optimal monetary policy in an economy with inflation persistence abstract this paper studies optimal monetary policy in a model where inflation is persistent two types of price setters are assumed to exist one acts rationally given calvo type constraints on price setting the other type sets prices according to a rule of thumb this results in a phillips curve with both a forward looking term and a backward looking term the phillips curve nests a standard purely forward looking phillips curve as well as a standard purely backward looking phillips curve as special cases a cost push supply shock is derived from microfoundations by adding a time varying income tax and by making the elasticity of substitution between goods stochastic a central bank loss function for this model is derived from a second order taylor approximation of the household s welfare function optimal monetary policy for different relative values of the forward and backward looking terms is then analyzed for both the commitment case and the case of discretion

a model of liquidity hoarding and term premia in inter bank markets financial crises are associated with reduced volumes and extreme levels of rates for term inter bank loans reflected in one month and three month libor we explain such stress by modeling leveraged banks precautionary demand for liquidity asset shocks impair a bank s ability to roll over debt because of agency problems associated with high leverage in turn banks hoard liquidity and decrease term lending as their rollover risk increases over the term of the loan high levels of short term leverage and illiquidity of assets lead to low volumes and high rates for term borrowing in extremis inter bank markets can completely freeze

calculating and using second order accurate solutions of discrete time dynamic equilibrium models we describe an algorithm for calculating second order approximations to the solutions to nonlinear stochastic rational expectations models the paper also explains methods for using such an approximate solution to generate forecasts simulated time paths for the model and evaluations of expected welfare differences across different versions of a model the paper gives conditions for local validity of the approximation that allow for disturbance distributions with unbounded support and allow for non stationarity of the solution process

convention industry and destination clusters evidence from italy abstract the study investigates aspects of the convention industry not well explored in the literature using a framework of cluster theory a quantitative method is used to assess the italian convention industry and its relationships with local infrastructure and tourism product supply the development of the different phases of the life cycle of convention destinations in italy is outlined and locational factors which influence them are investigated managerial and political strategies which would enhance the competitiveness of the italian convention industry in the global market are proposed furthermore the study evaluates the use of the cluster theory in investigating the hospitality industry contributing to the debate on local tourism development

strategic group formation and performance the case of the u s pharmaceutical industry 1963 1982 the focus of this paper is on three major questions 1 what is the theoretical rationale for the strategic group concept 2 does strategic group membership have performance implications and 3 are strategic groups and membership in strategic groups stable characteristics of industries a statistical procedure is proposed to longitudinally identify strategic groups the empirical setting is the u s pharmaceutical industry over the period 1963 82 while performance differences are found in terms of market share profitability differences between groups are not observed neither are differences found in terms of risk and risk adjusted performance these results are attributed to the existence of performance variation within each strategic group a dynamic model of competitive repositioning is proposed which helps integrate the findings from the study

the interbank market after august 2007 what has changed and why after the onset of the financial crisis spreads between interbank interest rates on unsecured and secured deposits for the major world currencies became exceptionally large and volatile first we find that the phenomenon was mainly driven by aggregate rather than bank specific factors notably risk aversion and accounting practices by contrast funding liquidity capital shortage and central bank interventions were not important determinants second prior to august 2007 the spread was broadly insensitive to key borrower characteristics whereas afterward it became somewhat more reactive to measures of creditworthiness third conditions for big borrowers became relatively more favorable during the crisis suggesting that moral hazard risks related to the too big to fail argument have increased these results are discussed in the light of theories on the interbank market during a crisis

forming priors for dsge models and how it affects the assessment of nominal rigidities abstract we discuss prior elicitation for the parameters of dynamic stochastic general equilibrium dsge models and provide a method for constructing prior distributions for a subset of these parameters from beliefs about steady state relationships and second moments of the endogenous variables the empirical application documents how the specification of the prior distribution affects our assessment of the relative importance of price and wage rigidities in a new keynesian dsge model

industrial districts old wine in new bottles harrison b 1992 industrial districts old wine in new bottles reg studies 26 469 483 according to the theory of industrial districts a new wave of economic growth is being led in a number of regions in europe north america and east asia by spatially concentrated networks of mostly small and medium sized enterprises often using flexible production technology and characterized by extensive local interfirm linkages does this amount to a re emergence of the dominance of what urban and regional economists call agglomeration economies over the well known pressures on business to spatially disperse its operations neoclassical economic theorizing from marshall to perroux provides one perspective on the contemporary industrial district phenomenon another is afforded by granovetter s more recent elaboration of the ideas of embedding under and over socialization confronting each of these theoretical approaches with the other leads me to conclude that the industrial district prototypes involv

