Economic report of the President.

Issued in parts.

Putting people out of work : first-year growth and employment effects of the Clinton economic plan /

Cover title.

Policy for commercial agriculture : its relation to economic growth and stability /

"November 22, 1957."

A note on execution costs for stock index futures: Information versus liquidity effects

This paper examines execution costs and the impact of trade size for stock index futures using price-volume transaction data from the London International Financial Futures and Options Exchange. Consistent with Subrahmanyam [Rev. Financ. Stud. 4 (1991) 11] we find that effective half spreads in the stock index futures market are small compared to stock markets, and that trades in stock index futures have only a small permanent price impact. This result is important as it helps to better understand the success of equity index products such as index futures and Exchange Traded Funds. We also find that there is no asymmetry in the post-trade price reaction between purchases and sales for stock index futures across various trade sizes. This result is consistent with the conjecture in Chan and Lakonishok [J. Financ. Econ. 33 (1993) 173] that the asymmetry surrounding block trades in stock markets is due to the high cost of short selling and the general reluctance of traders to short sell on stock markets. (C) 2004 Elsevier B.V. All rights reserved.

The order selection and lot sizing problem in the make-to-order environment

This research is motivated by the need for considering lot sizing while accepting customer orders in a make-to-order (MTO) environment, in which each customer order must be delivered by its due date. Job shop is the typical operation model used in an MTO operation, where the production planner must make three concurrent decisions; they are order selection, lot size, and job schedule. These decisions are usually treated separately in the literature and are mostly led to heuristic solutions. The first phase of the study is focused on a formal definition of the problem. Mathematical programming techniques are applied to modeling this problem in terms of its objective, decision variables, and constraints. A commercial solver, CPLEX is applied to solve the resulting mixed-integer linear programming model with small instances to validate the mathematical formulation. The computational result shows it is not practical for solving problems of industrial size, using a commercial solver. The second phase of this study is focused on development of an effective solution approach to this problem of large scale. The proposed solution approach is an iterative process involving three sequential decision steps of order selection, lot sizing, and lot scheduling. A range of simple sequencing rules are identified for each of the three subproblems. Using computer simulation as the tool, an experiment is designed to evaluate their performance against a set of system parameters. For order selection, the proposed weighted most profit rule performs the best. The shifting bottleneck and the earliest operation finish time both are the best scheduling rules. For lot sizing, the proposed minimum cost increase heuristic, based on the Dixon-Silver method performs the best, when the demand-to-capacity ratio at the bottleneck machine is high. The proposed minimum cost heuristic, based on the Wagner-Whitin algorithm is the best lot-sizing heuristic for shops of a low demand-to-capacity ratio. The proposed heuristic is applied to an industrial case to further evaluate its performance. The result shows it can improve an average of total profit by 16.62%. This research contributes to the production planning research community with a complete mathematical definition of the problem and an effective solution approach to solving the problem of industry scale.

Essays in Macro Finance

I study the link between capital markets and sources of macroeconomic risk. In chapter 1 I show that expected inflation risk is priced in the cross section of stock returns even after controlling for cash flow growth and volatility risks. Motivated by this evidence I study a long run risk model with a built-in inflation non-neutrality channel that allows me to decompose the real stochastic discount factor into news about current and expected cash flow growth, news about expected inflation and news about volatility. The model can successfully price a broad menu of assets and provides a setting for analyzing cross sectional variation in expected inflation risk premium. For industries like retail and durable goods inflation risk can account for nearly a third of the overall risk premium while the energy industry and a broad commodity index act like inflation hedges. Nominal bonds are exposed to expected inflation risk and have inflation premiums that increase with bond maturity. The price of expected inflation risk was very high during the 70's and 80's, but has come down a lot since being very close to zero over the past decade. On average, the expected inflation price of risk is negative, consistent with the view that periods of high inflation represent a "bad" state of the world and are associated with low economic growth and poor stock market performance. In chapter 2 I look at the way capital markets react to predetermined macroeconomic announcements. I document significantly higher excess returns on the US stock market on macro release dates as compared to days when no macroeconomic news hit the market. Almost the entire equity premium since 1997 is being realized on days when macroeconomic news are released. At high frequency, there is a pattern of returns increasing in the hours prior to the pre-determined announcement time, peaking around the time of the announcement and dropping thereafter.

