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PROFIT TRANSFER WITHIN A VERTICAL RELATIONSHIP 垂直关系内的利润转移
Pub Date : 2017-01-01 DOI: 10.22812/JETEM.2017.28.4.004
AhnIllTae
We consider a vertical relationship between a single upstream firm and a single downstream firm and examine the economic effects of the profit transfer program, where the downstream firm transfers a predetermined share of its profit to the upstream firm. We analyze the effects under two scenarios, according as how the price is determined in the upstream market. One is where the upstream firm sets the price of the intermediate good and the downstream firm takes the price as given. The other is where the downstream firm acts as a monopsonist and sets the price of the intermediate good. In the former scenario, the profit transfer alleviates the problem of ‘double marginalization’ and enhances economic efficiency. The downstream firm will hire more intermediate good and will produce more output. And the upstream firm will increase the effort level to reduce the production cost. The consumer surplus and the social welfare will rise. On the other hand, in the latter scenario, the profit transfer has opposite effects. It induces the downstream firm to hire less intermediate good. The upstream firm’s effort level to reduce the production cost decreases. As a result, the output of the final good, the consumer surplus, and the social welfare decrease. We will also examine how the profit transfer affects the individual firms’ profits.
我们考虑单个上游企业和单个下游企业之间的垂直关系,并检验利润转移计划的经济效应,其中下游企业将其预定份额的利润转移给上游企业。我们根据上游市场的价格决定方式,分析了两种情况下的影响。一种是上游企业设定中间产品的价格,下游企业接受这个价格。另一种情况是,下游企业扮演垄断者的角色,设定中间产品的价格。在前一种情况下,利润转移缓解了“双重边缘化”问题,提高了经济效率。下游企业将雇佣更多的中间产品,生产更多的产量。上游企业会加大努力降低生产成本。消费者剩余和社会福利将会增加。另一方面,在后一种情况下,利润转移具有相反的效果。它诱导下游企业雇佣更少的中间产品。上游企业降低生产成本的努力水平降低。因此,最终商品的产出、消费者剩余和社会福利都会减少。我们还将研究利润转移如何影响单个企业的利润。
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引用次数: 1
How the capital utilization adjustment cost should be implemented in DSGE model 资本利用调整成本在DSGE模型中应该如何实现
Pub Date : 2016-09-30 DOI: 10.22812/JETEM.2016.27.3.003
K. Kim, Chang-kee Lee
Variable capital utilization is an important element in recent DSGE models. To allow capital utilization to respond to shocks, the cost of varying utilization is modelled in terms of either accelerated depreciation of capital (Greenwood et al., 1988) or foregone consumption (Christiano et al., 2005). We perform a Bayesian estimation of the standard medium-scale DSGE model augmented with news shocks to examine which specification is supported by the data. The former exhibits a superior fit with the data relative to the latter. We show that it is attributable to the fact that the former explains better the properties of nominal variables, such as inflation and nominal interest rates.
可变资本利用率是最近的DSGE模型中的一个重要因素。为了使资本利用能够对冲击作出反应,不同利用的成本根据资本加速折旧(Greenwood等人,1988年)或放弃的消费(Christiano等人,2005年)进行建模。我们对带有新闻冲击的标准中等尺度DSGE模型进行贝叶斯估计,以检查数据支持哪个规范。前者与数据的拟合优于后者。我们表明,这是由于前者更好地解释了名义变量的属性,如通货膨胀和名义利率。
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引用次数: 1
The Effect of Banking Sector’s Business Conditions on the Transmission Mechanism of Monetary Policy 银行业经营状况对货币政策传导机制的影响
Pub Date : 2016-09-01 DOI: 10.22812/JETEM.2016.27.3.004
Jaeho Yun, Hoon-Tae Ryoo, Jin Mo Chung
In this paper, we estimate a dynamic factor model for Korean macro economy and banking sector's business conditions by using the FAVAR (Factor augmented vector autoregressive) model, and analyze impulse responses of various variables such as macro aggregates and banks' financial ratios.Our empirical analysis shows that the macro economy tends to affect the banking sector unilaterally over time. Next, in our counter-factual analysis where we artificially remove the effect of banking sector on the macro economy in the FAVAR model, we find that there is no substantial effect of banking sector's business conditions on the transmission mechanism of monetary policy.
