# Faculty of Economics, University of Cambridge

# Cambridge Working Papers in Economics

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### 2001

**0104 The Derivation of a New Model of Equity Duration***by*Lewin, R.A. & Satchell, S.E.**0103 Supply Shocks and the â€˜Natural Rate of Interest': an Exploration***by*Chadha, J.S. & Nolan, C.**0102 Bayesian Analysis of the Black-Scholes Option Price***by*Darsinos, T. & Satchell, S.E.**0101 Benchmarking and Regulation of Electricity Transmission and Distribution Utilities: Lessons from International Experience***by*Jamasb, T. & Pollitt, M.

### 2000

**0031 Induced Technical Change: Evidence and Implications for Energy-Environmental Modelling and Policy***by*Grubb, M. & Kohler, J.**0030 On the Range of the Risk-Free Interest Rate in Incomplete Markets***by*Kajii, A. & Hara, C.**0029 The Measurement and Determination of Institutional Change: Evidence from Transition Economics***by*Raiser, M. & Di Tommaso, M.L. & Weeks, M.**0028 The Transparency and Accountability of UK Debt Management: A Proposal***by*Coe, P. & Vahey S.P. & Wakerly, E.C.**0027 The Plural Form in Franchising: A Synergism of Market and Hierarchy***by*Lewin-Solomons, S.B.**0026 A Review of UK Electricity Regulation***by*Littlechild, S.**0025 Fiscal Drag - An Automatic Stabiliser?***by*Immervoll, H.**0024 An Examination of UK Business Cycle Fluctuations: 1871-1997***by*Chadha, J.S. & Janssen, N. & Nolan, C.**0023 Optimal Monetary Policy with Sticky Nominal Debt Contracts***by*Wright, S.**0022 Intra-Firm Retail Contracting: Survey Evidence from the UK'***by*Affuso, L.**0021 Comparing Investment on New Transport Infrastructure: Roads vs. Railways?***by*Affuso, L. & Masson, J. & Newbery, D.M.**0020 The Environmental Benefits from Road Pricing***by*Santos, G. & Rojey, L. & Newbery, D.M.**0019 Piecewise Linear Feedback Rules in a Non Linear Model of the Phillips Curve: Evidence from the US and the UK***by*Corrado, L. & Holly, S.**0018 Strategy Choices of Firms and Market Concentration'***by*Kattuman, P. & Roberts, B.M.**0017 The Rise of Environmentalism, Pollution Taxes and Intra-Industry Trade***by*Aidt, T.S.**0016 Autonomy, Contractibility and the Franchise Relationship***by*Lewin-Solomons, S.**0015 Innovation and Authority in Franchise Systems: An Empirical Exploration of the Plural Form***by*Lewin-Solomons, S.**0014 The School-to-Work Transition: A Cross-National Perspective***by*Ryan, P.**0013 Asset Specificity and Hold-up in Franchising and Grower Contracts: A Theoretical Rationale for Government Regulation?***by*Lewin-Solomons, S.**0012 Perpetual Leapfrogging in Bertrand Duopoly***by*Giovannetti, E.**0011 Interconnection, Differentiation and Bottlenecks in the Internet***by*Giovannetti, E.**0010 Provincial Income Convergence in China, 1953-1997: a Panel Data Approach***by*Yudon, Y. & Weeks, M.**0009 Decision Structures and Discrete Choices: An Application to Labour Market Participation and Fertility***by*Di Tommaso, M.L. & Weeks, M.**0008 Why We Need Electricity Retailers: A Reply to Joskow on Wholesale Spot Price pass-through***by*Littlechild, S.C.**0007 The Restructuring and Privatisation of Electricity Distribution and Supply Businesses in England and Wales: A Social Cost Benefit Analysis***by*Domah, P. & Pollitt, M.G.**0006 Employment Polarisation and Inequality in the UK and Hungary***by*Redmond, G. & Kattuman, P.**0005 The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach***by*Coe, P. & Pesaran, M.H. & Vahey, S.P.**0004 Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy***by*Garrat, A. & Lee, K. & Pesaran, M.H. & Shin, Y.**0003 Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration***by*Binder, M. & Hsaio, C. & Pesaran, M.H.**0001 The Declining Role of the State in Infrastructure Investments in the UK***by*M.G. Pollitt

