nep-bec New Economics Papers
on Business Economics
Issue of 2005‒05‒29
fifteen papers chosen by
Christian Calmes
Universite du Quebec en Outaouais

  1. Is a Declining Dollar Good for Either the U.S. Economy or The Global Ecnomy? By Paul Davidson
  2. The Effects of Higher Gasoline Prices on U.S. Light Vehicle Sales, Prices, and Variable Profit by Segment and Manufacturer Group, 2001 and 2004 By Walter McManus
  3. Efficient Derivative Pricing by Extended Method of Moments By Patrick Gagliardini; C. Gourieroux; E. Renault
  4. Some are Punished and Some are Rewarded: A Study of the Impact of Performance Pay on Job Satisfaction By W.D. McCausland; K. Pouliakas; I. Theodossiou
  5. The Method of Endogenous Gridpoints for Solving Dynamic Stochastic Optimization Problems By Christopher Carroll
  6. Consumption Externalities, Production Externalities and Efficient Capital Accumulation under Time Non-separable Preferences By Stephen J Turnovsky; Goncalo Monteiro
  7. Learning-by-Doing or Habit Formation? By Hafedh Bouakez; Takashi Kano
  8. Identifying and Forecasting the Turning Points of the Belgian Business Cycle with Regime-Switching and Logit Models By Vincent, BODART; Konstantin, KHOLODILIN; Fati, SHADMAN-MEHTA
  9. Shock Identification of Macroeconomic Forecasts based on Daily Panels By Marlene Amstad; Andreas Fischer
  10. Is Bank Portfolio Riskiness Procyclical? Evidence from Italy using a Vector Autoregression By Juri Marcucci; Mario Quagliariello
  11. Board Independence and CEO Turnover By Volker Laux
  12. Scientific and Technological Regimes in Nanotechnology: Combinatorial Inventors and Performance By Andrea Bonaccorsi; Grid Thoma
  13. Marriage, Wealth, and Unemployment Duration: A Gender Asymmetry Puzzle By Rasmus Lentz; Torben Tranæs
  14. Assessing Strategic Risk By R.J., AUMANN; Jacques-Henri, DREZE
  15. Informatique, organisation du travail et intéractions sociales By Nathalie Greenan; Emmanuelle Walkowiak

  1. By: Paul Davidson (New School University)
    Abstract: This paper explains why a declining dollar is likely to prove deleterious to both the US economy and the Global economy. It provides statistics to demonstrate that despite a 25 percent drop in the dollar in 3 years, the US trade deficit has doubled in value. It explains why this doubling has occurred in terms of the absence of the Marshall- Lerner condition. Finally, the paper provides a new alternative policy perscription that will alleviate the US trade dficit hile promoting more rapid global economic growth for the entire global economy.
    Keywords: Marshall-Lerner condition, trade deficits, flexible vs. fixed exchange rates
    JEL: F1 F2
    Date: 2005–05–20
  2. By: Walter McManus (University of Michigan)
    Abstract: The rising gasoline prices of the past few years were not associated with shifts from vehicles with lower MPG to vehicles with higher MPG. This has been seen as evidence that gasoline prices have little impact on the purchase choices of new-vehicle buyers. However, this paper presents new evidence that the shifts toward vehicles with higher MPG that the rising price of gasoline would have caused were not observed because they were offset by price cuts that were disproportionately applied to vehicles with lower MPG.
    Keywords: fuel economy; gasoline prices; automobile demand; nested multinomial logit; variable profit
    JEL: L62
    Date: 2005–05–25
  3. By: Patrick Gagliardini; C. Gourieroux; E. Renault
    Abstract: In this paper we consider an incomplete market framework and explain how to use jointly observed prices of the underlying asset and of some deriv- atives written on this asset for an efficient pricing of other derivatives. This question involves two types of moment restrictions, which can be written either for a given value of the conditioning variable, or can be uniform with respect to this conditioning variable. This distinction between local and uni- form conditional moment restrictions leads to an extension of the Generalized Method of Moments (GMM), a method in which all restrictions are assumed uniform. The Extended Method of Moments (XMM) provides estimators of the parameters with different rates of convergence: the rate is the standard parametric one for the parameters which are identifiable from the uniform restrictions, whereas the rate can be nonparametric for the risk premium parameters. We derive the (kernel) nonparametric efficiency bounds for esti- mating a conditional moment of interest and prove the asymptotic efficiency of XMM. To avoid misleading arbitrage opportunities in estimated derivative prices, an XMM estimator based on an information criterion is introduced. The general results are applied in a stochastic volatility model to get effi- cient derivative prices, to measure the uncertainty of estimated prices and to estimate the risk premium parameters.
