Felix Kübler, Is intertemporal choice theory testable?, Journal of Mathematical Economics, Vol. 40 (1-2), 2004. (Journal Article)
Kreps–Porteus preferences constitute a widely used alternative to time separability. We showin this paper that with these preferences utility maximization does not impose any observable restrictions on a household’s savings decisions or on choices in good markets over time. The additional assumption of a weakly separable aggregator is needed to ensure that the assumption of utility maximization restricts intertemporal choices. Under this assumption, choices in spot marketsare characterized by a strong axiom of revealed preferences (SSARP).Under uncertainty Kreps–Porteus preferences impose observable restrictions on portfolio choice if one observes the last period of an individual’s planning horizon. Otherwise there are no restrictions. |
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Pierre-Andre Chiappori, I Ekeland, Felix Kübler, Herakles M Polemarchakis, Testable implications of general equilibrium theory: A differentiable approach, Journal of Mathematical Economics, Vol. 40 (1-2), 2004. (Journal Article)
Is general equilibrium theory empirically testable? Our perspective on this question differs fromthe standard, Sonnenschein–Debreu–Mantel (SDM) viewpoint. While the SDM tradition considersaggregate (excess) demand as a function of prices, we suppose that what is observable is the equilibriumprice vector as a function of the fundamentals of the economy.We apply this perspective to anexchange economy where equilibrium prices and individual endowments are observable.We derivenecessary and sufficient conditions that characterize the equilibrium prices, as functions of initialendowments. Furthermore, we show that, if these conditions are satisfied, then the economy cangenerically be identified. Finally, we show that when only aggregate data are available, observablerestrictions vanish.We conclude that the availability of individual data is essential for the derivationof testable consequences of the general equilibrium construct. |
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Felix Kübler, Herakles Polemarchakis, Stationary Markov equilibria for overlapping generations, Economic Theory, Vol. 24 (3), 2004. (Journal Article)
At a stationary Markov equilibrium of a Markovian economy of overlapping generations, prices at a date-event are determined by the realization of the shock, the distribution of wealth and, with production, the stock of capital. Stationary Markov equilibria may not exist; this is the case with intra-generational heterogeneity and multiple commodities or long life spans. Generalized Markov equilibria exist if prices are allowed to vary also with the realization of the shock, prices and the allocation of consumption and production at the predecessor date-event. (Stationary) Markov $ \epsilon $ -equilibria always exist; as $ \epsilon \rightarrow 0, $ allocations and prices converge to equilibrium prices and allocations that, however, need not be stationary. |
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Ilan Kremer, Kjell G. Nyborg, Underpricing and market power in uniform price auctions, Review of Financial Studies, Vol. 17 (3), 2004. (Journal Article)
In uniform auctions, buyers chosse demand schedules as strategies and the same "market clearing" price for units awarded. Despite the widespread use of these auctions, the extant theory shows that they are susceptible to arbitrarily large underpricing. We make a realistic modification to the theory by letting prices, quantities, and bids be discrete. We show that underpricing can be made arbitrarily small by choosing a sufficiently small price tick size and a sufficiently large quantitity multiple. We also show how one might improve revenues by modifying the allocation rule. A trivial change in the design can have a dramatic impact on prices. Our conclusions are robust to bidders being capacity constrained. Finally, we examine supply uncertainty robust equilibria. |
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Lorenz Hilty, Claudia Som, Andreas Köhler, Assessing the Human, Social, and Environmental Risks of Pervasive Computing, Human and Ecological Risk Assessment, Vol. 10 (5), 2004. (Journal Article)
The vision of Pervasive Computing is built on the assumption that computers will become part of everyday objects, augmenting them with information services and enhanced functionality. This article reports on the approach we have used to assess potential side effects of this development on human health and the environment, and the major risks we identified. Social risks such as the risk of conflicts between users and non-users of the technology were also included because of their potential indirect adverse health effects. Assessing a technological vision before it has materialized makes it necessary to deal with two types of uncertainty: first, the uncertainty of how fast and to what extent the technology will be taken up and how it will be used; second, the uncertainty of causal models connecting technology-related causes with potential health or environmental effects. Due to these uncertainties, quantitative methods to evaluate expected risks are inadequate, Instead, we developed a "risk filter" that makes it possible to rank risks according to a set of qualitative criteria based on the Precautionary Principle. As the overall result, it turned out that Pervasive Computing bears potential risks to health, society, and/or the environment in the following fields: Non-ionizing radiation, stress imposed on the user, restriction of consumers' and patients' freedom of choice, threats to ecological sustainability, and dissipation of responsibility in computer-controlled environments. |
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Andrea Schenker-Wicki, Die Pathologie der Krise und die Nationale Alarmzentrale, 2004. (Other Publication)
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Andrea Schenker-Wicki, Thomas Griessen, M. Hofacker, M. Patussi, Systemanalyse und Wirkungsprüfung, 2004. (Other Publication)
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Dieter Pfaff, Value-Based Management and Performance Measures: Cash Flow versus Accrual Accounting, In: The Economics and Politics of Accounting, Oxford University Press, p. 81 - 102, 2004. (Book Chapter)
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The Economics and Politics of Accounting, Edited by: Christian Leuz, Dieter Pfaff, Anthony Hopwood, Oxford University Press, Oxford, 2004. (Edited Scientific Work)
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Matthias Müller, Lerneffizienz mit E-Learning, Rainer Hampp Verlag, München/Mering, 2004. (Book/Research Monograph)
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Jacob Goeree, Theo Offerman, The Amsterdam Auction, Econometrica, Vol. 72 (1), 2004. (Journal Article)
