measuring excess capital capacity in agricultural production we introduce the concept excess capital capacity and employ a stochastic input requirement frontier to measure excess capital capacity in agricultural production we also propose a two step estimation method that allows endogenous regressors in stochastic frontier models the first step uses generalized method of moments to get consistent estimates of the frontier parameters in the presence of endogenous regressors the second step uses maximum likelihood to measure excess capital capacity and evaluate the factors that influence it the empirical application to dutch cash crop farms found varying degrees of excess capital capacity the policy implications of excess capital capacity are discussed

market entry waves and volatility outbursts in stock markets abstract we develop a simple agent based financial market model in which speculators market entry decisions are subject to herding behavior and market risk in addition speculators orders depend on price trends market misalignments and fundamental news using a mix of analytical and numerical tools we show that a herding induced market entry wave may amplify excess demand triggering lasting volatility outbursts eventually however higher stock market risk reduces stock market participation and volatility decreases again simulations furthermore reveal that our approach is also able to produce bubbles and crashes excess volatility fat tailed return distributions and serially uncorrelated price changes moreover trading volume is persistent and correlated with volatility

does infrastructure investment stimulate building supply the case of the english regions ball m and nanda a does infrastructure investment stimulate building supply the case of the english regions regional studies policies to improve infrastructure to stimulate regional growth remain common this paper investigates whether increases in infrastructure investment in the english regions lead to subsequent rises in new commercial and residential property using time series modelling both physical roads and harbours and social infrastructure education and health impacts are investigated hardly any infrastructure effects with respect to commercial property investment were found which raises doubts about whether extra infrastructure creates employment though some impact was related to residential building overall these results raise doubts about the supposed direct effects of infrastructure policies on regional jobs and growth

strategy switching in the japanese stock market abstract this paper investigates the expectation formation process of japanese stock market professionals by utilizing a monthly forecast survey dataset on the topix distributed by quick corporation we sort forecasters into buy side and sell side professionals we empirically demonstrate that the buy side and sell side professionals use either fundamental or trend following strategies throughout their expectation formation processes and that they switch between fundamental and trend following strategies over time we also discuss that strategy switching can be key in understanding the persistent deviation of the topix from the fundamentals

the effects of interbank networks on efficiency and stability in a macroeconomic agent based model we develop a macroeconomic agent based model that consists of firms banks unions and households who interact on labour goods credit and interbank markets the model endogenises pricing decisions by firms wage setting by unions and interest rate setting by banks on both firm and interbank lending banks also set leverage targets and precautionary liquidity buffers on the basis of internal risk models our model produces endogenous fluctuations driven by the pricing behaviour of firms and the wage setting behaviour of unions fluctuations lead to loan defaults which are exacerbated as lenders reduce lending and charge higher interest rates inducing a credit crunch we also study how making the inter banking network more connected affects the key outcomes of the economy and find that while the flow of funds from surplus banks to firms can be increased the latter effect is soon dominated by increasing instability in the real sector as firms default at higher rates while the banking sector experiences fewer defaults as a whole losses on the interbank market increase as a source of bank defaults

cognitive ability and earnings performance evidence from double auction market experiments abstract our goal in this paper is to understand how heterogeneity in people s cognitive ability leads to different market behavior and thus different market performance to do this subjects with heterogeneous working memory capacity wmc were placed in a double auction environment to compete against artificial traders we considered two treatments which differ in the artificial traders the artificial traders are truth telling in the first treatment but demonstrate adaptive trading behavior in the second one our results show that working memory capacity has a significantly positive effect on subjects market performance and the performance gap caused by cognitive ability while narrowing over time remains significant by the end of experiment we find that differences in subjects performance resulted from their behavior high wmc subjects were better at exploiting extra profit opportunities and avoiding unprofitable transactions and they tended to underbid more than those with lower wmc among the five constituent abilities of wmc we find that it is distinctive abilities which contribute to the overall significance in these two treatments for the treatment involving truth telling traders the relevant factor is the ability of simultaneous processing and storing information whereas for the treatment involving adaptive traders the only one that matters is subjects ability to coordinate elements into structures

