Visualizing the gains from trade,mid-1870s to 1962

Abstract

This paper explores the various personal and intellectual links between Edmund Husserl, Rudolf and Walter Eucken. Our interdisciplinary approach gives an insight into Husserl's transcendental phenomenology, Walter Eucken's Ordoliberalism as well as in the interdependency between phenomenology and economics for which Rudolf Eucken's philosophy of intellectual life plays an important role. Particular affiliations between phenomenology and economics can be found in the following topics: epistemology, the idea of man, the comprehension of liberty and the importance of legal or social orders, institutional rules and frameworks of regulations.     

ON FINITE DIMENSIONAL REALIZATIONS OF TWO-COUNTRY INTEREST RATE MODELS

This paper explores how consistent two-dimensional families of forward rate curves can be constructed on an international market. Applying the approach in Björk and Christenssen (1999) and Björk and Svensson (2001) , we study when a system of inherently infinite dimensional domestic and foreign forward rate processes in a two-country economy with spot (forward) exchange rate possesses finite dimensional realizations. In the system with the forward exchange rate, the forward interest rate equations are supplemented by a third infinite dimensional stochastic differential equation representing the forward exchange rate dynamics. We construct and fit consistent families to observed Euro and USD yields as well as the forward (spot) EUR/USD exchange rate.     

Interest Rate Dynamics and Consistent Forward Rate Curves

We consider as given an arbitrage‐free interest rate model M, and a parametrized family of forward rate curves G. We study the question as to when the given family G is consistent with the dynamics of the interest rate model M, in the sense that M actually will produce forward rate curves belonging to G. We allow the interest rate model to be driven by a multidimensional Wiener process, as well as by a marked point process, and we give necessary and sufficient conditions for consistency. As test cases, we study some popular models, obtaining both positive and negative results about consistency. We also introduce a natural exponential‐polynomial family of forward rate curves, and for this family we give necessary and sufficient conditions for the existence of consistent interest rate models with deterministic volatility functions.     

A Test for Parameter Homogeneity in CO<Subscript>2</Subscript>Panel EKC Estimations

This paper casts doubt on empirical results based on panel estimations of an “inverted-U” relationship between per capita GDP and pollution. Using a new dataset for OECD countries on carbon dioxide emissions for the period 1960–1997, we find that the crucial assumption of homogeneity across countries is problematic. Decisively rejected are model specifications that feature even weaker homogeneity assumptions than are commonly used. Furthermore, our results challenge the existence of an overall Environmental Kuznets Curve for carbon dioxide emissions.     

A constrained least square approach to the estimation of the term structure of interest rates

This paper proposes a new practical method for estimating forward rate curves using bond prices available in the market. It is intended to improve the least square estimation method proposed by Carleton and Cooper by imposing additional constraints to guarantee the smoothness of the forward rate curves. The resulting problem is a nonconvex minimization problem, for which we will propose an efficient algorithm for calculating an approximate optimal solution. Computational experiments show that this method can efficiently generate smooth forward rate curves without increasing the residual errors in terms of least square fitting. Also, we will compare this result with an alternative and more efficient constrained least absolute deviation method.     

Consumer Demand Analysis at Agriculture Canada — Past and Future

This paper traces the development of consumer demand analysis at Agriculture Canada for the period 1972 to 1982 and identifies areas for future work. The objectives of this exercise are threefold: (I) to assess existing empirical results, emphasizing problems in specifying, estimating and evaluating alternative models; (2) to make the benefit of the Canadian experience available to applied researchers in Canada and other countries who are investigating the structure of consumer demand; and (3) to provide perspective for future analyses of consumer demand.
Cet article retrace le développement de l'analyse de la demande des consommateurs de 1972 à 1982 à Agriculture Canada el ètahlit les champs d'intérét du travail à venir. Le but de cette mise en perspective se divise en trois: (1) évaleur les résullats empiriques déjà obtenus en mettant l'accent sur la spécificiation, l'estimation et l'évaluation de modeles de remplacement, (2) rendre les avantages de expérience canadienne disponible aux specialistes de la recherche appliquée du Canada et de l'étranger qui étudient la structure de la demande de consommation et, (3) fournir des perspectives pour d'éventuelles analyses de la demande des consommateurs.     

铝合金材料ε—N 曲线研究

本文分别采用 Manson—Coffin 公式和 Fu's 公式,对8条铝合金材料ε—N 曲线试验数据进行了分析、处理,并对两种公式所处理试验数据的绝对误差和相对误差作了比较。结果表明,Fu's 公式比著名的 Manson—Coffin 公式能更好地描述铝合金材料ε—N 曲线。而且 Fu's 公式还简化了ε—N 曲线的测试工作。     

The carbon Kuznets curve: A cloudy picture emitted by bad econometrics?

We discuss several major econometric problems that have been ignored in the empirical environmental Kuznets curve (EKC) literature thus far. These are: First, the use of nonlinear transformations of integrated regressors and second, in a panel context, cross-sectional dependence in the data. Both problems fundamentally invalidate the use of widely applied time series and panel unit root and cointegration techniques. We use the important special case of the relationship between GDP and CO₂ (and SO₂) emissions to show and discuss in detail that the seemingly strong evidence for an inverted U-shaped relationship between these variables obtained with commonly used methods is entirely spurious and vanishes when resorting to estimation strategies that take the discussed problems into account.     

A multiple-curve Lévy forward rate model in a two-price economy

An advanced Heath–Jarrow–Morton forward rate model driven by time-inhomogeneous Lévy processes is presented which is able to handle the recent development to multiple curves and negative interest rates. It is also able to exploit bid and ask price data. In this approach in order to model spreads between curves for different tenors, credit as well as liquidity risk is taken into account. Deterministic conditions are derived to ensure the positivity of spreads and thus the monotonicity of the curves for the various tenors. Valuation formulas for standard interest rate derivatives such as caps, floors, swaptions and digital options are established. These formulas can be evaluated numerically very fast using Fourier-based valuation methods. In order to exploit bid and ask prices we develop this approach in the context of a two-price economy. Explicit formulas for bid as well as ask prices of the derivatives are stated. A specific model framework based on normal inverse Gaussian and Gamma processes is proposed which allows for calibration to market data. Calibration results are presented based on multiple-curve bootstrapping and cap market quotes. We use data from September 2013 as well as September 2016. The latter is of particular interest since rates were deep in negative territory at that time.