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We consider discrete-time optimal growth models without discounting. Specifically, we analyze unitelastic models with utility function $\ln c_t$ and production function $k^a_t$ , where the discount factor is 1. We define the Ramsey Gap as the summation of steady-state utility minus the utility achieved at each period (Equation (9), in the text), and define the Ramsey-optimal paths as feasible paths which minimize the Ramsey Gap. Here we take the steady-state utility level as the level to be compared to, while Ramsey (1928) himself takes the so-called Bliss level. We show that a Ramsey-optimal path exists in our model. Also, the value of Ramsey Gap of the Ramsey-optimal path in our model is shown to be $(a/(1-a))(\ln a^{1/(1-a)} - \ln k_0 )$, when the initial stock of capital is $k_0$ (Equation (12)). This approach may be regarded as a method which can be used to analyze optimal growth models when discount factor is 1.

Abstract | PDF (1311 kilobytes)

This paper analyzes the realized jump volatility and jump probability of US SPC500 returns using the ultra-high frequency such as the five minute returns spanning the period from January 2001 through September 2010. The realized rate of returns, realized variation and realized bipower variation have the characteristics of nonnormal distributions and the volatility clustering effects. The volatility of US SPC500 appeared appreciably large in years 2002. 2004, 2006 and 2008, and especially large in year 2009 during which the world financial crisis occurred. The empirical results show that many large jumps appeared right after the world financial crisis. Especially before and after the year 2009, the realized variations had the extremely large discrete jumps and appreciably large jumps occurred in years 2002, 2004, 2006 and 2008, respectively. The empirical estimates also show that the realized US SPC500 five minute returns have the jump probability that there is at least one significant jump per five or seven days using the Tripower quarticity, nine or ten days using Quad-power quarticity, ten or twenty days using Min realized variation(Min RV) and Med realized variation(Med RV) during January 2001 through September 2010 at common critical levels.

Abstract | PDF (761 kilobytes)

This paper estimates the effects of oil price change on the productivity changes of Korean manufacturing industry. We applied a stochastic frontier production model to estimate the changes of total factor productivity. The model is estimated by the recently developed KSS panel data estimator (Kneip et al, 2012) which allows for arbitrary patterns of time-varying individual effects. We decompose the sources of total factor productivity (TFP) growth into technical progress, technical efficiency change, scale effects change and allocation efficiency change following Kumbhakar (2000). Empirical results based on data from 2001-2010 show that productivity growth was driven mainly by declining technical progress together with improving technical efficiency. Scale effects and allocation efficiency exert marginal impacts on TFP growth. For the derived TFP components, the impacts of oil price have been analyzed. The effects of oil price change were different across the sample period. When the oil price is low and moves smoothly during 2001-2006, only scale effects are marginally affected. When the oil price is high and fluctuated greatly during 2007-2010, however, all the components were significantly affected, thus technical progress and scale effects increased, and technical efficiency and allocation efficiency decreased.

Abstract | PDF (1822 kilobytes)

The marketing survey shows that the Asian women spend more than the European women. We presume that this leads to the differences of the magazine ads with respect to frequency and the size. We collected the cosmetics advertisements in the fashion or woman's magazines published in Korea, Japan, UK, Germany, France and Italy. There are no significant advertising pattern differences among the groups of cosmetics, fashion, accessaries and brands; however, we find more cosmetics ads in Asia than Europe. Asian women's preference of corrective cosmetics makes the firms increase advertisements with two more pages by 14.37 times.