Optimal Dynamic Investment Policy for Different Tax Depreciation Rates and Economic Depreciation Rates

This paper analyzes the investment policy consequences of incorporating a tax depreciation rate different from the economic depreciation rate. Most often, firms choose their tax depreciation rate in a strategic way. Therefore, it would be a coincidence, should the optimization process lead to a tax depreciation rate that equals the economic depreciation rate. The implications of a difference between tax depreciation rate and economic depreciation rate are investigated in an optimal control model for the determination of the firm investment policy over time.     

Chaotic social interaction via endogenous reactivity

We propose a framework to analyse the dynamical process of decision and opinion formation of two economic homogeneous and boundedly rational agents that interact and learn from each other over time. The decisional process described in our model is an adaptive adjustment mechanism in which two agents take into account the difference between their own opinion and the opinion of the other agent. The smaller that difference, the larger the weight given to the comparison of the opinions. We assume that if the distance between the two opinions is larger than a given threshold, then there is no interaction and the agents do not change their opinion anymore. Introducing an auxiliary variable describing the distance between the opinions, we obtain a one-dimensional map for which we investigate, mainly via analytical tools, the stability of the steady states, their bifurcations, as well as the existence of chaotic dynamics and multistability phenomena.     

A STEADY-STATE SATISFACTORY SOLUTION TO AN ENVIRONMENTAL GAME WITH PIECE-WISE DEFINED PAYOFFS

We model a pollution accumulation process through a nonlinear, nondifferentiable state equation and also as dependent on an environmental levy. Then the payoff function to an economic agent is defined piece-wise. However, for a simple demand and cost structure, the combined payoff function of all agents is diagonally strictly concave. This implies that a steady-state Nash equilibrium is unique and can be controlled by the levy. We analytically compute a steady-state Nash equilibrium solution for the agents, and use a Decision Support Tool to determine a satisfactory solution for the interactions between the agents and a legislator responsible for the levy.     

浅析老龄经济中的税收政策

本文放宽人口结构平稳假设,将总人口增长率与劳动人口增长率之差定义为老龄化率,在此基础上构建老龄经济模型,分析税收政策对老龄经济的影响。基于一定假设,老龄经济存在鞍型收敛路径,平衡增长路径上的人均收入增长率取决于技术进步率与老龄化率之差,技术进步率在积极应对人口老龄化方面至关重要。从税收角度看,资产收入税与企业利润税对老龄经济的扭曲程度较高,而劳动收入税与消费税的扭曲程度相对较低。通过削减政府支出与调整税收结构,减税不仅可以提高均衡的资本水平,若能够激励经济主体积极创新,还将会提高平衡路径上人均收入的增长速度。一定条件下,老龄经济中将会存在正的最优税率。     

公债市场波动、消费动态与经济增长——基于递归效用与习惯形成的分析

本文在考虑公债市场波动的经济增长模型中引入递归效用和习惯形成,建立基于递归效用和习惯形成的随机经济增长模型,求得均衡时的最优消费和政府债券需求,讨论递归效用和习惯形成对最优消费和政府债券需求的影响,推导出消费的动态路径和经济增长路径,研究递归效用和习惯形成对消费动态路径和经济增长路径的影响.     

Longevity,pollution and growth

We analyze the interplay between longevity, pollution and growth. We develop an OLG model where longevity, pollution and growth are endogenous. The authorities may provide two types of public services, public health and environmental maintenance, that participate to extend agents’ life expectancy and to sustain growth in the long term. We show that global dynamics might be featured by a high growth rate equilibrium, associated with longer life expectancy and an environmental poverty trap. We examine changes in public policies: increasing public intervention on health or environmental maintenance display opposite effects on global dynamics, i.e. on the size of the trap and on the level of the stable balanced growth path. On the contrary, each type of public policy induces a negative leverage on the long-run rate of growth.     

A hybrid model for opinion formation

This paper presents a hybrid model for opinion formation in a large group of agents exposed to the persuasive action of a small number of strong opinion leaders. The model is defined by coupling a finite difference equation for the dynamics of leaders opinion with a continuous integro-differential equation for the dynamics of the others. Such a definition stems from the idea that the leaders are few and tend to retain original opinions, so that their dynamics occur on a longer time scale with respect to the one of the other agents. A general well-posedness result is established for the initial value problem linked to the model. The asymptotic behavior in time of the related solution is characterized for some general parameter settings, which mimic distinct social scenarios, where different emerging behaviors can be observed. Analytical results are illustrated and extended through numerical simulations.     

Induced effects and technological innovation with strategic environmental policy

This paper investigates an environmental policy designed to reduce the emission of pollutants under uncertainty, where the agents’ problem is formulated as an optimal stopping problem. We first analyze the single-agent’s case according to Pindyck [Pindyck, R.S., 2002. Optimal timing problems in environmental economics. Journal of Economic Dynamics and Control 26, 1677–1697]. We then extend the model to the case in which there are two competing agents. Therefore, we consider the external economic effects that are peculiar to an agent’s environmental policy decision. Finally, we consider the effect of technological innovation. The results of the analysis suggest that if there are two competing agents, they implement environmental policy simultaneously. Furthermore, the threshold for implementing environmental policy is higher when there are two agents, and how long these two agents take to implement environmental policy depends on the magnitude of the external economic effect. Furthermore, when we consider the effect of technological innovation, we show that the incentive to be the leader occurs if an additional condition is satisfied.     

