Using simple neural networks to analyse firm activity

Characteristically, in economics, the analysis of firm activity is based on a production function that defines a deterministic relationship between factor inputs and firm output. The analysis of the firm as an organisation takes a somewhat different approach. For instance, behavioural economics (for example Simon, 1955; March and Simon, 1958; Cyert and March, 1963), transaction cost theory (Williamson, 1975, 1985) and capabilities approaches (for example Foss and Loasby, 1998; Foss, 2005) emphasise that economic agents have inevitably incomplete information and knowledge and are at most boundedly or limitedly rational. The implication here is that while general principles governing intra-firm interaction can be specified, detailed organisational processes inside the firm are, for practical academic purposes, effectively unobservable. Hence, the usual analytical tools designed to analyse firm behaviour, based on production functions and optimising principles with full information, are in practice an oversimplification of firm activity (Loasby, 1999)

Efficiency of propensity score adjustment and calibration on the estimation from non-probabilistic online surveys

Peer Reviewe

Interacting demand and supply conditions in European bank lending

This paper investigates credit channel of monetary policy by accounting for simultaneous interaction of banks' and firms' credit conditions and their adjustment costs, which are neglected in the previous studies. Based on the European data we find that these conditions are interacting, although their adjustment costs differ across banks, firm size, countries, and over time. The results suggest that a common European monetary policy should then deal with uncertainty over credit market conditions and firms' and banks' country-specific and size-dependent reactions. It should also monitor large firms' exploitation of banks' credit rationing as it can have great impacts on the smaller firms' lending and financial stability conditions.Demand and Price Analysis,

Time and dynamic Volume-Volatility Relation around Option Listing: Evidence from the French Underlying Stocks.

We empirically investigate the impact of option listing on the underlying stock efficiency by looking at the volume-volatility relation of underlying stock. We use a time- consistent bivariate VAR (Vector Autoregressive Regression) model that includes time duration between trades. This model considers both the contemporaneous and the lagged relation between variables and is consistent with both theories of the informational flux and of the dispersions of beliefs. Besides, it is convenient framework to decompose volatility into two categories: informed and uninformed traders. We compare post-listing to pre-listing model results over a sample including 34 stocks for which options were listed between 1996 and 2006. Despite a significant rise of raw and diurnally adjusted price durations, we find evidence of a positive impact attributable to option listing on the underlying stock volume- volatility relation. This better adjustment to new information is observable jointly on contemporaneous and delayed relation. However, after decomposing volatility, we document no migration of informed traders to underlying stock market after option listing. The option effect seems to be not sufficient to attract informed traders into the underlying stock market. We conclude to the existence of option listing impact on the underlying stock efficiency, but to neutrality toward informed trading. We put forward four potential explanations for these findings.efficiency; Option listing; Bivariate; Volume-volatility relation; price duration;

The impact of regulatory reforms on cost structure, ownership and competition in Indian banking

This paper evaluates the impact of financial sector reforms on the cost structure characteristics and on the ownership–cost efficiency relationship in Indian banking. It also examines the impact of reforms on the dynamics of competition in the lending market. We find evidence that deregulation improves banks performance and fosters competition in the lending market. Results suggest technological progress, once Indian commercial banks have adjusted to the new regulatory environment. This, however, does not translate in efficiency gains. There is also evidence of an ownership effect on the level and pattern of efficiency change. Finally, competition keeps building pace even in the re-regulation period and technological improvements are not hampered by the tightening of prudential norms

Labor market regulations and trade patterns : the panel data analysis within a modified ricardian setting

The paper focuses on the question of how labor market regulations can affect a country’s competitive position in international trade and international trade patterns. The analysis shows that differences in labor market flexibility between countries affect their competitive positions in international markets and can serve as an independent cause of international trade. It is argued that an increase in labor market flexibility may change the relative price of goods within the country making it more competitive in international markets for commodities with uncertain demand. Changes in relative prices can alter countries’ comparative advantage and thus international trade patterns. Furthermore, it is shown that due to the differences in relative prices resulting from different labor market regulations, international trade between countries can be observed even if they are identical in all respects (e.g., labor productivity and production technology). Data reveal that a country with a more flexible labor market has comparative advantage in, and tends to export, goods with more variable demand (e.g., fashionable clothes, seasonal toys), while a country with a more rigid labor market has a comparative advantage in, and tends to export, commodities with more stable demand.info:eu-repo/semantics/publishedVersio

A McKean-Vlasov approach to distributed electricity generation development

This paper analyses the interaction between centralised carbon emissive technologies and distributed intermittent non-emissive technologies. In our model, there is a representative consumer who can satisfy her electricity demand by investing in distributed generation (solar panels) and by buying power from a centralised firm at a price the firm sets. Distributed generation is intermittent and induces an externality cost to the consumer. The firm provides non-random electricity generation subject to a carbon tax and to transmission costs. The objective of the consumer is to satisfy her demand while mini\-mising investment costs, payments to the firm and intermittency costs. The objective of the firm is to satisfy the consumer's residual demand while minimising investment costs, demand deviation costs, and maximising the payments from the consumer. We formulate the investment decisions as McKean-Vlasov control problems with stochastic coefficients. We provide explicit, price model-free solutions to the optimal decision problems faced by each player, the solution of the Pareto optimum, and the Stackelberg equilibrium where the firm is the leader. We find that, from the social planner's point of view, the carbon tax or transmission costs are necessary to justify a positive share of distributed capacity in the long-term, whatever the respective investment costs of both technologies are. The Stackelberg equilibrium is far from the Pareto equilibrium and leads to an over-investment in distributed energy and to a much higher price for centralised energy

Inflation and unemployment revisited: grease vs. sand

As inflation rates in the United States decline, analysts are asking if there are economic reasons to hold the rates at levels above zero. Previous studies of whether inflation "greases the wheels" of the labor market ignore inflation's potential for disrupting wage patterns in the same market. This paper outlines an institutionally-based model of wage-setting that allows the benefits of inflation (downward wage flexibility) to be separated from disruptive uncertainty about inflation rate (undue variation in relative prices). Our estimates, using a unique 40-year panel of wage changes made by large mid-western employers, suggest that low rates of inflation do help the economy to adjust to changes in labor supply and demand. However, when inflation's disruptive effects are balanced against this benefit the labor market justification for pursuing a positive long-term inflation goal effectively disappears

Commodity futures price behaviour following large one-day price changes

This study examines individual commodity futures price reactions to large one-day price changes, or “shocks”. The mean-adjusted abnormal return model suggests that investors in 6 of the 18 commodity futures examined in this study either underreact or overreact to positive surprises. It also detects underreaction patterns in 8 commodity future prices following negative surprises. However, after making appropriate systematic risk and conditional heteroskedasticity adjustments, we show that almost all commodity futures react efficiently to shocks