compared with the existing literature; it is argued that an assumption of myopia is necessary for its empirical applicability. It is estimated by maximum likelihood with quarterly British data. A specification search for a satisfactory form of expectations is made, and the estimated model is compared with a static demand system. Strong intertemporal separability is formulated as a nested hypothesis, and strongly rejected by a likelihood ratio test.     

Deleveraging crises and deep recessions: a behavioural approach

Macroeconomic dynamics are characterized by alternating patterns of periods of relative stability and large swings. Standard microfounded macroeconomic models account for these patterns through exogenous and persistent shocks. In this article, we develop a fully decentralized and microfounded macroeconomic agent-based model, augmented with an opinion model, which produces endogenous waves of pessimism and optimism that feed back into firms’ leverage and households’ precautionary saving behaviour. A major emergent property of our model is precisely the complex successions of stable and unstable macroeconomic regimes. The model is further able to account for a wide spectrum of macro and micro empirical regularities. Within this framework, we analyse a series of macroeconomic phenomena of key relevance in the current macroeconomic debate, especially the occurrence of deleveraging crises and Fisherian debt-deflation recessions. Our analysis suggests that the relative dynamics of prices and wages and the resulting income distribution along a deflationary path are critical determinants of the severity of the recession and the chances of recovery.     

The effectiveness of exchange-rate-based monetary policy: evidence from survey data

Singapore’s monetary policy is centred on the management of the exchange rate. We examine how macroeconomic forecasters perceive the effectiveness of this unconventional policy. We provide empirical evidence that forecasters’ expectations are consistent with a forward-looking exchange-rate-based Taylor-type policy rule. They expect monetary authorities to actively manage the currency against expected future changes in inflation and output.     

Cost-effectiveness analysis of bariatric surgery for morbid obesity in Belgium

Aims: This study presents the cost-effectiveness analysis of bariatric surgery in Belgium from a third-party payer perspective for a lifetime and 10-year horizon.

Materials and methods: A decision analytic model incorporating Markov process was developed to compare the cost-effectiveness of gastric bypass, sleeve gastrectomy, and adjustable gastric banding against conventional medical management (CMM). In the model, patients could undergo surgery, or experience post-surgery complications, type 2 diabetes, cardiovascular diseases, or die. Transition probabilities, costs, and utilities were derived from the literature. The impact of different surgical methods on body mass index (BMI) level in the base-case analysis was informed by the Scandinavian Obesity Surgery Registry and the Swedish Obese Subject (SOS) study. Healthcare resource use and costs were obtained from Belgian sources. A base-case analysis was performed for the population, the characteristics of which were obtained from surgery candidates in Belgium.

Results: In the base-case analysis over a 10-year time horizon, the increment in quality-adjusted life-years (QALYs) gained from bariatric surgery vs CMM was 1.4 per patient, whereas the incremental cost was €3,788, leading to an incremental cost-effectiveness ratio (ICER) of €2,809 per QALY. Over a lifetime, bariatric surgery produced savings of €9,332, an additional 1.1 life years and 5.0 QALYs. Bariatric surgery was cost-effective at 10 years post-surgery and dominant over conventional management over a lifetime horizon.

Limitations: The model did not include the whole scope of obesity-related complications, and also did not account for variation in surgery outcomes for different populations of diabetic patients. Also, the data about management of patients after surgery was based on assumptions and the opinion of a clinical expert.

Conclusions: It was demonstrated that a current mix of bariatric surgery methods was cost-effective at 10 years post-surgery and cost-saving over the lifetime of the Belgian patient cohort considered in this analysis.     

The role of credit officers in the performance of micro loans

This paper proposes a structural model explicitly considering the role played by credit officers in loan performance. The credit officer's ability is decomposed into the screening and the audit stage. This model is estimated using a rich database from VivaCred – a Brazilian NGO. Results suggest that: (i) there is substantial heterogeneity among credit officers in the sample; (ii) their ability affects more the screening than the audit stage; and (iii) their estimated ability is correlated with their experience at VivaCred but not with their experience before joining the organization. Evidence suggests that a reduction in staff turnover would be beneficial to the institution.     

Asymmetry in first‐price auctions with affiliated private values

Collusion and heterogeneity across firms may introduce asymmetry in bidding games. A major difficulty in asymmetric auctions is that the Bayesian Nash equilibrium strategies are solutions of an intractable system of differential equations. We propose a simple method for estimating asymmetric first‐price auctions with affiliated private values. Considering two types of bidders, we show that these differential equations can be rewritten using the observed bid distribution. We establish the identification of the model, characterize its theoretical restrictions, and propose a two‐step non‐parametric estimation procedure for estimating the private value distributions. An empirical analysis of joint bidding in OCS auctions is provided. Copyright © 2003 John Wiley & Sons, Ltd.