Investment Behaviour,Population Structure and Long-term Growth in Eastern Europe and Russia

MOCT-MOST: Economic Policy in Transitional Economies -     

A simple and effective scanning rule for a multi-channel system

We consider a multi-channel system in which one apparatus makes a sequence of observations, one at a time. By means of scanning, i.e. selecting a channel to be analyzed at any instant and deciding to stop at some stage, it is required to determine the channel in which there is the signal with prescribed constraints on error probabilities. A simple scanning rule, based on a cyclic application of a sequential probability ratio test (SPRT) is proposed for this problem. It is proved that in the case of Brownian motion, the expected scanning time of this rule is equal to the one of the optimal scanning rule (which is known only for this case). The simple structure of this rule permits to obtain corrected Brownian approximations for its characteristics in the case of exponential family of distributions. The same procedure is used in multi-channel change point problem.     

Role of Endogenous Vintage Specific Depreciation in the Optimal Behavior of Firms

This paper studies the firms' capital accumulation process in a vintage capital model with embodied technological change. We take into account that depreciation is endogenous and in particular associated with vintage specific maintenance expenditure. We prove that maintenance is a local substitute for investment as soon as the marginal cost of maintenance is strictly increasing. We show that maintenance and investment in new capital goods appear as complements with respect to the changes in productivity, cost of maintenance, fixed cost of operation, efficiency of maintenance services and appear as substitutes with respect to the price of new machines. Allowing for investment in old vintages, we determine that investment in old machines appears as a substitute of both investments in new machines and maintenance services. We end up by analyzing the effects of technological progress on optimal plans and prove that a negative anticipation effect can occur even without any market imperfections.     

Russian and Belarus monetary union: Phantom or reality?

As of January 1, 2004, the Belarus rouble has been pegged to the Russian rouble. This is intended as a first step towards monetary union, which it is planned should come into force on January 1, 2005. This plan presupposes the successful resolution of a number of difficult political and economic problems, however, and it is by no means certain that the plan will not later be abandoned.     

Job search models and frictional unemployment

A number of job search models based on Stigler's classic paper on information in the labor market have appeared recently in the literature. Since the duration of job search is a by-product of these models, they give important insights into the theory of frictional unemployment. What is particularly striking about these models is their basic assumption that individuals attempt to maximize the discounted stream of future income. The present paper attempts to make up this oversimplification by presenting an alternative job search model which posits that individuals attempt to maximize the discounted stream of future satisfaction. Predictions of the two basic models are compared. A final section draws out the implications of the utility model for frictional unemployment.     

LÉVY PROCESSES INDUCED BY DIRICHLET (B‐)SPLINES: MODELING MULTIVARIATE ASSET PRICE DYNAMICS

We consider a new class of processes, called LG processes, defined as linear combinations of independent gamma processes. Their distributional and path‐wise properties are explored by following their relation to polynomial and Dirichlet (B‐)splines. In particular, it is shown that the density of an LG process can be expressed in terms of Dirichlet (B‐)splines, introduced independently by Ignatov and Kaishev and Karlin, Micchelli, and Rinott. We further show that the well‐known variance gamma (VG) process, introduced by Madan and Seneta, and the bilateral gamma (BG) process, recently considered by Küchler and Tappe are special cases of an LG process. Following this LG interpretation, we derive new (alternative) expressions for the VG and BG densities and consider their numerical properties. The LG process has two sets of parameters, the B‐spline knots and their multiplicities, and offers further flexibility in controlling the shape of the Levy density, compared to the VG and the BG processes. Such flexibility is often desirable in practice, which makes LG processes interesting for financial and insurance applications. Multivariate LG processes are also introduced and their relation to multivariate Dirichlet and simplex splines is established. Expressions for their joint density, the underlying LG‐copula, the characteristic, moment and cumulant generating functions are given. A method for simulating LG sample paths is also proposed, based on the Dirichlet bridge sampling of gamma processes, due to Kaishev and Dimitriva. A method of moments for estimation of the LG parameters is also developed. Multivariate LG processes are shown to provide a competitive alternative in modeling dependence, compared to the various multivariate generalizations of the VG process, proposed in the literature. Application of multivariate LG processes in modeling the joint dynamics of multiple exchange rates is also considered.     

新兴市场区位特定优势所带来的超额利润问题探析——服务业和分销业案例

地域优势带来的额外利润问题不仅限于制造业。近年来,跨国公司陆续将服务型和销售型子公司转移至相对低成本的新兴市场,产生了与制造业转移同样的转让定价反避税挑战。在不同的转让定价方法下,处理该类型公司的地域优势问题遇到的挑战有所不同。面对这些挑战,纳税人和税务当局都必须通过客观而严密的经济学分析进行探讨,方能得出一个各方满意的解决方案。     

Monopoly, Time Consistency, and Dynamic Demands

This paper examines monopolistic behavior in a framework with dynamic demands. We show that time consistent output and pricing policies yield different equilibrium outcomes in terms of profits and welfare. In a simple two-period model, we find that pricing policies impose less restrictive constraints on a producer of addictive goods, allowing him to attain higher equilibrium profits. In contrast, a durable goods producer is better off implementing output policies. We study the effect of instrument selection on the strategic properties of the monopolist’s intra- personal game. Intertemporal substitutabilities imply that current and future prices are strategic complements, while current and future output levels may be strategic substitutes. Intertemporal complementarities reverse the strategic properties of these instruments.