nominal price rigidity money supply endogeneity and business cycles abstract this paper investigates the ability of nominal price rigidity to explain the co movement of inflation with the cyclical component of output observed in the post war u s data a dynamic general equilibrium model is constructed with the introduction of monopolistic competition and nominal price rigidity in a standard real business cycle model allowing for an endogenous money supply rule it is then demonstrated that sticky price models can explain the observed associations between movements in inflation and output much better than flexible price models this result depends little on whether money supply is assumed to be endogenous or not

is tourism firm competitiveness driven by different internal or external specific factors new empirical evidence from spain abstract the quest to understand the multilevel antecedents of competitiveness has led to a separation of approaches on one side of the question are the environment theories that analyze the structural characteristics of the general and competitive environment on the other side are the resource based view and its extensions that highlight firm specific resources and capabilities as the main basis of firms competitiveness however in recent years the nature of competition and shifting economic conditions have given rise to new theoretical approaches that complement the assumptions underlying both environmental and firm theories specifically this study contributes by examining the regional environment effect the district effect and the strategic group effect through a study of 364 spanish tourism firms this research explores the relative importance of distinct external forces such as the general environment or country effect the regional effect the competitive environment or industry effect the district effect and internal factors such as the firm s tangible resources capabilities and strategy selection the results demonstrate that firms capabilities are more important than environment effects and tangible resources

factors affecting tourism policy implementation a conceptual framework and a case study in china abstract the understanding of tourism policy making and implementation is important due to the multi faceted nature of tourism and the complexity in inter organizational relations and collaborative policy making this paper aims at contributing to the frameworks and theories regarding the implementation of tourism policy by considering the factors identified in both the top down and bottom up approaches of policy implementation the main purpose of this study is to develop a conceptual framework describing the factors affecting the implementation of tourism policy and illustrate the framework with the experience of tourism policy implementation at the local level in china it was found that four factors including economic and social macro environment institutional arrangements inter organizational relations ior and inter organizational co ordination structures ioc and interest groups were influential in the implementation of tourism policy furthermore the case study in china identified the roles of each factor in terms of constraints and facilitators in the real world context and enriched the conceptual framework by illustrating the relationships among factors this study sheds light on concepts and theories regarding tourism policy implementation it also addresses some solutions which may enrich the tourism policy literature in an asian and developing country context

estimating fiscal limits the case of greece summary this paper uses bayesian methods to estimate a real business cycle model that allows for interactions among fiscal policy instruments the stochastic fiscal limit and sovereign default using the particle filter to perform likelihood based inference we estimate the full nonlinear model with post emu data until 2010 q4 we find that i the probability of default on greek debt was in the range of 5 10 in 2010 q4 and ii the 2011 surge in the greek real interest rate is within model forecast bands the results suggest that a nonlinear rational expectations environment can account for the greek interest rate path copyright 2014 john wiley sons ltd

comparing solution methods for dynamic equilibrium economies this paper compares solution methods for dynamic equilibrium economies the authors compute and simulate the stochastic neoclassical growth model with leisure choice using undetermined coefficients in levels and in logs finite elements chebyshev polynomials second and fifth order perturbations and value function iteration for several calibrations the authors document the performance of the methods in terms of computing time implementation complexity and accuracy and they present some conclusions about their preferred approaches based on the reported evidence

