The Impact of Industry Collaboration on Academic Research Output: A Dynamic Panel Data Analysis

The aim of this paper is to analyse the impact of university knowledge and technology transfer activities on academic research output. Specifically, we study whether researchers with collaborative links with the private sector publish less than their peers without such links, once controlling for other sources of heterogeneity. We report findings from a longitudinal dataset on researchers from two engineering departments in the UK between 1985 until 2006. Our results indicate that researchers with industrial links publish significantly more than their peers. Academic productivity, though, is higher for low levels of industry involvement as compared to high levels.

Parameterized expectations approach; Some practical issues

We discuss some practical issues related to the use of the Parameterized Expectations Approach (PEA) for solving non-linear stochastic dynamic models with rational expectations. This approach has been applied in models of macroeconomics, financial economics, economic growth, contracttheory, etc. It turns out to be a convenient algorithm, especially when there is a large number of state variables and stochastic shocks in the conditional expectations. We discuss some practical issues having to do with the application of the algorithm, and we discuss a Fortran program for implementing the algorithm that is available through the internet.We discuss these issues in a battery of six examples.

Equilibrium asset prices and savings of heterogeneous agents in the presence of incomplete markets and portfolio constraints

We study the quantitative properties of a dynamic general equilibrium model in which agents face both idiosyncratic and aggregate income risk, state-dependent borrowing constraints that bind in some but not all periods and markets are incomplete. Optimal individual consumption-savings plans and equilibrium asset prices are computed under various assumptions about income uncertainty. Then we investigate whether our general equilibrium model with incomplete markets replicates two empirical observations: the high correlation between individual consumption and individual income, and the equity premium puzzle. We find that, when the driving processes are calibrated according to the data from wage income in different sectors of the US economy, the results move in the direction of explaining these observations, but the model falls short of explaining the observed correlations quantitatively. If the incomes of agents are assumed independent of each other, the observations can be explained quantitatively.

Macroprudential policy, countercyclical bank capital buffers and credit supply: Evidence from the Spanish dynamic provisioning experiments

We analyze the impact of countercyclical capital buffers held by banks on the supplyof credit to firms and their subsequent performance. Spain introduced dynamicprovisioning unrelated to specific bank loan losses in 2000 and modified its formulaparameters in 2005 and 2008. In each case, individual banks were impacteddifferently. The resultant bank-specific shocks to capital buffers, coupled withcomprehensive bank-, firm-, loan-, and loan application-level data, allow us toidentify its impact on the supply of credit and on real activity. Our estimates showthat countercyclical dynamic provisioning smooths cycles in the supply of credit andin bad times upholds firm financing and performance.

Beyond Smith's rule: An optimal dynamic index, rule for single machine stochastic scheduling with convex holding costs

Most research on single machine scheduling has assumedthe linearity of job holding costs, which is arguablynot appropriate in some applications. This motivates ourstudy of a model for scheduling $n$ classes of stochasticjobs on a single machine, with the objective of minimizingthe total expected holding cost (discounted or undiscounted). We allow general holding cost rates that are separable,nondecreasing and convex on the number of jobs in eachclass. We formulate the problem as a linear program overa certain greedoid polytope, and establish that it issolved optimally by a dynamic (priority) index rule,whichextends the classical Smith's rule (1956) for the linearcase. Unlike Smith's indices, defined for each class, ournew indices are defined for each extended class, consistingof a class and a number of jobs in that class, and yieldan optimal dynamic index rule: work at each time on a jobwhose current extended class has larger index. We furthershow that the indices possess a decomposition property,as they are computed separately for each class, andinterpret them in economic terms as marginal expected cost rate reductions per unit of expected processing time.We establish the results by deploying a methodology recentlyintroduced by us [J. Niño-Mora (1999). "Restless bandits,partial conservation laws, and indexability. "Forthcomingin Advances in Applied Probability Vol. 33 No. 1, 2001],based on the satisfaction by performance measures of partialconservation laws (PCL) (which extend the generalizedconservation laws of Bertsimas and Niño-Mora (1996)):PCL provide a polyhedral framework for establishing theoptimality of index policies with special structure inscheduling problems under admissible objectives, which weapply to the model of concern.

The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix

It is proved the algebraic equality between Jennrich's (1970) asymptotic$X^2$ test for equality of correlation matrices, and a Wald test statisticderived from Neudecker and Wesselman's (1990) expression of theasymptoticvariance matrix of the sample correlation matrix.

