Comovements in the real activity of developed and emerging economies: A test of global versus specific international factors

Although globalization has shaped the world economy in recent decades, emerging economies have experienced impressive growth compared to developed economies, suggesting specific comovements within developed and emerging business cycles. Using observed developed and emerging real economy activity variables, we investigate whether the latter assertion can be supported by observed data. Based on a two-level factor model, we assume these activity variables can be decomposed into global components, emerging or developed common components, and idiosyncratic national shocks. We propose a statistical test for the null hypothesis of a one-level specification, where it is irrelevant to distinguish between emerging and developed latent factors against the two-level alternative. This paper provides a theoretical justification and Monte Carlo simulations that document the testing procedure. An application of the test to various data sets of developed and emerging countries leads to strong statistical evidence of specific comovements within these two groups.     

Product quality and firm heterogeneity in international trade

This paper quantifies the separate contributions of product quality and technical efficiency in explaining variation in export outcomes across US manufacturing plants. Unlike previous studies that rely on unit values, I estimate idiosyncratic demand from price and quantity information. I find substantial across‐plant heterogeneity in demand, and consistent with the quality interpretation, demand is positively correlated with advertising expenditures, wage rates and material costs. I use this variation to explain across‐plant heterogeneity in export outcomes. The results show that, in addition to productivity, idiosyncratic demand is an important determinant of selection into exporting and the levels of foreign sales.     

Barriers to network-specific investment

We examine incentives for network-specific investment and consider the implications for network governance. We model a two-sided market in which participants making payments over a network platform can invest in a technology that reduces the marginal cost of using the platform. A network effect results in multiple equilibria—either all agents invest and use of the platform is high or no agents invest and use of the platform is low. The high-use equilibrium can be implemented if commitment is feasible. When the platform cannot commit to usage fees, investment in the platform-specific technology will be held up, thus implementing the low-investment equilibrium. As a result, governance structures necessary to achieve commitment will be preferred to those necessary merely to achieve coordination. For example, mutual ownership by users of a network platform may emerge where users face risk of ex post renegotiation. Such a governance structure will also be sufficient to avoid low investment attributable to the network effect.     

Relaciones laborales y medidas de ajuste frente a la crisis. Análisis microestadístico comparativo de Francia y Gran Bretaña

En este estudio comparativo, los autores analizan los vínculos entre las relaciones laborales y los ajustes salariales o de plantilla tras la crisis de 2007–2008, a partir de dos encuestas comparables sobre empresas de Gran Bretaña (WERS) y de Francia (REPONSE) en 2010–2012. Pese a las diferencias contextuales (composición del tejido productivo, circunstancias temporales e intensidad de la crisis), los vínculos entre las relaciones laborales y las estrategias de ajuste son parecidos (la presencia sindical no logra evitar los ajustes). Por lo tanto, la diferenciación de los sistemas de relaciones laborales no permite explicar las divergencias entre las modalidades de ajuste a nivel macroeconómico.     

Predicting systematic risk: Implications from growth options

In accordance with the well-known financial leverage effect, decreases in stock prices cause an increase in the levered equity beta for a given unlevered beta. However, as growth options are more volatile and have higher risk than assets in place, a price decrease may decrease the unlevered equity beta via an operating leverage effect. This is because price decreases are associated with a proportionately higher loss in growth options than in assets in place. Most of the existing literature focuses on the financial leverage effect: This paper examines both effects. We show, with a simple option pricing model, the opposing effects at work when the firm is a portfolio of assets in place and growth options. Our empirical results show that, contrary to common belief, the operating leverage effect largely dominates the financial leverage effect, even for initially highly levered firms with presumably few growth options. We then link variations in betas to measurable firm characteristics that proxy for the fraction of the firm invested in growth options. We show that these proxies jointly predict a large fraction of future cross-sectional differences in betas. These results have important implications on the predictability of equity betas, hence on empirical asset pricing and on portfolio optimization that controls for systematic risk.     

Access to financing,rents, and organization of the firm

This paper provides a theory for the choice of an organizational structure by the headquarters of a unitary structure concerned about overload. The headquarters can avoid overload by delegating operational decisions to divisions, i.e., moving the firm to a multidivisional structure. We show that, under moral hazard, these divisions receive rents for incentive purposes, and that the multidivisional structure is able to invest more. Thus, there is a trade-off between increasing investment and paying rents. We also show that this trade-off applies to situations where firms consider engaging in acquisitions and joint ventures, or where entrepreneurs consider resorting to venture capitalists.     

MCMC maximum likelihood for latent state models

This paper develops a pure simulation-based approach for computing maximum likelihood estimates in latent state variable models using Markov Chain Monte Carlo methods (MCMC). Our MCMC algorithm simultaneously evaluates and optimizes the likelihood function without resorting to gradient methods. The approach relies on data augmentation, with insights similar to simulated annealing and evolutionary Monte Carlo algorithms. We prove a limit theorem in the degree of data augmentation and use this to provide standard errors and convergence diagnostics. The resulting estimator inherits the sampling asymptotic properties of maximum likelihood. We demonstrate the approach on two latent state models central to financial econometrics: a stochastic volatility and a multivariate jump-diffusion models. We find that convergence to the MLE is fast, requiring only a small degree of augmentation.     

融入全球经济的亚洲与非洲

在二十世纪六、七十年代 ,东南亚和非洲同属于世界上的不发达地区。然而 ,在此后的三十年里 ,情况却发生了变化。东南亚经济逐渐兴起 ,并成为世界经济中举足轻重的一部分。而非洲经济不仅没有进步 ,反而每况愈下。究竟是那些原因导致了东南亚和非洲出现如此的差别 ?本文通过四个方面的比较 ,对这一问题做了简要的回答。     

Bargaining over an uncertain outcome:¶the role of beliefs

We study the Nash bargaining solution of a problem in which two agents bargain over an uncertain outcome. Under the assumptions of risk neutrality and of constant absolute risk aversion, we study the way that the solution varies, ex ante, when we vary the beliefs of one agent. Changing an agent's beliefs in a way that makes them “more distant” from the other agent's beliefs makes the second agent better off. Received: 10 May 2001 / Accepted: 22 August 2001