本文采用因子增强向量自回归(FAVAR)模型估计了韩国宏观经济和银行业经营状况的动态因子模型,并分析了宏观总量和银行财务比率等各种变量的脉冲响应。我们的实证分析表明,随着时间的推移,宏观经济倾向于单方面影响银行业。其次,在我们的反事实分析中,我们在FAVAR模型中人为地消除了银行业对宏观经济的影响,我们发现银行业的经营状况对货币政策的传导机制没有实质性的影响。
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引用次数: 1
The Rise and Fall of Miracles 奇迹的兴衰
Pub Date : 2016-06-01 DOI: 10.22812/JETEM.2016.27.2.001
Jang-Ok Cho, S. Kim
It is shown that an economy can grow endogenously in early stage of development. However, the growth is not due to the factors emphasized in the literature but due to abundant labor. If labor is abundant enough to render real wage rate fixed as Lewis (1954) postulated, the marginal product of capital does not decrease with capital and hence endogenous growth emerges. However, the endogenous growth is temporary in the sense that once labor has been fully utilized, the growth enters neoclassical phase in which the economy converges along saddle path to its steady state of low growth. The model is proposed to explain the difference between West German and Japanese growth pattern after World War II. It is argued that West Germany was a highly industrialized Solow (1956) economy far below her steady state due to wartime destruction. As was predicted by Solow, West German growth rate was extremely high initially. However, her growth pace slowed down gradually from the beginning to a low growth steady state. By contrast, Japanese economy after the war was a largely agrarian and labor abundant Lewis economy. Japan's rapid economic growth which had been sustained temporarily for about twenty years before she took the path converging to the present steady state of low growth was endogenous. Almost all of the growth miracles since the latter half of the twentieth century have been of Japanese pattern.
研究表明,一个经济体在发展初期可以实现内生增长。然而,这种增长并不是由于文献中强调的因素,而是由于劳动力充足。如果劳动力充足到足以使实际工资率像Lewis(1954)假设的那样固定,那么资本的边际产出就不会随着资本的增加而减少,从而出现内生增长。然而,内生增长是暂时的,一旦劳动力得到充分利用,增长就进入新古典阶段,经济沿着马鞍路径收敛到稳定的低增长状态。该模型是为了解释二战后西德和日本经济增长模式的差异而提出的。有人认为,由于战争的破坏,西德是一个高度工业化的索洛(1956)经济,远远低于她的稳定状态。正如索洛所预测的那样,西德最初的增长率非常高。然而,她的增长速度从开始逐渐放缓到低增长的稳定状态。相比之下,战后的日本经济主要是农业和劳动力丰富的刘易斯经济。日本经济在走上趋同于当前低增长稳定状态的道路之前,曾短暂维持了20年左右的快速增长,这是内生的。自20世纪下半叶以来,几乎所有的增长奇迹都是日本模式。
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引用次数: 0
Asymmetric Information about Rivals' Types: Existence of Equilibrium in First-Price Auction 竞争对手类型的信息不对称:首价拍卖中均衡的存在
Pub Date : 2016-01-01 DOI: 10.22812/JETEM.2016.27.1.001
Jinwoo Kim
This paper establishes the equilibrium existence in the first-price auction in the setup where bidders are partitioned into ``knowledge groups'' so that each bidder observes the types of rival bidders in the same group but not the others' types.
本文建立了在将竞标者划分为“知识组”的情况下,首价拍卖的均衡存在性,使得竞标者在同一组中只观察竞争对手的类型,而不观察其他竞标者的类型。
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引用次数: 0
Can Idiosyncratic Shocks to Firms Explain Macroeconomic Growth and Fluctuations in Korea 企业的特殊冲击能解释韩国的宏观经济增长和波动吗
Pub Date : 2015-09-01 DOI: 10.22812/JETEM.2015.26.3.004
Mihye Lee
This paper examines whether idiosyncratic firm-level shocks can explain an important part of aggregate movements as in Gabaix (2011). Its findings show that, different from the case in the United States, the idiosyncratic movements of the largest 20 firms in Korea appear to explain up to 18% of the variations in output growth between 1981 and 2011. In addition, they are also useful in explaining the cyclical component of GDP. It is found that the top three firms’ movements account for 58% of the cyclical component of GDP during the period from 2001q1 to 2012q3. This empirical evidence suggests that the granular hypothesis also holds in Korea.
本文考察了特殊的公司层面冲击是否可以解释Gabaix(2011)所述的总体运动的重要部分。其研究结果表明,与美国的情况不同,韩国最大的20家公司的特殊变动似乎可以解释1981年至2011年间18%的产出增长变化。此外,它们在解释GDP的周期性成分方面也很有用。研究发现,在2001年第一季度至2012年第三季度期间,排名前三的企业的变动占GDP周期性成分的58%。这一经验证据表明,颗粒假设也适用于韩国。
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引用次数: 2
Investigation into the compatibility of stationarity of short-term interest rate proxies with the dynamic term structure models of interest rates 短期利率代理的平稳性与利率动态期限结构模型的兼容性研究
Pub Date : 2015-01-01 DOI: 10.22812/JETEM.2015.26.1.003
Taehyung Kim, Jeong-gun Park
By building on the work of Conley et al. (1997), we investigate the stationarity of riskless short-term interest rate processes, analyzing generalized stochastic volatility models with level effects and examine the compatibility of stationarity of short-term interest rates with the popular dynamic term structure of models of interest rates, such as ATSM and QTSM. We extend extant stochastic volatility models with level effects crucial in characterizing the stationarity of a continuous time stochastic process, estimate the extended models using an efficient simulation-based MCML(Monte Carlo Maximum Likelihood) estimation method using importance sampling and implement model diagnostics using the inverse of standard normal distribution of the dynamic probability integral transform obtained via an auxiliary particle filter. Empirical estimation results indicate that TB3M and Call1d exhibit drift-induced stationarity compatible with both ATSM and QTSM, and that ED1M, KTB3M, MMF7d, CD91d and CP91d are of volatility-induced stationarity. Consequently, the results imply that, without careful consideration for the nature of stationarity of a short-term interest rate, indiscriminate application of theoretical models assuming the drift-induced stationarity of short-term interest rates may cause serious failure in derivative pricing and risk management.
