1,734 results for Working or discussion paper

  • The Impact of Recent Welfare Reforms on Labour Supply Behaviour In New Zealand

    Maloney, Tim (1998)

    Working or discussion paper
    The University of Auckland Library

    New Zealand recently initiated sweeping reforms to its social welfare programmes by cutting benefits and tightening eligibility criteria. One of the objectives of these reforms was to provide incentives for people to enter or re-enter the labour force. Econometric analysis is used in this paper to isolate the actual effects of these benefit reforms on labour supply. Previous research in many counties has often failed to accurately measure the extent of these work disincentives, or to observe variation in these programmes that would allow this empirical analysis to take place. The structure of these benefit programmes in New Zealand, and the nature of these reforms offers a unique opportunity to identify these behavioural responses. Quarterly random samples of individuals between 1985 and 1995 are used to isolate the effects of these reforms, while controlling for a wide variety of other influences. This study finds compelling evidence that these benefit reforms resulted in a substantial increase in aggregate labour supply in this country.

    View record details
  • Financial Development and Growth: Can the APEC Experience Offer A Lesson for Asia

    Bandyopadhyay, Debasis; Cheung, Chung-Sze Joyce (1998)

    Working or discussion paper
    The University of Auckland Library

    In models of endogenous growth with financial development researchers typically find that a lower share of government ownership in the domestic financial sector leads to a greater efficiency and a higher rate of growth. We find no such evidence in the economies of the APEC. A greater privatisation of financial intermediaries in the APEC has only led to a greater volume of capital without any significant change in the overall efficiency. Nevertheless, a significant improvement in efficiency in the APEC has come from a greater access of the member countries to the international credit market. This finding implies that the real growth in East Asia should continue despite the recent problems of the domestic financial intermediaries, provided the region's access to international credit market continues to grow under the umbrella of APEC.

    View record details
  • Evolution of Conventions in an Experimental Public Goods Game with Private and Public Knowledge of Advice

    Chaudhuri, Ananish; Graziano, Sara (2003)

    Working or discussion paper
    The University of Auckland Library

    We adopt an inter-generational approach to the public goods game where at the end of each session one generation of subjects leave advice for the succeeding generation via free form messages. Such advice can be private (advice left by one player in generation t is given only to her immediate successor in generation t+1) or public (advice left by players of generation t is made available to all members of generation t+1). We find that when advice is public it generates a process of social learning that helps increase contributions over time and also mitigates problems of free riding. Our results suggest that contrary to game theoretic predictions, communities may be able to achieve efficient or near efficient levels of public good provision on the basis of private contributions.

    View record details
  • Economics of Research Exemption

    Aoki, Reiko; Nagaoka, Sadao (2006)

    Working or discussion paper
    The University of Auckland Library

    We provide an economic analysis of two types of research exemptions: (1) experimentation and research on the patented subject matter, and (2) academic (or non-commercial) research with the patented invention. We find that exemption for research on improving or inventing-around the subject matter makes good economic sense in the context of perpetual R & D competition, although it may not in the context of pioneer-follower innovation framework. The best approach might be to provide broad research exemption on the research on subject matter (more generally exemption for research using the knowledge disclosed in the invention that is useful for improving its subject matter), while stronger protection is provided for a pioneering invention in the product market in terms of the breadth of claims. Exemption for experimentation on the subject matter for the purpose of verification of inventions also is sensible. On the other hand, we find that research exemption is a blunt tool for promoting academic research, with a negative effect on the development of research tool. In addition, it is not clear whether research exemption is necessary for efficient and coordinated price discrimination in favor of academic researches.

    View record details
  • A Class of Nonlinear Stochastic Volatility Models

    Yu, Jun; Yang, Zhenlin (2002)

    Working or discussion paper
    The University of Auckland Library

    This paper proposes a class of stochastic volatility (SV) models which offers an alternative to the one introduced in Andersen (1994). The class encompasses all standard SV models that have appeared in the literature, including the well known lognormal model, and allows us to empirically test all standard specifications in a convenient way. We develop a likelihood-based technique for analyzing the class. Daily dollar/pound exchange rate data reject all the standard models and suggest evidence of nonlinear SV. An efficient algorithm is proposed to study the implications of this nonlinear SV on pricing currency options and it is found that the lognormal model overprices options.