Brand value of property in Bangkok Metropolitan Region (BMR), Thailand

This paper aims to evaluate the brand value of property in subdivision developments in the Bangkok Metropolitan Region (BMR), Thailand. The result has been determined by the application of a hedonic price model. The development of the model is developed based on a sample of 1,755 property sales during the period of 1992-2010 in eight zones of the BMR. The results indicate that the use of a semi-logarithmic model has stronger explanatory power and is more reliable. Property price increases 12.90% from the branding. Meanwhile, the price annually increases 2.96%; lot size and dwelling area have positive impacts on the price. In contrast, duplexes and townhouses have a negative impact on the price compared to single detached houses. Moreover, the price of properties which are located outside the Bangkok inner city area is reduced by 21.26% to 43.19%. These findings also contribute towards a new understanding of the positive impact of branding on the property price in the BMR. The result is useful for setting selling prices for branded and unbranded properties, and the model could provide a reference for setting property prices in subdivision developments in the BMR.

Does the Term Spread play a role in the FED's reaction function? An Empirical Investigation

Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of a Fed’s reaction function (FRF) that (i) allows for the presence of switching regimes, (ii) considers the long-short term spread in addition to the typical variables, (iii) uses an alternative monthly indicator of general economic activity suggested by Stock and Watson (1999), and (iv) considers interest rate smoothing. The estimation results show the existence of three switching regimes, two characterized by low volatility and the remaining regime by high volatility. Moreover, the scale of the responses of the Federal funds rate to movements in the rate of inflation and the economic activity index depends on the regime. The estimation results also show robust empirical evidence that the importance of the term spread in the FRF has increased over the sample period and the FRF has been more stable during the term of office of Chairman Greenspan than in the pre-Greenspan period.

The role of the term spread in an augmented Taylor rule: An empirical investigation

Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of an augmented version of the Taylor rule (ATR) that (i) allows for the presence of switching regimes, (ii) considers the long-short term spread in addition to the typical variables, (iii) uses an alternative monthly indicator of general economic activity suggested by Stock and Watson (1999), and (iv) considers interest rate smoothing. The estimation results show the existence of switching regimes, one characterized by low volatility and the other by high volatility. Moreover, the scale of the responses of the Federal funds rate to movements in the term spread, inflation and the economic activity index depend on the regime. The estimation results also show robust empirical evidence that the ATR has been more stable during the term of office of Chairman Greenspan than in the pre-Greenspan period. However, a closer look at the Greenspan period shows the existence of two alternative regimes and that the response of the Fed funds rate to inflation has not been significant during this period once the term spread is considered.

装配车间的多品种变批量的生产调度优化模型

针对装配车间调度问题,提出了综合考虑生产中物料配送能力,车间存储物料能力以及装配工艺序列问题的多品种变批次的优化调度方法。主要是分两步解决:首先考虑不同类型产品的装配加工的顺序优化问题;然后,根据生产约束建立各类型产品的分批问题。最后,实现计划调度衔接,并应用于生产。该方法对于实际装配生产具有很强的可操作性。

Application of signal detection methods to fisheries management

The abundance of many commercially important fish stocks are declining and this has led to widespread concern on the performance of traditional approach in fisheries management. Quantitative models are used for obtaining estimates of population abundance and the management advice is based on annual harvest levels (TAC), where only a certain amount of catch is allowed from specific fish stocks. However, these models are data intensive and less useful when stocks have limited historical information. This study examined whether empirical stock indicators can be used to manage fisheries. The relationship between indicators and the underlying stock abundance is not direct and hence can be affected by disturbances that may account for both transient and persistent effects. Methods from Statistical Process Control (SPC) theory such as the Cumulative Sum (CUSUM) control charts are useful in classifying these effects and hence they can be used to trigger management response only when a significant impact occurs to the stock biomass. This thesis explores how empirical indicators along with CUSUM can be used for monitoring, assessment and management of fish stocks. I begin my thesis by exploring various age based catch indicators, to identify those which are potentially useful in tracking the state of fish stocks. The sensitivity and response of these indicators towards changes in Spawning Stock Biomass (SSB) showed that indicators based on age groups that are fully selected to the fishing gear or Large Fish Indicators (LFIs) are most useful and robust across the range of scenarios considered. The Decision-Interval (DI-CUSUM) and Self-Starting (SS-CUSUM) forms are the two types of control charts used in this study. In contrast to the DI-CUSUM, the SS-CUSUM can be initiated without specifying a target reference point (‘control mean’) to detect out-of-control (significant impact) situations. The sensitivity and specificity of SS-CUSUM showed that the performances are robust when LFIs are used. Once an out-of-control situation is detected, the next step is to determine how much shift has occurred in the underlying stock biomass. If an estimate of this shift is available, they can be used to update TAC by incorporation into Harvest Control Rules (HCRs). Various methods from Engineering Process Control (EPC) theory were tested to determine which method can measure the shift size in stock biomass with the highest accuracy. Results showed that methods based on Grubb’s harmonic rule gave reliable shift size estimates. The accuracy of these estimates can be improved by monitoring a combined indicator metric of stock-recruitment and LFI because this may account for impacts independent of fishing. The procedure of integrating both SPC and EPC is known as Statistical Process Adjustment (SPA). A HCR based on SPA was designed for DI-CUSUM and the scheme was successful in bringing out-of-control fish stocks back to its in-control state. The HCR was also tested using SS-CUSUM in the context of data poor fish stocks. Results showed that the scheme will be useful for sustaining the initial in-control state of the fish stock until more observations become available for quantitative assessments.

