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When knowledge sharing is non-contractible, we investigate the effect
of partial passive ownership (PPO) on the incentive of voluntary technology
sharing between rival firms under privatization policy. We show that an efficient
private firm chooses technology sharing irrespective of the presence of public
firm when it has sufficiently high degree of PPO in the rival firm and this knowledge
sharing always increases welfare. We also show that the privatization of
public firm might deter voluntary technology sharing and decrease welfare if
an efficient private firm has relatively high degree of partial passive ownership
while cost gap between the private firms is not large. Finally, we examine a foreign
firm’s voluntary technology sharing and show that the deterrence effect of
privatization policy is less serious than domestic firm but privatization always
decreases the welfare.

Abstract | PDF (265 kilobytes)

We consider a class of nonparametric quantile regression (QR) models
with endogenous regressors. Building upon the semiparametric QR model in
Lee (2007), we develop a nonparametric framework for quantile regression in a
triangular system of equations. We provide a set of conditions under which the
parameters are nonparametrically identified. Then, we propose to use the penalized
sieve minimum distance (PSMD) estimation approach of Chen and Pouzo
(2012) to estimate the parameters. We establish the consistency and convergence
rate of the PSMD estimator. Since the identification is based on a control function
approach, the PSMD estimator does not suffer from an ill-posed inverse
problem. A Monte-Carlo simulation study confirms that the PSMD estimator
performs well in finite samples.

Abstract | PDF (219 kilobytes)

In this study, I address the testing problem on the regression trend
slope in cointegrating regressions when the stochastic regressors have nonzero
drifts. A test statistic constructed using demeaned integrated modified ordinary
least squares (IMOLS) residuals is considered. Asymptotic theory for the test is
developed under the standard small-b framework, resorting to the consistency of
heteroskedasticity and autocorrelation consistent (HAC) estimator. The simulation
experiment shows the proposed test performs reasonably compared to the
existing fully modified OLS-based test in Hansen (1992b).

Abstract | PDF (1356 kilobytes)

This paper investigates implications of the valuation effect on a
number of international macroeconomic issues. Emphasizing that the valuation
effect is a wealth transfer among countries through capital gains or losses, it
mainly concentrates on studying implications of the valuation effect on international
risk sharings and external imbalances. For these purposes, a standard
two-country monetary macroeconomic model is considered and the financial integration
is embedded through cross-border asset holdings. Main findings of this
paper can be summarized as follows: First, the valuation effect works mainly
as an impact effect and it depends crucially on initial movements of nominal
exchange rates and asset prices. Second, the valuation effect can matter quantitatively
depending on the composition of external asset position and types of
shocks. Especially, when bonds are main components in external asset position
and a monetary shock hits the economy, the valuation effect is conspicuous.
Finally, the valuation effect can exert considerable influences on the economy.
Specifically, under certain circumstances, it can work against international risk
sharings and magnify external imbalances by amplifying the effects of a shock.

Abstract | PDF (3423 kilobytes)

This study investigates the impact of inflation shocks on house prices
and household debt in the presence of loan-to-value(LTV) ratio restrictions, using
a two-agent New Keynesian dynamic stochastic general equilibrium model.
We find that the crucial mechanism through which inflation shocks and monetary
policy responses to these shocks affect house prices and households debt is
a decline in the real value of debt. Unexpected inflation reduces the real value
of debt, transferring wealth from patient households to impatient households
and entrepreneurs. This causes patient households to reduce both consumption
and housing stock, while encouraging impatient households to increase housing
wealth by borrowing more. If the LTV constraint becomes tighter, however,
house prices decline less while household debt shrinks more, in response to inflation
shocks. As household debt declines significantly with the tightened lending
rule, inflation shocks do not increase impatient households’ real wealth much.