A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information

A one-factor asset pricing model with an Ornstein–Uhlenbeck process as its state variable is studied under partial information: the mean-reverting level and the mean-reverting speed parameters are modeled as hidden/unobservable stochastic variables. No-arbitrage pricing formulas for derivative securities written on a liquid asset and exponential utility indifference pricing formulas for derivative securities written on an illiquid asset are presented. Moreover, a conditionally linear filtering result is introduced to compute the pricing/hedging formulas and the Bayesian estimators of the hidden variables.     

The association between osteoporosis and patient outcomes in Japan

Objective To quantify the burden of osteoporosis and examine the interplay between osteoporosis and various comorbidities as it relates to patient outcomes.

Methods Data from the 2011 Japan National Health and Wellness Survey (NHWS; n?=?30 000), an internet health survey fielded to a nationally representative sample of the Japanese population were used. Only women between the ages of 50–90 years were included in the analyses (n?=?6950).

Results Compared with matched controls (n?=?404), patients with osteoporosis (n?=?404) had lower MCS scores (48.94 vs 51.63), PCS scores (45.57 vs 49.12) (all p?<?0.05). The presence of osteoporosis was associated with worse patient outcomes among those with hypertension, high cholesterol, and insomnia, among other conditions.

Conclusions The results suggest a significant quality-of-life and economic burden for patients with osteoporosis in Japan. Moreover, in a complex co-morbid environment, the presence of osteoporosis contributes more to patient outcomes than other chronic conditions.     

Trade liberalization,division of labor and welfare under oligopoly

Incorporating explicitly division of labor into a two-country general oligopolistic equilibrium model, we examine the effects of trade liberalization on firm productivity and welfare. We show that a tariff reduction increases the firm productivity of the trading industries but decreases that of the non-trading industries. An expansion of the trading industries, in contrast, decreases the firm productivity of both the trading and non-trading industries. We then find that a tariff reduction necessarily reduces welfare while the welfare effect of expansion of trading industries is ambiguous.     

The Books of Crisis and Tooke–Newmarch excerpts: a new aspect of Marx's crisis theory in MEGA

Abstract

The paper explores a new aspect of the development of the Books of Crisis: the fact that Marx’s empirical research on the 1857 crisis in these notebooks was undertaken as the direct continuation of his study of Thomas Tooke and William Newmarch's A History of Prices. Our investigation will provide clues to better understand the structure and contents of the documents. Particularly, we provide new evidence for why Marx started his research on the 1857 crisis with the French economy, which managed to steer clear of the crisis, rather than with England, which was already acutely affected by it.     

A limit characterization of belief-free equilibrium payoffs in repeated games

The present paper studies repeated games with private monitoring, and characterizes the set of belief-free equilibrium payoffs in the limit as the discount factor approaches one and the noise on private information vanishes. Contrary to the conjecture by Ely et al. [J.C. Ely, J. Hörner, W. Olszewski, Belief-free equilibria in repeated games, Econometrica 73 (2005) 377-415], the equilibrium payoff set is computed by the same formula, no matter how many players there are. As an application of this result, a version of the folk theorem is established for N-player prisoner's dilemma games.     

A two-region model with two types of manufacturing technologies and agglomeration

A two-region model is proposed in this paper. Manufactured goods can be produced with cottage technology under constant returns to scale or with modern technology using differentiated intermediate goods, which are produced with increasing returns to scale technology. In the model, there may be multiple equilibria, and, in such cases, the initial conditions determine the equilibrium that the economy reaches. It is shown that strong increasing returns due to specialization and low transportation costs bring about industrialization with agglomeration. This framework explains the mechanism behind the different industrialization process in Japan and in less developed countries.     

Location of industry, market size, and imperfect international capital mobility

This paper examines the impact of imperfect international capital mobility on an industrial location when increasing returns are present. When the international capital mobility is perfect, agglomeration of manufacturing firms progresses with a decline in transportation costs of manufactured goods, and full-agglomeration in a large-market country is observed at low transportation costs. In contrast, when international capital mobility is imperfect, agglomeration in a large-market country progresses with capital trade integration. When the transportation costs of manufactured goods are low, all capital holders in two countries invest their capital into a home market.     

Trading profitability from learning and adaptation on the Tokyo Stock Exchange

This study proposes unexamined technical trading rules, which are dynamically switching strategies among filter, moving average and trading-range breakout rules. The dynamically switching strategy is formulated based on a discrete choice theory consistent with the concept of myopic utility maximization. We utilize the transaction data of the individual stocks listed on the Nikkei 225 from September 1, 2005 to August 31, 2007. We demonstrate that switching strategies produce positive returns and their performance is better than those from the buy-and-hold and non-switching strategies over our sample periods. We also demonstrate equivalent performance for switching with different learning horizons, implying that behavioural heterogeneity of stock investors arises from the coexistence of different strategies with varying degrees of learning horizons. Our result supports several research assumptions and results on agent-based theoretical models that successfully replicate empirical features in financial markets, such as fat tails of return distributions and volatility clustering. However, upon considering the effects of data-snooping bias superior performance disappears.     

Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors

We consider the problem of estimating and testing for multiple breaks in a single‐equation framework with regressors that are endogenous, i.e. correlated with the errors. We show that even in the presence of endogenous regressors it is still preferable, in most cases, to simply estimate the break dates and test for structural change using the usual ordinary least squares (OLS) framework. Except for some knife‐edge cases, it delivers estimates of the break dates with higher precision and tests with higher power compared to those obtained using an instrumental variable (IV) method. Also, the OLS method avoids potential weak identification problems caused by weak instruments. To illustrate the relevance of our theoretical results, we consider the stability of the New Keynesian hybrid Phillips curve. IV‐based methods only provide weak evidence of instability. On the other hand, OLS‐based ones strongly indicate a change in 1991:Q1 and that after this date the model loses all explanatory power. Copyright © 2013 John Wiley & Sons, Ltd.