factor supply differences as a source of comparative advantage the core of international microeconomics remains the heckscher ohlin factor proportions model although the page count in recent academic journals is decidedly against the heckscher ohlin model this is more a reflection of how economists spend their research time than what they believe time will tell whether the flurry of formal models with scale economies and strategic interactions will be able to squeeze the heckscher ohlin model to a small part of economists collective consciousness frankly i doubt that this will happen after all the heckscher ohlin model has competed for decades with these other viewpoints and has done so quite successfully the new theories of international trade are novel in a linguistic sense discarding the english only language of an earlier generation in favor of the language of modern mathematical modeling there is no doubt that linguistic innovations are important and are capable of driving the profession one way or the other at least on a temporary basis recall that even the word protection is a metaphor intended to make tariffs seem attractive i wonder how the commercial policy debate would go if tariffs were labeled robbery instead of protection i hope that there is something about the content of the message separate from the language that determines the ultimate course of the intellectual currents of our profession insightfulness validity usefulness and the like ought to matter and may be decisive linguistic novelty is one possible reason for the recent interest in scale economies and industrial strategies as explanations of international trade another possibility is that in the marketplace of ideas demand creates its own supply there is a new thirst for isolationism on the part of a substantial segment of the u s population who in the last several decades have found their earnings under attack from foreign competition it would be unseemly and counterproductive for this group of workers owners to petition the u s government merely to increase their own earnings they demand and they have been supplied some substantial intellectual foundation to justify their complaints about reduced earnings the new trade theory does the job quite nicely thank you a not insubstantial reason why economists should cling to the heckscher ohlin model is that it gives trade barriers the label that they genuinely deserve highway robbery of course this robbery is often more in the style of robin hood than jesse james but nonetheless when the metaphors are peeled away every trade barrier that i have ever seen is a device to transfer income from one group to another or perhaps more frequently to stop the transfer of income that would otherwise take place trade barriers may have side effects but income redistribution is their primary purpose i find myself at roughly the 10 percent point in this paper without mentioning any empirical facts first there was linguistic felicitousness and novelty then there was pandering what about the facts don t they matter sorry they do not matter very much one important reason why the facts do not matter much is that the heckscher ohlin model and every other model in economics is both factually correct and factually incorrect we have not developed an intellectual culture that can deal with the complexity and ambiguity of real economic phenomena we teach ourselves a naive anderson graduate school of management university of california los angeles ca 90024

from contents to processes versus a dynamic destination management model ddmm abstract in the tourism market it is destinations that compete not individual firms ritchie j r b crouch g i 2000 the competitive destination a sustainable perspective tourism management 21 si 1 7 growing competition both national and international is making this more and more apparent in fact every destination defined here as tourist district has to position its products in such a way that gives them character and personality the traditional fragmented structure of the european market has spurred the development of metamanagement organizations called destination management organizations dmos today dmos are called on to play a critical role to help local firms build sustainable competitive advantage and to create competitive advantage for the entire district through positioning choices this paper proposes a dynamic model of destination management ddmm which identifies typical metamanagement processes a dmo can use to shape district strategy the usefulness of this work can be seen not only in the need to formulate a good strategy which is often described in terms of positioning or criticality strategy content but also a method or a path that enables firms to build that positioning or acquire that criticality strategy process in fact kaplan and norton 2001 the strategy focused organization how balanced scorecard companies thrive in the new business environment hbs press note that the ability to implement a strategy is more important than the quality of the strategy itself the model proposed here consistent with the empirical evidence gathered in multiple longitudinal case studies underscores the criticality of two different types of metamanagement processes i a series of operative activies here defined as primary processes which can shape the resources of the district and serve to create supply and communicate local product systems and ii a series of support processes which can provide the glue between various players public and private profit and non profit entrepreneurs and community that operate within the district if these processes are effectively managed they have a significant impact on the competitive advantage of the firms operating in the tourist district

bidding behavior in the snb s repo auctions abstract the swiss national bank snb provides reserves to market participants via fixed rate tender auctions we analyze the banks bidding behavior and identify the determinants for the decision to participate as well as on the amount to tender we find that a bank s bids from the previous day the amount of maturing repo operations with the snb as well as the maturing volume on the interbank repo market have for most banks a significant effect the autonomous factors government balances at the snb and currency in circulation are of only minor importance a further determinant is the attractiveness of the snb s auction rate compared to the prevailing interbank market repo rate further the question is addressed whether the bidding behavior changed in the financial market crisis of 2007 2008 there is little evidence of a systematic change in bidding behavior in the crisis this results from the fact that the snb has addressed the volatile demand for reserves in the crisis with overnight fine tuning operations

non linear dsge models and the optimized central difference particle filter abstract we improve the accuracy and speed of particle filtering for non linear dsge models with potentially non normal shocks this is done by introducing a new proposal distribution which i incorporates information from new observables and ii has a small optimization step that minimizes the distance to the optimal proposal distribution a particle filter with this proposal distribution is shown to deliver a high level of accuracy even with relatively few particles and it is therefore much more efficient than the standard particle filter

