Uninsured idiosyncratic risk, liquidity constraints and aggregate fluctuations

Summary. I study the role played by uninsured idiosyncratic risk and liquidity constraints in the propagation of aggregate fluctuations. To this purpose, I compare the aggregate fluctuations of two model economies that differ in their insurance technologies only. In one of these model economies liquidity constrained households vary their holdings of a nominally denominated asset in order to buffer an uninsured idiosyncratic shock to their individual production opportunities. In the other economy every idiosyncratic component of risk can be costlessly insured. I find that the limited insurance technology implies fluctuations in output that are 20% larger, fluctuations in hours relative to output that are 9% larger, fluctuations in consumption relative to output that are 18% smaller, and a correlation of hours and productivity that is 15% smaller than those that obtain under the full insurance technology. Received: March 6, 1996; revised version August 15, 1996     

Operating and stock market performance of state-owned enterprise privatizations: The Spanish experience

We investigate the operating and stock market performance of Spanish state-owned enterprises (SOEs) privatized through public share issue offerings (SIPs) from 1990 to 2001, when the last SIP was conducted. We compare the performance of SOEs and privately-owned firms. We find significant operating improvements in Spanish SOEs after the privatization. Specifically, they show significant increases in income efficiency, real sales and employment. Spanish governments tried to minimize the foregone proceeds when selling SOE shares and underpriced them lower than private firms. We relate these results with the pressure of the Maastricht Treaty fiscal criteria, as well as lower information asymmetries between firms and investors. Finally, we do not find long-term abnormal stock market performance after SIPs.     

A Comparison of χ2, RFA and IRT Based Procedures in the Detection of DIF

Bias research began at the end of the 1960s anddeveloped rapidly in the following decades for obvioussocial and political reasons, and due to the importantimpact that this issue has on the field ofpsychological and educational measurement. Since then,several methods have been proposed for the study anddetection of item bias or differential itemfunctioning (DIF). This paper presents a simulationstudy comparing the potential of some of these methodsfor detecting DIF: two IRT-based techniques (area measures), three ²-based procedures (MantelHaenszel, Logit Model and Logistic Regression) and theRestricted Factor Analysis method. The results showthat the technique that appears to do the best job isthe Mantel Haenszel statistic. Moreover, all detectiontechniques tend to overidentify DIF items, that is,some of the items labeled with DIF may in fact bewithout DIF. This tendency is slightly reversed in theLogistic Regression procedure.     

An Approach to Support Negotiation Processes with Imprecise Information Multicriteria Additive Models

This paper discusses the possible uses of the VIP (Variable Interdependent Parameters) Analysis software and methodology in negotiation support. VIP Analysis is a decision support tool that incorporates complementary approaches to deal with the aggregation of multi-criteria performances under imprecise information. Its purpose is to support the evaluation of a discrete set of alternatives according to multi-attribute additive value functions. We propose extensions of the methodology of VIP Analysis to address explicitly the differences among the actors in terms of the weights space.     

Financing Preferences of Spanish Firms: Evidence on the Pecking Order Theory

This paper analyses some of the empirical implications of the pecking order theory in the Spanish market using a panel data analysis of 1,566 firms over 1994–2000. The results show that the pecking order theory holds for most subsamples analyzed, particularly for the small and medium-sized enterprises and for the high-growth and highly leveraged companies. It is also shown that both the more and the less leveraged firms tend to converge towards more balanced capital structures. Finally, we observe that firms finance their funds flow deficits with long term debt.     

How Does FDI React to Corporate Taxation?

Based on a panel of bilateral FDI flows among 11 OECD countries over 1984–2000, we show that, although agglomeration-related factors are strong determinants of FDI, tax differentials also play a significant role in understanding foreign location decisions. We further investigate non-linearities in the impact of tax differentials, and explore the impact of tax schemes. Our results are consistent with the imperfect competition literature which underscores the possibility of tax differentials across countries in equilibrium.JEL Code: F21, H25, H87     

Monte Carlo Simulation Techniques in a Decision Support System for Group Decision Making

This paper describes a group decision support system based on an additive multi-attribute utility model for identifying a consensus strategy in group decision-making problems where several decision-makers or groups of decision-makers elicit their own preferences separately. On the one hand, the system provides procedures to quantify the DMs or group of DMs preferences separately. This involves assessing the DMs or group of DMs component utilities that represent their preferences regarding the respective possible attribute values and objective weights that represent the relative importance of the criteria. On the other hand, we propose Monte Carlo simulation techniques for identifying a consensus strategy. An iterative process will be carried out, where, after the simulations have been performed, the imprecise component utilities and weights corresponding to the different DMs or groups of DMs are tightened to output more meaningful information in the next simulations to achieve a consensus strategy. Finally, an application to the evaluation of remedial strategies for restoring contaminated aquatic ecosystems illustrates the usefulness and flexibility of this decision support tool.     

Economic Efficiency and Productivity Growth in the Post-Privatization Chilean Hydroelectric Industry

Chiles hydroelectric industry was privatized in 1985, but required to operate within a regulatory framework designed to achieve a competitive outcome. A centralized dispatch center was established to ensure production at minimum cost, subject to constraints on minimum release and minimum reservoir stock. A reluctance to rapidly reduce the industry work force may also have existed. We develop a constrained cost-minimization model for thermal and hydro generation to obtain the shadow price of water and to determine the qualitative effect of these constraints on allocative efficiency. Using panel data from 1986–1997, we assess the economic efficiency of the hydro industry by estimating a stochastic distance frontier and price equations from the dual cost-minimization problem. We find dramatic increases in technical change and productivity change, with positive efficiency change for all years but the last. We also observe a dramatic decline in allocative inefficiencies over our sample period. The share of hydro generation from run-of-river and thermal plants relative to reservoir plants has increased, presumably in reaction to the water release and reservoir stock constraints, reducing the relative over-utilization of capital to water from the pre-1985 regime. Further, the over-utilization of labor to capital and water has fallen over time. However, considerable allocative inefficiencies remain, consistent with our finding of industry-wide scale economies. Substantial cost savings would result if technical and allocative efficiency were eliminated.JEL Classification: L94, D24     

An empirical note about additive outliers and nonstationarity in Latin-American inflation series

This note shows the empirical dangers of the presence of large additive outliers when testing for unit roots using standard unit root statistics. Using recent proposed procedures applied to four Latin-American inflation series, I show that the unit root hypothesis cannot be rejected.Jel classification: C2, C3, C5I want to thank Pierre Perron for useful comments on a preliminary version of this paper. Helpful comments from an anonymous referee, and Yiagadeesen Samy are appreciated. I thank the Editor Baldev Raj for useful comments about the final structure of this paper. Finally, I also thank André Lucas for helpful suggestions concerning the use of his nice computer program Robust Inference Plus Estimation (RIPE).First revision received: August 2001/Final revision received: December 2002