Central bank interventions and jumps in double long memory models of daily exchange rates

In this paper, we estimate ARFIMA–FIGARCH models for the major exchange rates (against the US dollar) which have been subject to direct central bank interventions in the last decades. We show that the normality assumption is not adequate due to the occurrence of volatility outliers and its rejection is related to these interventions. Consequently, we rely on a normal mixture distribution that allows for endogenously determined jumps in the process governing the exchange rate dynamics. This distribution performs rather well and is found to be important for the estimation of the persistence of volatility shocks. Introducing a time-varying jump probability associated to central bank interventions, we find that the central bank interventions, conducted in either a coordinated or unilateral way, induce a jump in the process and tend to increase exchange rate volatility.     

Motivating Employees towards Sustainable Behaviour

Workers engaging in voluntary and unrewarded environmental actions that go above and beyond their job requirements in an organizational setting can crucially contribute to a reduced environmental impact of organizations. This research investigates some of the factors that may contribute to the emergence of such organizational citizenship behaviour directed towards the environment (OCBE). The hypotheses predicted employees' concern for the environment, employees' perceived organizational support for environmental efforts and organizational commitment as antecedents of OCBE. Employees from two organizations (n = 547) completed an online survey. Controlling for organizational tenure, a significant relationship between (a) employees' concern for their environment and OCBE, (b) perceived organizational support for environment efforts and OCBE and (c) organizational commitment and OCBE were found. Furthermore, organizational commitment mediated the relationship between perceived organizational support for environmental efforts and OCBE, but not environmental concern. This study's insights into the factors that can drive employees' engagement in small, voluntary environmental actions at work can guide organizations wishing to encourage such behaviours. Copyright © 2013 John Wiley & Sons, Ltd and ERP Environment     

能源系统动力学应用研究综述

对系统动力学理论在国内外的发展过程以及其在不同领域的广泛应用进行研究,概括了能源系统动力学的实质是系统动力学理论与SD模型在分析各类能源问题的实证研究与应用,报告了能源系统动力学国内外研究现状,总结了系统动力学在能源领域的应用以及其对环境保护、经济发展、社会进步等方面的贡献,并在此基础上展望了能源系统动力学在大数据时代与数据挖掘及GIS等理论结合研究的方向.     

Does the labor-income process contain a unit root? Evidence from individual-specific time series

Calibrations of models related to life-cycle behavior of consumption and saving often invoke the important assumption of a unit root in individuals׳ labor-income process. We for the first time test this assumption using methods for univariate time series. Based on longitudinal register data from 1968 to 2005, we first estimate an autoregressive model for each individual using a method for approximately median-unbiased estimation. We then exploit the resulting distribution of the individual-specific estimates to draw inference about the presence of a unit root. Results indicate that earnings for the representative worker are governed by a process where shocks to earnings have moderate persistence and are both economically and statistically significantly different from having permanent effects. These results question the heavy use of unit-root processes for earnings.     

Intra-market sovereign linkages of key Latin American markets

This paper tests the intra-market dynamics in a regional setting using country-specific international bonds differentiated only by maturity within individual markets in the Latin American region. We use the 2001 Argentine default as a natural experiment in this study to examine how intra-market dynamics evolved in the presence of a credit event in the region. This paper argues that emerging market instruments have a stronger tendency to tie up with instruments within markets rather than across markets as found in the literature. The long-run equilibrium relationships tend to be stronger across instruments within each market and generate economically insignificant portfolio adjustment weights. Strong interaction across instruments within markets in terms of first order dependencies has important implications for market participants, practitioners and policymakers.     

Household indebtedness in Korea: Its causes and sustainability

This paper investigates why household debt in Korea has increased so rapidly over the past decade and whether it is sustainable, adopting a multi-faceted approach which includes a time series analysis, a quantitative analysis based on household panel data, and an analysis using a debt dynamics equation derived from the household budget constraint. A regression analysis reveals that household debt growth has been significantly related to house price increases, banks’ lax attitudes toward household lending, and financial institutions’ favorable funding conditions. Also 70–80% of the total debt increase has been accounted for by high income or newly indebted households. The debt dynamics equation analysis shows that the rapid rise in the ratio of household debt to disposable income is attributable not only to the increase in household asset purchases but also to the dampened growth in disposable income and the reduced savings rate. The sustainability analyses indicate that Korean households’ debt sustainability is unlikely to deteriorate sharply within a short period of time unless two extreme scenarios, under which house prices decline by 5% a year over the next five years, or a significantly large macroeconomic shock similar to the 1997 crisis hits the economy, would be realized.     

Firm resources,competitive actions and performance: investigating a mediated model with evidence from the in‐vitro diagnostics industry

Building on the resource‐based view (RBV) and competitive dynamics literatures, this paper proposes that considering resources or actions independently offers an incomplete understanding of the drivers of superior performance. Instead, we hypothesize that resources enable competitive actions and that when these actions leverage the firm's resources, superior performance results. We tested these hypotheses with panelized data on the technological resources and competitive actions of firms in the in‐vitro medical diagnostic substance manufacturing industry. The results provide substantial support for our hypotheses, specifically with respect to mediation. Our theory and results underscore how the integration of the competitive dynamics and RBV literatures can significantly improve our understanding of firm performance. Copyright © 2011 John Wiley & Sons, Ltd.     

Does buffet choice architecture affect intake? The effect of relocating butter at a breakfast buffet on food intake

The aim of this study was to investigate if a changed default reduces the intake of butter among students at a breakfast buffet. Students were divided into two groups and served themselves from a breakfast buffet. The control group was offered a buffet where the butter was easily accessible, whereas the intervention group was offered a buffet where a request had to be made for butter. Single packed portions of butter taken from each part of the buffet, the number of students, and the number of habitual users in each group were recorded. At the regular buffet, 67 of 115 students were habitual butter users and 81 packs of butter were taken. At the buffet with the changed default, 16 of the 56 students were habitual butter users. Seventeen packs of butter were taken from the buffet. Slightly displacing butter at a breakfast buffet and forcing students to ask for that option significantly reduced uptake.     

The importance of firing costs and the Hosios condition in search models with endogenous job destruction

We construct a DSGE search model with endogenous job destruction, incorporating wage rigidities, firing costs and unemployment benefit. We investigate the most important factors in matching the model’s cyclical properties with empirical data, particularly those of job creation rates (JCR) and job destruction rates (JDR). Firing costs assist significantly in explaining the procyclicality of JCR, the negative correlation of JCR and JDR, and the persistence of vacancies. They also decrease the counter-cyclicality of job turnover. We also postulate that the Hosios condition helps explain the negative correlation of JCR and JDR and vacancies’ persistence. Varying wage rigidities and unemployment income, however, do not improve the results.     

Accounting for breakout in Britain: The industrial revolution through a Malthusian lens

This paper introduces a simple dynamic model to examine the breakout from a Malthusian economy to a modern growth regime. It identifies several factors that determine the fastest rate at which the population can grow without engendering declining living standards. We then apply the framework to Britain and find a dramatic increase in sustainable population growth at the time of the Industrial Revolution, well before the beginning of modern levels of income growth. The main contributions to the British breakout were technological improvements and structural change away from agricultural production, while coal, capital, and trade played a minor role. In addition to solidifying the link between the Industrial Revolution and rising living standards, this research reconciles the gradualist and limited Crafts–Harley view of the Industrial Revolution with a dramatic and rapid change in Britain’s macroeconomic character.