Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor

In this paper a multi-factor generalization of Ho–Lee model is proposed. In sharp contrast to the classical Ho–Lee, this generalization allows for those movements other than parallel shifts, while it still is described by a recombining tree, and is a process with stationary independent increments to be compatible with principal component analysis. Based on the model, generalizations of duration-based hedging are proposed. A continuous-time limit of the model is also discussed. This research was supported by Open Research Center Project for Private Universities: matching fund subsidy from MEXT, 2004–2008 and also by Grants-in-Aids for Scientific Research (No. 18540146) from the Japan Society for Promotion of Sciences.     

How does perceived underemployment influence expatriate job-related outcomes? A moderated mediation study

Abstract

Although research has investigated the consequences of underemployment in domestic settings, research on the effects of underemployment among expatriates remains limited and has yielded inconsistent results. From a theoretical perspective, there is a need for a better understanding of the mechanisms through which underemployment affects various work-related outcomes and to account for potential contingencies. Drawing on the person-job fit literature and research on organizational identification, we theorise and empirically examine how and under what conditions underemployment influences expatriate performance. Using an original primary data-set of 103 Japanese expatriate managers in the UK, we find that underemployment affects expatriate work outcomes by increasing expatriates’ maladjustment and that this effect is moderated by the level to which expatriates identify with their organization.     

The proposal and validity of the Customer Science Dual System--The key to corporate management innovation

A future successful global marketer must develop an excellent quality marketing system that impresses users and continuously provides excellent, quality products in a timely manner through corporate management. In this study, the authors proposed the Customer Science Dual System, CS-TMNS ＆ CS-SDSM. For the purpose of innovating strategic product development systems so called Customer Value Creative System, the Total Marketing Network System, CS-TMNS is established. In addition, for intelligent utilization of the established CS-TMNS, statistical science is incorporated so as to create the Strategic Designing Support Methods, CS-SDSM, as a new approach to the creation of wants that are vital to product planning and designing. Concretely, the author will also introduce the effectiveness of this system that reflects latent customer needs through scientific marketing application examples via Automobile Design Profile for the Younger Generation.     

Bayesian Statistical Computations of Nonlinear Financial Time Series Models: A Survey with Illustrations

A survey of Bayesian statistical computations of quadratureformula, Laplace approximation, and Markov Chain Monte Carlo algorithms ispresentedand their applications to nonlinear financial time series models arediscussed.     

Asian Financial Crisis.Prologue and the Case of Thailand

We suggest that the Asian financial crisis began because of theinconsistent exchange rate system and miss-management within Thailand. We showthat prior tothe Asian financial crisis the Thai Baht against the Yen followed the theoryofpurchasing power parity but the Baht against the U.S. Dollar did not. We givebriefsummaries of the papers included in this issue.     

Entry of Small and Medium Enterprises and Economic Dynamism in Japan

In examining the evolution of small and medium enterprises in Japan in the postwar period, this paper shows that entry rates for new firms have declined sharply in the last quarter century or so, a trend observed across most sectors of the economy as well as across most firm-size categories. To explain this pattern, the paper investigates the determinants of entry in Japan. Among other factors, it finds that cost disadvantages owing to small scale and the shortage of technical resources are significant deterrents to entry. It also finds that the availability of government-directed credit deters entry which suggests that, in their current form, such credit programs protect incumbents. Among positive factors, it finds that subcontracting opportunities promote entry which suggests that the subcontracting system in Japan is open to newcomers and helps give them a foothold in the economy.     

Do Japanese consumers care about sustainable fisheries? Evidence from an auction of ecolabelled seafood

This paper investigates Japanese consumers' willingness to pay for Marine Stewardship Council (MSC) ecolabelled seafood using a sealed bid, second price auction. Participants in an experiment in Tokyo were provided varying degrees of information about the status of world and Japanese fisheries and the MSC program in sequential rounds of bidding on ecolabelled and nonlabelled salmon products. A random‐effects tobit regression shows that there is a statistically significant premium of about 20 per cent for MSC‐ecolabelled salmon over nonlabelled salmon when consumers are provided information on both the status of global fish stocks and the purpose of the MSC program. This premium arises from a combination of an increased willingness to pay for labelled products and a decreased willingness to pay for unlabelled products. However, in the absence of experimenter‐provided information, or when provided information about the purpose of the MSC program alone without concurrent information about the need for the MSC program, there is no statistically significant premium.     

Re-examination of wage, employment, and hours adjustments: what is crucial for differences in the adjustments?

Manufacturing wage, employment, and hours adjustments are significantly different among developed countries, typically between Japan and the US. The problem of explaining the differences is closely related to that of what effect the extent of wage flexibility has on labor market adjustments. However, prevailing theories are invalid or incomplete for explaining the differences. The differences in the adjustments cannot be unrelated with institutional features of the labor market. Indeed, the extent of wage flexibility depends on the differences in the institutional features. Using a new model with such an idea, this paper theoretically re-examines the cause of the differences in the adjustments. The crucial causes are the characteristics of wage flexibility as well as the differences of the institutional features. The characteristics are that wage adjustment is discontinuous, infrequent, and has a lower limit in comparison with changes in demand.