Sentiments and Aggregate Demand Fluctuations

We formalize the Keynesian insight that aggregate demand driven by sentiments can generate output fluctuations under rational expectations. When production decisions must be made under imperfect information about demand, optimal decisions based on sentiments can generate stochastic self‐fulfilling rational expectations equilibria in standard economies without persistent informational frictions, externalities, nonconvexities, or strategic complementarities in production. The models we consider are deliberately simple, but could serve as benchmarks for more complicated equilibrium models with additional features.     

Differences in Retail Inventory Investment Behavior During Macroeconomic Shocks: Role of Service Level

In this article, we analyze how retailers change their inventory investment behavior in response to macroeconomic shocks. We examine if service level, as measured by the ratio of stockout to inventory holding costs, can explain the differences in observed behavior across retailers. We use data on macroeconomic indicators and quarterly filings of US public retailers from 1985 to 2009 to estimate a dynamic model of short‐ and long‐term impact of macroeconomic shocks on inventory investment. Our results show that retailers with a high service level increase their inventory investment significantly more than those with a low service level during expansion shocks. Conversely, retailers with a low service level curtail their inventory investment significantly more than those with a high service level during periods of economic contractions. Thus, we show that the aggregate change in inventory investment documented in prior macroeconomics research is driven by different sets of retailers, as predicted by newsvendor logic. We draw implications of our findings to retailers as well as their suppliers.     

A Choice‐Based Dynamic Programming Approach for Setting Opaque Prices

Opaque pricing is a form of pricing where certain characteristics of the product or service are hidden from the consumer until after purchase. In essence, opaque selling transforms a differentiated good into a commodity. Opaque pricing has become popular in service pricing as it allows firms to sell their differentiated product at higher prices to regular brand loyal customers while simultaneously selling to non‐brand loyal customers at discounted prices. We use a nested logit model in combination with logistic regression and dynamic programming to illustrate how a service firm can optimally set prices on an opaque sales channel. The choice model allows the characterization of consumer trade‐offs when purchasing opaque products while the dynamic programming approach allows the characterization of the optimal pricing policy as a function of inventory and time remaining. We compare optimal prices and expected revenues when dynamic pricing is restricted to daily price changes. We provide an illustrative example using data from an opaque selling mechanism ( Hotwire.com ) and a Washington DC‐based hotel.     

基于知识创造和知识溢出的R&D联盟的动态模型

本文通过对R&D联盟中企业间知识创造和知识溢出的分析,给出了知识存量的一般表示方法,并将参与企业的知识投入和开放水平视为内生变量,构造了知识联盟R&D两阶段的非合作动态博弈模型,提出了在对称的情况下纳什均衡存在并有唯一解的条件,分析了知识投入和知识开放水平在联盟不同时期对企业均衡利润的影响,并通过案例对部分命题提供佐证。最后,在模型假设和模型思想方面进行了一些简单探讨。     

Market Entry Costs,Producer Heterogeneity,and Export Dynamics

As the exchange rate, foreign demand, and production costs evolve, domestic producers are continually faced with two choices: whether to be an exporter and, if so, how much to export. We develop a dynamic structural model of export supply that characterizes these two decisions. The model embodies plant‐level heterogeneity in export profits, uncertainty about the determinants of future profits, and market entry costs for new exporters. Using a Bayesian Monte Carlo Markov chain estimator, we fit this model to plant‐level panel data on three Colombian manufacturing industries. We obtain profit function and sunk entry cost coefficients, and use them to simulate export responses to shifts in the exchange‐rate process and several types of export subsidies. In each case, the aggregate export response depends on entry costs, expectations about the exchange rate process, prior exporting experience, and producer heterogeneity. Export revenue subsidies are far more effective at stimulating exports than policies that subsidize entry costs.     

Firms,Destinations, and Aggregate Fluctuations

This paper uses a data base covering the universe of French firms for the period 1990–2007 to provide a forensic account of the role of individual firms in generating aggregate fluctuations. We set up a simple multisector model of heterogeneous firms selling to multiple markets to motivate a theoretically founded decomposition of firms' annual sales growth rate into different components. We find that the firm‐specific component contributes substantially to aggregate sales volatility, mattering about as much as the components capturing shocks that are common across firms within a sector or country. We then decompose the firm‐specific component to provide evidence on two mechanisms that generate aggregate fluctuations from microeconomic shocks highlighted in the recent literature: (i) when the firm size distribution is fat‐tailed, idiosyncratic shocks to large firms directly contribute to aggregate fluctuations, and (ii) aggregate fluctuations can arise from idiosyncratic shocks due to input–output linkages across the economy. Firm linkages are approximately three times as important as the direct effect of firm shocks in driving aggregate fluctuations.     

