Bemerkungen zum Unternehmerbegriff

Ohne Zusammenfassung     

The dynamic behavior of business loans and the prime rate

The purpose of this research is to determine the relevant variables, channels of influence, and dynamics characterizing the business-loan market. To achieve this goal the statistical approach of vector-autoregressive time-series analysis, popularized by Sims (1980, 1981) and Litterman (1979), is applied to a group of variables suggested by the portfolio and liability allocation problems of a representative bank and a representative business firm. The variance and historical decomposition analyses suggest that innovations in the level of business inventories and commercial bank financial assets are the most important casual variables in the business-loan market.     

Competing risks models in discrete time with nominal or ordinal categories of response

Two principle approaches to the modelling of competing risks in discrete time are considered. In the first approach which is based on the separation between failure and cause specific response only the causes of failure are considered as ordered. The second approach which is based on the conditional response given interval [a _t-1,a_r) is reached allows for an ordering of causes of failureand the category ‘no failure’. The latter approach is shown to be more general. It is shown that the considered competing risks models may be estimated within the framework of generalized linear models. A data set concerning duration of unemployment illustrates the approaches.     

Testing a linear regression model against nonparametric alternatives

Summary As a test statistic for testing goodness-of-fit of a linear regression model, we propose a ratio of quadratic forms measuring the distance between parametric and nonparametric fits, relative to the estimated error variance. The test statistic is a modification of the statistic suggested by H?rdle and Mammen (1988). The asymptotic distribution under the hypothesis is established. The finite sample behaviour of the test is investigated in a Monte Carlo study, and is illustrated for two applications.     

Discrimination in hire‐purchase lending by retailers of consumer durables in apartheid South Africa

A double‐hurdle partial observability model of hire‐purchase lending is specified and estimated to test for racial discrimination by retailers of consumer durables during apartheid. ‘Discrimination’ is defined as supplying no loans or less desirable loans to certain borrowers, who do not differ from more successful borrowers with respect to creditworthiness but who do differ with respect to race. There is strong evidence of discrimination. In particular, black households are 13 percentage points more likely to desire a hire‐purchase loan but not to have one supplied to them than are other households equivalent in all ways except race. Although the statistical test cannot determine whether race affected lending because lenders were bigoted or because race is correlated with unobserved characteristics correlated in turn with creditworthiness, increased access to formal loans for all South Africans could be promoted by relaxing the Usury Act and by removing from loan applications information that could reveal an applicant's race.     

Seasonal adjustment by signal extraction

Zusammenfassung In der vorliegenden Arbeit wird untersucht, ob die auf einem ARIMA-Modell basierenden Ansätze der Saisonbereinigung in der praktischen Anwendung zu verläßlicheren Ergebnissen führen als empirische Verfahren, wie etwa CENSUS X-11. Um diese Frage zu klären, wird eine Saisonbereinigung von österreichischen Arbeitsmarktdaten mit beiden Gruppen von Verfahren durchgeführt. Es werden dafür bewußt Zeitreihen gewählt, die eine stark unterschiedliche Stabilität der Saisonfigur aufweisen. Bei diesem Vergleich zeigt sich, daß auf einem Modell basierende Ansätze bei Zeitreihen mit relativ stabiler Saisonfigur zu eindeutig besseren Ergebnissen führen als empirische Verfahren. Diese Überlegenheit kann jedoch verlorengehen, wenn das als Ausgangspunkt dienende ARIMA-Modell schlecht spezifiziert ist. Für Zeitreihen mit stark schwankender Saisonfigur führen beide Gruppen von Saisonbereinigungsverfahren zu ähnlichen Ergebnissen.Seasonally adjusted data play a prominent role in assessing the current state of economic activity, but many users of seasonally adjusted data do not understand the methods by which those data are produced. It is probably unreasonable to expect a statistically unsophisticated person to understand the methods, but even trained statisticians are often mystified by these procedures. For example, CENSUS X-11, the most widely used method, applies moving averages in order to obtain seasonally adjusted figures. The basic idea behind moving averages is rather simple; they will smooth irregular fluctuations in the data. But the way in which they are used in X-11 (seeShiskin — Young — Musgrave, 1967) is extremely complex. Above all, the theoretical statistical underpinnings for this procedure are not understood at all. The only justification for its use is the fact that, in the majority of cases, X-11 produces relatively satisfactory results.

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Financial support by the Jubiläumsfonds der Oestèrreichischen Nationalbank under grant No. 2203 is acknowledged. I would like to thank Peter Burman, Johannes Ledolter, Fritz Schebeck and Erich Streißler for their helpful comments.     

From Microlevel Decisions to Landscape Changes: An Assessment of Agricultural Conservation Policies

The growth in conservation programs has created a need for modeling frameworks capable of measuring microlevel behavioral responses and macrolevel landscape changes. This paper presents an empirical model that predicts farmers' production practices and the resulting levels of agricultural runoffs at more than 42,000 agricultural sites in the upper-Mississippi river basin under alternative conservation policies. Results suggest that payments for conservation tillage and crop rotations increase the use of these conservation practices. However, the acreage response is inelastic and the programs are not likely to be cost effective on their own for addressing hypoxia problem in the Gulf of Mexico.     

Composition of Government Budget, Non-Single Peakedness, and Majority Voting

In this paper we study whether majority voting equilibria exist when preferences over public policies are not single peaked. The government levies a proportional income tax. Tax revenue is used to finance a uniform lump-sum transfer and public education. Individuals vote on the composition of the government budget. We show that the single-crossing property cannot be invoked to establish existence of a majority voting equilibrium. In a simple parametric example we find that cycles are pervasive.     

Market Participation and Share Prices

Share prices are analyzed in an overlapping generations model in which the generational size is random. This models stochastic fluctuations of market participants and can explain noninformational volatility of share prices. There exists a (stochastic) stationary equilibrium, which may be nonunique. In equilibrium, (a) the share price increases and (b) expected utility decreases with the generational size. A decline of this size below a critical level induces a crash: the stock price falls substantially, shares are undervalued, and investors' demand is restricted by illiquidity. Further, the model predicts the empirically observed positive correlation between volume of trade and absolute price changes.