1,720,981 research outputs found
A Two Period Model with Portfolio Choice: Understanding Results from Different Solution Methods
Get PDFUsing a stylized two period model we obtain portfolio solutions from two solution approaches that belong to the class of local approximation methods - the approach of Judd
and Guu (2001, hereafter 'JG') and the approach of Devereux and Sutherland (2010, 2011,hereafter 'DS') - and compare them with the true portfolio solution. We parameterize
the model to match mean, standard deviation, skewness and kurtosis of return data on aggregate MSCI stock market indices. The optimal equity holdings in the true solution
depend on the size of uncertainty, and the precise form of this relationship is determined by the distributional properties of equity returns. While the DS method and the JG approach provide the same portfolio solution as the size of uncertainty goes to zero, else the two solutions can differ substantially. Because under the DS method portfolio holdings are never approximated in the direction of the size of uncertainty, even higher-order approximations lead to the (zero-order) constant solution in our example model. In contrast, the JG solution generally varies as the size of uncertainty changes, and already a second-order JG solution can account for effects of skewness and kurtosis of equity returns. (authors' abstract)Series: Department of Economics Working Paper Serie
International Portfolios: A Comparison of Solution Methods
No full textWe compare the performance of the perturbation-based (local) portfolio solution method of Devereux and Sutherland (2010a, 2011) with a global solution method. We find that the local method performs very well when the model is designed to capture stylized macroeconomic facts and countries/agents are symmetric, i.e. when the latter have similar size, face similar risks and trade assets with similar risk properties. It performs less satisfactory
when the agents engaged in financial trade are asymmetric. The global solution method performs substantially better when the model is parameterized to match the observed equity premium, a key stylized finance fact. (authors' abstract)Series: Department of Economics Working Paper Serie
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dynamické optimální zdanění s akumulací lidského kapitálu
No full textMy habilitation thesis consists of five papers on the optimal tax systems in dynamic economies, in an environment where individuals can change their marketable skills by investing in their human capital. It is well known that individual’s skills are not exogenously given, say at the time of birth, but are dependent on individual’s past behaviour like the choice of schooling or on the job training. It is less known what are the implications for the optimal policy design. This is the goal of the papers in this habilitation thesis. More specif- ically, the goal is to provide answers to questions like i) what is the optimal level of income tax rates in the presence of human capital, ii) should income tax rates be increasing or decreasing with age, or iii) what is the role of school- ing subsidies in the optimal policy design. Since human capital formation is inherently dynamic, the answers cannot be obtained from static models, and one needs a dynamic framework to answer them
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
Eastern European Integration and Tax Competition
No full textThe member countries of the enlarged European Union show large differences in the structure of their tax systems. While consumption taxes have been largely harmonized over the past decades, differences remain in taxes on factor incomes, in particular on capital income. Also, effective tax rates on capital income in Central and Eastern European countries (CEEC) have been falling substantially over the last decade- a trend that may suggest that some tax competition has taken place in the enlarged European Union. The contribution of this paper is twofold. First, it presents and contrasts effective tax rates of Western European countries with those of the CEEC. Second, from a theoretical aspect, it presents a model framework within which a quantitative macroeconomic analysis of tax competition between the two regions can be conducted. In addition the model suggests that part of the large real exchange rate appreciation and current account deficits that CEE countries have experienced during the last decade might be attributed to effects from tax competition. (author's abstract)Series: Discussion Papers SFB International Tax Coordinatio
The role of financial market structure and the trade elasticity for monetary policy in open economies
Get PDFThe degree of international risk sharing matters for how monetary policy should optimally be conducted in an open economy. This is because risk sharing affects the way in which monetary policy is affected by terms of trade considerations. In a standard two-country model with monopolistic competition and nominal rigidities I consider different assumptions on international financial markets - complete markets, financial autarky and a bond economy - and a large region for the crucial parameter of the trade elasticity. There are three main results: one, the prescription of (producer) price stability as the optimal policy is obtained only as a special case, while in general it is optimal to deviate from a strictly zero inflation rate. Two, while gains from international policy coordination are generally small, they become potentially substantial when international risk sharing is poor and wealth effects from shocks across countries are large. And, three, when international financial markets are incomplete, there are also (sometimes considerable) gains over the flexible price allocation achievable
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