euro area inflation persistence in an estimated nonlinear dsge model abstract we estimate the approximate non linear solution of a small dsge model on euro area data using the conditional particle filter to compute the model likelihood our results are consistent with previous findings based on simulated data suggesting that this approach delivers sharper inference compared to the estimation of the linearised model we also show that the non linear model can account for richer economic dynamics the impulse responses to structural shocks vary depending on initial conditions selected within our estimation sample

destination competitiveness applying different models the case of slovenia abstract a tourism country s competitiveness is important especially when countries strive for bigger market shares tourism managers have to identify and explore competitive advantages and analyse the destination s competitive position the degree to which a country can benefit from its tourism sector depends largely on this sector s competitive position in the international tourist market this paper refers to the de keyser vanhove model of a competitive destination which was applied to slovenia in 1998 it also studies the integrated model of destination competitiveness developed in a collaborative effort of researchers dealing with the cases of korea and australia and examines its determinants and individual competitive indicators as perceived by slovenian tourist stakeholders on the supply side the result shows that slovenia is more competitive in its natural cultural and created resources but less competitive in the management of tourism and according to the integrated model demand conditions with both uncompetitive elements reducing the slovenian tourism industry s ability to add value the end discussion points out weaknesses in the development of tourism competitiveness models and calls for greater unity with the competitiveness factor theory and for more caution when creating the main competitiveness factors and models

inflation stabilization and welfare the case of a distorted steady state this paper considers the appropriate stabilization objectives for monetary policy in a microfounded model with staggered price setting rotemberg and woodford 1997 and woodford 2002 have shown that under certain conditions a local approximation to the expected utility of the representative household in a model of this kind is related inversely to the expected discounted value of a conventional quadratic loss function in which each period s loss is a weighted average of squared deviations of inflation and an output gap measure from their optimal values zero however those derivations rely on an assumption of the existence of an output or employment subsidy that offsets the distortion due to the market power of monopolistically competitive price setters so that the steady state under a zero inflation policy involves an efficient level of output here we show how to dispense with this unappealing assumption so that a valid linear quadratic approximation to the optimal policy problem is possible even when the steady state is distorted to an arbitrary extent allowing for tax distortions as well as market power and when as a consequence it is necessary to take account of the effects of stabilization policy on the average level of output we again obtain a welfare theoretic loss function that involves both inflation and an appropriately defined output gap though the degree of distortion of the steady state affects both the weights on the two stabilization objectives and the definition of the welfare relevant output gap in the light of these results we reconsider the conditions under which complete price stability is optimal and find that they are more restrictive in the case of a distorted steady state we also consider the conditions under which pure randomization of monetary policy can be welfare improving and find that this is possible in the case of a sufficiently distorted steady state though the parameter values required are probably not empirically realistic

tobin s q and the importance of focus in firm performance using tobin s q as a measure of performance we seek to estimate the relative importance of industry focus and share effects in determining firm performance our methods are analogous to those of richard schmalensee and like him we find that industry effects account for the majority of the explained variance however we also find that firm effects exist in the form of focus effects that is narrowly diversified firms do better than widely diversified firms we interpret this finding as consistent with profit maximization by firms with different factor endowments

the firms that feed industrial districts a return to the italian source italian industrial districts comprise a great variety of firms and are criss crossed by various networks and business groups although the vast majority of industrial district firms are relatively small it is a mistake to assume that they are organizationally symmetrical and that they mimic the supposedly dominant norms of the communities in which they are located larger firms frequently organize production among groups of smaller firms introduce technological innovations and expand existing markets copyright 1999 by oxford university press

computing second order accurate solutions for rational expectation models using linear solution methods this paper shows how to compute a second order accurate solution of a non linear rational expectation model using algorithms developed for the solution of linear rational expectation models the result is a state space representation for the realized values of the variables of the model this statespace representation can easily be used to compute impulse responses as well as conditional and unconditional forecasts

firm and industry effects within strategic management an empirical examination this study brings out the complementarities between resource based and industrial organization schools within strategic management through an empirical examination of firm and industry effects a variance component analysis of 264 single business companies from 69 industries using 5 and 15 year periods suggests that firm effects are more important than industry effects on firm performance but not on core strategies such as technology and marketing the findings also point to the need to study core strategies at lower levels of aggregation to understand the sources of competitive advantage 1998 john wiley sons ltd