Dynamic price competition with fixed capacities

Many revenue management (RM) industries are characterized by (a) fixed capacities in theshort term (e.g., hotel rooms, seats on an airline flight), (b) homogeneous products (e.g., twoairline flights between the same cities at similar times), and (c) customer purchasing decisionslargely influenced by price. Competition in these industries is also very high even with just twoor three direct competitors in a market. However, RM competition is not well understood andpractically all known implementations of RM software and most published models of RM donot explicitly model competition. For this reason, there has been considerable recent interestand research activity to understand RM competition. In this paper we study price competitionfor an oligopoly in a dynamic setting, where each of the sellers has a fixed number of unitsavailable for sale over a fixed number of periods. Demand is stochastic, and depending on howit evolves, sellers may change their prices at any time. This reflects the fact that firms constantly,and almost costlessly, change their prices (alternately, allocations at a price in quantity-basedRM), reacting either to updates in their estimates of market demand, competitor prices, orinventory levels. We first prove existence of a unique subgame-perfect equilibrium for a duopoly.In equilibrium, in each state sellers engage in Bertrand competition, so that the seller withthe lowest reservation value ends up selling a unit at a price that is equal to the equilibriumreservation value of the competitor. This structure hence extends the marginal-value conceptof bid-price control, used in many RM implementations, to a competitive model. In addition,we show that the seller with the lowest capacity sells all its units first. Furthermore, we extendthe results transparently to n firms and perform a number of numerical comparative staticsexploiting the uniqueness of the subgame-perfect equilibrium.

Illusory correlation in the remuneration of chief executive officers: It pays to play golf, and well

Illusory correlation refers to the use of information in decisions that is uncorrelated with the relevantcriterion. We document illusory correlation in CEO compensation decisions by demonstrating thatinformation, that is uncorrelated with corporate performance, is related to CEO compensation. We usepublicly available data from the USA for the years 1998, 2000, 2002, and 2004 to examine the relationsbetween golf handicaps of CEOs and corporate performance, on the one hand, and CEO compensationand golf handicaps, on the other hand. Although we find no relation between handicap and corporateperformance, we do find a relation between handicap and CEO compensation. In short, golfers earnmore than non-golfers and pay increases with golfing ability. We relate these findings to the difficultiesof judging compensation for CEOs. To overcome this and possibly other illusory correlations inthese kinds of decisions, we recommend the use of explicit, mechanical decision rules.

The ins and outs of unemployment: An analysis conditional on technology shocks

We analyze how unemployment, job finding and job separation rates reactto neutral and investment-specific technology shocks. Neutral shocks increaseunemployment and explain a substantial portion of it volatility; investment-specificshocks expand employment and hours worked and contribute to hoursworked volatility. Movements in the job separation rates are responsible for theimpact response of unemployment while job finding rates for movements alongits adjustment path. The evidence warns against using models with exogenousseparation rates and challenges the conventional way of modelling technologyshocks in search and sticky price models.

Dynamic perceptual mapping

Perceptual maps have been used for decades by market researchers to illuminatethem about the similarity between brands in terms of a set of attributes, to position consumersrelative to brands in terms of their preferences, or to study how demographic and psychometricvariables relate to consumer choice. Invariably these maps are two-dimensional and static. Aswe enter the era of electronic publishing, the possibilities for dynamic graphics are opening up.We demonstrate the usefulness of introducing motion into perceptual maps through fourexamples. The first example shows how a perceptual map can be viewed in three dimensions,and the second one moves between two analyses of the data that were collected according todifferent protocols. In a third example we move from the best view of the data at the individuallevel to one which focuses on between-group differences in aggregated data. A final exampleconsiders the case when several demographic variables or market segments are available foreach respondent, showing an animation with increasingly detailed demographic comparisons.These examples of dynamic maps use several data sets from marketing and social scienceresearch.

A dynamic choice model of hybrid behavior in the attribute-space

This paper presents a dynamic choice model in the attributespace considering rational consumers that discount the future. In lightof the evidence of several state-dependence patterns, the model isfurther extended by considering a utility function that allows for thedifferent types of behavior described in the literature: pure inertia,pure variety seeking and hybrid. The model presents a stationaryconsumption pattern that can be inertial, where the consumer only buysone product, or a variety-seeking one, where the consumer buys severalproducts simultane-ously. Under the inverted-U marginal utilityassumption, the consumer behaves inertial among the existing brands forseveral periods, and eventually, once the stationary levels areapproached, the consumer turns to a variety-seeking behavior. An empiricalanalysis is run using a scanner database for fabric softener andsignificant evidence of hybrid behavior for most attributes is found,which supports the functional form considered in the theory.

On the sources of business cycles in the G-7

This paper examines sources of cyclical movements in output, inflation and the term structure of interest rates. It employs a novel identification approach which uses the sign of the cross correlation function in response to shocks to catalog orthogonal disturbances. We find that demand shocks are the dominant source output, inflation and term structure fluctuations in six of the G-7 countries. Within the class of demand disturbances, nominal shocks are dominant, but their importance declined after 1982. Furthermore, there are no significant differences in the proportion of term structure variability explained by different structural sources at different horizons.

Understanding portfolio efficiency with conditioning information

We show that unconditionally efficient returns do not achieve the maximum unconditionalSharpe ratio, neither display zero unconditional Jensen s alphas, when returns arepredictable. Next, we define a new type of efficient returns that is characterized by thoseunconditional properties. We also study a different type of efficient returns that is rationalizedby standard mean-variance preferences and motivates new Sharpe ratios and Jensen salphas. We revisit the testable implications of asset pricing models from the perspective ofthe three sets of efficient returns. We also revisit the empirical evidence on the conditionalvariants of the CAPM and the Fama-French model from a portfolio perspective.