    View record details
  • Academic Performance, Parental Income, and the Choice to Leave School at Age Sixteen

    Maani, Sholeh; Kalb, Guyonne (2005)

    Working or discussion paper
    The University of Auckland Library

    A general international observation is that adolescents from disadvantaged families are more likely to leave school at age 16. In this paper we extend the literature on school-leaving decisions by using a new and extensive panel data set from New Zealand; and by examining the effect of family income, and personal and environmental characteristics since childhood on both academic performance and subsequent schooling choices. Results obtained from single equations and joint estimation, allowing for possible endogeneity of academic performance, reveal the importance of the role of academic performance in models of demand for education. Several factors that are at work for a long time, such as household income at different points in time, influence the schoolleaving decision through academic performance. These results point to the role that stimulating academic performance may play in breaking cycles of disadvantage.

    View record details
  • BUGS for a Bayesian Analysis of Stochastic Volatility Models

    Meyer, Renate; Yu, Jun (2000)

    Working or discussion paper
    The University of Auckland Library

    This paper reviews the general Bayesian approach to parameter estimation in stochastic volatility models with posterior computations performed by Gibbs sampling. The main purpose is to illustrate the ease with which the Bayesian stochastic volatility model can now be studied routinely via BUGS (Bayesian Inference Using Gibbs Sampling), a recently developed, user-friendly, and freely available software package. It is an ideal software tool for the exploratory phase of model building as any modifications of a model including changes of priors and sampling error distributions are readily realized with only minor changes of the code. BUGS automates the calculation of the full conditional posterior distributions using a model representation by directed acyclic graphs. It contains an expert system for choosing an efficient sampling method for each full conditional. Furthermore, software for convergence diagnostics and statistical summaries is available for the BUGS output. The BUGS implementation of a stochastic volatility model is illustrated using a time series of daily Pound/Dollar exchange rates.

    View record details
  • Empirical Characteristic Function in Time Series Estimation

    Knight, John; Yu, Jun (1999)

    Working or discussion paper
    The University of Auckland Library

    Since the empirical characteristic function is the Fourier transformation of the emipirical distribution function, it retains all the information in the sample but can overcome difficulties arising from the likelihood. This paper discusses an estimation method using the empirical characteristic function for stationary processes. Under some regularity conditions, the resulting estimators are shown to be consistent and asymptotically normal. The method is applied to estimate Gaussion ARMA models. The optimal weight functions and estimating equations are given for in detail. Monte Carlo evidence shows that thc empirical characteristic function method can work as well as the exact maximum likelihood method and outperforms the conditional maximum likelihood method.

    View record details
  • Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method

    Knight, John; Satchell, Stephen; Yu, Jun (1999)

    Working or discussion paper
    The University of Auckland Library

    This paper estimates the stochastic volatility model using the empirical characteristic function method. This procedure has the same asymptotic efficiency as maximum likelihood, and is thus a desirable method to use when the likelihood function is unknown. The stochastic volatility model has no closed form for its likelitiood but it does have a known characteristic function. A Monte Carlo study shows that thc empirical characteristic function method is a viable procedure for the stochastic volatility model. An application is considered for S&P 500 daily returns. Our results suggest much lower persistence than is normally found.

    View record details
  • Redistributive Tax and Growth in a Model with Discrete Occupation choice

    Bandyopadhyay, Debasis; Basu, Parantap (1999)

    Working or discussion paper
    The University of Auckland Library

    An optimal redistributive tax-subsidy formula is derived for a growth model where inequality is endogenously driven by an adult's choice of occupation between work and management. The human capital or knowledge is the only engine of growth and there is externality associated with human capital B la Lucas (1988) and Romer (1990). How much available knowledge would be exploited in the economy depends on the proportion of innovators who are called managers in our model. A redistributive tax reform directly impacts this proportion of managers by influencing the occupational choice. A growth maximizing redistributive scheme involves an educational subsidy to the innovators financed by taxing workers. Such an optimal educational subsidy is, however, path dependent. An economy with excessively high proportion of managers warrants lesser educational subsidy.

    View record details
  • Equilibrium Quality Choices with Generalized Smooth Cost Function

    Aoki, Reiko (2001)

    Working or discussion paper
    The University of Auckland Library

    We show that the effect of credible quality commitment on quality choice with Bertrand and Cournot competition in the product market for quadratic cost of quality function (Aoki (2000)) holds for more general cost functions. Specifically, we compare the quality choices with sequential and simultaneous quality choices when cost of quality q is kq n where k is a positive constant and n is any integer greater than 2. The first mover will always choose to produce higher quality, even when cost of quality increases very rapidly (n is large). All previously identifies qualitative comparisons between Bertrand and Cournot competition also extend to the generalized cost function.