estimating the performance effects of business groups in emerging markets business groups confederations of legally independent firms are ubiquitous in emerging economies yet very little is known about their effects on the performance of affiliated firms we conceive of business groups as responses to market failures and high transaction costs in doing so we develop hypotheses about the effects of group affiliation on firm profitability affiliation could either boost or depress firm profitability and members of a group are likely to earn rates of return similar to other members of the same group using a unique data set compiled largely from local sources we test for these effects in 14 emerging markets argentina brazil chile india indonesia israel mexico peru the philippines south africa south korea taiwan thailand and turkey we find evidence that business groups indeed affect the broad patterns of economic performance in 12 of the markets we examine group affiliation appears to have as profound an effect on profitability as does industry membership yet strategy scholars have a much clearer grasp of industries than of groups moreover membership in a group raises the profitability of the average group member in several of the markets we examine this runs contrary to the wisdom conventional in advanced economies that unrelated diversification depresses profitability overall our findings suggest that the roots of sustained differences in profitability may vary across institutional contexts conclusions drawn in one context may well not apply to another copyright 2001 john wiley sons ltd

the term structure of interbank risk we infer a term structure of interbank risk from spreads between rates on interest rate swaps indexed to the london interbank offered rate libor and overnight indexed swaps we develop a tractable model of interbank risk to decompose the term structure into default and non default liquidity components from august 2007 to january 2011 the fraction of total interbank risk due to default risk on average increases with maturity at short maturities the non default component is important in the first half of the sample period and is correlated with measures of funding and market liquidity the model also provides a framework for pricing hedging and risk management of interest rate swaps in the presence of significant basis risk

exit strategies for monetary policy abstract in response to the financial crisis of 2007 08 all major central banks decreased interest rates to historically low levels and created large excess reserves central bankers and academics currently discuss how to implement monetary policy going forward we find that paying interest on reserves ior is optimal if the central bank has full fiscal support if the central bank has no fiscal support reducing reserves is optimal this can be achieved by reserve absorbing operations which hold the size of the balance sheet constant or by selling assets which reduces the size of the balance sheet

measuring innovation in tourism from the schumpeterian and the dynamic capabilities perspectives this paper offers a diagnosis of the state of the issue regarding the measurement of innovation in the tourism industry at the company level and some recommendations for overcoming identified problems the study addresses two central issues how existing secondary databases of innovative activity define the boundaries of the tourism industry and the degree to which these databases reflect the particular characteristics of this economic activity it is concluded that these analyses present serious biases and anomalies hindering the understanding of the situation at the micro level and complicating the issue of international comparability and the analyses do not capture the internal heterogeneity of innovative behavior of tourism companies from specific intra sectoral activities the problems concern inappropriate indicators and the need for survey methods to complement the development of innovation scoreboards in secondary sources the study concludes by detailing a set of proposals that should be considered in the context of a scoreboard to provide a comprehensive view of a tourism firm s technological and organizational innovations as well as its innovative capabilities combining schumpeterian theory and the dynamic capabilities based approach and also making cross national comparisons feasible

a review of innovation research in tourism abstract over the past two decades there has been increasing focus on the topic of innovation in tourism this article reviews the research contributions various categories of innovation product process managerial marketing and institutional are addressed important determinants of innovation are acknowledged including the role of entrepreneurship technology push and the existence of territorial industry clusters representation of knowledge is also identified as a critical factor for both the occurrence and nature of innovations the review reveals that there is still only limited systematic and comparable empirical evidence of the level of innovative activities and their impacts and wider implications for destinations and national economies an agenda for future research is emerging suggesting that there is quest for both formal quantification and for qualitative studies of the foundations processes implications and policies of innovation in tourism

