Risk and return in a Dynamic General Equilibrium Model

Cataloged from PDF version of article.In this paper we examine the relationship between risk and return on productive assets using the intertemporal general equilibrium model of Brock (1982, Asset Prices in a Production Economy, the University of Chicago Press, Chicago, pp. 1-42) as a basis for a simulation study. Current computational techniques are used to solve the growth model of Brock (1979, An Integration of Stochastic Growth and the Theory of Finance - Part I: The Growth Model, Academic Press, New York, pp. 165-192) in order to analyze the underlying financial model. Contrary to recent empirical findings, we find that there is a theoretical basis for the linear relationship between risk and return. This apparent contradiction is due in part to the fact that the dynamic relationship between risk and return depends on the level of output. (C) 2000 Elsevier Science B.V. All rights reserved

The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets

In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels through which the degree of financial liberalization impacts aggregated total volatility. We document a negative relation to the degree of financial liberalization after controlling for size, liquidity, country, and crisis effects, especially for small and medium-sized markets. Moreover, the degree of financial liberalization transmits its negative impact on aggregated total volatility through aggregated idiosyncratic and local volatilities. Overall, our results provide evidence in favor of the view that the broadening of the investor base due to the increasing degree of financial liberalization causes a reduction in the total volatility of stock returns.return volatility;financial liberalization;market integration;volatility decomposition;emerging markets

Role of Strong versus Weak Networks in Small Business Growth in an Emerging Economy

Cataloged from PDF version of article.The study tests whether strong rather than weak ties account for small business growth in Turkey. Data were collected by means of a questionnaire filled out by the owners of small firms operating in four cities. Growth is comprised of two main areas, production expansion and knowledge acquisition. Results show that strong ties are positively related to both types of growth. In contrast, loose ties have no effect on small business growth in either area. This finding is attributed to the influence of the collectivistic nature of the mainstream Turkish culture, where owners of small businesses are likely to rely on in-groups rather than out-groups for advice and for financial support. Implications of relative absence of weak ties for small business growth and innovation in emerging economies are discussed. The findings suggest that culture should be included as a contingency variable in future studies of network strength and growth relationship. The paper also discusses the possible moderating role of affective and cognition-based trust in the relation of strong and weak ties to small business growth

Do CAPM results hold in a dynamic economy. A Numerical analysis

Cataloged from PDF version of article.In this research we use the projection method (reported by Judd) to find numerical solutions to the Euler equations of a stochastic dynamic growth model. The mode1 that we solve is Brock’s asset pricing model for a variety of parameterizations of the production functions. Using simulated data from the model, conjectures (which are not analytically tractable) can be verified. We show that the market portfolio is mean-variance efficient in this dynamic context. We also show a result that is not available from the static CAPM theory: the efficient frontier shifts up and down over the business cycle

The Equity Premium in Brock's Asset Pricing Model

Cataloged from PDF version of article.In this paper we combine dynamic programming methods with projection methods for solving stochastic growth models. As an application of these methods, we solve Brock’s asset pricing model with a variety of parameterizations. We focused on finding parameterizations that result in an equity premium that is high relative to the variation in consumption. We show (both analytically and numerically) that the equity premium can be higher in a production based asset pricing model than it is in the consumption based asset pricing model, even when the real output level is the same in both models. r 2006 Elsevier B.V. All rights reserved

The Evolving Role of Supply Chain Managers in global Channels of Distribution and Logistics Systems

Cataloged from PDF version of article.Purpose – Supply chains have become a strategic strength to many firms due to the nature of the globalization of business. The past roles of supply chain managers have changed dramatically and now also include various new duties that will enhance firm competitiveness due to their boundary spanning nature and the new focus of learning organizations. The paper aims to discuss these issues. Design/methodology/approach – This was a theoretically developed paper exploring trust, learning organizations, and supply chains. Findings – Researchers are now focussing on the relationship among the supply chain network through the paradigm of relational marketing as the governance structures of contractual arrangements globally cannot be anticipated. Originality/value – The research through the lens of relational marketing explores how supply chain managers’ core duties are now compounded by global/cultural nuances in respect to implicit knowledge acquisition and relationship development through strong-form trust

On the performance of West's bubble test: A simulation approach

Cataloged from PDF version of article.In this research we examine the ability of West’s bubble test [1] in detecting speculative bubbles using Brock’s (1982) [2] intertemporal general equilibrium model of asset pricing as the basis for a simulation study. In this setting, (1) the economy, by construction is effi- cient and produces the maximally possible amount of welfare for society, and (2) asset prices reflect the utility-maximizing behavior of consumers and the profit-maximizing behavior of firms. We find that the West’s bubble test flag as ‘‘bubbles” in the simulated data yet the data is produced from an economy in which markets are efficient in welfare production

Structure and stability of quasi-two-dimensional boson-fermion mixtures with vortex-antivortex superposed states

We investigate the equilibrium properties of a quasi-two-dimensional degenerate boson-fermion mixture (DBFM) with a bosonic vortex-antivortex superposed state (VAVSS) using a quantum-hydrodynamic model. We show that, depending on the choice of parameters, the DBFM with a VAVSS can exhibit rich phase structures. For repulsive boson-fermion (BF) interaction, the Bose-Einstein condensate (BEC) may constitute a petal-shaped "core" inside the honeycomb-like fermionic component, or a ring-shaped joint "shell" around the onion-like fermionic cloud, or multiple segregated "islands" embedded in the disc-shaped Fermi gas. For attractive BF interaction just below the threshold for collapse, an almost complete mixing between the bosonic and fermionic components is formed, where the fermionic component tends to mimic a bosonic VAVSS. The influence of an anharmonic trap on the density distributions of the DBFM with a bosonic VAVSS is discussed. In addition, a stability region for different cases of DBFM (without vortex, with a bosonic vortex, and with a bosonic VAVSS) with specific parameters is given.Comment: 8 pages,5 figure

Collective excitations in trapped boson-fermion mixtures: from demixing to collapse

We calculate the spectrum of low-lying collective excitations in a gaseous cloud formed by a Bose-Einstein condensate and a spin-polarized Fermi gas over a range of the boson-fermion coupling strength extending from strongly repulsive to strongly attractive. Increasing boson-fermion repulsions drive the system towards spatial separation of its components (``demixing''), whereas boson-fermion attractions drive it towards implosion (``collapse''). The dynamics of the system is treated in the experimentally relevant collisionless regime by means of a Random-Phase approximation and the behavior of a mesoscopic cloud under isotropic harmonic confinement is contrasted with that of a macroscopic mixture at given average particle densities. In the latter case the locations of both the demixing and the collapse phase transitions are sharply defined by the same stability condition, which is determined by the softening of an eigenmode of either fermionic or bosonic origin. In contrast, the transitions to either demixing or collapse in a mesoscopic cloud at fixed confinement and particle numbers are spread out over a range of boson-fermion coupling strength, and some initial decrease of the frequencies of a set of collective modes is followed by hardening as evidenced by blue shifts of most eigenmodes. The spectral hardening can serve as a signal of the impending transition and is most evident when the number of bosons in the cloud is relatively large. We propose physical interpretations for these dynamical behaviors with the help of suitably defined partial compressibilities for the gaseous cloud under confinement.Comment: 16 pages, 7 figures, revtex