International journal of economic research最新文献

{"title":"Relevance of Maximum Drawdown in the Investment Fund Selection Problem When Utility is Nonadditive","authors":"Daehwan Kim","doi":"10.17256/JER.2011.16.3.002","DOIUrl":"https://doi.org/10.17256/JER.2011.16.3.002","url":null,"abstract":"This paper explores the circumstances under which maximum drawdown becomes relevant to a rational investor’s choice of an investment fund. We adopt the framework of the nonadditive expected utility theory of Schmeidler, and consider the consequence of extreme uncertainty over cash flow and also of extreme uncertainty aversion. We show that an investor facing extreme uncertainty makes a choice based on maximum drawdown. We also show that an extremely uncertainty-averse investor makes a choice based on maximum drawdown even if uncertainty is not extreme. An implication for the mean-variance analysis of Markowitz is discussed as well.","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"18 1","pages":"257-289"},"PeriodicalIF":0.0,"publicationDate":"2011-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74431496","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Collusion and Discriminationin Organizations: Comment","authors":"Jungwook Kim","doi":"10.17256/JER.2011.16.3.004","DOIUrl":"https://doi.org/10.17256/JER.2011.16.3.004","url":null,"abstract":"Ishiguro(2004) shows that discriminatory wage schemes are optimal among collusion-proof contracts under relative performance evaluation when agents collude. However, that analysis depends on the assumption that the agents cannot observe their performances. We investigate how optimal contracts should be modified when the agents observe the realized firm value. We show that the optimal collusion-proof contract can be a low-powered incentive scheme with buy-out options under some circumstances. Also, this suggests the frequent use of options in wage scheme as an optimal response to collusion.","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"7 1","pages":"309-317"},"PeriodicalIF":0.0,"publicationDate":"2011-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77841134","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Unions - the Bigger, the Worse? Centralization and the Scope of Bargaining","authors":"Marcus Dittrich, Beate Schirwitz","doi":"10.17256/JER.2011.16.3.001","DOIUrl":"https://doi.org/10.17256/JER.2011.16.3.001","url":null,"abstract":"This paper studies welfare effects of union bargaining (de-) centralization in a two-sector economy. We present a model with union membership dynamics where the wage in the first sector is the result of either decentralized bargaining at the firm level or centralized bargaining at the sector level. The workers’ outside option is employment in the second sector, where wages adjust to clear the labor market. We show that the scope of bargaining has a decisive role in the discussion on the impact of bargaining decentralization on social welfare. Our results imply that decentralization increases welfare if unions and firms bargain over both wage and employment. Contrary, if only the wage is bargained over, centralization is welfare-increasing. Comparative static examinations complement our analysis.","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"3 1","pages":"231-255"},"PeriodicalIF":0.0,"publicationDate":"2011-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87284823","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Testing long-run neutrality propositions in a developing economy: the case of Nigeria","authors":"C. Chuku","doi":"10.17256/JER.2011.16.3.003","DOIUrl":"https://doi.org/10.17256/JER.2011.16.3.003","url":null,"abstract":"Following the eclectic methodology by King and Watson (1997), the paper uses post independence quarterly data to examine the validity of two long-run neutrality propositions in Nigeria. Overall, there is qualified evidence that suggests the existence of longrun monetary neutrality and evidence that refutes the existence of the long-run Fisher relation between prices and interest rates. The evidence on long-run monetary neutrality is qualified because it holds under assumptions of contemporaneous money exogeniety and contemporaneous money neutrality. As a consequence, our results inform our deductions about the ineffectiveness of the Monetarist anti-inflationary prescriptions for managing the macroeconomy of a developing economy like Nigeria. Pursuing a synchronized and coordinated fiscal-monetary policies framework is likely to yield the desired results on real economic variables.","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"55 1","pages":"291-308"},"PeriodicalIF":0.0,"publicationDate":"2011-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81911134","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Economic capital allocation under coherent market liquidity constraints","authors":"M. A. Janabi","doi":"10.17256/JER.2011.16.2.002","DOIUrl":"https://doi.org/10.17256/JER.2011.16.2.002","url":null,"abstract":"Asset liquidity trading risk arises from the failure to recognize or address changes in market conditions that affect the ability to liquidate trading assets quickly and with minimal loss in value. Yet despite this universal recognition of the phenomena, there exist no precise mathematical definition of liquidity risk and traditional Value at Risk (VaR) models fail to recognize the impact of liquidity trading risk. In this work we do not offer a definitive one either, but we develop measures of certain kinds of liquidity trading risk that is useful for completing the definition of market risk and for predicting liquidity-adjusted VaR (L-VaR) under illiquid market conditions and within a multivariate context. We argue that asset liquidity risk associated with the uncertainty of liquidating multiple-assets over a given holding period, particularly for thinly traded or emerging markets securities under adverse market conditions, is a key factor in formalizing and measuring overall trading risk and is therefore an important component to model. This paper proposes a practical framework for the quantification of asset liquidity risk, and its impact on economic capital allocations, for multiple assets，portfolios. We present a method whereby the holding periods are adjusted according to the particular needs of each trading portfolio; and this can be attained for the entire portfolio or for specific assets within the trading portfolio. This paper extends previous approaches by explicitly modeling the liquidation of trading portfolios, over the holding period, with the aid of an appropriate scaling of the multiple-assets，L-VaR matrix along with GARCH-M technique to forecast conditional volatility and expected return. The key methodological contribution is a different and a less conservative liquidity scaling factor than the conventional root-t multiplier. The proposed liquidity multiplier is a function of a predetermined liquidity threshold, defined as the maximum position which can be unwound without disturbing market prices during one trading day, and is quite straightforward to implement even by very large financial institutions and institutional portfolio managers. Using more than six years of daily return data of