Corporate investment and financing under asymmetric information

We develop a dynamic model of corporate investment and financing decisions in which corporate insiders have superior information about the firm's growth prospects. We show that firms with positive private information can credibly signal their type to outside investors using the timing of corporate actions and their debt-equity mix. Using this result, we show that asymmetric information induces firms with good prospects to speed up investment, leading to a significant erosion of the option value of waiting to invest. Additionally, we demonstrate that informational asymmetries may not translate into a financing hierarchy or pecking order over securities. Finally, we generate a rich set of testable implications relating firms’ investment and financing strategies, abnormal announcement returns, and external financing costs to a number of managerial, firm, and industry characteristics.     

银行特许权价值的内生风险约束效应——基于中国上市银行的实证研究

本文采用托宾Q值来衡量上市银行的特许权价值,基于分阶段动态回归模型,对银行特许权价值的影响因素及其风险约束效应进行研究。实证结果显示,外生性和内生性的银行特许权价值都有显著的风险约束效应;回归结果可以通过稳健性检验。     

Interbank market frictions, international banks and growth

In developing countries and countries in transition, a lack of finance is regarded as a major reason for the underperformance of the SME sector. The financial sector does not channel funds efficiently from savers to the most efficient investment. In a general equilibrium endogenous growth model, we explain the underperformance of the SME sector by interbank market frictions. High information costs in the interbank market lead to a high loan/deposit spread and hence to a low growth equilibrium. The solution to this problem is twofold. First, central bank policy could reduce interbank information problems by providing effective bank supervision. Second, if the central bank is expected not to have sufficient monitoring capabilities, reputation and reserves, opening up the interbank market to international banks can substitute for insufficient central bank activities.The sources of this advantage in efficiency are stronger incentives for workers and managers (direct connection between effort and return), easier monitoring and greater flexibility (McIntyre 2001).     

Intertemporally dependent preferences and optimal dynamic behavior

We study a model of optimal dynamic behavior in which the intertemoral preferences preserve the time additively separable framework of Ramsey models, while exhibiting Edgeworth–Pareto complementarity between consumption in adjacent periods. We identify economic environments in which global optimal dynamics under intertemporal complementarity exhibits persistent fluctuations even though the misspecified Ramsey-type theory, under the intertemporal independence assumption, predicts monotone convergence.     

Endogenous fertility and modified Pareto-optimality

In a world of endogenous fertility, where the number of descendants is an integral part of the economic allocation, the traditional concept of Pareto-optimality cannot be applied any longer: the number of individuals to be present on earth may vary between any two allocations we wish to compare. Therefore, the concept needs to be modified in order to give new life to the discussion of economic efficiency. This work introduces a straightforward variation of the Pareto-principle and characterizes the optimality of economic allocations according to this concept. It is shown that some of the well-known traditional results on intertemporal optimality do no longer hold. In particular, lump-sum tax instruments (or the rearrangement of initial endowments) are no longer a sufficient tool to achieve efficiency. Received: March 2003, Accepted: September 2005 This work has greatly benefitted from comments by Oded Galor, Karl Shell, Vasco Santos and an excellent anonymous referee. Many thanks to the Editor of this Journal for providing an impeccable refereeing process. Support by the European Union via the Human Capital and Mobility Grant #ERBCHBICT941218 is gratefully acknowledged.     

Testing the intertemporal labor supply model: are jobs important?

The neoclassical life-cycle labor supply model assumes that hours of work are determined by labor supply choices alone and does not include a role for employers or job distinctions. An alternative model in which employers have an interest in employee hours and changing jobs is costly may reconcile weak and conflicting evidence regarding the neoclassical model. An important implication of such an alternative is that individuals may face hours constraints on a job and thus can choose hours freely only between jobs. This paper tests several implications of the neoclassical model against this alternative model of hours determination. Using a unique panel of individuals and jobs constructed using data on women from the 1988–1992 Panel Study of Income Dynamics, I compare hours variances and labor supply elasticities measured within and between jobs. Results provide some evidence against the neoclassical model and suggest that ignoring the role of employers in determining hours of work can lead to downward bias in estimates of labor supply elasticities.     

Money and growth in a cash-in-advance economy with costly credit

This paper develops a stochastic growth model with a cash-in-advance constraint, costly credit, and intermediary services. We study how the behavior of financial intermediaries affects the relationship between economic growth and the monetary system. We show that the payment that intermediaries charge for providing financial services influences the money–growth relationship. When the intermediation cost increases proportionally with credit purchases, we do not observe any influence of growth on the monetary system. When the intermediation cost is not proportional to credit purchases, growth is responsible for a transformation of the monetary system, i.e. money is relatively driven out of the economy as the economy grows.     

Agency costs and business cycles

Summary. This paper develops a model with endogenous agency costs that is otherwise quite similar to the canonical real business cycle model. The traditional assumption in the literature is that these agency costs arise in the production of investment goods. In contrast, this paper assumes that these costs are all encompassing in the sense that they arise in the production of aggregate output. The paper explores both the importance of the investment vs. output assumption for business cycle dynamics, and the conditions under which these agency models can deliver amplification and/or persistence. The paper has two principal conclusions. First, in terms of amplification and propagation, the output model performs worse than does the investment model. This arises because a variable distortion in the investment market has more of an impact than a comparable distortion in the output market. Second, in this model with optimal consumption choice by entrepreneurs, there is a clear tension between amplification and persistence. Received: December 30, 1997; revised version: April 1, 1998     

环境约束下的内生经济增长分析

由于工业化的不断发展,经济增长过程中伴随着出现了愈发严重的环境污染问题。本文通过建立环境约束下的将经济系统划分为物质生产部门和新技术研发部门的两部门内生经济增长模型,考察了环境污染、人力资本、技术创新和经济增长的关系,并运用稳态增长解来分析它们之间的理论意义以及实际意义。     

农村人力资本投资结构与内生经济增长

本文从理论上构建了农村人力资本投资结构(包括私人和公共)对农村经济增长影响的模型,运用我国四大经济地区面板数据分析了农村私人和公共教育投资与健康投资对人力资本增量的促进作用,以及人力资本增量对农村经济增长的内在影响并加以检验。结果主要表明:农村人力资本投资结构对人力资本增量,人力资本增量对农村经济增长都具有一定的正向作用;农村私人和公共人力资本投资相对强调了教育投资而轻视了健康投资;私人人力资本投资产出效率高于公共人力资本投资产出效率;四大地区农村人力资本投资额与结构都存在较为明显的差距。