Strategic response to pollution taxes in supply chain networks: Dynamic,spatial, and organizational dimensions

This paper presents a model of the strategic behavior of firms operating in a spatial supply chain network. The manufacturing and retailing firms engage in an oligopolistic, noncooperative game by sharing customer demand such that a firm’s decisions impact the product prices, which in turn result in changes in all other firms’ decisions. Each firm’s payoff is to maximize its own profit and we show that, in response to such changes in prices and to exogenous environmental taxes, the manufacturing firms may strategically alter a variety of choices such as ’make-buy’ decisions with respect to intermediate inputs, spatial distribution of production, product shipment patterns and inventory management, environmental tax payment vs recycling decisions, and timing of all such choices to sustainably manage the profit and the environmental regulations. An important implication is that effects of a tax depends on the oligopolistic game structure. With respect to methods, we show that this dynamic game can be represented as a set of differential variational inequalities (DVIs) that motivate a computationally efficient nonlinear complementarity (NCP) approach that enables the full exploitation of above-mentioned salient features. We also provide a numerical example that confirms the utility of our proposed framework and shows substantial strategic reaction can be expected to a tax on pollution stocks.     

The equivalence of two tax processes

We introduce two models of taxation, the latent and natural tax processes, which have both been used to represent loss-carry-forward taxation on the capital of an insurance company. In the natural tax process, the tax rate is a function of the current level of capital, whereas in the latent tax process, the tax rate is a function of the capital that would have resulted if no tax had been paid. Whereas up to now these two types of tax processes have been treated separately, we show that, in fact, they are essentially equivalent. This allows a unified treatment, translating results from one model to the other. Significantly, we solve the question of existence and uniqueness for the natural tax process, which is defined via an integral equation. Our results clarify the existing literature on processes with tax.     

环境税费政策下快递包装材料回收利用的最优决策及社会福利分析

本文在一个两阶段的决策模型中研究了政府环境税收政策下快递包装材料的回收利用问题,通过比较快递服务商在不同经营策略下的总利润和碳排放总量,刻画出不同环境税费水平下的最优经营策略选择。研究结果表明,当快递包装材料回收再利用的固定投资成本过高时,随着环境税费水平的不断升高,快递服务商并不一定总是选择绿色经营策略。此外,在这种情况下快递服务商即使选择了绿色经营策略也并不能总是带来碳排放的减少和环境的改善。而如果政府能够进行适当的固定投资补贴,则可有效地促进快递服务商选择并保持绿色经营策略,并且能够实现经济发展与环境保护的双赢。在引入单位碳排放的外部性成本后,本文分析了社会福利最大化下的最优环境税费水平。算例分析显示,政府的政策干预有可能同时实现社会福利最大化、快递服务商总利润的增加和碳排放总量的减少。     

Thoughts on modeling complexity

The simplest and probably the most familiar model of statistical processes in the physical sciences is the random walk. This simple model has been applied to all manner of phenomena, ranging from DNA sequences to the firing of neurons. Herein we extend the random walk model beyond that of mimicking simple statistics to include long‐time memory in the dynamics of complex phenomena. We show that complexity can give rise to fractional‐difference stochastic processes whose continuum limit is a fractional Langevin equation, that is, a fractional differential equation driven by random fluctuations. Furthermore, the index of the inverse power‐law spectrum in many complex processes can be related to the fractional derivative index in the fractional Langevin equation. This fractional stochastic model suggests that a scaling process guides the dynamics of many complex phenomena. The alternative to the fractional Langevin equation is a fractional diffusion equation describing the evolution of the probability density for certain kinds of anomalous diffusion. © 2006 Wiley Periodicals, Inc. Complexity 11: 33–43, 2006     

Sustainability,indeterminacy and oscillations in a growth model with environmental assets

We consider an economy where welfare of a continuum of (identical) agents depends on three goods: leisure, a free access renewable environmental asset and a produced good which can be consumed or saved to accumulate physical capital. We assume that aggregate consumption depletes the natural resource and that economic agents take as exogenously given the negative impact on the environmental asset by aggregate consumption. In this context, we show that indeterminacy and oscillating behavior may arise.     

政府支出结构、扭曲性税收及内生贴现因子

在一个无穷期限模型中,假设经济主体具有完全理性,通过将常数贴现因子转换为关于效用水平的内生变量,利用跨期优化方法重新考虑了政府支出结构、扭曲性税收对宏观经济变量的影响.尤其关注这两种变量的长期和短期变化对资本积累路径的影响,理论模型表明,当贴现因子内生化后,政府支出结构和扭曲性税收对宏观经济的影响会更为复杂,尤其体现在生产性支出上.     