on energy policy models many energy models cannot be relied upon in forecasting or policy analysis the quality of the data is often poor and the theoretical underpinnings tend to be inadequate these points are illustrated by example

asset price and wealth dynamics in a financial market with heterogeneous agents abstract this paper considers a discrete time model of a financial market with one risky asset and one risk free asset where the asset price and wealth dynamics are determined by the interaction of two groups of agents fundamentalists and chartists in each period each group allocates its wealth between the risky asset and the safe asset according to myopic expected utility maximization but the two groups have heterogeneous beliefs about the price change over the next period the chartists are trend extrapolators while the fundamentalists expect that the price will return to the fundamental we assume that investors optimal demand for the risky asset depends on wealth as a result of crra utility a market maker is assumed to adjust the market price at the end of each trading period based on excess demand and on changes of the underlying reference price the model results in a nonlinear discrete time dynamical system with growing price and wealth processes but it is reduced to a stationary system in terms of asset returns and wealth shares of the two groups it is shown that the long run market dynamics are highly dependent on the parameters which characterize agents behaviour as well as on the initial condition moreover for wide ranges of the parameters a locally stable fundamental steady state coexists with a stable non fundamental steady state or with a stable closed orbit where only chartists survive in the long run such cases require the numerical and graphical investigation of the basins of attraction other dynamic scenarios include periodic orbits and more complex attractors where in general both types of agents survive in the long run with time varying wealth fractions

the impact of reduced pre trade transparency regimes on market quality this paper studies the effects of pre trade quote transparency on spread price discovery and liquidity in an artificial limit order market with heterogeneous trading rules our agent based numerical experiments suggest that full quote transparency incurs substantial transaction costs to traders and dampens trading activity in an order driven market our finding reveals that exogenous restriction of displayed depth up to several best quotes does not benefit market performance on the contrary endogenous restriction of displayed quote depth by means of iceberg orders improves market quality in multiple dimensions it reduces average transaction costs maintains higher liquidity and moderate volatility balances the limit order book and enhances price discovery

learning information processing and order submission in limit order markets by introducing a genetic algorithm learning with a classifier system into a limit order market this paper provides a unified framework of microstructure and agent based models of limit order markets that allows traders to determine their order submission endogenously according to market conditions it examines how traders process and learn from market information and how the learning affects limit order markets it is found that measured by the average usage of different group of market information trading rules under the learning become stationary in the long run also informed traders pay more attention to the last transaction sign while uninformed traders pay more attention to technical rules learning of uninformed traders improves market information efficiency but not necessarily when informed traders learn opposite to the learning of informed traders learning makes uninformed traders submit less aggressive limit orders and more market orders furthermore private values can have significant impact in the short run but not in the long run one implication is that the probability of informed trading pin is positively related to the volatility and the bid ask spread

chasing trends at the micro level the effect of technical trading on order book dynamics abstract technical traders attempt to exploit trends in market prices and the order flow despite this little is known about how these traders behave in a micro structure context we consider a model of an order book based financial market the market contains two groups informed traders and technical traders a numerical technique is used to identify a markov perfect equilibrium of the trading game and so determine the optimal strategies we find that technical trading rules are profitable and allow traders to increase their returns the effect of technical traders on the market however is ambiguous they decrease volatility and pricing errors but also increase trading costs despite primarily acting as liquidity suppliers

