Fisher's Information for Discretely Sampled Lévy Processes

This paper studies the asymptotic behavior of Fisher's information for a Lévy process discretely sampled at an increasing frequency. As a result, we derive the optimal rates of convergence of efficient estimators of the different parameters of the process and show that the rates are often nonstandard and differ across parameters. We also show that it is possible to distinguish the continuous part of the process from its jumps part, and even different types of jumps from one another.     

Eliciting Risk and Time Preferences

We design experiments to jointly elicit risk and time preferences for the adult Danish population. Since subjects are generally risk averse, we find that joint elicitation provides estimates of discount rates that are significantly lower than those found in previous studies and more in line with what would be considered as a priori reasonable rates. The statistical specification relies on a theoretical framework that involves a latent trade‐off between long‐run optimization and short‐run temptation. Estimation of this specification is undertaken using structural, maximum likelihood methods. Our main results based on exponential discounting are robust to alternative specifications such as hyperbolic discounting. These results have direct implications for attempts to elicit time preferences, as well as debates over the appropriate domain of the utility function when characterizing risk aversion and time consistency.     

Steuerreformen durch Tarif-oder Zeiteffekte? Eine Analyse am Beispiel der Thesaurierungsbegünstigung für Personenunternehmen

Zusammenfassung  Der Beitrag diskutiert Tarif- und Zinseffekte anhand der begünstigten Besteuerung nicht entnommener Gewinne von Personengesellschaften, die 2008 in Deutschland eingeführt wurde. Bei Eigenfinanzierung und Betrachtung von Grenzsteuers?tzen zeigt der Beitrag, dass die Thesaurierungsbegünstigung stets nachteilig ist, wenn eine abgeltend besteuerte private Kapitalmarktanlage die Alternativanlage darstellt. Müssen Gewinne thesauriert werden, weil Mittel im Unternehmen ben?tigt werden, so entf?llt die private Alternativanlage und die Thesaurierungsbegünstigung kann bei hohen Zins- und Steuers?tzen vorteilhaft sein. Wird die Einkommensteuerprogression berücksichtigt, zeigt der Beitrag, dass bei schwankenden Gewinnen die Thesaurierungsbegünstigung oftmals vorteilhaft ist, auch gegenüber der Abgeltungsteuer. Bei fremdfinanzierten Investitionen kann die Inanspruchnahme der Thesaurierungsbegünstigung sehr vorteilhaft sein, da die geringere Steuerzahlung bei Gewinnanfall den Umfang des ben?tigten Fremdkapitals mindert. Insgesamt zeigt sich, dass sich Reformen von Steuertarifen wesentlich st?rker auf die Vorteilhaftigkeit von Investitionen auswirken als Zinseffekte.

---

Tax reforms by tax rate effects or timing effects? An analysis based an the German tax privilege for retained earnings

Summary  This paper analyzes two typical effects of tax reforms, tax rate effects and timing effects. The example chosen for the analysis is the tax privilege for retained profits of partnerships and sole proprietorships, which was implemented in Germany in 2008. Taking equity-financing and top marginal tax rates into account, the so-called tax privilege turns out to be a disadvantage under most assumptions. If the alternative investment is private capital income taxed at a flat-rate tax, the tax privilege will always be disadvantageous. If profits have to be retained and business income is the alternative investment, then the tax privilege will be advantageous in case of high income tax rates and interest rates. Analyzing progressive tax rates instead of top marginal tax rates reveals favorable results in case of fluctuating profits if the tax privilege is claimed. The same is true if debtfinancing is taken into account. All in all, the paper shows that a reform of tax rates influences the attractiveness of investments much more compared to timing effects.

     

Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing

This paper considers studentized tests in time series regressions with nonparametrically autocorrelated errors. The studentization is based on robust standard errors with truncation lag M=bT for some constant b∈(0, 1] and sample size T. It is shown that the nonstandard fixed‐b limit distributions of such nonparametrically studentized tests provide more accurate approximations to the finite sample distributions than the standard small‐b limit distribution. We further show that, for typical economic time series, the optimal bandwidth that minimizes a weighted average of type I and type II errors is larger by an order of magnitude than the bandwidth that minimizes the asymptotic mean squared error of the corresponding long‐run variance estimator. A plug‐in procedure for implementing this optimal bandwidth is suggested and simulations (not reported here) confirm that the new plug‐in procedure works well in finite samples.     

