On the robustness of simple and optimal monetary policy rules

This is a discussion of the paper “Simple versus Optimal Rules as Guides to Policy” by Brock, Durlauf, Nason and Rondina (BDNR) presented in November 2006 at Carnegie-Mellon University under the auspices of the Carnegie-Rochester Conference Series on Public Policy. I review the authors’ arguments, present a few suggestions for extension and outline where I think at least one strand of the literature should be heading.     

The importance of seasonal variability and tactical responses to risk on estimating the economic benefits of integrated weed management

Seasonal variability is an important source of risk faced by farmers and, regardless of an individual's attitude to risk, there are options to tactically adjust production strategies as the outcomes of risk become known. The objective of this article is to measure the economic benefits of alternative approaches to managing weeds, one of the most serious production problems in Australian cropping systems. A bioeconomic model that combines weed biology, crop growth and economics is developed to value the effects of seasonal variability and the role of tactical responses and sequential decision making in determining an optimal integrated weed management strategy. This shows that there are substantial differences in the measured long‐term benefits from deterministic and stochastic simulations. It is concluded that, for research evaluation of technologies that involve complex biological and dynamic systems, ignoring the impacts of seasonal variability, responses to risk and sequential decision making can lead to an incorrect estimate of the economic benefits of a technology. In this case study of optimal weed management strategies in Australia, the size of the error is high.     

Inverse of the Berge maximum theorem

Summary We consider an inverse of the Berge maximum theorem. We also give an application of our result to fixed point theory.     

IPv4与IPv6的比较

随着网络技术飞速发展,许多以IP为核心的网络新技术纷纷出现,IPv6就是其中一项很重要的技术,本文主要通过与目前IPv4存在问题的比较分析,从包头结构、地址格式及地址分类等方面来介绍IPv6的有关知识.     

Are corporates' target leverage ratios time-dependent?

This paper extends the stationary-leverage-ratio model to incorporate a time-dependent target leverage ratio. The theoretical hypothesis of the existence of a time-dependent target leverage ratio reflects the movement of a firm's initial target ratio toward a long-term target ratio over time. Using some simple scenarios about the time-dependence of the target leverage ratio, the numerical results show that the incorporation of the hypothesis into the stationary-leverage-ratio model is capable of producing term structures of probabilities of default that are consistent with some empirical findings. The results provide some evidences to support the hypothesis.     

两种标准条件下锦纶6帘线拉伸性能试验探讨

文章论述了分别采用GB/T9102-1988和GB/T9102-2003两种标准,对锦纶6浸胶帘线拉伸性能进行对比试验,并通过对对比试验结果的分析,推断出两组试验结果间的关系,从而为帘子布的生产、质量控制、检验和验收提供参考。     

Incentives to managers or participation of farmers in China's irrigation systems: which matters most for water savings,farmer income,and poverty?

The overall goal of our article is to better understand which matters for water savings, farmer income and poverty in China's irrigation systems: incentives to managers or participation of farmers. To pursue this goal, the article has three objectives. First, we track the evolution of water management reform, examining the practice of providing incentives to managers, and increasing the participation of farmers. Second, we identify the impact of water management reform on crop water use. Specifically, we want to measure whether or not incentives to managers and farmer participation in water management institutions affect the performance of the irrigation system. Because we also are interested in the potential results of water management reform, the article explores how changes in incentives and farmer participation affect farmer income and poverty. Based on a random sample of 51 villages and 189 farmers in four large irrigation districts in Ningxia and Henan provinces, both in China's Yellow River Basin, our results show that the two major forms of water management reform, water users' associations (WUAs) and contracting, have begun to systematically replace traditional forms of collective management. Our analysis demonstrates, however, that it is not the nominal implementation of the reform that matters, but rather it is the creation of new management institutions that offer water managers monetary incentives that lead to water savings. In contrast to the original design of China's reform policies, participation of farmers has not played a role in saving water. Importantly, given China's concerns about national food production and poverty alleviation, the reductions in water, at least in our sample sites, do not lead to reductions in income and do not increase the incidence of poverty.     

Funded pensions and intergenerational and international risk sharing in general equilibrium

We explore intergenerational and international risk sharing in a general equilibrium multiple-country model with two-tier pensions systems. The exact design of the pension system is key for the way in which risks are shared over generations. The laissez-faire market solution fails to provide an optimal allocation because the young cannot share in the financial risks. However, the existence of wage-indexed bonds combined with a pension system with a fully funded second tier that pays defined wage-indexed benefits can reproduce the first best. If wage-indexed bonds are not available, mimicking the first best is not possible, except under special circumstances. We also explore whether national pension funds want to deviate from the first best by increasing domestic equity holdings. With wage-indexed bonds this incentive is absent, while there is indeed such an incentive when wage-indexed bonds do not exist.     

The pernicious effects of contaminated data in risk management

Banks hold capital to guard against unexpected surges in losses and long freezes in financial markets. The minimum level of capital is set by banking regulators as a function of the banks’ own estimates of their risk exposures. As a result, a great challenge for both banks and regulators is to validate internal risk models. We show that a large fraction of US and international banks uses contaminated data when testing their models. In particular, most banks validate their market risk model using profit-and-loss (P/L) data that include fees and commissions and intraday trading revenues. This practice is inconsistent with the definition of the employed market risk measure. Using both bank data and simulations, we find that data contamination has dramatic implications for model validation and can lead to the acceptance of misspecified risk models. Moreover, our estimates suggest that the use of contaminated data can significantly reduce (market-risk induced) regulatory capital.