    JEL: C13 C14 G12
    Date: 2005–01
  4. By: W.D. McCausland (University of Aberdeen); K. Pouliakas (University of Aberdeen); I. Theodossiou (University of Aberdeen)
    Abstract: Using an econometric procedure that corrects for both self-selection of individuals into their preferred compensation scheme and wage endogeneity, this study investigates whether significant differences exist in the job satisfaction of individuals receiving performance- related pay (PRP) compared to those on alternative compensation plans. Using data from four waves of the British Household Panel Survey (BHPS), it is found that PRP exerts a positive effect on the mean job satisfaction of (very) high-paid workers only. A potential explanation for this pattern could be that for lower-paid employees PRP is perceived to be controlling, whereas higher-paid workers derive a utility benefit from what they regard as supportive reward schemes. Using PRP as an incentive device in the UK could therefore be counterproductive in the long run for certain low-paid occupations.
    Keywords: Performance-related pay, job satisfaction, self-selection
    JEL: J28 J33
    Date: 2005–05–24
  5. By: Christopher Carroll
    Abstract: This paper introduces a method for solving numerical dynamic stochastic optimization problems that avoids rootfinding operations. The idea is applicable to many microeconomic and macroeconomic problems, including life cycle, buffer-stock, and stochastic growth problems. Software is provided.
    Date: 2005–05
  6. By: Stephen J Turnovsky; Goncalo Monteiro
    Abstract: We examine the effects of both consumption and production externalities on capital accumulation and economic performance under time non-separable preferences and a non-scale production technology. We show that a consumption externality in isolation has long-run distortionary effects if and only if labour is supplied elastically. With fixed labour supply, it has only transitional distortionary effects, though it may generate long-run distortions through its interaction with the production externality. Production externalities always generate long-run distortions, irrespective of labour supply. The optimal taxation to correct for the distortions is characterized. Further quantitative insights are obtained by supplementing the theoretical analysis with numerical simulations based on the calibration of a plausible macroeconomic growth model.
    Keywords: Time non-separable preferences; consumption and production externalities; capital accumulation; optimal tax policy
    JEL: D91 E21 O40
  7. By: Hafedh Bouakez; Takashi Kano
    Abstract: In a recent paper, Chang, Gomes, and Schorfheide (2002) extend the standard real business cycle (RBC) model to allow for a learning-by-doing (LBD) mechanism whereby current labour supply affects future productivity. They show that this feature magnifies the propagation of shocks and improves the matching performance of the standard RBC model. In this paper, the authors show that the LBD model is nearly observationally equivalent to an RBC model with habit formation in labour (or, equivalently, in leisure). Under the same calibration of the parameters, the two models share the same equilibrium paths of output, consumption, and investment, but have different implications for hours worked. Using Bayesian techniques, the authors investigate which of the LBD and habit models fits the U.S. data best. Their results suggest that the habit specification is more strongly supported by the data.
    Keywords: Business fluctuations and cycles; Labour markets; Economic models; Econometric and statistical methods
    JEL: C52 E32 J22
    Date: 2005
  8. By: Vincent, BODART (UNIVERSITE CATHOLIQUE DE LOUVAIN, Department of Economics); Konstantin, KHOLODILIN; Fati, SHADMAN-MEHTA (UNIVERSITE CATHOLIQUE DE LOUVAIN, Department of Economics)
    Abstract: This paper seeks to elaborate econometric models that can be used to forecast the turning points of the Belgian business cycle. We begin by suggesting three reference cycle, which we hope will fill the void of an official reference chronology for Belgium. We then construct two different types of model to estimate the probabilities of recession : Markov-switching models, and Logit models. We apply each approach to a limited set of data, which are a good representation of the economy, are available early and are subject to only minor revisions. We then select the best performing model for each chronology and type of approach. The out-of-sample results show that the models provide useful indicators of business cycle turning points. They are however far from perfect forecasting tools, especially when it comes to forecasting periods of classical recession.
    Keywords: Refrence chronologies; Markov-Switching and Logit models, forecasting business cycle turning points
    JEL: C5 E32 E37
    Date: 2005–03–15
  9. By: Marlene Amstad (Swiss National Bank); Andreas Fischer (Swiss National Bank)
    Abstract: This paper proposes a new procedure for shock identification of macroeconomic forecasts based on factor analysis. Our identification scheme for information shocks relies on data reduction techniques for daily panels and the recognition that macroeconomic releases exhibit a high level of clustering. A large number of data releases on a single day is of considerable practical interest not only for the estimation but also for the identification of the factor model. The clustering of cross-sectional information facilitates the interpretation of the forecast innovations as real or as nominal information shocks. An empirical application is provided for Swiss inflation. We show that (i) the monetary policy shocks generate an asymmetric response to inflation, (ii) the pass-through for consumer price index inflation is weak, and (iii) that the information shocks to inflation are not synchronized.
    Date: 2005–02
  10. By: Juri Marcucci; Mario Quagliariello
    Abstract: This study analyzes the cyclical behaviour of the default rates of Italian bank borrowers over the last two decades. A vector autoregression (VAR) modelling technique is employed to assess the extent to which macroeconomic shocks affect the banking sector (first round effect). The VAR also helps to disentangle the feedback effects from the financial system to the real side of the economy. We find evidence of the first round effect and some support for the feedback effect which operates via the bank capital channel.