systemic illiquidity in the federal funds market this paper shows how the intra day allocation and pricing of overnight loans of federal funds reflect the decentralized inter bank market in which these loans are traded a wouldbe borrower or lender typically finds a counterparty institution by direct bilateral contact once in contact say by telephone the two counterparties to a potential trade negotiate terms that reflect their incentives for borrowing or lending as well as the attractiveness of their respective options to forego a trade and to continue shopping around this overthe counter otc pricing and allocation mechanism is quite distinct from that of most centralized markets such as an electronic limit order book market in which every order is anonymously exposed to every other order with a centralized order crossing algorithm while there is a significant body of research on the micro structure of specialist and limit order book markets most otc markets do not have comprehensive transactionslevel data available for analysis the federal funds market is a rare exception we go beyond a previous study by craig furfine 1999 of the microstructure of the federal funds market by modeling how the likelihood of matching a particular borrower with banking studies federal reserve bank of new york 33 liberty street new york ny 10045 we are grateful for support and data from the federal reserve bank of new york and for comments from guillaume plantin jamie mcandrews craig furfine michael fleming and anonymous federal funds traders we have also benefited from comments by andrew metrick jeremy stein ken french larry harris owen lamont john taylor and randy westerfield the views expressed here are not necessarily those of the federal reserve bank of new york or the federal reserve system

new evidence on inflation persistence and price stickiness in the euro area implications for macro modeling this paper evaluates new evidence on price setting practices and inflation persistence in the euro area with respect to its implications for macro modeling it argues that several of the most commonly used assumptions in micro founded macro models are seriously challenged by the new findings jel e31 e52

yield curve in an estimated nonlinear macro model this paper estimates a sticky price macro model with us macro and term structure data using bayesian methods the model is solved by a nonlinear method the posterior distribution of the parameters in the model is found to be bi modal the degree of nominal rigidity is high at one mode sticky price mode but is low at the other mode flexible price mode i find that the degree of nominal rigidity is important for identifying macro shocks that affect the yield curve when prices are more flexible a slowly varying inflation target of the central bank is the main driver of the overall level of the yield curve by changing long run inflation expectations in contrast when prices are more sticky a highly persistent markup shock is the main driver the posterior probability of each mode is sensitive to the use of observed proxies for inflation expectations ignoring additional information from survey data on inflation expectations significantly reduces the posterior probability of the flexible price mode incorporating this additional information suggests that yield curve fluctuations can be better understood by focusing on the flexible price mode considering nonlinearities of the model solution also increases the posterior probability of the flexible price mode although to a lesser degree than using survey data information

access policy and money market segmentation abstract deviations between interest rates paid in the swiss franc unsecured money market and the respective libor rate are analysed for a period spanning the financial crisis first banks that have access to sources of secured central bank and interbank funding pay less than other banks second foreign banks not chartered in switzerland pay more than domestic banks third both lines of segmentation are economically relevant but limited due to open access to sources of secured funding thus access policy matters for monetary policy implementation and financial stability

dynamic capabilities what are they this paper focuses on dynamic capabilities and more generally the resource based view of the firm we argue that dynamic capabilities are a set of specific and identifiable processes such as product development strategic decision making and alliancing they are neither vague nor tautological although dynamic capabilities are idiosyncratic in their details and path dependent in their emergence they have significant commonalities across firms popularly termed best practice this suggests that they are more homogeneous fungible equifinal and substitutable than is usually assumed in moderately dynamic markets dynamic capabilities resemble the traditional conception of routines they are detailed analytic stable processes with predictable outcomes in contrast in high velocity markets they are simple highly experiential and fragile processes with unpredictable outcomes finally well known learning mechanisms guide the evolution of dynamic capabilities in moderately dynamic markets the evolutionary emphasis is on variation in high velocity markets it is on selection at the level of rbv we conclude that traditional rbv misidentifies the locus of long term competitive advantage in dynamic markets overemphasizes the strategic logic of leverage and reaches a boundary condition in high velocity markets copyright 2000 john wiley sons ltd

fear of fire sales illiquidity seeking and credit freezes is there any need to clean up a banking system in the midst of a crisis for instance by closing some weak banks and forcing others to sell bad assets or can one wait till the crisis is over we argue that an overhang of impaired banks that may be forced to sell assets in the future can increase the private returns to holding illiquid assets sufficiently that weak banks have no interest in selling them anticipating a potential future fire sale cash rich buyers have high expected returns to holding cash which also reduces their incentive to lock up money in term loans the potential for a worse fire sale than necessary as well as the associated decline in credit origination could make the crisis worse which is one reason it may make sense to clean up the system even in the midst of the crisis we discuss alternative ways of cleaning up the system and the associated costs and benefits

