Robustness of a fixed-rent contract in a standard agency model

Summary. It is well known that there are infinitely many incentive contracts that achieve the full information outcome in the standard agency model when the agent is risk-neutral. However, since Harris and Raviv (1979), the fixed-rent contract has been the focal point among those infinitely many first-best contracts. This paper examines whether the fixed-rent contract is robust or not in various circumstances.Received: 6 June 2002, Revised: 9 June 2003, JEL Classification Numbers: J41, D82.Correspondence to: Susheng WangThe first authors work was supported by the Brain Korea 21 Project in 2003, and the grant for the Reform of university Education under the Brain Korea 21 Project of S.N.U. in 2001.     

Endogenous objectives and the evaluation of targeting rules for monetary policy

Recent research in monetary economics has followed the advice of McCallum [1988. Robustness properties of a rule for monetary policy. Carnegie-Rochester Conference Series on Public Policy 29, 173-203] and investigated the robustness properties of monetary policy rules by evaluating them in a variety of models. Evaluation across models is typically based on an exogenously specified loss function. However, the theory on which many recent monetary policy models are based implies that changes in the structure of the model also have consequences for the policy objectives the central bank should pursue. Objectives are endogenous, not exogenous to the model. In this paper, I investigate the impact of endogenous objectives on the evaluation of targeting rules for monetary policy.     

Why China＇s Public-Listed Firms Use Currency Derivatives

本文利用2005—2010年我国上市公司使用外汇衍生品的数据,分析公司使用外汇衍生品行为的影响因素,从而对破产成本等假设进行验证。研究发现,财务状况、投资机会等指标是使用衍生品的影响因素。本文还分析了公司的股权结构、产权性质、市场化程度、政治关联度对使用衍生品的影响,使用连续变量的稳健性检验支持了本文的结论。论文拓展了外汇衍生品使用动机的研究,在规范上市公司衍生品信息披露和加强公司衍生品行为监管方面提出了相应的政策建议。     

How to improve the performances of DEA/FDH estimators in the presence of noise?

In frontier analysis, most nonparametric approaches (DEA, FDH) are based on envelopment ideas which assume that with probability one, all observed units belong to the attainable set. In these “deterministic” frontier models, statistical inference is now possible, by using bootstrap procedures. In the presence of noise, envelopment estimators could behave dramatically since they are very sensitive to extreme observations that might result only from noise. DEA/FDH techniques would provide estimators with an error of the order of the standard deviation of the noise. This paper adapts some recent results on detecting change points [Hall P, Simar L (2002) J Am Stat Assoc 97:523–534] to improve the performances of the classical DEA/FDH estimators in the presence of noise. We show by simulated examples that the procedure works well, and better than the standard DEA/FDH estimators, when the noise is of moderate size in term of signal to noise ratio. It turns out that the procedure is also robust to outliers. The paper can be seen as a first attempt to formalize stochastic DEA/FDH estimators.      

MIS‐SPECIFICATION TESTING IN RETROSPECT

The primary objective of this paper is threefold. First, to undertake a retrospective view of Mis‐Specification (M‐S) testing, going back to the early 20th century, with a view to (i) place it in the broader context of modeling and inference and (ii) bring out some of its special features. Second, to call into question several widely used arguments undermining the importance of M‐S testing in favor of relying on weak probabilistic assumptions in conjunction with generic robustness claims and asymptotic inference. Third, to bring out the crucial role of M‐S testing in securing trustworthy inference results. This is achieved by extending/modifying Fisher's statistical framework with a view to draw a clear line between the modeling and the inference facets of statistical induction. The proposed framework untangles the statistical from the substantive (structural) model and focuses on how to secure the adequacy of the statistical model before probing for substantive adequacy. A case is made for using joint M‐S tests based on custom‐built auxiliary regressions with a view to enhance the effectiveness and reliability of probing for potential statistical misspecifications.     