El papel de los principios en las fallas de los regímenes internacionales: el Fondo Monetario Internacional en la crisis económica argentina de 2001

Este trabajo de grado busca analizar el papel que juegan los principios en las fallas del Régimen Internacional de Pagos a la hora de responder a situaciones de crisis, específicamente, en la actuación del Fondo Monetario Internacional durante la crisis económica argentina de 2001. El Régimen, atado al cumplimiento de sus principios, actuó de manera tal que produjo unas fallas que terminaron exacerbando la crisis. Mediante el análisis de fuentes primarias y secundarias, y con métodos tanto cualitativos como cuantitativos se busca demostrar que efectivamente, los principios en los que se fundamentan las actuaciones de los regímenes, que son creencias, tienden a tornarse dogmáticos, por lo tanto, se hacen resistentes al cambio y no permiten a las instituciones obrar de manera que se ajuste a la realidad. Es así que los principios llegan agravar las crisis que debían solucionar, tal y como sucedió en Argentina en 2001.

Private property vehicles: the valuation of interests in limited partnerships

This paper examines the extent to which the valuation of partial interests in private property vehicles should be closely aligned to the valuation of the underlying assets. A sample of vehicle managers and investors replied to a questionnaire on the qualities of private property vehicles relative to direct property investment. Applying the Analytic Hierarchy Process (AHP) technique the relative importance of the various advantages and disadvantages of investment in private property vehicles relative to acquisition of the underlying assets are assessed. The results suggest that the main drivers of the growth of the this sector have been the ability for certain categories of investor to acquire interests in assets that are normally inaccessible due to the amount of specific risk. Additionally, investors have been attracted by the ability to ‘outsource’ asset management in a manner that minimises perceived agency problems. It is concluded that deviations from NAV should be expected given that investment in private property vehicles differs from investment in the underlying assets in terms of liquidity, management structures, lot size, financial structure inter alia. However, reliably appraising the pricing implications of these variations is likely to be extremely difficult due to the lack of secondary market trading and vehicle heterogeneity.

The information content of REIT credit rating actions and transparency

We examine the short-run and long-run price reaction of equity REIT shares following credit rating actions, testing the transparency of the REIT structure. Generally, the economic effect on the stock price is subdued for both upgrades and downgrades compared to prior literature examining the broader U.S. equity market. An examination of trading volume revealed a significant increase in trading in reaction to downgrade credit rating changes, with a more subdued response to upgrades. The findings support the notion that REITs are more publicly forthcoming about the expectation of positive news in comparison to negative news.

A linear optimization approach to the combined production planning model

Two fundamental processes usually arise in the production planning of many industries. The first one consists of deciding how many final products of each type have to be produced in each period of a planning horizon, the well-known lot sizing problem. The other process consists of cutting raw materials in stock in order to produce smaller parts used in the assembly of final products, the well-studied cutting stock problem. In this paper the decision variables of these two problems are dependent of each other in order to obtain a global optimum solution. Setups that are typically present in lot sizing problems are relaxed together with integer frequencies of cutting patterns in the cutting problem. Therefore, a large scale linear optimizations problem arises, which is exactly solved by a column generated technique. It is worth noting that this new combined problem still takes the trade-off between storage costs (for final products and the parts) and trim losses (in the cutting process). We present some sets of computational tests, analyzed over three different scenarios. These results show that, by combining the problems and using an exact method, it is possible to obtain significant gains when compared to the usual industrial practice, which solve them in sequence. (C) 2010 The Franklin Institute. Published by Elsevier Ltd. All rights reserved.