comparing shocks and frictions in us and euro area business cycles a bayesian dsge approach this paper estimates a dsge model with many types of shocks and frictions for both the us and the euro area economy over a common sample period 1974 2002 the structural estimation methodology allows us to investigate whether differences in business cycle behaviour are due to differences in the type of shocks that affect the two economies differences in the propagation mechanism of those shocks or differences in the way the central bank responds to those economic developments our main conclusion is that each of these characteristics is remarkably similar across both currency areas copyright 2005 john wiley sons ltd

a structural decomposition of the us yield curve abstract by expanding the macro part of macro finance models historical fluctuations in us bond yields turn out to be largely consistent with the rational expectations hypothesis we estimate a medium scale macro finance dsge model of the term structure to establish this our finding contrasts with existing macro finance models and suggests that their small scale or non structural perspective on the macroeconomy mutes expectations thereby underestimating the expectations hypothesis potential out of sample forecasts are competitive with more flexible term structure models given the empirical validation we interpret various episodes through the lens of the model and investigate which structural shocks cause the yield curve to contain information about future growth

re use of collateral in the repo market this paper introduces a methodology to estimate the re use of collateral based on actual transaction data with a comprehensive data set from the swiss franc repo market we are able to provide the first systematic study on the re use of collateral we find that re using collateral was most popular prior to the financial crisis when roughly 10 of the outstanding interbank volume was secured with re used collateral furthermore we show that the re use of collateral increases with the scarcity of collateral by giving an estimate of the collateral re use and explaining its drivers the paper contributes to the on going debate on collateral availability

agent based stock flow consistent macroeconomics towards a benchmark model abstract the paper moves from a discussion of the challenges posed by the crisis to standard macroeconomics and the solutions adopted within the dsge community although several recent improvements have enhanced the realism of standard models we argue that major drawbacks still undermine their reliability in particular dsge models still fail to recognize the complex adaptive nature of economic systems and the implications of money endogeneity the paper argues that a coherent and exhaustive representation of the inter linkages between the real and financial sides of the economy should be a pivotal feature of every macroeconomic model and proposes a macroeconomic framework based on the combination of the agent based and stock flow consistent approaches the papers aims at contributing to the nascent ab sfc literature under two fundamental respects first we develop a fully decentralized ab sfc model with several innovative features and we thoroughly validate it in order to check whether the model is a good candidate for policy analysis applications results suggest that the properties of the model match many empirical regularities ranking among the best performers in the related literature and that these properties are robust across different parameterizations second the paper has also a methodological purpose in that we try to provide a set or rules and tools to build calibrate validate and display ab sfc models

identification of dsge models the effect of higher order approximation and pruning abstract this paper shows how to check rank criteria for a local identification of nonlinear dsge models given higher order approximations and pruning this approach imposes additional restrictions on higher order moments and polyspectra which can be used to identify parameters that are unidentified in a first order approximation the identification procedures are demonstrated by means of the kim 2003 and the an and schorfheide 2007 models both models are identifiable with a second order approximation furthermore analytical derivatives of unconditional moments cumulants and corresponding polyspectra up to fourth order are derived for the pruned state space

do markets differ much this essay reports the results of a crosssection study of differences in accounting profitability that sheds light on some basic controversies in industrial economics most previous cross section studies in this field have been concerned with testing hypotheses about structural coefficients in models meant to apply to essentially all markets as we have learned more about the difficulties of constructing such general models and of performing tests on their structural parameters properly structural cross section analysis has fallen out of fashion in contrast to most of the cross section literature the analysis reported here is fundamentally descriptive it does not attempt directly to estimate or to test hypotheses about structural parameters i hope to show by example that one can perform illuminating analysis of cross section data without a host of controversial maintained hypotheses cross section data can yield interesting stylized facts to guide both general theorizing and empirical analysis of specific industries even if they cannot easily support full blown structural estimation one can view the sort of search for stylized facts conducted here as either a replacement for or an input to interindustry structural estimation depending on one s feeling about the long run potential of that research approach this study also departs from much of the cross section literature by being fundamentally concerned with the importance of various effects not just with coefficient signs and t statistics in particular this essay provides estimates of the relative importance of firm market and market share differences in the determination of business unit divisional profitability in u s manufacturing using 1975 data from the line of business program of the u s federal trade commission ftc i find support neither for the existence of firm effects nor for the importance of market share effects moreover while industry effects apparently exist and are important they appear to be negatively correlated with seller concentration in these data section i relates firm market and share effects to current issues and controversies in industrial economics and thus supplies the motivation for our empirical analysis the remainder of the essay treats the data and