基于Conley等人(1997)的工作,我们研究了无风险短期利率过程的平稳性,分析了具有水平效应的广义随机波动模型,并检验了短期利率平稳性与流行的动态利率期限结构模型(如ATSM和QTSM)的兼容性。我们扩展了具有水平效应的现有随机波动模型,这对表征连续时间随机过程的平稳性至关重要,使用基于重要采样的高效模拟MCML(蒙特卡罗最大似然)估计方法来估计扩展模型,并使用通过辅助粒子滤波器获得的动态概率积分变换的标准正态分布的逆实现模型诊断。实证估计结果表明,TB3M和Call1d均表现出与ATSM和QTSM兼容的漂移诱导平稳性,而ED1M、KTB3M、MMF7d、CD91d和CP91d则表现出波动诱导平稳性。因此,结果表明,如果不仔细考虑短期利率平稳性的性质,不加选择地应用假设短期利率漂移引起的平稳性的理论模型,可能会导致衍生品定价和风险管理的严重失败。
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引用次数: 0
Understanding Currency Crises and Their Contagion 理解货币危机及其传染
Pub Date : 2014-01-01 DOI: 10.22812/JETEM.2014.25.3.002
Frederick Dongchuhl Oh, Hyunjoon Lim
This paper discusses theoretical explanations of currency crises and the contagion from them. We provide a basic introduction to the frameworks of three classical currency crisis models and assess each model’s implications. We then introduce a global game approach in these crisis models, which helps to overcome the limits found in them. Based on our global game analysis, we explain contagion between two economies.
本文讨论了货币危机的理论解释及其传染。我们对三个经典货币危机模型的框架进行了基本介绍,并评估了每个模型的含义。然后,我们在这些危机模型中引入了一种全局博弈方法,这有助于克服它们的局限性。基于我们的全球博弈分析,我们解释了两个经济体之间的传染。
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引用次数: 0
Nonparametric Estimation of Periodicity of Power Volatility and Discontinuous Daily Jump and Intraday Jump 电力波动周期的非参数估计及不连续日跳和日内跳
Pub Date : 2014-01-01 DOI: 10.22812/JETEM.2014.25.1.003
Yi, Chaedeug
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引用次数: 2
New evidence on determinants of income inequality 收入不平等决定因素的新证据
Pub Date : 2013-06-01 DOI: 10.22812/JETEM.2013.24.2.004
Kwanho Shin, Donggyun Shin
This paper investigates determinants of income inequality. To refect that income distribution underwent structural changes recently, we analyze various inequality measures: the Gini coefficient, the Estimated Household Income Inequality (EHII) index, and the income share of the top 1 percent. Analysis of country-level panel data suggests that, contrary to the Kuznetz hypothesis, income inequality has worsened recently among developed countries, which is more evident in the income share of the top 1%. The apparent negative effects of trade openness on income inequality are explained by other control variables, and the negative impact of financial openness is observed when the top 1 percent is analyzed. Technological progress is positively associated with income inequality, as measured by the Gini or the top 1 percent, but not the EHII. It is also found that, while income inequality worsens in the degree to which individuals can participate in the political process of their country, it is reduced by expanded government expenditures.
本文研究了收入不平等的决定因素。为了反映收入分配最近发生的结构性变化,我们分析了各种不平等指标:基尼系数、估计家庭收入不平等指数(EHII)和收入最高的1%的收入份额。对国家级面板数据的分析表明,与库兹涅茨假设相反,发达国家的收入不平等最近有所恶化,这在收入最高的1%人群的收入份额中表现得更为明显。贸易开放对收入不平等的明显负面影响可以用其他控制变量来解释,当分析收入最高的1%时,可以观察到金融开放的负面影响。技术进步与收入不平等呈正相关,这是用基尼系数或收入最高的1%来衡量的,而不是用EHII来衡量。研究还发现,虽然收入不平等在个人参与国家政治进程的程度上恶化了,但政府支出的扩大却减少了这种不平等。
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引用次数: 1
期刊
Journal of Economic Theory and Econometrics
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