购销广告中的数学学问

本文通过对需求市场的分析，得出人们的潜在购买量随广告费的增加而增大。但实际需求量是随机的。为使问题简化，并做出定量分析，本文假定实际需求量服从均匀分布，并用数学方法确定广告费和购进量的最优值。     

Inflation Adjustment and Labour Market Structures: Evidence from a Multi‐country Study*

The impact of labour market structures on the response of inflation to macroeconomic shocks is analysed empirically. Results based on a 20‐country panel show that if labour market coordination is high, the effect on inflation of movements in unemployment, import prices, tax rates and productivity is dampened, both on impact and dynamically. In contrast, monopoly power in labour supply, measured by the percentage unionisation of the workforce, appears to amplify the response of inflation to its reduced‐form determinants. These findings are attributed to the behaviour of wages following movements in demand‐ and supply‐side conditions.     

The Relationship between Federal Deficits and Real Interest Rates

Real interest rates fluctuated a great deal since the 1970s. In the 1980s federal deficits accelerated and their impact on both nominal and real interest rates gained lots of attention. Based on monthly and quarterly data from January 1971 to December 1997 it is found that federal deficits had significant positive effect on the real interest rates: Personal income or consumption are found to have significant positive impact on the real interest rates, whereas expected inflation and money supply are found to have negative impact on the real interest rates. These findings are consistent with the conventional economic theory.     

Do Inflation‐Linked Bonds Still Diversify?

The diversifying power of inflation-linked (IL) bonds relative to traditional asset classes has changed significantly. In this paper, we study the dynamics of conditional volatilities and correlations for three asset classes, IL bonds, nominal bonds and equities, in the USA and Europe. Using a DCC-MVGARCH for the period 1997–2007, we highlight the change that took place in 2003. Although IL bonds once had definite diversification power, they are now highly correlated with nominal bonds and have reached similar volatility levels. As a result, the two asset classes are practically substitutable. This seems to be due to more stable inflation expectations and to a more liquid IL bond market. Although diversification was a valuable reason for introducing IL bonds in a global portfolio before 2003, this is no longer the case. Dynamic portfolio optimisation using our estimates of conditional correlations and volatilities clearly demonstrates that the optimal weight of IL bonds in a portfolio decreased sharply in 2003 in favour of nominal bonds and equities.     

An analysis of snow options for ski resort establishments

This study proposes a pricing method for put options on snow level for tourism establishments operating in Palandoken ski resort in the east of Turkey. In the calculation of put prices historical densities and Edgeworth adjusted densities methods together with Alaton, Djehiche, and Stillberger (2002) method have been applied. The findings show that there may be significant differences in the prices calculated by the three different methods, hence enabling both parties, i.e. buyers and sellers, with bases in the negotiation process. As the study is primarily aimed at providing a framework for pricing put options on snow levels in general, it is expected that it would be of use not only for this particular ski resort but also for various ski resorts in the world.     

Optimality in an OLG model with nonsmooth preferences

It is a well-known observation that, in the overlapping generations (OLG) model with the complete market, we can judge optimality of an equilibrium allocation by examining the associated equilibrium price. Motivated by recent development in decision theory under ambiguity, this study reexamines the above observation in a stochastic OLG model with convex but not necessarily smooth preferences. It is shown that optimality of an equilibrium allocation depends on the set of possible supporting prices, not necessarily on the associated equilibrium price itself. Therefore, observations of an equilibrium price do not necessarily tell us precise information on optimality of the equilibrium allocation.     

Socially optimal replacement of conventional with electric vehicles for the US household fleet

In this study, a framework is proposed for minimizing the societal cost of replacing gas-powered household passenger cars with battery electric ones (BEVs). The societal cost consists of operational costs of heterogeneous driving patterns' cars, government investments for charging deployment, and monetized environmental externalities. The optimization framework determines the timeframe needed for conventional vehicles to be replaced with BEVs. It also determines the BEVs driving range during the planning timeframe, as well as the density of public chargers deployed on a linear transportation network over time. We leverage data sets that represent US household driving patterns, as well as the automobile and the energy markets, to apply the model. Results indicate that it takes 8 years for 80% of our conventional vehicle sample to be replaced with electric vehicles, under the base case scenario. The socially optimal all-electric driving range is 204 miles, with chargers placed every 172 miles on a linear corridor. All public chargers should be deployed at the beginning of the planning horizon to achieve greater savings over the years. Sensitivity analysis reveals that the timeframe for the socially optimal conversion of 80% of the sample varies from 6 to 12 years. The optimal decision variables are sensitive to battery pack and vehicle body cost, gasoline cost, the discount rate, and conventional vehicles' fuel economy. Faster conventional vehicle replacement is achieved when the gasoline cost increases, electricity cost decreases, and battery packs become cheaper over the years.     

Knowledge distance and R&D collaboration in Cournot oligopoly

A Cournot collaboration game is complemented with the hypothesis that the cost of R&D collaboration depends on firm’s directed knowledge distance with respect to potential R&D partners. The further hypothesis that directed distance may be non‐uniform and pair‐wise asymmetric reconciles theoretical predictions with qualitative evidence about concentration and multiplicity of components in industrial R&D networks. The welfare properties of sparse stable networks are also affected.     

MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH

Motivated by the European sovereign debt crisis, we propose a hybrid sovereign default model that combines an accessible part taking into account the evolution of the sovereign solvency and the impact of critical political events, and a totally inaccessible part for the idiosyncratic credit risk. We obtain closed‐form formulas for the probability that the default occurs at critical political dates in a Markovian setting. Moreover, we introduce a generalized density framework for the hybrid default time and deduce the compensator process of default. Finally, we apply the hybrid model and the generalized density to the valuation of sovereign bonds and explain the significant jumps in long‐term government bond yields during the sovereign crisis.     

Advertising to the masses: the effects of crowding on the attention to place-based advertising

Advertising situated in environments where people congregate or pass through on their way to somewhere else benefit from being placed in such high traffic areas. However, these strategically placed ads also suffer from conditions of human crowding that prevents them from being noticed and processed. We undertake a study of place-based advertising in a shopping mall using facial recognition software to determine the effect of human density on the attention directed to advertising. We find that as human density increases, attention to advertising decreases, but only to a point where it begins to increase again. Our research also finds that human density plays a moderating role on the motivation to process advertising.