Selective hedging with market views and risk limits: the case of Hydro-Quebec

This study presents how Hydro-Quebec manages its short-term financial risks. The quantitative hedging model is articulated over forward and volatility premia and constrained by a yearly risk limit provided by the firm's Finance Committee. The hedging solutions provide the optimal linear hedging parameters and option strike levels. The second part of the paper is devoted to a theoretical analysis of the sensitivity of the optimal solutions to changes in the premia, by means of the general implicit function theorem.     

Catching up and falling behind,a vintage model approach

The literature on catching up suggests that due to diffusion and imitation, relatively backward countries should grow at a faster rate. A model along lines suggested by Abramovitz is constructed to examine this. A country's change in productivity (technological gap) is supposed to depend on the productivity gap itself (relatively backwardness), social capability of adopting new technology, and R&D-activity. Together with a vintage growth model, this set-up gives a lot of different possible explanations of why growth rates differ among nations. The possibilities of both catching up and falling behind are considered.     

Endogenous human capital accumulation, comparative advantage and direct vs. indirect redistribution

Recently, several papers have reexamined the so-called production efficiency theorem and the Atkinson and Stiglitz theorem on commodity taxes in the optimal taxation literature. Naito [J. Public Econ. 71 (1999) 65] showed that indirect redistribution through production distortion or consumption distortion can Pareto-improve welfare and that the two theorems do not necessarily hold when different factors are imperfect substitutes and factor prices are endogenous. On the other hand, Saez J. Public Econ. (2002) forthcoming argued that in the long run, where human capital accumulation is endogenous, the two theorems are still valid. This paper develops reasonable alternative models where individuals accumulate human capital based on their comparative advantage. The present paper shows that the production efficiency theorem is not necessarily valid and that indirect redistribution from the able to the less able such as tariffs and production subsidies can increase efficiency even when skill accumulation is endogenous.     

Fairness and the employment contract: North American regions versus Germany

Substantial evidence shows that North Americans are generallymore accepting of the market than Europeans and attribute marketoutcomes to a larger degree to effort or skill. Thus, NorthAmericans might be more accepting of layoffs and pay cuts thanGermans, and Germans might be more sensitive to the proceduresand conditions under which pay cuts and layoffs occur. The empiricalresults from our quasi-experiment are largely in line with thesehypotheses. The results may help to explain and be explainedby the different labour market institutions in the differentregions.     

Geographical concentration and the dynamics of countries' specialization in technologies

This paper examines the empirical dynamics of countries' technological specialization in six technology fields using distribution dynamics. In all technology fields innovation activities are performed by relatively few countries and the degree of concentration is fairly stable in time. Intra-distribution dynamics is characterized by persistence of within field countries' specialization levels around or below the mean, while high specialization levels revert towards lower values. This strengthens the case for absorptive capacity. Electronics show some distinctive properties: they have the highest degree of geographical concentration and numerous small countries among those specialized; they also are the least mobile technology field. In a Schumpeterian perspective, this is in line with "creative accumulation".     

劳动力全球化视角下的中国国际竞争力变化——来自亚洲新兴国家的比较

本文从劳动力全球化视角,根据相对劳动成本平价模型,以美国为比较基准,选择东亚4国和印度为比较对象,对1991—2008年的6国相对劳动平价、实际汇率变动和相对劳动成本变动做了系列研究。研究表明,就全时期而言,中国的实际汇率与基期相比已处于升值状态,而其他发展中国家贬值程度扩大;分时期看,在东南亚金融危机前,中国具有相对劳动成本优势。东南亚金融危机后,劳动成本优势持续下降。本次金融危机后,国际竞争力继续恶化。根据研究结果,认为人民币不具升值空间,保持汇率稳定是当前的最优策略。     

How risky is a random process?

The riskiness of random processes is compared by (a) employing a decision theoretic equivalence between processes and lotteries on path-spaces to identify the riskiness of the former with that of the latter, and (b) using the theory of comparative riskiness of lotteries over vector spaces to compare the riskiness of lotteries on a given path-space. We derive the equivalence used in step (a) and contribute a new criterion to the theory applied in step (b). The validity of the new criterion, which applies second order stochastic dominance to utility distributions, is established by showing its equivalence to the benchmark decision theoretic criterion when comparing the riskiness of lotteries over any vector space. We demonstrate the theory’s tractability via diverse economic applications.     

目标管理与“无为而治”在管理实践中的对比研究

目标管理是一种以人为核心的参与式管理理念,其核心要义与中国传统文化中管理智慧的理论代表“无为而治”有许多相似之处,但二者在管理实践中又有着明显的差异.本文从二者的哲学基础出发,以目标管理实施流程的各环节为主线,对二者进行了对比与分析.