Macroeconomic Policy Interaction under EMU: A Dynamic Game Approach

In this article, we study macroeconomic stabilization in the Economic and Monetary Union (EMU) using a dynamic game approach. With the aid of a stylized macroeconomic model, this article analyzes the transmission and interaction of national fiscal policies and monetary policy of the European Central Bank (ECB) in the EMU. A special focus is on the effects of labor market institutions in the participating countries and of the introduction of fiscal stringency criteria like those imposed in the Stability and Growth Pact.     

Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications

In this paper we briefly present the results obtained in our paper ( Talay and Zheng 2002a ) on the convergence rate of the approximation of quantiles of the law of one component of  ( X_t )  , where  ( X_t )  is a diffusion process, when one uses a Monte Carlo method combined with the Euler discretization scheme. We consider the case where  ( X_t )  is uniformly hypoelliptic (in the sense of Condition (UH) below), or the inverse of the Malliavin covariance of the component under consideration satisfies the condition (M) below. We then show that Condition (M) seems widely satisfied in applied contexts. We particularly study financial applications: the computation of quantiles of models with stochastic volatility, the computation of the VaR of a portfolio, and the computation of a model risk measurement for the profit and loss of a misspecified hedging strategy.     

Identification of simultaneous equation models with measurement error: a computerized evaluation

Rank conditions for identification in structural models are often difficult evaluate. Here we consider simultaneous equation models with measurement error and we show that previously published rank conditions for identification are not well-suited for evaluation. An alternative rank condition is derived and a computer algebra program is presented that takes care of both the construction and the computation of the rank of the relevant Jacobian matrix. It uses the parameter restrictions as input in order to characterize the identification situation of the individual parameters in the output.     

On solving bias‐corrected non‐linear estimation equations with an application to the dynamic linear model

In a seminal paper, Mak, Journal of the Royal Statistical Society B, 55, 1993, 945, derived an efficient algorithm for solving non‐linear unbiased estimation equations. In this paper, we show that when Mak's algorithm is applied to biased estimation equations, it results in the estimates that would come from solving a bias‐corrected estimation equation, making it a consistent estimator if regularity conditions hold. In addition, the properties that Mak established for his algorithm also apply in the case of biased estimation equations but for estimates from the bias‐corrected equations. The marginal likelihood estimator is obtained when the approach is applied to both maximum likelihood and least squares estimation of the covariance matrix parameters in the general linear regression model. The new approach results in two new estimators when applied to the profile and marginal likelihood functions for estimating the lagged dependent variable coefficient in the dynamic linear regression model. Monte Carlo simulation results show the new approach leads to a better estimator when applied to the standard profile likelihood. It is therefore recommended for situations in which standard estimators are known to be biased.     

On a property of the sequential t-test

Abstract

1. Introduction. In one of his papers [1], and later in his book on sequential analysis [2], Wald introduced a general method for constructing sequential tests of composite hypotheses and applied the method to construct a sequential t-test. Since Wald devoted a considerable amount of space and mathematics on his t-test, it has been taken for granted that he proved certain optimum properties of the test. It is the purpose of this note to show that the test cannot possess one of the properties thought to hold for it.     

Examining the role of store design on consumers’ cross-sectional perceptions of retail brand loyalty

This paper compares new and established store design prototypes of the same retailer to examine the role of consumers’ cross-sectional perceptions of retail brand loyalty. In-store surveys were administered to capture consumers’ store-level perceptions towards a new store prototype and an older established prototype of the same fast fashion retailer. The data was subjected to multi-group analyzes with structural equations modeling. The findings suggest that store novelty and complexity promote both store design pleasure and retail brand loyalty outcomes. The different store designs do not, however, account for differences in brand loyalty perceptions at the overall retailer level when multi-group comparisons of both store designs are made. Consumers of newer store designs are found to possess a heightened sensitivity to price perceptions. Managerial implications of the effects of store novelty and complexity on retail brand loyalty are also presented.     

A Primer on Moderated Mediation Analysis: Exploring Logistics Involvement in New Product Development

Theorizing and empirically testing moderated mediation hypotheses allows logistics and supply chain management (L&SCM) scholars to extend the boundaries of our current understanding by examining how, when, and why relationships arise between constructs central to our theories. However, while moderated mediation analyses can enrich theory in L&SCM, they are few in number, likely due to the complexities associated with their execution. In this article, we provide a didactic treatment for executing moderated mediation analysis. We do so using primary data regarding logistics involvement in new product development. In the hopes of spurring greater application of moderated mediation in L&SCM, we devise a series of recommendations that guide scholars through the process of conducting such analyses. These recommendations extend prior treatments by explaining how to address challenges associated with devising theories to undergird moderated mediation hypotheses, measuring constructs using multiple indicators, providing guidance for detecting influential cases that can unduly affect results, and integrating what results should be reported.     

ELUSIVE PERSISTENCE: WAGE AND PRICE RIGIDITIES,THE NEW KEYNESIAN PHILLIPS CURVE AND INFLATION DYNAMICS

Abstract We review the main New Keynesian inflation equations that have arisen as a result of aggregation from individual firms' price rigidities. We find that, on the whole, they cannot account for inflation persistence, a key feature of the empirical dynamics of inflation, and with important policy implications. The only exceptions seem to be when indexation is allowed in price setting or when price stickiness is combined with wage rigidity and staggering.     

The use of the scaling property in a frontier analysis of a system of equations

ABSTRACT

This article presents a one-stage efficiency frontier analysis based on the scaling property. This type of analysis is a not very often applied in empirical work in spite of its nice features. Due to the scaling property the influence of exogenous (managerial) variables on efficiency can be modelled and estimated in one stage. It also opens the possibility of estimating a system of equations, consisting of a cost function and the corresponding cost share equations. The model is applied to a unique data set of Dutch secondary education school boards in the period 2007–10, not only consisting of regular data on cost, inputs and outputs, but also of specific data on operational management. The model provides reliable and plausible estimates for the cost efficiency, scale elasticity, and technical change. Average cost efficiency is about 96%. Economies of scale prevail for school boards with size less than 0.8 times average size, whereas annual productivity growth is 2.2% on average.