The Amsterdam auction has been used to sell real estate in the Dutch capital for centuries. By awarding a premium to the highest losing bidder, the Amsterdam auction favors weak bidders without having the implementation difficulties of Myerson's (1981) optimal auction. In a series of experiments, we compare the standard first-price and English auctions, the optimal auction, and two variants of the Amsterdam auction. With strongly asymmetric bidders, the second-price Amsterdam auction raises substantially more revenues than standard formats and only slightly less than the optimal auction. |
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Jacob Goeree, Charles A. Holt, A Model of Noisy Introspection, Games and Economic Behavior, Vol. 46 (2), 2004. (Journal Article)
We use a laboratory experiment to study the extent to which investors’ choices are affected by limited loss deduction in income taxation. We first compare investment behavior in the no tax baseline to a tax control setting, in which the income from investments is taxed. We find that investors significantly reduce their risk-taking as predicted by theory. Next we compare the baseline investment choices to choices under three different types of income taxation. We observe that risk-taking is significantly increased with partial and with capped loss deduction, but is unaffected by a tax system that allows no loss deduction. Since in all these treatments the after tax outcomes of the prospects were identical, we conjecture that investors have a positively biased perception of partial and capped loss deduction that promotes their willingness to take risks. |
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Jacob Goeree, Charles R. Plott, John Wooders, Bidders' Choice Auctions: Raising Revenues Through the Right to Choose, Journal of the European Economic Association, Vol. 2 (2-3), 2004. (Journal Article)
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Simon P. Anderson, Jacob Goeree, Charles A. Holt, Noisy Directional Learning and the Logit Equilibrium, The Scandinavian Journal of Economics, Vol. 106 (3), 2004. (Journal Article)
We specify a dynamic model in which agents adjust their decisions toward higher payoffs, subject to normal error. This process generates a probability distribution of players' decisions that evolves over time according to the Fokker-Planck equation. The dynamic process is stable for all potential games, a class of payoff structures that includes several widely studied games. In equilibrium, the distributions that determine expected payoffs correspond to the distributions that arise from the logit function applied to those expected payoffs. This ""logit equilibrium"" forms a stochastic generalization of the Nash equilibrium and provides a possible explanation of anomalous laboratory data. |
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Andrea Schenker-Wicki, Das System der Hochschulfinanzierung in der Schweiz – ein weiterführender Ansatz für Deutschland, In: 10 Jahre Hochschulreformen seit dem Eckwertepapier: Anstösse, Massnahmen, Erfolge, Duncker & Humblot, Berlin, p. 107 - 122, 2004. (Book Chapter)
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Alexandre Ziegler, A Game Theory Analysis of Options: Corporate Finance and Financial Intermediation in Continuous Time, Springer Verlag, Heidelberg, 2004. (Book/Research Monograph)
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Marc Paolella, Markus Haas, Stefan Mittnik, Mixed normal conditional heteroskedasticity, Journal of Financial Econometrics, Vol. 2 (2), 2004. (Journal Article)
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Marc Paolella, Modeling higher frequency macroeconomic data: an application to German monthly money demand, Applied Economics Quarterly (Konjunkturpolitik), Vol. 50 (2), 2004. (Journal Article)
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Marc Paolella, Markus Haas, Stefan Mittnik, A new approach to markov-switching GARCH models, Journal of Financial Econometrics, Vol. 2 (4), 2004. (Journal Article)
The use of Markov-switching models to capture the volatility dynamics of financial time series has grown considerably during past years, in part because they give rise to a plausible interpretation of nonlinearities. Nevertheless, GARCH-type models remain ubiquitous in order to allow for nonlinearities associated with time-varying volatility. Existing methods of combining the two approaches are unsatisfactory, as they either suffer from severe estimation difficulties or else their dynamic properties are not well understood. In this article we present a new Markov-switching GARCH model that overcomes both of these problems. Dynamic properties are derived and their implications for the volatility process discussed. We argue that the disaggregation of the variance process offered by the new model is more plausible than in the existing variants. The approach is illustrated with several exchange rate return series. The results suggest that a promising volatility model is an independent switching GARCH process with a possibly skewed conditional mixture density |
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Irene Bertschek, Ulrich Kaiser, Productivity Effects of Organizational Change: Microeconometric Evidence, Management Science, Vol. 50 (3), 2004. (Journal Article)
This paper analyzes the relationship between investment in information and communication technologies (ICT), non-ICT investment, labor productivity, and workplace reorganization. Firms are assumed to reorganize workplaces if the productivity gains arising from workplace reorganization exceed the associated reorganization costs. Two different types of organizational change are considered: enhancement group work and flattening of hierarchies. Empirical evidence is provided for a sample of 411 firms from the German business-related services sector. We develop and estimate a model for labor productivity and firms' decision to reorganize workplaces that allows workplace reorganization to affect any parameter of the labor productivity equation. Our general and flexible methodology allows us to properly take account of strategic complementarities between the input factors and workplace reorganization. The estimation results show that changes in human resources practices do not significantly affect firms' output elasticities with respect to ICT, non-ICT capital, and labor, although most of the point estimates of the individual output elasticities and of the control variables for observable firm heterogeneity are larger if workplace reorganization is realized. We therefore apply the Kernel density-estimation technique and demonstrate that for firms with organizational change, the entire labor productivity distribution shifts significantly out to the right if workplace reorganization takes place, indicating that workplace reorganization induces an increase in labor productivity that is attributable to complementarities between the various input factors and workplace reorganization. By contrast, firms without organizational change would not have realized significant productivity gains if they had reorganized workplaces. |
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