A corporate balance-sheet approach to currency crises

This paper presents a general equilibrium currency crisis model of the ‘third generation’, in which the possibility of currency crises is driven by the interplay between private firms’ credit-constraints and nominal price rigidities. Despite our emphasis on microfoundations, the model remains sufficiently simple that the policy analysis can be conducted graphically. The analysis hinges on four main features (i) ex post deviations from purchasing power parity; (ii) credit constraints a la Bernanke-Gertler; (iii) foreign currency borrowing by domestic firms; (iv) a competitive banking sector lending to firms and holding reserves and a monetary policy conducted either through open market operations or short-term lending facilities. We derive sufficient conditions for the existence of a sunspot equilibrium with currency crises. We show that an interest rate increase intended to support the currency in a crisis may not be effective, but that a relaxation of short-term lending facilities can make this policy effective by attenuating the rise in interest rates relevant to firms.     

Eurosystem monetary targeting: Lessons from U.S. data

Using a small empirical model of inflation, output, and money estimated on U.S. data, we compare the relative performance of monetary targeting and inflation targeting. The results show monetary targeting to be quite inefficient, yielding both higher inflation and output variability. This is true even with a nonstochastic money demand formulation. Our results are also robust to using a P∗ model of inflation. Therefore, in these popular frameworks, there is no support for the prominent role given to money growth in the Eurosystem's monetary policy strategy.     

Employment changes, the structure of adjustment costs, and plant size

In this paper, we analyze the pattern of employment adjustment using a rich panel of Norwegian plants. The data suggest that the frequency of episodes of zero net employment changes is inversely related to plant size. We develop and estimate a simple “q” model of labor demand, allowing for the presence of fixed, linear and quadratic components of adjustment costs. The econometric evidence supports the existence of purely fixed components, unrelated to plant size. As a result, the range of inaction is wider for smaller plants. The quadratic component of costs is also always important. In most specifications fixed costs are higher for employment contractions. The quadratic component is higher during employment contractions compared to expansions for small plants, while this is not true for larger plants.     

Unit and Fractional Roots at the Long Run and the Seasonal Frequencies in Macroeconomic Time Series

In this article, we show that macroeconomic time series may contain unit and fractional roots at both, at zero and at zero and at the seasonal frequencies. The importance of the root at the long run or zero frequency requires in many cases to consider this root at both, separately in an independent polynomial, and also included in the seasonal one. Several Monte Carlo experiments are conducted to examine cases when the root at the zero frequency is not appropriately considered. An empirical application based on the tests of Robinson, Peter M. “Efficient Tests of Nonstationary Hypotheses,” Journal of the American Statistical Association, 89, 1994, pp. 1420–37 is also carried out at the end of the article.The author gratefully acknowledges financial support from the Government of Navarra (“Ayudas de Formación e Investigación y Desarrollo”).     

Existence of a Pareto-optimal equilibrium in nearly-stationary overlapping-generations economies

Summary In overlapping-generations models of fiat money, the existence of a Pareto-optimal equilibrium — which defines an optimal quantity of money — is more general than well-known counter-examples suggest. Those examples, having no optimal equilibrium just because there are small variations in households' tastes and endowments across generations, are not typical. On the contrary: For an open-dense, full-measure subset of smooth stationary economies and an open-dense subset of continuous stationary economies, introducing small variations in tastes and endowments across generations preserves the existence of an optimal equilibrium. Put simply, optimal equilibria generically exist for nearly-stationary economies.I thank Scott Freeman, Katsuhiko Kawai, and two referees for proofreading this text; all lead to clarifications.     

中国股票市场市盈率的检验分析

市盈率高低是我国股市的关注焦点之一。本文在比较国外证券市场的市盈率之后认为我国的市盈率偏高。这种推测得到我们理论研究和模型结论的支持,我国股市市盈率由于系统风险的掩藏、股票初始发行价偏高和股市投机性等因素而呈现较高的倍数。从2004年我国股市市盈率开始下降,逐渐接近我们模型的估计值。此外,我们实证分析认为,市盈率的高低与GDP增长、股票收益波动和国有股比重等因素不存在严格的变动关系,市盈率呈现出一种随机游走的态势,市盈率不是稳定的区间值,而是一系列的动态的时间序列变量值。     

可转换债券市场价格与其基准股票市盈率关系初探

本文试图探讨可转换债券市场价格与其基准股票市盈率间的关系。从理论上分析,市盈率作为一个较易获得的市场指标,包含了上市公司增长机会(growth opportunity)的信息,反映了投资者对未来股价上升的预期。同时可转换债券的价格对其基准股票价格未来上升的可能性十分敏感,因此市盈率与可转换债券市场价格间应存在一定关系。但根据对上海证券交易所转债的实证分析得到:目前我国转债的市场价格与其基准股票市盈率间的关系并不显著,因而市盈率指标不能作为判断转债投资价值的有效依据。     

模糊自动控制理论在高速公路机电设备中的应用

文章介绍了在直流并励电动机控制中引进模糊自动控制,可以实现电动机恒流起动、恒速运行,降低电机的故障率,保障它的运行。     

Less Government—More Wealth? On the Macroeconomics of a Smaller Public Sector in Europe

In this paper, we analyze the reactions of European economies to a fiscal policy strategy aiming at diminishing the public sector. Within the framework of the MSG3 model, a macroeconomic model of the world economy, we perform several simulation experiments to explore the effects of reducing government expenditures permanently in different phases of the business cycle. For this purpose, we combine the fiscal contraction with negative and positive, Euro Area-wide and global, supply and demand shocks. It turns out that adverse Keynesian effects on output and employment tend to be mostly weak and short-lived, whereas long-run effects on output and employment are favorable. Due to these long-run effects, the fiscal contraction policy raises welfare as measured by an asymmetric quadratic objective function. The size of these welfare effects depends on the initial situation in a non-trivial manner.     

Strategic spin-offs of input divisions

When a downstream producer enters backward into the input market, a “helping the rivals effect” exists: Such entry hurts the firm's downstream business as it increases upstream competition and thus benefits its rival downstream firms. This negative externality prevents the newly-created upstream unit from expanding. A spin-off enables the firm to credibly expand in the input market, thereby forcing its upstream competitors to behave less aggressively. Spin-offs occur in equilibrium if and only if the number of downstream firms exceeds a threshold level. When there is more than one integrated firm, a spin-off by a firm can trigger spin-offs by others that would not occur otherwise.