Journal Article The Portfolio Balance Theory of the Expected Rate of Change of Prices Get access Suraj B. Gupta Suraj B. Gupta University of Delhi Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 37, Issue 2, April 1970, Pages 187–203, https://doi.org/10.2307/2296412 Published: 01 April 1970 Article history Received: 01 January 1967 Accepted: 01 March 1969 Published: 01 April 1970

Journal Article The Effect of Demand on Prices in British Manufacturing: Another View Get access B. T. McCallum B. T. McCallum University of Virginia Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 37, Issue 1, January 1970, Pages 147–156, https://doi.org/10.2307/2296504 Published: 01 January 1970 Article history Received: 01 October 1968 Accepted: 01 May 1969 Published: 01 January 1970

While potentially more productive, more complex tasks generate larger agency rents. Agents therefore prefer to acquire complex skills, to earn large rents. In our overlapping generations model, their ability to do so is kept in check by competition with predecessors. Old agents, however, are imperfect substitutes for young ones, because the latter are easier to incentivize, thanks to longer horizons. This reduces competition between generations, enabling young managers to go for larger complexity than their predecessors. Consequently, equilibrium complexity and rents gradually increase beyond what is optimal for the principal and for society.

To fully understand the motives for delegating a decision right, it is important to study responsibility attributions for outcomes of delegated decisions. We conducted laboratory experiments in which subjects could either choose a fair allocation or an unfair allocation or delegate the choice, and we used a punishment option to elicit responsibility attributions. Our results show that, first, responsibility attribution can be effectively shifted and, second, this can constitute a strong motive for the delegation of a decision right. Moreover, we propose a simple measure of responsibility and show that this measure outperforms measures based on inequity aversion or reciprocity in predicting punishment behaviour.

Informational asymmetries between a firm and investors may lead to adverse selection in capital markets. This paper demonstrates that when the market obtains noisy information about a firm over time, this adverse selection problem can be costlessly solved by issuing callable convertible bonds with restrictive call provisions. Such securities can be designed to make the payoff to new claimholders independent of the private information of the manager. This eliminates the possibility of any dilution of equity or underinvestment and implements the symmetric information outcome in either a pooling or a separating equilibrium. The same first-best efficient outcome can also be implemented by issuing floating-price and mandatory convertibles.

This paper explores tests of the hypothesis that the tail thickness of a distribution is constant over time. Using Hill's conditional maximum likelihood estimator for the tail index of a distribution, tests of tail shape constancy are constructed that allow for an unknown breakpoint. The recursive test is shown to be inconsistent in one direction, and only a one-sided test is recommended. Specifically, the test can be used when the alternative hypothesis is that the tail index decreases over time. A rolling and sequential version of the test is consistent in both directions. The methods are illustrated on recent stock price data for Thailand, Malaysia and Indonesia. The period covers the recent Asian financial crisis and enables us to assess whether breakpoints in domestic asset return distributions are related to known changes in institutional arrangements in the foreign currency markets of these countries.

Convergence to a full-information equilibrium (FIE) in the presence of persistent shocks and asymmetric information about an unknown payoff-relevant parameter θ is established in a classical infinite-horizon partial equilibrium linear model. It is found that, under the usual stability assumptions on the autoregressive process of shocks, convergence occurs at the rate n−1/2, where n is the number of rounds of trade, and that the asymptotic variance of the discrepancy of the full-information price and the market price is independent of the degree of autocorrelation of the shocks. This is so even though the speed of learning θ from prices becomes arbitrarily slow as autocorrelation approaches a unit root level. It follows then that learning the unknown parameter θ and convergence of the equilibrium process to the FIE are not equivalent. Moreover, allowing for non-stationary processes of shocks, the distinction takes a more stark form. Learning θ is neither necessary nor sufficient for convergence to the FIE. When the process of shocks has a unit root, convergence to the FIE occurs but θ can not be learned. When the process is sufficiently explosive and there is a positive mass of perfectly informed agents, θ is learned quickly but convergence to the FIE does not occur.

Journal Article Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume Get access P. C. B. Phillips P. C. B. Phillips Yale University and University of Birmingham Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 47, Issue 1, 1980, Pages 183–224, https://doi.org/10.2307/2297109 Published: 01 January 1980

A. P. Barten, T. Kloek, F. B. Lempers; A Note on a Class of Utility and Production Functions Yielding Everywhere Differentiable Demand Functions, The Revie

Journal Article Spectral Analysis of the Term Structure of Interest Rates Get access C. W. J. Granger, C. W. J. Granger University of Nottingham Search for other works by this author on: Oxford Academic Google Scholar H. J. B. Rees H. J. B. Rees University of Nottingham Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 35, Issue 1, January 1968, Pages 67–76, https://doi.org/10.2307/2974408 Published: 01 January 1968