排序方式: 共有47条查询结果,搜索用时 250 毫秒
21.
W. Erwin Diewert Takanobu Nakajima Alice Nakamura Emi Nakamura Masao Nakamura 《The Canadian journal of economics》2011,44(2):451-485
Abstract There is policy interest in factoring productivity growth into technical progress and returns to scale components. Our approach uses exact index number methods to reduce the parameters that must be estimated, and allows us to exploit the cross‐sectional dimension of plant‐level panel data. We show that the same equation can also be used to estimate ‘Harberger’ scale economies and technical progress indicators that require fewer assumptions. Estimates of the elasticity of scale for Japanese establishments in three major industries over 1964–88 are presented. Our study spans the high growth era of the 1960s, two oil shocks, and other exogenous shocks. 相似文献
22.
This paper investigates whether the market rationally anticipates the value implications of unrecognized pension obligations, using a large sample of Japanese firms where pension obligations are substantially underfunded. If a firm's unrecognized pension obligation is not incorporated into its share price, its stock returns will be lower than those of other firms, because its deficit will affect the firm's income statement in the coming years. We find that firms with large unrecognized obligations earn lower risk-adjusted returns. This evidence suggests that the market does not efficiently incorporate information in the pension items. 相似文献
23.
We provide a valuation formula for emission allowance. Assuming that the value of emission allowance on the last day of a trading phase is equal to a spread of commodity prices (e.g. electricity and natural gas) when the spread is positive and less than the penalty, we show that the emission allowance price is equal to the value of a portfolio of European call options on the spread of the commodities. Using the formula, we obtain a hedging strategy for emission allowance trading. We also empirically analyze option value embedded in emission allowance, and find by numerical analysis that the option value is relatively large. 相似文献
24.
Makoto Nakajima 《International Economic Review》2012,53(2):399-432
I introduce risk‐aversion, labor‐leisure choice, capital, individual productivity shocks, and market incompleteness to the standard model of labor search and matching and investigate the model’s cyclical properties. I find that the model can generate the observed large volatility of unemployment and vacancies with a reasonable replacement rate of unemployment insurance benefits of 64%. Labor‐leisure choice plays a crucial role through additional utility from leisure when unemployed and further amplification from adjustments of hours worked. On the other hand, the borrowing constraint or individual productivity shocks do not significantly affect the cyclical properties of unemployment and vacancies. 相似文献
25.
Akiko Nakajima 《Economic Systems Research》2008,20(3):319-330
When the inverse of the value added productivity of labour is regressed on total labour requirements (which is equivalent to labour values), a significant relationship is obtained. This indicates that the value added productivity of labour can be explained by total labour requirements (labour values). The mean value of the regression coefficients is about 1.7. The regression coefficients have a tendency to increase during the process of rapid economic development and to decrease afterwards. Such movements are explained by value added linkages. This study is based on input–output analysis, where total labour requirements per monetary unit of output and the value added productivity of labour are calculated for each of 24 industries in Japan, Korea and USA, every 5 years between 1960 to 1985. 相似文献
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Even if the relatively rich and the poor are initially caught in a poverty trap, the relatively rich can escape poverty by receiving payments from the poor. Further accumulation of wealth by the rich allows the poor to escape poverty. 相似文献
28.
We show that real indeterminacy of stationary equilibria, by which the set of stationary equilibria is a continuum and the real allocation varies among equilibria, may arise in some general equilibrium models with fiat money. The conditions under which such equilibria arise are: (i) each household optimally saves a constant amount of money; and (ii) at least two households face different budget constraints. We present various models, including a decentralized money search model and a centralized model with a monopoly firm, to explain how these conditions lead to real indeterminacy. Finally, we present a policy that uniquely implements any desirable outcome. 相似文献
29.
Tetsuya Nakajima 《Metroeconomica》2010,61(2):239-256
This paper presents a general equilibrium model that extends a static New Keynesian framework to an overlapping generations model. The model shows multiple stationary states, one of which has the following strong Keynesian features: (1) a reduction in wages generates increased unemployment through a decrease in consumption, and (2) the fiscal multiplier is larger than unity and is increasing in the wage share in income. 相似文献
30.
The purpose of this research is to provide a valuation formula for commodity spread options. Commodity spread options are
options written on the difference of the prices (spread) of two commodities. From the aspect of commodity contingent claims,
it is considered that commodity spread options are difficult to evaluate with accuracy because of the existence of the convenience
yield. Hence, the model of the convenience yield is the key factor to price commodity spread options. We use the concept of
future convenience yields to develop the model that enriches the stochastic behavior of convenience yield. We also introduce
Heath-Jarrow-Morton interest rate model to the valuation framework. This general model not only captures the mean reverting
feature of the convenience yield, but also allows us to handle a very wide range of shape that the term structure of convenience
yield can take. Therefore our model provides various types of models. The numerical analysis presented in this paper provides
some unique features of commodity spread options in contrast to normal options. These characteristics have never been addressed
in previous studies. Moreover, it suggests that the existing model overprice commodity spread options through neglecting the
effect of interest rates. 相似文献