打造弹性供应链

在新的经济环境下,企业广泛采用“精益生产”、全球采购、业务外包、集中化等策略,使得现代供应链比以往任何时候都更容易遭受风险的影响。由于中断风险是供应链的一项固有特性,要完全避免是不可能的。正确的做法是增强供应链的弹性,使供应链发生中断后能迅速恢复过来。本文论述了供应链弹性的基本含义,对“鲁棒”供应链与弹性供应链的特性进行了比较,探讨了供应链弹性创造竞争优势的机理。最后,详细阐述了打造弹性供应链的策略。     

‘Expected utility / subjective probability’ analysis without the sure-thing principle or probabilistic sophistication

Summary. The basic analytical concepts, tools and results of the classical expected utility/subjective probability model of risk preferences and beliefs under subjective uncertainty can be extended to general event-smooth preferences over subjective acts that do not necessarily satisfy either of the key behavioral assumptions of the classical model, namely the Sure-Thing Principle or the Hypothesis of Probabilistic Sophistication. This is accomplished by a technique analogous to that used by Machina (1982) and others to generalize expected utility analysis under objective uncertainty, combined with an event-theoretic approach to the classical model and the use of a special class of subjective events, acts and mixtures that exhibit almost-objective like properties. The classical expected utility/subjective probability characterizations of outcome monotonicity, outcome derivatives, probabilistic sophistication, comparative and relative subjective likelihood, and comparative risk aversion are all globally robustified to general event-smooth preferences over subjective acts.Received: 4 May 2004, Revised: 4 October 2004, JEL Classification Numbers: D81.This paper presents a considerably improved version of the concept of event-differentiability from Machina (1992). An alternative definition has been independently developed by Epstein (1999) in his analysis of the concept of uncertainty aversion. I am grateful to Kenneth Arrow, Mark Durst, Jürgen Eichberger, Daniel Ellsberg, Clive Granger, Simon Grant, Edi Karni, Peter Klibanoff, David Kreps, Duncan Luce, Robert Nau, Uzi Segal, Peter Wakker, Joel Watson and especially Larry Epstein, Ted Groves and Joel Sobel for helpful discussions and comments. This material is based upon work supported by the National Science Foundation under Grants No. 9209012 and 9870894.     

Study of the topology and robustness of airline route networks from the complex network approach: a survey and research agenda

Communication via air routes is an important issue in a world organized around a web city network. In this context, the robustness of network infrastructures, e.g. air transport networks, are a central issue in transport geography. Disruption of communication links by intentional causes (e.g., terrorist attack on an airport) or unintentional (e.g., weather inclemency) could be crucial for countries, regions and even the airlines affected themselves. Policymakers and the management of airlines and alliances should be able to reduce the effects of such interruptions in order to ensure good communication through air transport (i.e., maximize the robustness of their network at a reasonable cost). The literature review of the study of air transport route networks through an analysis of complex networks has highlighted a lack of contributions to the study of the topology and the robustness of such networks which contrasts, with advances undertaken for other transport networks or communication systems. This survey suggests areas in which research should be undertaken, based on the existing literature in other areas and from three different perspectives: global route networks, airline alliances, airlines and airports so as to help towards a better understanding of air traffic and, therefore, to be able to assess the potential damage of any airport being inoperative for a continent, country or airline.     

On the relationship between robustness to incomplete information and noise-independent selection in global games

This note demonstrates that a symmetric 3×3 supermodular game may fail to have any equilibrium robust to incomplete information. Since the global game solution in symmetric 3×3 supermodular games is known to be independent of the noise structure, this result implies that a noise-independent selection in global games may not be a robust equilibrium. Our proof reveals that the assumption in global games that the noise errors are independent of the state imposes a non-trivial restriction on incomplete information perturbations.     

It's all the miners' fault: On the nonlinearity in U.S. unemployment rates

The U.S. unemployment rate is generally regarded as nonlinear. In this study, we show that if there had been no miners' general strike in October of 1949, and if the aggregate unemployment rate had been 0.3% lower during that month, the 1948–2002 U.S. unemployment rate would have been linear. Hence, just a single alteration of past events would have resulted in significantly different findings regarding the linearity in the U.S. unemployment rate. This finding illustrates a need for linearity tests to be developed that are robust against the effects of outliers.