Scarcity and appropriative competition

This paper formalizes the commonsensical hypothesis that resource scarcity causes a large allocation of time and effort to appropriative competition. Our main innovation is to model explicitly the positive intertemporal effect of consumption on the probability of survival. The critical assumption is that this effect becomes stronger as resources become scarcer. We also show that anticipated future resource abundance increases the incremental value of survival and, consequently, amplifies the current allocation of time and effort to appropriative competition. Interestingly, if resources are currently scarce, then larger anticipated future abundance can cause a big enough increase in the time and effort allocated to appropriative competition to result in a decrease in the sum of current and expected future utility, a “paradox of anticipated abundance”.     

General‐to‐Specific Model Selection Procedures for Structural Vector Autoregressions*

Structural vector autoregressive (SVAR) models have emerged as a dominant research strategy in empirical macroeconomics, but suffer from the large number of parameters employed and the resulting estimation uncertainty associated with their impulse responses. In this paper, we propose general‐to‐specific (Gets) model selection procedures to overcome these limitations. It is shown that single‐equation procedures are generally efficient for the reduction of recursive SVAR models. The small‐sample properties of the proposed reduction procedure (as implemented using PcGets) are evaluated in a realistic Monte Carlo experiment. The impulse responses generated by the selected SVAR are found to be more precise and accurate than those of the unrestricted VAR. The proposed reduction strategy is then applied to the US monetary system considered by Christiano, Eichenbaum and Evans (Review of Economics and Statistics, Vol. 78, pp. 16–34, 1996) . The results are consistent with the Monte Carlo and question the validity of the impulse responses generated by the full system.     

Syndicated Loan Announcements and Borrower Value

Announcements of syndication loans increase borrowers' shareholder wealth if they are revolving credit agreements but not if they are term loans. Share price responses to revolving credit announcements are positive and significant, whereas the wealth effect for term loans is negative and significant. The results show that announcements from both the financial press and commercial information providers can affect borrower share price reaction. Overall, single syndication announcements appear to be more newsworthy than multiple announcements reported in the financial press, and we find evidence of information leakage, post‐announcement drift, or both.     

Noise Trading and the Management of Operational Risk; Firms,Traders and Irrationality in Financial Markets*

abstract Efficient market models cannot explain the high level of trading in financial markets in terms of asset portfolio adjustment. It is presumed that much of this excessive trading is irrational ‘noise’ trading. A corollary is that there must either be irrational traders in the market or rational traders with irrational aberrations. The paper reviews the various attempts to explain noise trading in the finance literature, concluding that the persistence of irrationality is not well explained. Data from a study of 118 traders in four large investment banks are presented to advance reasons why traders might seek to trade more frequently than financial models predict. The argument is advanced that trades do not simply occur in order to generate profit, but it does not follow that such trading is irrational. Trading may generate information, accelerate learning, create commitments and enhance social capital, all of which sustain traders' long term survival in the market. The paper treats noise trading as a form of operational risk facing firms operating in financial markets and discusses approaches to the management of such risk.     

The dynamics of moonlighting in Russia1

This paper uses the Russian Longitudinal Monitoring Survey (RLMS) to analyse the dynamics of moonlighting by the working‐age population. We find that moonlighting is transitory and that a desire to switch jobs expressed in the past is positively related to moonlighting in the present and to actual job changes in the future. We also find that workers who moonlighted as self‐employed in the past represent 26.5 percent of the new self‐employed. These results suggest that moonlighting in Russia can be seen as an effective incubator for setting up new self‐employed businesses, thereby providing long‐term benefits for the economy.     

润滑油营销竞争聚焦零售渠道再造--快速换油中心模式探析

中国的润滑油行业是一个极具潜量而又竞争激烈的产业。中国汽车消费的快速增长极大地推动和刺激了润滑油的消费。随着中国润滑油市场从卖方市场进入买方市场的转变，竞争手段已经从传统的产品、价格、促销等方面逐步转向更为重要的销售渠道以及服务的竞争。快速换油中心可能成为我国润滑油行业非常具有潜力的一种运作模式，并通过特证连锁经营方式迅速发展起来。     

外贸公司，奶酪还有多大

2006年2月10日，厦门第一家纯外资贸易公司——亿明（厦门）贸易有限公司成立。注册资金仅2000万日元，虽然市外贸局外贸处曾文生处长对记者表示，这家公司还没有到厦门市贸易发展局登记。但外界纷言。亿明（厦门）贸易有限公司的成立，有着特殊意义，标志着更规范意义上的跨国公司采购时代来临了。尽管它的成立比法国欧尚进入上海晚了4年。[编者按]     

Improved estimation of portfolio value‐at‐risk under copula models with mixed marginals

Portfolio value‐at‐risk (PVAR) is widely used in practice, but recent criticisms have focused on risks arising from biased PVAR estimates due to model specification errors and other problems. The PVAR estimation method proposed in this article combines generalized Pareto distribution tails with the empirical density function to model the marginal distributions for each asset in the portfolio, and a copula model is used to form a joint distribution from the fitted marginals. The copula–mixed distribution (CMX) approach converges in probability to the true marginal return distribution but is based on weaker assumptions that may be appropriate for the returns data found in practice. CMX is used to estimate the joint distribution of log returns for the Taiwan Stock Exchange (TSE) index and the associated futures contracts on SGX and TAIFEX. The PVAR estimates for various hedge portfolios are computed from the fitted CMX model, and backtesting diagnostics indicate that CMX outperforms the alternative PVAR estimators. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:997–1018, 2006     

碳税循环政策对中国农村能源结构调整的作用——基于CGE模型的政策讨论

本文立足中国二元经济体系影响依然存在的社会现实，构建了基于CHAYANOV农民模型假设基础之上的CGE模型。并从二氧化碳减排、缓解常规能源供给压力的能源可持续发展角度出发，提出在常规能源部门收入碳税补贴现代生物质能发展的政策建议。文中重点分析了碳税循环政策实施后城乡两部门的社会经济综合变化，对碳税实施的假设给予充分肯定。     

武汉与我国三大经济中心城市的产业结构比较分析

20世纪90年代以来,随着中部地区发展的滞后,武汉市城市聚散和辐射功能日益难以承担中部经济中心的功能。基于2000~2006年武汉与北京、上海、广州等中心城市城市产业结构截面数据,本文采用区位商和资金利税率偏离度模型对比分解各城市产业结构指标,试图找出武汉未能担当中部经济中心的原因。研究表明:武汉产业结构老化,资金利用效率低下,金融业发展滞后是制约武汉成为经济中心城市的核心原因。在武汉的产业结构未来选择中,金融业、商贸物流业、汽车制造业、信息产业应成为未来产业发展主要方向。