    View record details
  • What Drives the Cross-Country Growth and Inequality Correlation?

    Bandyopadhyay, Debasis; Basu, Parantap (2002)

    Working or discussion paper
    The University of Auckland Library

    We present a neo-classical model that explores the determinants of growth-inequality correlation and attempts to reconcile the seemingly conflicting evidence on the nature of growth-inequality relationship. The initial distribution of human capital determines the long run income distribution and the growth rate by influencing the occupational choice of the agents. The steady state proportion of adults that innovates and updates human capital is path-dependent. The output elasticity of skilled-labor, barriers to knowledge spillovers, and the degree of redistribution determine the range of steady state equilibria. From a calibration experiment we report that a combination of a skill-intensive technology, low barriers to knowledge spillovers, and a high degree of redistribution characterize the group of countries with a positive growth-inequality relationship. A negative relationship arises in the group with the opposite characteristics.

    View record details
  • The Mortensen Rule and Efficient Coordination Unemployment

    Julien, Benoit; Kennes, John; King, Ian (2002)

    Working or discussion paper
    The University of Auckland Library

    We study the implementation of constrained-efficient allocations in labour markets where a basic coordination problem leads to an equilibrium matching function. We argue that these allocations can be achieved in equilibrium if wages are determined by ex post bidding. This holds true even in finite sized markets where the equilibrium matching function has decreasing returns to scale where the Hosios rule does not apply to both with and without heterogeneity. This wage determination mechanism is similar to the one proposed by Mortensen (1982) in a different setting.

    View record details
  • Forecasting Volatility:Evidence from the German Stock Market

    Bluhm, Hagen; Yu, Jun (2001)

    Working or discussion paper
    The University of Auckland Library

    In this paper we compare two basic approaches to forecast volatility in the German stock market. The first approach uses various univariate time series techniques while the second approach makes use of volatility implied in option prices. The time series models include the historical mean model, the exponentially weighted moving average (EWMA) model, four ARCH-type models and a stochastic volatility (SV) model. Based on the utilization of volatility forecasts in option pricing and Value-at-Risk (VaR), various forecast horizons and forecast error measurements are used to assess the ability of volatility forecasts. We show that the model rankings are sensitive to the error measurements as well as the forecast horizons. The result indicates that it is difficult to state which method is the clear winner. However, when option pricing is the primary interest, the SV model and implied volatility should be used. On the other hand, when VaR is the objective, the ARCH-type models are useful. Furthermore, a trading strategy suggests that the time series models are not better than the implied volatility in predicting volatility.

    View record details
  • A LAD Regression Under Non-Standard Conditions

    Rogers, Alan (1997)

    Working or discussion paper
    The University of Auckland Library

    Most work on the asymptotic properties of least absolute deviations (LAD) estimators makes use of the assumption that the common distribution of the disturbances has a density which is finite and positive at zero. We consider the implications of weakening this assumption in a regression setting. We see that the results obtained are similar in flavor to those obtained in a least squares context when the disturbance variance is allowed to be infinite: both the shape of the limiting distribution and the rate of convergence to it is affected in reasonably simple and intuitive ways. As well as conventional regression models we outline results for some simple autoregressive models which may have a unit root and/or infinite error variance.

    View record details
  • Asymmetric Information and R&D Competition

    Kao, Tina (2002)

    Working or discussion paper
    The University of Auckland Library

    This paper analyses R&D competition among firms with incomplete information. In a stochastic R&D game, firms possess private information regarding their R&D progress. They can only observe the rival's R&D investments, but not its actual R&D position, R&D investments thus carry both investment and signalling effects. In this two-period model. there are two possible regimes for the second period game: the complete information regime and the signalling regime. In the signalling regime. in order to credibly convey to the rival its first period research success, the first mover has to over-invest. Both firms have higher profits in the complete information regime. The game is in the signalling regime if the difference b€tween monopoly and duopoly profit is sufficiently large and if the possibility of leapfrogging is high. For some parameter ranges, the choice of the information regime is endogenous.