    Keywords: First-round effect; procyclicality; feedback effects; VAR; banks; default rate
    JEL: C32 E30 E32 E44 G28
  11. By: Volker Laux
    Abstract: It is widely believed that the ideal board in corporations is composed almost entirely of independent (outside) directors. In contrast, this paper shows that some lack of board independence can be in the interest of shareholders. This follows because a lack of board independence serves as a substitute for commitment. Boards that are dependent on the incumbent CEO adopt a less aggressive CEO replacement rule than independent boards. While this behavior is inefficient ex post, it has positive ex ante incentive effects. The model suggests that independent boards (dependent boards) are most valuable to shareholders if the problem of providing appropriate incentives to the CEO is weak (severe).
    Keywords: Corporate Governance; Board Independence; Severance Pay; CEO Turnover; Incentive Compensation
    Date: 2005–04
  12. By: Andrea Bonaccorsi; Grid Thoma
    Abstract: Academics and policy makers are questioning about the relation between science and technology in the emerging field of nano science and technology (NST) and the effectiveness of different institutional regimes. We analyze the performance of inventors in the NST using multiple indicators. We clustered patents in three groups according to the scientific curricula of the inventors. The first two groups are composed by patents whose inventors respectively are all authors of at least one scientific publication in the NST and none of then has obtained a scientific publication in that field. Thirdly, we isolated those patents that have at least one inventor, who is also author of at least one scientific publication in the NST. The underlining presumption of this classification is that of a proxy of different institutional search regimes of the inventive activity; pure academic research, pure industrial R&D, and academic-industrial research partnerships.
    Keywords: Science-Technology Relation, Emerging Field, Nanotechnology, Patent Quality, Inventive Productivity.
  13. By: Rasmus Lentz (Boston University); Torben Tranæs (Rockwool Foundation Research Unit, CESifo and IZA Bonn)
    Abstract: This note presents evidence of the following gender asymmetry: the job-finding effort of married men and women is affected by the income of their spouses in opposite directions. For women, spouse income influences job finding negatively, just as own wealth does: the more the man earns and the wealthier the woman is, the longer it takes for her to find a job. The contrary is the case for men, where spouse income affects job finding positively: the more the wife earns, the faster the husband finds a job. This is so despite the fact that greater own wealth also prolongs unemployment spells for men. These findings are hard to reconcile with the traditional economic model of the family.
    Keywords: gender asymmetries, wealth effects on job finding, unemployment duration
    JEL: D1 J4 J6
    Date: 2005–05
  14. By: R.J., AUMANN; Jacques-Henri, DREZE
    Abstract: In recent decades, the concept of subjective probability has been increasingly applied to an adversary’s choices in strategic games. A careful examination reveals that the standard construction of subjective probabilities does not apply in this context. We show how the difficulty may be overcome by means of a different construction, and provide an axiomatic fondation for it.
    Date: 2005–03–17
  15. By: Nathalie Greenan (Centre d'Etudes de l'Emploi); Emmanuelle Walkowiak (Centre d'Etudes de l'Emploi, Princeton Univ. & ADIS)
    Abstract: Nous proposons un cadre d’analyse unifié des liens de complémentarité entre usage de l’informatique et pratiques organisationnelles innovantes ainsi que des principes de sélection qui sous-tendent leur diffusion au niveau des postes de travail. Nous montrons que les principes communs de sélection, dans l’attribution de l’informatique et le design organisationnel du poste de travail, renvoient au choix de configuration du réseau d’interactions sociales au sein de la firme. Cette structure sociale d’interaction est analysée en référence au concept de « capital social ». Nous distinguons alors, dans la complémentarité entre technologie et organisation, ce qui relève d’une pure coordination des choix dans ces deux dimensions de ce qui relève de la sélection des salariés. Les tests économétriques, que nous avons menés en nous appuyant sur le volet « salariés » de l'enquête « Changements organisationnels et informatisation » (COI) réalisée en 1997, permettent de vérifier quatre propositions. Tout d’abord, nous montrons que le capital social des salariés favorise leur accès aux ordinateurs et plus généralement aux technologies de l’information et de la communication (TIC). Cette sélection dans l’attribution de l’équipement semble spécifique des TIC, puisqu’elle ne permet pas de caractériser l’attribution d’une machine automatique. Deuxièmement, cette même logique de sélection anime l’accès à un poste ayant des caractéristiques productives et informationnelles innovantes. Troisièmement, l’informatique est corrélée aux caractéristiques organisationnelles innovantes des postes de travail résultant de la diffusion des nouvelles formes d’organisation, mais ce lien n’est pas uniforme au sein des différents groupes de professions. Enfin, les caractéristiques organisationnelles innovantes qui intègrent une dimension relationnelle entretiennent avec l’informatique une relation de complémentarité qui puise essentiellement sa source dans la manière dont les salariés ont été sélectionnés pour occuper un poste de travail modernisé.
    Keywords: Informatisation, organisation du travail, complémentarité, capital social
    JEL: L23 O33
    Date: 2005–05–26

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