An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps

We test the theoretical equivalence of credit default swap (CDS) prices and credit spreads derived by Duffie (1999) , finding support for the parity relation as an equilibrium condition. We also find two forms of deviation from parity. First, for three firms, CDS prices are substantially higher than credit spreads for long periods of time, arising from combinations of imperfections in the contract specification of CDSs and measurement errors in computing the credit spread. Second, we find short‐lived deviations from parity for all other companies due to a lead for CDS prices over credit spreads in the price discovery process.     

MARKET PERFORMANCE WITH MULTIPRODUCT FIRMS*

We revisit the fundamental issue of market provision of variety associated with Chamberlin, Spence, and Dixit‐Stiglitz when firms sell multiple products. Both products and firms are (horizontally) differentiated. We propose a general nested demand framework where consumers first decide upon a firm then which variant to buy and how much (the nested CES is a special case). We use it to determine the market's biases when firms compete in product ranges and prices. The market system attracts too many firms with too few products per firm: firms restrain product ranges to relax price competition, but this exacerbates over‐entry.     

COMPETITION CAN HARM CONSUMERS*

Duopolists selling differentiated products can generate less consumer surplus than a monopoly selling one of the products. In a Hotelling‐type model where a monopoly supplies more than half of potential consumers, but not all, entry by a rival leads to a duopoly price that is higher than the monopoly price. Consumers in aggregate will be made worse off by such entry when the effect of the price increase outweighs the benefit of extra variety. When consumers have continuous demand functions and firms use two‐part tariffs, duopoly can also result in lower aggregate consumer surplus than monopoly.     

Estimation and Forecasting in Models with Multiple Breaks

This paper develops a new approach to change-point modelling that allows the number of change-points in the observed sample to be unknown. The model we develop assumes that regime durations have a Poisson distribution. It approximately nests the two most common approaches: the time-varying parameter (TVP) model with a change-point every period and the change-point model with a small number of regimes. We focus considerable attention on the construction of reasonable hierarchical priors both for regime durations and for the parameters that characterize each regime. A Markov chain Monte Carlo posterior sampler is constructed to estimate a version of our model, which allows for change in conditional means and variances. We show how real-time forecasting can be done in an efficient manner using sequential importance sampling. Our techniques are found to work well in an empirical exercise involving U.S. GDP growth and inflation. Empirical results suggest that the number of change-points is larger than previously estimated in these series and the implied model is similar to a TVP (with stochastic volatility) model.     

对中国当前城市社会稳定性的实证研究

本文旨在通过个人对其生活各个方面满意度的自我评定来测定中国城市社会的稳定性及其决定因素。本文使用的数据具有中国城市社会的代表性。本研究所得的主要结论为，经济的持续稳定增长以及就业机会的增加会降低人们的不满情绪，从而减轻了社会政治的不稳定性；在收入可持续增长时，仅收入分配不均一项指标并不一定导致不稳定；给予人们一定的政治空间，鼓励人们提高社会与社区的参与意识亦会提高人们的满足感；良好的家庭生活与社会关系网络会化解人们的不满情绪；在控制诸种可观察到的变量后，共产党员依然具有较高的满足感。     

Durable-Goods Monopoly with Varying Demand

This paper solves for the profit-maximizing strategy of a durable-goods monopolist when incoming demand varies over time. We first characterize the consumers' optimal purchasing decision by a cut-off rule. We then show that, under a monotonicity condition, the profit-maximizing cut-offs can be derived through a myopic algorithm, which has an intuitive marginal revenue interpretation. Consumers' ability to delay creates an asymmetry in the optimal price path, which exhibits fast increases and slow decreases. This asymmetry creates an upward bias in the level of prices, pushing them above the price charged by a firm facing the average level of demand. The optimal policy outperforms renting and can be implemented by a time-consistent best-price provision.