the impact of heterogeneous trading rules on the limit order book and order flows in this paper we develop a model of an order driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules agents are assumed to have three components to the expectation of future asset returns namely fundamentalist chartist and noise trader furthermore agents differ in the characteristics describing these components such as time horizon risk aversion and the weights given to the various components the model developed here extends a great deal of earlier literature in that the order submissions of agents are determined by utility maximisation rather than the mechanical unit order size that is commonly assumed in this way the order flow is better related to the ongoing evolution of the market for the given market structure we analyze the impact of the three components of the trading strategies on the statistical properties of prices and order flows and observe that it is the chartist strategy that is mainly responsible of the fat tails and clustering in the artificial price data generated by the model the paper provides further evidence that large price changes are likely to be generated by the presence of large gaps in the book

the impact of public infrastructure capital on regional manufacturing production cost seitz h and licht g 1995 the impact of public infrastructure capital on regional manufacturing production cost reg studies 29 231 240 the paper presents an analysis of the impact of public infrastructure capital on manufacturing production cost in the 11 west german states we present a simple theoretical model of a cost minimizing firm in which the stock of public capital is included as a proxy for public services provided to firms as a fixed unpaid factor of production duality theory is used to recover the productivity effects of public infrastructures by calculating the cost saving effects that are associated with public services using a translog cost function we present panel estimates for the manufacturing industry in the 11 states of west germany with labour buildings and machinery as private factors of production the results strongly indicate significant cost reducing effects of public infrastructure services and suggest that public capital formation encourages private investment s

on the effectiveness of private and public capital this study assesses the effectiveness of private and public capital investments in the performance of manufactures within the framework of the duality theory the response of costs of production and input utilization to changes in the stocks of private and public capital is measured by the appropriate elasticities obtained from a cost function instead of considering private capital either as a variable or fixed input on a priori grounds its nature is checked that is the study discriminates between a long and a short run situation the empirical exercise is made for the manufacturing industries in the spanish regions

business fluctuations in a behavioral switching model gridlock effects and credit crunch phenomena in financial networks abstract in this paper we characterize the evolution over time of a credit network in the most general terms as a system of interacting banks and firms operating in a three sector economy with goods credit and interbank market credit connections change over time via an evolving fitness measure depending from lenders supply of liquidity and borrowers demand of credit moreover an endogenous learning mechanism allows agents to switch between a loyal or a shopping around strategy according to their degree of satisfaction the crucial question we investigate is how financial bubbles and credit crunch phenomena emerge from the implemented mechanism

time varying arbitrage and dynamic price discovery abstract we introduce time varying measures of price discovery based on underlying profit maximizing behavior by combining the heterogeneous agent modelling literature with the market microstructure literature we set up a heterogeneous agent model with arbitrageurs and trend chasers chartists and allow agents to switch between the strategies conditional on recent forecasting performance estimation of the model on canadian us cross listed stocks on high frequency data shows that there is significant heterogeneity and switching causing ample variation in the information processing capacity of markets

order aggressiveness pre trade transparency and long memory in an order driven market abstract recent empirical research has documented that the state of the limit order book influences stock investors strategies investors place more aggressive orders when the same side of the order book is thicker and less aggressive orders when it is thinner we conjecture and demonstrate that this behavior is related to long memories of trading volume volatility and order signs in stock markets we investigate our conjecture in two types of artificial stock markets a transparent market in which agents observe all limit orders on both sides of the book and order volumes at those prices before they trade and a less transparent market in which agents observe only the best five bid and ask quotes with the depth available at these limit prices the first market structure resembles certain actual stock exchanges in the level of pre trade transparency such as the australian stock exchange nyse openbook and the london stock exchange whereas the second market structure is consistent with stock exchanges such as euronext paris the toronto stock exchange the tokyo stock exchange and hong kong exchanges and clearing we demonstrate that our long memory results are robust with different levels of pre trade transparency implying that the strategy constructed by the state of the order book is key for explaining long memories in many actual stock exchanges

the relation between price and marginal cost in u s industry an examination of data on output and labor input reveals that some u s industries have marginal cost well below price the conclusion rests on the finding that cyclical variations in labor input are small compared with variations in output in booms firms produce substantially more output and sell it for a price that exceeds the costs of the added inputs the paper documents the disparity between price and marginal cost where marginal cost is estimated from annual variations in cost it considers a variety of explanations of the findings that are consistent with competition but none is found to be completely plausible