Sales performance measurement in bank branches

Studies of bank branch performance have, to date, concentrated on obtaining a single perspective of efficiency. As the financial services industry has intensified, banks have increasingly engated in a proactive, differentiated and customer-based strategy in retail banking in which the sales component of the bank branch activity is emphasized. With the emerging sales culture within banks, as discussed earlier, there is a need to evaluate both sales and service performance. Cook et al. [12] have proposed a model to evaluate simultaneously the sales, service, and aggregate efficiencies of a bank branch. This model accounted for the fact that inputs, in particular resources, are often shared among these functions. In this paper, we extend the data envelopment analysis additive model using goal programming concepts. We thereby derive optimal efficiency scores while taking into account non-volume related activities, that is those involving resources that cannot be assigned to a specific input or output. Again, the proposed model derives an optimal split of the shared resources that maximizes the aggregate efficiency.     

MATERIALS PRICES AND PRODUCTIVITY

There is substantial within‐industry variation in the prices that plants pay for their material inputs. Using plant‐level data from the US Census Bureau, I explore the consequences and sources of this variation in materials prices. For a sample of industries with relatively homogeneous products, the standard deviation of plant‐level productivity would be 7% smaller if all plants faced the same materials prices. Moreover, plant‐level materials prices are persistent, spatially correlated, and positively associated with the probability of exit. The contribution of entry and exit to aggregate productivity growth is smaller for productivity measures that are purged of materials price variation. After documenting these patterns, I discuss three potential sources of materials price variation: geography, differences in suppliers' marginal costs, and within‐supplier markup differences. Together, these variables explain 15% of the variation of materials prices.     

Identification in Differentiated Products Markets Using Market Level Data

We present new identification results for nonparametric models of differentiated products markets, using only market level observables. We specify a nonparametric random utility discrete choice model of demand allowing rich preference heterogeneity, product/market unobservables, and endogenous prices. Our supply model posits nonparametric cost functions, allows latent cost shocks, and nests a range of standard oligopoly models. We consider identification of demand, identification of changes in aggregate consumer welfare, identification of marginal costs, identification of firms' marginal cost functions, and discrimination between alternative models of firm conduct. We explore two complementary approaches. The first demonstrates identification under the same nonparametric instrumental variables conditions required for identification of regression models. The second treats demand and supply in a system of nonparametric simultaneous equations, leading to constructive proofs exploiting exogenous variation in demand shifters and cost shifters. We also derive testable restrictions that provide the first general formalization of Bresnahan's (1982) intuition for empirically distinguishing between alternative models of oligopoly competition. From a practical perspective, our results clarify the types of instrumental variables needed with market level data, including tradeoffs between functional form and exclusion restrictions.     

Collusion With Persistent Cost Shocks

We consider a dynamic Bertrand game in which prices are publicly observed and each firm receives a privately observed cost shock in each period. Although cost shocks are independent across firms, within a firm costs follow a first‐order Markov process. We analyze the set of collusive equilibria available to firms, emphasizing the best collusive scheme for the firms at the start of the game. In general, there is a trade‐off between productive efficiency, whereby the low‐cost firm serves the market in a given period, and high prices. We show that when costs are perfectly correlated over time within a firm, if the distribution of costs is log‐concave and firms are sufficiently patient, then the optimal collusive scheme entails price rigidity: firms set the same price and share the market equally, regardless of their respective costs. When serial correlation of costs is imperfect, partial productive efficiency is optimal. For the case of two cost types, first‐best collusion is possible if the firms are patient relative to the persistence of cost shocks, but not otherwise. We present numerical examples of first‐best collusive schemes.     

International and National R&D Networks in Unionized Oligopoly

We study the endogenous formation of R&D networks between two domestic and one foreign firms in a unionized oligopoly. We find that the equilibrium networks are sensitive to the extent of knowledge spillovers between networked firms. If spillovers are sufficiently low, the complete network will arise in equilibrium; however, if spillovers are sufficiently high, the foreign partial network that includes a domestic and a foreign firm will arise. Moreover, for intermediate spillovers, no equilibrium network emerges. These results have implications for aggregate outcomes: equilibrium networks are not necessarily optimal in terms of aggregate effective R&D and aggregate firm profits.     

考虑广告影响下的新产品垄断动态定价研究

针对垄断零售商的新产品定价问题,提出了一个新产品动态定价策略。在顾客对以往的价格和广告具有"学习"能力的条件下,提出了具有"学习"功能的需求函数。在给定各周期广告水平下,给出了零售商最优的动态定价策略,分析了零售商定价规律,发现其定价规律具有"振荡"性,并趋近于一定值。在零售商要同时决策零售价格和广告水平的条件下,给出了各周期最优的零售价格和广告水平。在一定条件下,当周期数趋近无穷大时零售价格趋近于顾客的保留价格或者单位成本。     

Dynamic Marriage Matching: An Empirical Framework

This paper develops a new model for empirically analyzing dynamic matching in the marriage market and then applies that model to recent changes in the U.S. marriage distribution. Its primary objective is to estimate gains by age from being married today (till death of at least one spouse) relative to remaining single for that same time period. An empirical methodology that relies on the model's equilibrium outcomes identifies the marriage gains using a single cross‐section of observed aggregate matches. This behavioral dynamic model rationalizes a new marriage matching function. The model also solves the inverse problem of computing the vector of aggregate marriages, given a new distribution of available single individuals and estimated preferences. Finally, this paper develops a simple test of the model's empirical validity. Using aggregate data of new marriages and available single men and women in the United States over two decades from 1970 to 1990, I investigate the changes in marriage gains over this period.     

