Shaking the tree: an agency-theoretic model of asset pricing

Summary. In this paper, we develop an agency-theoretic extension of the Lucas asset pricing model and examine the resulting asset price dynamics. In the model, an agent of the firm can expand or contract the firms output and dividend payments in response to exogenous shocks, although expansions become increasingly costly for the agent to maintain. Analysis of numerical simulations shows that the time-series of equilibrium asset prices exhibits both significant time-varying conditional heteroskedasticity, and longer memory persistence.We would like to thank Beth Shorish for her patience and guidance during this project, as well as conference participants at the 1998 North American Econometric Society Summer Meetings, Montreal, and the 53rd Econometric Society European Meetings, Berlin for their many useful comments.     

ON THE “PRO‐POORNESS” OF GROWTH IN A MULTIDIMENSIONAL CONTEXT

This paper represents a first attempt to bring together the issues of multidimensional poverty and growth “pro‐poorness” assessments. More specifically, we suggest the use of sequential dominance procedures to test the “pro‐poorness” of observed growth spells when poverty is measured on the basis of income and another discrete well‐being attribute. Sequential procedures are also used to obtain graphical tools that are consistent with the spirit of Ravallion and Chen's growth incidence curve and Son's poverty growth curve. Contrary to traditional unidimensional tests, our method makes it possible to take into account the importance of deprivation correlations at the individual level and thus may reverse results observed with the traditional tools used to check the “pro‐poorness” of growth. An illustration of our approach is given using Turkish data for the period 2003–05.     

Modeling the dependence structure between default risk premium,equity return volatility and the jump risk: Evidence from a financial crisis

This paper investigates the dependence structure between default risk premium, equity return volatility and jump risk in the equity market before and during the subprime crisis. Using iTraxx CDS index spreads from Japanese and Australian markets, the paper models the different relationships that can exist in different ranges of behavior. We consider several Archimedean copula models with different tail dependence structures, namely, Gumbel, Clayton, Frank, AMH and Joe copulas. Although the dramatic change in the levels of the iTraxx CDS index, we find strong evidence that the dependence structure between CDS and stock market conditions is asymmetric and orienting toward the upper side. In addition, we find that the Japanese CDS market is more sensitive to the stock return volatility than the jump risk and the magnitude of this sensitivity is related to the market circumstances. However, Australian CDS market is more sensitive to the jump risk than stock return volatility before and during the financial crisis. This result has important implications for both global financial stability and default risk management. Specifically, the heterogeneity of markets, coupled with the diversity in the risk exposures cause the default risk premium and equity markets to exhibit different levels of sensitivity.     

零售企业构建农村连锁经营网络的动力机制

零售企业是深化我国农村流通体制改革的重要力量,文章结合典型企业案例分析了零售企业构建农村连锁经营网络的动力机制,研究表明规模经济、范围经济、密度经济是推动零售企业构建农村连锁经营网络的内生动力源泉。在深化农村流通体制改革中,政府和企业需要选择科学的流通创新扩散模式,充分发挥规模经济、范围经济、密度经济力量构建高效的农村连锁经营网络。     

Education and growth: A simple model with complicated dynamics

We construct a simple model of education and growth in which children spend a fraction of their time and parents spend a fraction of their income on education. Both a strategic complementarity and an intergenerational externality are present. The interactions between each pair of consecutive generations lead to rich dynamics. We show that multiple growth equilibria arise, some of them periodic and some aperiodic. We also find a negative correlation between volatility and growth, without a one‐way causal relationship between the two being, necessarily, present. Rather, this negative correlation is driven by the structural characteristics of the economy.     

What drives firms’ intent to seek strategic assets by foreign direct investment? A study of emerging economy firms

What drives firms, particularly those from emerging economies, to engage in competitive catch-up with world leaders? We study the first step leading to catch-up, namely the managerial intent to acquire strategic assets that help closing the gap. Theoretically grounded in the awareness–motivation–capability (AMC) framework of competitive dynamics, we identify key factors contributing to firms’ strategic intent to catch-up by acquiring strategic assets abroad. Using a sample of 154 Chinese firms, we find that firms’ strategic assets seeking intent of foreign direct investment is influenced by their exposure to foreign competition, their governance structure, and relevant financial and managerial capabilities.     

Investigating the impact of demand amplification on freight transport

Despite freight transport operations being influenced by supply chain dynamics, there has been only a very limited investigation into the impact of demand amplification on this function, with almost no analytical research. This paper aims, through spreadsheet simulation of a generic production control system, to quantify the impact of demand amplification on transport performance. Performance measures evaluated include both transport cost and efficiency. The results in general find a negative relationship between transport performance and demand amplification. It is also found that the ratio of vehicle capacity to average demand affects these results.     

An evolutionary Cournot oligopoly model with imitators and perfect foresight best responders

We consider the competition among quantity setting players in a linear evolutionary environment. To set their outputs, players adopt, alternatively, the best response rule having perfect foresight or an imitative rule. Players are allowed to change their behavior through an evolutionary mechanism according to which the rule with better performance will attract more followers. The relevant stationary state of the model describes a scenario where players produce at the Cournot‐Nash level. Due to the presence of imitative behavior, we find that the number of players and implementation costs, needed to the best response exploitation, have an ambiguous role in determining the stability properties of the equilibrium and double stability thresholds can be observed. Differently, the role of the intensity of choice, representing the evolutionary propensity to switch to the most profitable rule, has a destabilizing role, in line with the common occurrence in evolutionary models. The global analysis of the model reveals that increasing values of the intensity of choice parameter determine increasing dynamic complexities for the internal attractor representing a population where both decision mechanisms coexist.     

Nonlinearities in the real exchange rates: new evidence from developed and developing countries

This paper investigates nonlinearities in the dynamics of real exchange rates. We use Monte Carlo simulations to establish the size properties of the Teräsvirta-Anderson test, when the dynamics of the real exchange rate is influenced by an exogenous process. In addition, we show that a modified nonlinearity test, which includes additional right-hand-side variables, performs much better than the original in both Monte Carlo exercises and in the actual data on 1431 bilateral real exchange rate series. Finally, we investigate the dynamics of the real exchange rate for both developed and developing countries using the modified test for the recent floating period. In general, the results find a greater incidence of nonlinear dynamics for developing country real exchange rates.