swedish economic performance and swedish economic debate a view from outside the papers by korpi henrekson and agell raise important questions both about the swedish economy and about the way in which evidence on economic growth should be handled in debate on economic policy i want to comment in particular on the fundamental question of whether the international evidence allows us to judge that swedish growth has been below par the papers raise two further questions on the first whether growth is inhibited by high taxation and a large welfare state the hallmarks of the post war swedish economy agell provides as good an assessment of the cross country macroeconomic evidence as we can probably hope to get at the moment unproven on the final vexed question of whether the structure of the economics profession has been inimical to open debate i have only a few comments to make let me start with the criteria and method by which we should attempt to assess relative economic performance this is a methodological minefield there are numerous paths leading to divergent conclusions the least we can do is to be explicit about our choices and subject our provisional conclusions to some checks for robustness what performance measure is relevant we could look at gdp or consumption scaled per head of population or per member of the workforce or per hour worked what deflators do we use we can reduce measures denominated in local currency to a common unit using exchange rates or using fixed international prices or using utility based indexes which derivative of the performance measure do we use we might want to compare levels or rankings or we might choose to assess relative rates of growth or even relative changes in growth rates which time period is relevant in particular comparisons of growth rates are often very sensitive to choice of start and end years when business cycle fluctuations are asynchronous what is the reference pointfor assessing underor overachievement the definition of par might be either the best performance or average performance for some group of countries for some period of time finally what exogenousfactors are to be taken into account we might wish to control for the influence on our preferred performance measure of a wide range of factors which are extraneous to the policy question under examination i will take a brisk jog through this minefield explaining briefly some of the choices which seem most relevant to the problem in hand but without attempting a full exposition of the problems the most usual starting place is to choose real gdp per capita as a measure of aggregate performance this

do stylised facts of order book markets need strategic behaviour this paper studies the role of strategy and the order book market mechanism in price dynamics and the order o w behaviour to this end we analyse a zero intelligence agent model of a dynamic limit order market stylised facts of limit order markets are shown to be inuenced and in some cases governed by the market mechanism rather than strategic interaction positive correlation in order types for instance is the result of the market architecture and price movements may be predicted in the short term from analysing the state of the order book in contrast the absolute probabilities of order submission highlight the contribution of strategic behaviour

is public expenditure productive abstract this paper considers the relationship between aggregate productivity and stock and flow government spending variables the empirical results indicate that i the nonmilitary public capital stock is dramatically more important in determining productivity than is either the flow of nonmilitary or military spending ii military capital bears little relation to productivity and iii a core infrastructure of streets highways airports mass transit sewers water systems etc has most explanatory power for productivity the paper also suggests an important role for the net public capital stock in the productivity slowdown of the last fifteen years

public infrastructure and the productive performance of canadian manufacturing industries this article examines the effects of public infrastructure on the productive performance of 12 two digit canadian manufacturing industries a flexible cost function incorporating public capital infrastructure is estimated for each industry separately using annual time series data for 1961 1995 the effects of public infrastructure on productivity are measured in terms of both cost saving dual and output augmenting primal measures we also investigate how public capital influences the input demand and cost structure in each industry and calculate the rate of return to public capital the empirical results provide strong evidence of the important role public infrastructure plays in the productivity of manufacturing industries the public capital serves as a substitute for both private capital and labor in most industries the rates of return to public capital are significant and vary over the years