    View record details
  • Agency Theory Meets Social Capital: The Failure of the 1984-91 New Zealand Economic Revolution

    Hazledine, Tim (2000)

    Working or discussion paper
    The University of Auckland Library

    The failure of the New Zealand Economic Revolution of 1984-91 to generate improved economic performance is puzzling and important, since the reforms enacted then have often been cited as a 'textbook' example of how to liberalise an economy, and since the preconditions for success (such as good government, secure property rights and stable capitalist institutions) were all in place, in contrast to the economies of the former Soviet bloc. This paper first documents the extent of failure, and then attempts to explain it theoretically. This is the story: The reform program can be seen as a massive application (or mis-application) of Principal/Agent Theory. The Principal is the small group of economic revolutionaries. The Agents are the people of NZ. The Principal_s sole object is economic efficiency. The Agents enjoy the fruits of efficiency, but also emjoy other things ('slack'), which conflict with efficient behaviour. The Principal introduces policies (deregulation, liberalisation, commercialisation) which raise the opportunity cost of non- efficient behaviour in both private and public sectors. Unfortunately, the Principal has the 'wrong model' of how the economy functions. Slack does not just enter Agents' utility functions, it is also an input into production, where it appears as 'Forbearance' _ the flow variable associated with the stock concept known as Social Capital (the ability of agents to achieve mutually beneficial outcomes through trusting and trustworthy behaviour). Thus, the Reforms actually reduced economic efficiency, for two reasons (1) they forced noncooperative behaviour on agents, and (2) they incurred direct costs of monitoring and enforcement to bring agents' behaviour into line with the principal's objectives. And the total welfare costs exceed the loss of economic efficiency (GDP), since disproportionately more utility-enhancing slack, or forbearance is wiped out. The prediction of increased resources devoted to transaction cost activities, in particular management, is tested in a comparison of New Zealand and Australia (which did not go through such a radical reform process). The data do indeed show a substantial increase in the number of managers in NZ, relative to Australia.

    View record details
  • Compulsory Licensing of Technology and the Essential Facilities Doctrine

    Aoki, Reiko; Small, John (2002)

    Working or discussion paper
    The University of Auckland Library

    We look at compulsory licensing of intellectual property as remedy for anti-competitive practice. We identify aspects of intellectual property that warrants a different remedy from those using general definitions and remedies for essential facility. Based on the analysis, we present a characterisation of optimal compulsory licensing for a simple market.

    View record details
  • How Financial Development Caused Economic Growth in the APEC: Financial Integration with FDI OR Privatisation without FDI

    Bandyopadhyay, Debasis (2004)

    Working or discussion paper
    The University of Auckland Library

    Politicians fashionably argue in favour of financial development to promote economic growth following the seminal study of King and Levine (1993a, 1993b). Financial development, however, could come through alternative channels that are sometimes not compatible in small open economics. A relatively popular channel promotes privatisation of domestic financial intermediaries but with restrictions on foreign ownership. The other competing channel works through foreign direct investment (FDI) requiring foreign ownership of national assets. Until the last decade of globalisation, from sixties through early nineties, in many APEC countries and especially in the East Asia, privatisation of national banks went hand in hand with a regime of financial repressions. Under that regime governments kept the domestic interest rate above the world rate by imposing barriers against FDI. Recent trend in globalisation creates a political tension between those who welcome and the others who oppose FDI. This paper evaluates the relative contribution of those two alternative channels of financial development to economic growth. The model of analysis builds on King and Levine (1993b) but restricts its attention to small open economies of the APEC. Contrary to the previous findings, privatisation of domestic financial sector alone turns out to have a negative impact on the growth of efficiency measured by the growth of total factor productivity. This discrepancy could possibly be rationalised by a special characteristic of the APEC sample where a negative effect on efficiency came from the regimes of financial repression that blocked FDI. Financial integration led by FDI does bring the prospect of lower economic growth due to increased business fluctuations especially for the small open economies. Nevertheless, it is surprising to find that a significant improvement in efficiency and growth came to the APEC nations through the international channel with the flow of FDI. Consequently, barriers to globalisation out of a purely the nationalist concerns may be ill fated even for small open economies.

    View record details
  • Do Topics Diffuse from Core to Periphery Journals?

    Bandyopadhyay, Debasis; Yu, Jun (1999)

    Working or discussion paper
    The University of Auckland Library

    We examine the interests among competing topics of macroeconomics by tracing publication frequencies of these topics as recorded in the EconLit database over the period from 1969 through 1996. We find some evidence in the data that the interests on a topic in the core journals relative to the periphery journals decreases as the topic gets old. We, however, find that an increasing interest on a topic in the periphery journals Granger causes an increase in interest on the same topic in the core journals but not vice versa. The evidence, therefore, suggests that the topics do not gradually diffuse from the core journals to the periphery journals. Nevertheless, we find that one could economize their literature search by focusing on that smaller set of core journals.

    View record details