Sequential point estimation of normal mean under LINEX loss function

A sequential point estimation of the mean of a normal distribution is considered under LINEX loss function. The regret of sequential procedures are obtained. Furthermore, it is shown that a sequential procedure with the sample mean as an estimate is asymptotically inadmissible. An accerelated stopping time is also considered. Received: December 1999     

Segmented asset markets and optimal exchange rate regimes

This paper revisits the issue of the optimal exchange rate regime in a flexible price environment. The key innovation is that we analyze this question in the context of environments where only a fraction of agents participate in asset market transactions (i.e., asset markets are segmented). Under this friction alternative exchange rate regimes have different implications for real allocations in the economy. In the context of this environment we show that flexible exchange rates are optimal under monetary shocks and fixed exchange rates are optimal under real shocks.     

Optimal emission-extraction policy in a world of scarcity and irreversibility

This paper extends the classical exhaustible-resource/stock-pollution model with irreversibility of pollution decay, meaning that after reaching some threshold there is no decay of the pollution stock. Within this framework, we answer the question how the potential irreversibility of pollution affects the extraction path. We investigate the conditions under which the economy will optimally adopt a reversible policy, and when it is optimal to enter the irreversible region. In the case of irreversibility it may be optimal to leave a positive amount of resource in the ground forever. As far as the optimal extraction/emission policy is concerned, several types of solutions may arise, including solutions where the economy stays at the threshold for a while. Given that different programs may satisfy the first order conditions for optimality, we further investigate when each of these is optimal. We show that it is never optimal for the economy to stay at the threshold for a while before entering the irreversible region. The optimality analysis is then illustrated by means of a calibrated example. To sum up, for any pollution level, we can identify a critical resource stock such that there exist multiple optima i.e. a reversible and an irreversible policy that yield exactly the same present value. For any resource stock below this critical value, the optimal policy is reversible whereas with large enough resources, irreversible policies outperform reversible programs.     

Efficient Timing of Retirement

This study introduces a retirement decision into the classic Merton model. A familiar result is that you should retire if and when the marginal utility of another year's wages is equal to the disutility of work. A new result is that at the point of retirement your exposure to risky assets should not jump. Under power utility and constant time preference, the retirement timing problem has a closed form solution; the nine inputs to the formula in question give rise to nine comparative-static results on retirement timing. Further specialization of preferences, to log consumption utility and zero time preference, reduces the required number of inputs to four. Journal of Economic Literature Classification Numbers: E21, G11, J26.     

Optimal tariffs,optimal taxes and economic development

Cross-section and time-series data suggest that nations substitute income taxes for tariffs as they develop. This paper confronts the data within the context of a two-country open-economy endogenous growth model in which public expenditure is financed by an optimal tariff and income tax. When the latter is subject to administrative costs, the model predicts that the government will optimally substitute the income tax for the tariff as output rises along the transition. The model is calibrated and a simulation yields time paths for the shares of total government revenue derived from the tariff and the income tax that are consistent with the data.     

Non-convex optimal portfolio sets and constant relative risk aversion

This paper shows by example that, under constant relative risk aversion (CRRA), the set of optimal portfolios can be non-convex even in the presence of a complete set of Arrow-Debreu securities. This implies that, with exclusively CRRA investors, market models without a strong distributional assumption such as that of the capital asset pricing model cannot be tested by testing the optimality of the market portfolio, or by assuming a representative investor. This demonstration extends the key result of Dybvig and Ross [Dybvig, P. H., & Ross S. A. (1982). Portfolio efficient sets. Econometrica, 50, 1525–1546], who showed an example of non-convexity with less restrictive utility assumptions but which could not apply to the case of a complete set of Arrow-Debreu securities.     

双重委托代理理论与股权集中型公司治理最优化研究综述

基于双重委托代理理论模型构建的股权集中型公司治理最优化研究,试图基于双重委托代理理论模型的构建而确立一种股权集中型公司治理问题的一般分析框架,希冀解析基于一定公司治理环境及其变迁的公司治理最优化特别是股权集中型公司治理最优化这一问题的理论涵义与实践要旨,其对于丰富公司治理理论与促进公司治理实践的重要意义不言而喻.本文由此出发,对既有相关研究进行了述评,并有基于此,就基于双重委托代理理论模型构建的股权集中型公司治理最优化研究的主要内容与关键问题进行了阐述.     

Disability insurance and optimal income taxation

This paper studies the design of disability insurance scheme when agents differ in their privately known productivity. We extend the Diamond and Mirrlees (1978) two period model to allow for agents differing ex-ante in their productivity and characterize the optimal nonlinear tax transfer that maximizes a utilitarian welfare function when per-period earnings and age are observable while individuals’ productivity and health status are not observable. We show that the induced tax/benefit scheme should exhibit a marginal income tax that decreases with age for some agents. A marginal subsidy on the young high productive income may be desirable. While the disability scheme always involves the old low productive agents to be indifferent between working and claiming disability benefits, this result is not always true for the old high productive agents. JEL Classification H55 · H23 · E62     

Monetary Policy with Uncertain Parameters

This paper shows that—in contrast to the received wisdom—uncertainty about the parameters in a dynamic macroeconomic model may lead to more aggressive monetary policy. In particular, when there is uncertainty about the persistence of inflation, it may be optimal for the central bank to respond to shocks more aggressively in order to reduce uncertainty about the future development of inflation. Uncertainty about other parameters, on the other hand, dampens the policy response.
JEL classification : E 43; E 52     

Optimal designs for a mixed interference model

This paper generalizes Kunert and Martin’s (Ann Stat 28:1728–1742, 2000) method for finding optimal designs under a fixed interference model, to find optimal designs under a mixed interference model. The results are based on the properties of information matrices in fixed and mixed models given in Markiewicz (J Stat Plan Inference 59:127–137, 1997). The method is applied to find a design which is optimal for any given variances of random neighbor effects. Research partially supported by the KBN Grant Number 5 P03A 041 21.