the application of contrast explanation to energy policy research uk nuclear energy policy 2002 2012 abstract this paper advances the application of the methodology contrast explanation to energy policy research research in energy policy is complex and often involves inter disciplinary work which traditional economic methodologies fail to capture consequently the more encompassing methodology of contrast explanation is assessed and its use in other social science disciplines explored in brief it is then applied to an energy policy research topic in this case nuclear energy policy research in the uk contrast explanation facilitates research into policy and decision making processes in energy studies and offers an alternative to the traditional economic methods used in energy research further contrast explanation is extended by the addition of contested and uncontested hypotheses analyses this research focuses on the methods employed to deliver the new nuclear programme of the uk government in order to achieve a sustainable nuclear energy policy three issues are of major importance 1 law policy and development 2 public administration and 3 project management further the research identifies that policy in the area remains to be resolved in particular at an institutional and legal level however contrary to the literature in some areas the research identifies a change of course as the uk concentrates on delivering a long term policy for the nuclear energy sector and the overall energy sector

measuring the contribution of public infrastructure capital in sweden the authors purpose is to examine ways of evaluating and measuring the contribution of public infrastructure capital to private sector output and productivity growth in sweden they do this by specifying and implementing empirically a number of alternative econometric models using annual data for sweden from 1960 to 1988 applying a dual cost function approach they find that increases in public infrastructure capital ceteris paribus reduce private sector costs the authors compute that amount of public infrastructure capital that would rationalize the cost savings incurred by the private business and manufacturing sectors and find that the amount that can be rationalized in this manner is less than what was in fact available in 1988 but that the extent of excess public infrastructure capital has been falling in the 1980s copyright 1992 by the editors of the scandinavian journal of economics

a calibration procedure for analyzing stock price dynamics in an agent based framework in this paper we introduce a calibration procedure for validating of agent based models starting from the well known nancial model of brock and hommes 1998 we show how an appropriate calibration enables the model to describe price time series we formulate the cal ibration problem as a nonlinear constrained optimization that can be solved numerically via a gradient based method the calibration re sults show that the simplest version of the brock and hommes model with two trader types fundamentalists and trend followers replicates nicely the price series of four dierent markets indices the s p 500 the euro stoxx 50 the nikkei 225 and the csi 300 we show how the parameter values of the calibrated model are important in interpret ing the trader behavior in the dierent markets investigated these parameters are then used for price forecasting to further improve the forecasting we modify our calibration approach by increasing the trader information set finally we show how this new approach im proves the model s ability to predict market prices

heterogeneous beliefs in over the counter markets the behavior and stability of over the counter markets is of central concern to regulators little is known however about how the structure of these markets determine their properties in this paper we consider an over the counter market populated by boundedly rational heterogeneous traders in which the structure is represented by a network stability is found to decrease as the market becomes less well connected however the configuration of connections has a significant effect the presence of hubs such as those found in scale free networks increases stability and decreases volatility whilst small world short cut links have the opposite effect volatility in the fundamental value increases market volatility however volatility in the riskless asset returns has an ambiguous effect

public capital and private productivity this paper uses three different approaches to investigate whether the declining provision of public capital is a major cause of declining labor productivity the juxtaposition of approaches removes

unraveling the productivity growth slowdown in the u s canada and japan the effects of subequilibrium scale economies and markup measures of productivity growth typically include in the productivity residual the impacts of fixity of factors subequilibrium costs of adjustment returns to scale and markups this paper proposes a general framework for adjusting the residual to accommodate these impacts by first correcting and then decomposing traditional measures use of the framework is illustrated empirically for the united states japanese and canadian manufacturing sectors using an econometric model that allows explicit incorporation and measurement of these factors the adjusted measures show that a significant amount of cyclical and secular change in measured productivity growth can be attributed to production characteristics other than technical change particularly scale effects copyright 1992 by mit press

international aspects of public infrastructure investment m odelling infrastructure as an international public good in a two country m odel of trade where each country s social planner behaves strategically we show that the equilibrium levels of infrastructure are sub optimal from a global perspective utilising an appropriate econom etric fram ework and data from 16 european countries over the period 1987 95 we find evidence that accords well with the m ain predictions of our theory thus we are able to offer a plausible theoretical explanation why public capital m ay be undersupplied as suggested by previous em pirical literature