Rate of Foot-and-Mouth Disease Virus Transmission by Carriers Quantified from Experimental Data

Upon infection with foot-and-mouth disease virus (FMDV) a considerable number of animals become carriers of the virus. These carriers are considered to be a risk for new outbreaks, but the rate at which these animals can transmit the infection has not been quantified. An analysis was carried out using data from previously published experiments in order to quantify the transmission rate parameter β of FMDV infection from carriers to susceptible animals. The parameter β was estimated at 0.0256 (likelihood-based confidence interval: 0.008–0.059) infections per carrier per month. Moreover, analysis of published experimental data indicates that the proportion of FMDV carriers decreases at a rate of 0.115 per month. Both parameters obtained from this study are useful for quantitative risk analyses of the trade of animals from FMDV-infected areas or the lifting of vaccination programs.     

基于生产函数模型的农民工对经济增长贡献率的测量

在充分考虑农民工和城市非农产业工人的生产率差异的基础上,本文利用新经济增长理论中的生产函数模型来分析农民工对经济增长的贡献,并给出了贡献率和年平均贡献率的定义及测算公式,最后利用我国1995 -2005年的数据进行了实证分析。实证结果表明,在考察期内,农民工在我国经济增长的平均贡献率达到13.2%。     

提高缴费率还是推迟退休?

本文在一般均衡OLG模型框架内对比分析了提高养老金缴费率和推迟退休年龄对劳均资本存量、个人和社会统筹账户养老金水平等经济变量的影响。分析结果表明：第一、提高个人账户缴费率除了能增加个人账户养老金和降低私人储蓄外对劳均资本存量等其他经济变量均没有影响。第二、推迟退休和提高社会统筹缴费率都会降低劳均资本存量、单位工资、私人储蓄、第一期消费及效用水平;第三、推迟退休和提高社会统筹缴费率都能提高资本回报率、个人和社会统筹账户养老金收益水平;第四、推迟退休可以提高第二期的消费水平,而提高社会统筹缴费率却会降低第二期的消费水平。上述结果表明,推迟退休的政策选择要优于提高社会统筹缴费率的政策。     

公共财政与中国国民收入的高储蓄倾向(英文)

本文将国有企业从“企业部门”中分离出来,与“政府部门”合并为“公共部门”,其储蓄率称为“公共部门储蓄率”;并将非国有企业与居民合并为“私人部门”,其储蓄率称为“私人部门储蓄率”。据此提出的中国高储蓄率的公共财政假说认为：2000年以来中国储蓄率持续高涨,是由政府的赢利性动机及其对公共财政职能产生的挤出效应推动的,并带来了公共支出的不足。结果,居民和非国有企业不得不增加预防性储蓄。利用我国1996--2006年30个省面板实证检验的结果验证了此假说。     

“自我的道德地形学”——一个具有心理学和社会学意涵的本体诠释学理论

在当今中国,社会学、心理学研究领域中所强调的“文化自觉”的旨趣在于凸显文化主体性以及文化间的和平沟通。“自我的道德地形学”无疑对这一旨趣具有独特的理论启示意义,它构成了C.泰勒的巨著《自我的根源》的主体部分,并在其诠释学思想中占有基础地位。“自我的道德地形学”首先是作为一个心理学理论被提出来的,而它的社会学意涵在以其为基础的、C.泰勒的著名政治理论论文“承认的政治”中充分地得以展现。鉴于这一理论以兼具心理学和社会学意涵的本体论诠释为基础,对错综复杂的历史经验具有条分缕析的阐释力,因此,作者认为,对该理论所具有的启示意义予以深刻地把握,对中国社会学、心理学在方兴未文的跨学科文化研究领域建构基础性的平台具有重要意义。     

出口退税率的调整对我国钢铁出口的影响分析

我国是钢铁生产大国、贸易大国,同时面临着高投入、高排放等诸多问题。“十一五”期间,国家采取了调整出口退税率等措施来限制“两高一资”产品的出口。回顾我国钢铁行业1994年以来出口退税率的调整变化,运用计量经济学模型,采用月度数据分析2004年-2010年出口退税率的调整对我国钢铁行业出口的影响。研究显示,出口退税率的调整对我国钢铁出口量存在微小的长期正向影响,短期作用效果不显著;国外需求因素对钢铁出口的刺激作用最突出,无论在长期或短期影响都非常显著;汇率、价格因素对钢铁出口的刺激作用其次,只存在长期均衡关系。