Inkomensverdeling en overheidsuitgaven

Rede nitgesproken bij de aanvaarding van het ambt van buitengewoon hoogleraar in de openbare financien aan de Nederlandsche Economische Hoogeschool te Rotterdam op 3 oktober 1963.     

The one-sided Kolmogorov-Smirnov test in signal detection problems with Gaussian white noise

In this paper, we investigate the power of the Kolmogorov-Smirnov test for negativity of signals in signal detection problems with Brownian motion noise. Strict unbiasedness and admissibility are established. Moreover, taking up an approach of Häjek and Sidäk (1967) for the classical Brownian bridge case, we compute the directional derivative of the power function at the hypothesis, thus obtaining the principal direction of alternatives of the test. As an application, in a hazard rates set-up, one-sided Rényi-tests may be adjusted by choosing their weight function such that they are most sensitive against a prescribed type of alternatives. Finally, we give some numerical and simulation results.     

Welfare Effects of Transparency in Foreign Exchange Markets: the Role of Hedging Opportunities

The paper studies the impact of more transparency on the risk‐sharing opportunities in the foreign exchange market and the associated implications on ex ante welfare. Transparency is measured in this model by the informational content of publicly observable signals about exchange rate developments. The authors find that in this model more transparency improves welfare in economies that are poorly endowed with capital and/or where investors are not very risk‐averse, while welfare is reduced in economies with large capital endowments and/or where investors are highly risk‐averse.     

Intrinsic bubbles and asset price volatility

Summary Under what conditions is the price of a bubbly asset more (less) volatile than the asset's market fundamental? The answer depends on agents' attitudes towards risk. If higher current consumption makes agents more (less) risk averse in the future, then the bubbly asset price fluctuates less (more) than the fundamental. This result shows that the interaction between intrinsic bubbles and asset fundamentals critically depends on a feature of the utility function that does not appear in standard models with time-separable utility.Financial support from the Department of Economics at Texas A&M University, the Office for International Coordination at Texas A&M University, and the Deutsche Forschungsgemeinschaft, Sonderforschungsbereich 303 at the University of Bonn, is gratefully acknowledged. The views expressed are those of the authors and do not necessarily represent those of the International Monetary Fund.