Sensitivity Analysis in Linear Programming Models with Common Inputs

The importance of sensitivity analysis information in linear programming has been stressed in the management science literature for some time. Indeed, Gal [3] has devoted an entire text to just this issue. Linear programs with common inputs (cost coefficients or right-hand-side values) present a problem in that classical sensitivity analysis does not allow for the simultaneous changes required to determine the sensitivity of these models to common inputs. We first survey the approaches previously developed for simultaneous-change sensitivity analysis and cast them in the framework of the special common input case. These general techniques are compared to a simple aggregate variable technique that has not received attention in the literature.     

Task Trade Between Similar Countries

We propose a theory of task trade between countries that have similar relative factor endowments and technological capabilities, but may differ in size. Firms produce differentiated goods by performing a continuum of tasks, each of which generates local spillovers. Tasks can be performed at home or abroad, but offshoring entails costs that vary by task. In equilibrium, the tasks with the highest offshoring costs may not be traded. Among the remainder, those with the relatively higher offshoring costs are performed in the country that has the higher wage and the higher aggregate output. We discuss the relationship between equilibrium wages, equilibrium outputs, and relative country size.     

基于Mean-CVaR约束的股指期货动态套期保值模型研究

本文建立了基于最小化均值-条件风险价值( Mean-CVaR)的股指期货动态套期保值模型.模型的主要特点与贡献在于两方面:一方面,考察了置信水平和可变交易费用对最优套期保值决策的影响;另一方面,利用二元误差修正的时变条件相关GARCH模型估计套期保值比率,优点是不仅考虑了股指期货与现货价格序列之间存在的协整关系,而且更好地拟合了收益残差序列存在的异方差性与相关系数时变性的特征.最后通过对我国沪深300指数期货仿真交易的套期保值模拟与实证测算,得出能够动态调整的股指期货套期保值策略以实时追踪与控制风险.     

Changes in Union Membership Over Time: A Panel Analysis for West Germany

Abstract. Despite the apparent stability of the wage bargaining institutions in West Germany, aggregate union membership has been declining dramatically since the early 1990s. However, aggregate gross membership numbers do not distinguish between employment status and it is impossible to disaggregate these sufficiently. This paper uses four waves of the German Socio‐economic Panel in 1985, 1989, 1993, and 1998 to perform a panel analysis of net union membership among employees. We estimate a correlated random‐effects probit model suggested by Chamberlain (Handbook of Econometrics, Vol. II, Amsterdam: Elsevier Science, 1984) to take proper account of individual‐specific effects. Our results suggest that at the individual level the propensity to be a union member has not changed considerably over time. Thus, the aggregate decline in membership is due to composition effects. We also use the estimates to predict net union density at the industry level based on the IAB employment subsample for the time period 1985–97.     

Macroeconomic Implications of Agglomeration

Cities exist because of the productivity gains that arise from clustering production and workers, a process called agglomeration. How important is agglomeration for aggregate growth? This paper constructs a dynamic stochastic general equilibrium model of cities and uses it to estimate the effect of local agglomeration on aggregate growth. We combine aggregate time‐series and city‐level panel data to estimate the model's parameters via generalized method of moments. The estimates imply a statistically and economically significant impact of local agglomeration on the growth rate of per capita consumption, raising it by about 10%.     

SLOW INFORMATION DIFFUSION AND THE INERTIAL BEHAVIOR OF DURABLE CONSUMPTION

This paper studies the aggregate dynamics of durable and nondurable consumption under slow information diffusion (SID) due to noisy observations and learning within the permanent income hypothesis framework. We show that SID can significantly improve the model's predictions on the joint behavior of income, durable consumption, and nondurable consumption at the aggregate level. Specifically, we find that SID can significantly improve the model's predictions for: (i) smoothness in durable and nondurable consumption, (ii) autocorrelation of durable consumption, and (iii) contemporaneous correlation between durable and nondurable consumption.     

DEEP FINANCIAL INTEGRATION AND VOLATILITY

We investigate the relationship between foreign direct ownership of firms and firm‐ and region‐level output volatility using a novel panel data set for European countries. We document a positive, highly robust, relationship between firm‐level foreign ownership and volatility of value added. This relationship holds cross‐sectionally and in panels with firm fixed effects where the relationship captures within‐firm variation over time. Considering domestic firms with assets in foreign countries, we document that it is international diversification, rather than the nationality of the owner, that explains this positive correlation. Our results can also be found at the aggregate level, where we show that region‐level volatility is correlated positively with foreign investment in the region. We show that this positive relation between aggregate volatility and foreign investment can be explained by the granularity of the firm size distribution and the fact that foreign ownership is concentrated among the largest firms.