证券交易印花税与市场质量——来自中国证券市场的实证分析

在证券市场监管中,证券交易印花税一直被视为一种重要的调节方式,但已有研究对证券交易印花税调整如何导致市场质量的改变并没有一致意见,我国证券市场次近两次印花税调整(一降一升),恰好提供了探讨这个问题的"自然实验"机会。通过事件研究法,发现印花税上调后,市场的流动性减少,市场的波动性增加,市场的价格发现过程延迟,市场质量整体变差;印花税下调后,市场的流动性增加,市场的定价效率提升,市场的波动性却加大,市场质量指标变化呈现不一致性。由于事件研究法存在计量缺陷,进一步使用对比分析和回归分析控制成交量和价格水平等内生变量的影响,证实印花税下调整体改善了市场质量。证券交易印花税与市场质量呈负相关关系,税率上调的影响大于税率下调的影响,降低印花税赋税水平符合市场微观结构的内在要求。     

On the on-line rent-or-buy problem in probabilistic environments

Fujiwara and Iwama [In: The 13th Annual International Symposium on Algorithms and Computation, pp. 476–488 (2002)] first integrated probability distribution into the classical competitive analysis to study the rental problem. They assumed that the future inputs are drawn from an exponential distribution, and obtained the optimal competitive strategy and the competitive ratio by the derivative method. In this paper, we introduce the interest rate and tax rate into the continuous model of Fujiwra and Iwama [In: The 13th Annual International Symposium on Algorithms and Computation, pp. 476–488 (2002)]. Moreover, we use the forward difference method in different probabilistic environments to consider discrete leasing models both with and without the interest rate. We not only give the optimal competitive strategies and their competitive ratios in theory, but also give numerical results. We find that with the introduction of the interest rate and tax rate, the uncertainty involved in the process of decision making will diminish and the optimal purchasing date will be put off.     

Microfoundations for diffusion price processes

We study microeconomic foundations of diffusion processes as models of stock price dynamics. To this end, we develop a microscopic model of a stock market with finitely many heterogeneous economic agents, who trade in continuous time, giving rise to an endogeneous pure-jump process describing the evolution of stock prices over time. When the number of agents in the market is large, we show that the price process can be approximated by a diffusion, with price-dependent drift and volatility coefficients that are determined by small excess demands and trading volume in the microscopic model. We extend the microscopic model further by allowing for non-market interactions between agents, to model herd behavior in the market. In this case, price dynamics can be approximated by a process with stochastic volatility. Finally, we demonstrate how heavy-tailed stock returns emerge when agents have a strong tendency towards herd behavior.     

Change of economic structure-Capital, knowledge, population and pollution

This paper proposes a nonlinear dynamic economic model with endogenous technological change, population, capital accumulation and pollutant accumulation. The system consists of two, industrial and environmental, sectors. The industrial sector produces goods with knowledge, labor, and capital as inputs under perfect competitive conditions, subject to the government's tax policy. The tax income is used by the environmental sector to employ labor and capital. We examine the effects of the environmental policy, knowledge accumulation efficiency and preference change on the environment. We show that the simple system has multiple equilibria and may exhibit permanent oscillations.     

Model predictive control,the economy,and the issue of global warming

This study is motivated by the evidence of global warming, which is caused by human activity but affects the efficiency of the economy. We employ the integrated assessment Nordhaus DICE-2007 model (Nordhaus, A question of balance: economic modeling of global warming, Yale University Press, New Haven, 2008). Generally speaking, the framework is that of dynamic optimization of the discounted inter-temporal utility of consumption, taking into account the economic and the environmental dynamics. The main novelty is that several reasonable types of behavior (policy) of the economic agents, which may be non-optimal from the point of view of the global performance but are reasonable form an individual point of view and exist in reality, are strictly defined and analyzed. These include the concepts of “business as usual”, in which an economic agent ignores her impact on the climate change (although adapting to it), and of “free riding with a perfect foresight”, where some economic agents optimize in an adaptive way their individual performance expecting that the others would perform in a collectively optimal way. These policies are defined in a formal and unified way modifying ideas from the so-called “model predictive control”. The introduced concepts are relevant to many other problems of dynamic optimization, especially in the context of resource economics. However, the numerical analysis in this paper is devoted to the evolution of the world economy and the average temperature in the next 150 years, depending on different scenarios for the behavior of the economic agents. In particular, the results show that the “business as usual”, although adaptive to the change of the atmospheric temperature, may lead within 150 years to increase of temperature by 2°C more than the collectively optimal policy.     

Local dynamics of an equation with distributed delay

We study the properties of the local dynamics of a differential equation with a distributed delay. We consider two forms of distribution functions, exponential and linear. We indicate parameters for which critical cases take place. It is shown that critical cases have an infinite dimension, and special equations describing the dynamics of the original problem (analogs of normal forms) are constructed in each critical case. The results on the correspondence of solutions of quasinormal forms and the original equation are represented.