interbank lending and systemic risk systemic risk refers to the propagation of a bank s economic distress to other economic agents linked to that bank through financial transactions banking authorities often prevent systemic risk through an implicit insurance of interbank claims or by reducing interbank transactions and centralizing banks liquidity management this paper investigates whether the flexability afforded by decentralized bank interactions can be preserved while protecting the central banks from the necessity of conducting undesired rescue operations it develops a model in which decentralized interbank leading is motivated by peer monitoring in this context the paper derives the optimal prudential rules and in particular looks at the impact of interbank monitoring on the solvency and liquidity ratios of borrowing and lending banks last it provides conditions which a too big to fail policy is or is not justified and studies the possibility of propagation of a bank s liquidity shock throughout the financial system copyright 1996 by ohio state university press

rollover risk and market freezes the debt capacity of an asset is the maximum amount that can be borrowed using the asset as collateral we model a sudden collapse in the debt capacity of good collateral we assume short term debt that must be frequently rolled over a small transaction cost of selling collateral in the event of default and a small probability of meeting a buy to hold investor we then show that a small change in the asset s fundamental value can be associated with a catastrophic drop in the debt capacity the kind of market freeze observed during the crisis of 2007 to 2008 one of the many striking features of the crisis of 2007 to 2008 was the sudden freeze in the market for the rollover of short term debt from an in stitutional perspective the inability to borrow overnight against high quality but long term assets was a market failure that effectively led to the demise of a substantial part of investment banking in the united states more broadly it led to the collapse in the united states the united kingdom and other countries of banks and other financial institutions that had relied on signifi cant maturity mismatch between assets and liabilities and in particular on the rollover of short term wholesale debt in the asset backed commercial paper abcp and overnight sale and repurchase repo markets in this paper we are interested in developing a model of a sudden collapse in the ability to borrow short term against long lived assets in the absence of obvious problems of asymmetric information or fears about the value of col lateral we refer to this phenomenon as a market freeze more precisely a market freeze occurs when the debt capacity the maximum amount of collat eralized borrowing that can be supported by an asset is a small fraction of the fundamental value the economic value measured by the net present value npv of the stream of future returns an extreme form of a market freeze occurs when the fundamental value is close to the maximum possible value of the asset whereas the debt capacity is close to the minimum possible value of the asset

estimation of agent based models using sequential monte carlo methods abstract estimation of agent based models is currently an intense area of research recent contributions have to a large extent resorted to simulation based methods mostly using some form of simulated method of moments estimation smm there is however an entire branch of statistical methods that should appear promising but has to our knowledge never been applied so far to estimate agent based models in economics and finance markov chain monte carlo methods designed for state space models or models with latent variables this latter class of models seems particularly relevant as agent based models typically consist of some latent and some observable variables since not all the characteristics of agents would mostly be observable indeed one might often not only be interested in estimating the parameters of a model but also to infer the time development of some latent variable however agent based models when interpreted as latent variable models would be typically characterized by non linear dynamics and non gaussian fluctuations and thus would require a computational approach to statistical inference here we resort to sequential monte carlo smc estimation based on a particle filter this approach is used here to numerically approximate the conditional densities that enter into the likelihood function of the problem with this approximation we simultaneously obtain parameter estimates and filtered state probabilities for the unobservable variable s that drive s the dynamics of the observable time series in our examples the observable series will be asset returns or prices while the unobservable variables will be some measure of agents aggregate sentiment we apply smc to two selected agent based models of speculative dynamics with somewhat different flavor the empirical application to a selection of financial data includes an explicit comparison of the goodness of fit of both models

the evolution of mass tourism destinations new approaches beyond deterministic models in benidorm spain although deterministic models of the evolution of mass tourism coastal resorts predict an almost inevitable decline over time theoretical frameworks of the evolution and restructuring policies of mature destinations should be revised to reflect the complex and dynamic way in which these destinations evolve and interact with the tourism market and global socio economic environment the present study examines benidorm because its urban and tourism model and large scale tourism supply and demand make it one of the most unique destinations on the mediterranean coast the investigation reveals the need to adopt theories and models that are not purely deterministic the dialectic interplay between external factors and the internal factors inherent in this destination simultaneously reveals a complex and diverse stage of maturity and the ability of destinations to create their own future