emerging Gulf Cooperation Council (GCC) stock markets, we analyze different trading portfolios (of both long and short-sales trading positions) and determine asset liquidity risk exposure and coherent annual economic capital allocations under different illiquid and adverse market conditions and under the notion of different correlation factors and unwinding periods.","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"23 1","pages":"147-186"},"PeriodicalIF":0.0,"publicationDate":"2011-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81274239","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Feldstein-Horioka Puzzle Reconsidered for OECD Countries","authors":"Sangjoon Jun","doi":"10.17256/JER.2011.16.2.003","DOIUrl":"https://doi.org/10.17256/JER.2011.16.2.003","url":null,"abstract":"This paper investigates the savings-investment relationship, also known as the Feldstein-Horioka puzzle, for a panel of 30 OECD countries over 1960-2006. It utilizes the recently-developed panel cointegration techniques to test and estimate the long-run equilibrium relationship between savings and investment. Investment and savings rates are found to have unit roots and to be cointegrated, based on 5 different panel unit root tests and 3 types of panel cointegration tests. The estimated coefficients on the savings rate employing CCR, DOLS, and FMOLS techniques, exhibit a declining trend over subsample periods. It suggests that international capital mobility in the OECD economies almost quadrupled over 1960-2006 and substantially increased in the 1990s and 2000s. Moreover, the magnitude of the estimated saving-retention coefficients is much smaller than those reported by Feldstein and Horioka, who did not consider the nonstationarity of data and the resulting spurious regression problem. We also find that 21 original OECD members had a much greater increasing trend in capital mobility than 9 developing new members over 1990-2006, presenting evidence against the scale effect of country size. The empirical findings in this paper provide strong evidence against the Feldstein-Horioka puzzle in OECD countries over 1960-2006.","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"8 1","pages":"187-210"},"PeriodicalIF":0.0,"publicationDate":"2011-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83926535","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Test of the Learning-by-Doing Explanation for the Urban Wage Premium","authors":"Bonggeun Kim","doi":"10.17256/JER.2011.16.2.004","DOIUrl":"https://doi.org/10.17256/JER.2011.16.2.004","url":null,"abstract":"We test if the measured large and stable urban wage premium is related to acquired skill differentials between urban and non-urban workers. We newly document (1) a large urban premium is not fully explained by the differences in the cost of living and (2) urban workers do not experience higher wage growth than non-urban workers. These empirical findings contradict the learning-by-doing explanation for the urban wage premium and they can be fully explained by a gradual ability sorting hypothesis in which more able workers gravitate to urban areas.","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"37 1","pages":"211-230"},"PeriodicalIF":0.0,"publicationDate":"2011-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74580978","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Smoothness Prior Approach to Capturing Rapid Changes in Time-varying TFP and Application to the Chinese Economy","authors":"Hideo Noda, Koki Kyo","doi":"10.17256/JER.2011.16.2.001","DOIUrl":"https://doi.org/10.17256/JER.2011.16.2.001","url":null,"abstract":"In this paper we propose a Bayesian approach to statistical analysis of the economy with time-varying total factor productivity (TFP) showing rapid changes. Conventional approaches to the empirical study of economic growth lack flexibility and therefore cannot appropriately capture the complex movement of TFP. To solve this problem, we construct Bayesian models for a production function with dynamic structure. Also, the possibility is considered that there are rapid changes in TFP in some situations. In our proposed approach, TFP is treated as a time-varying parameter and regarded as a random variable. A set of Bayesian models for time-varying TFP incorporating rapid changes is constructed based on a smoothness prior approach. Then, the time-varying TFP is estimated using a Bayesian linear modeling approach together with a newly-proposed random grouping method. Using time series data for the Chinese macro-economy, we show that our proposed approach makes a detailed analysis of TFP trends possible.","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"65 1","pages":"127-146"},"PeriodicalIF":0.0,"publicationDate":"2011-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74419673","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Managerial Delegation in Strategic Export Policies","authors":"Fang Wei","doi":"10.17256/JER.2010.15.2.001","DOIUrl":"https://doi.org/10.17256/JER.2010.15.2.001","url":null,"abstract":"This paper examines the implication of the separation of ownership and management based on a strategic export promotion policy under Cournot competition in a third-market model. We elucidate owner’s subsidization effect hidden in the managerial delegation process. Strategic subsidy competition between the governments strengthens both the owners’ subsidization incentives and results in the oversubsidization to the firms. When the firms’ delegation decisions are endogenous, each firm has no incentive to delegate a manager under governments’ commitments to intervene since unilateral delegation leads to Stackelberg follower payoff.","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"14 1","pages":"109-128"},"PeriodicalIF":0.0,"publicationDate":"2010-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75864628","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Resale Royalty Right and its Economic Effects","authors":"G. Wang","doi":"10.17256/JER.2010.15.2.004","DOIUrl":"https://doi.org/10.17256/JER.2010.15.2.004","url":null,"abstract":"We investigate, by using a 2 period model, the effects of the resale royalty right, also known as the droit de suite or the follower-up right, on an artist, consumers and the society as a whole. We consider two cases separately, depending upon whether the artist behaves as a price taker or a price setter. In both cases, for the artist, the profit in period 1 decreases, but in period it 2 increases and the life time profit increases. However, in case of price taker, the output decreases in both periods. In case of price setter the output in period 1 increases, but in period 2 it decreases and the total output decreases. In case of price taker, consumer surplus decreases in both period, but in case of price setter consumer surplus increases in period 1, but in period 2 it decreases so that the total consumer surplus decreases. In both cases, social welfare decreases.","PeriodicalId":90860,"journal":{"name":"International journal of economic research","volume":"31 1","pages":"171-182"},"PeriodicalIF":0.0,"publicationDate":"2010-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86933838","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}