### 1999

**9921 Inflation Targeting, Transparency and Interest Rate Volatility: Ditching 'Monetary Mystique' in the UK***by*Nolan, C. & Chadha, J.S.**9920 Monetary Policy Loss Functions: Two Cheers for the Quadratic***by*Schellekens, P. & Chadha, J.S.**9919 On Aggregation of Linear Dynamic Models***by*Pesaran, M. H.**9918 Non-nested Hypothesis Testing: An Overview***by*Pesaran, M. H. & Weeks, M.**9917 Effective Exchange Rates in Japan, 1879-1938***by*Shimazaki, M. & Solomou, S.**9916 On the Evolution of Regional Asymmetries***by*Giovannetti, E.**9915 Weather Effects on European Agricultural Output 1850-1913***by*Solomou, S. & Wu, W.**9914 On Interdependent Supergames: Multimarket Contact, Concavity, and Collusion***by*Spagnolo, G.**9913 Issue Linkage, Delegation, and International Policy Cooperation***by*Spagnolo, G.**9912 The Statistical Relationship between Bivariate and Multinomial Choice Models***by*Weeks, M. & Orne, C.**9911 Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality***by*Knight, J. & Satchell, S.**9910 Economic and Statistical Measures of Forecast Accuracy***by*Granger, C.W.J. & Pesaran, M. H.**9909 The Evolution of Portfolio Rules and the Capital Asset Pricing Model***by*Sciubba, E.**9908 Asymmetric Information and Survival in Financial Markets***by*Sciubba, E.**9907 Bounds Testing Approaches to the Analysis of Long-run Relationships***by*Pesaran, M. Hashem & Shin, Y. & Smith, R.J.**9906 Model Selection in Threshold Models***by*Kapetanios, G.**9905 Threshold Models for Trended Time Series***by*Kapetanios, G.**9904 Neglected Heterogeneity and Dynamics in Cross-country Savings Regressions***by*Haque, N. U. & Pesaran, M. H. & Sharma, Sunil**9903 Expenditure on Environmentally Sensitive Goods and Services: Household Spending in Europe***by*Kohler, J. & Luhmann, H-J & Wadeskog, A**9902 Tests of Common Stochastic Trends***by*Nyblom, Jukka & Harvey, Andrew**9901 A survey of the liberalisation of public enterprises in the UK since 1979***by*Pollitt, M.G.**0002 (1) Modelling RETA: A Model of Forward Trading and the Balancing Mechanism AND (2) Rebidding in the Balancing Mechanism: An Economic Analysis***by*McDaniel, T. & Green, R.

### 1998

**9826 Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods***by*Hsaio, Cheng & Pesaran, M. Hashem & Tahmiscioglu, A. Kamil**9825 An Empirical Reassessment of Target-zone Nonlinearities***by*Garratt, Anthony & Psaradakis, Zacharias & Sola, Martin**9824 A Citizen's Pension***by*Sutherland, H**9823 A Structural Cointegrating VAR Approach to Macroeconometric Modelling***by*Garratt, Anthony & Lee, Kevin C & Pesaran, M. Hashem & Shin, Yongcheol**9822 The Good News and the Bad News about Long-run Stock Market Returns***by*Robertson, Donald & Wright, Stephen**9821 Statistical Properties of the Sample Semi-variance, with Applications to Emerging Markets' Data***by*Bond, Shaun A & Satchell, Stephen E**9820 Monetary Policy, Nominal Interest Rates, and Long-horizon Inflation Uncertainty***by*Wright, Stephen**9819 Utility Functions with Parameters Depending on Initial Wealth***by*Pedersen, Christian C & Satchell, Stephen E**9818 Economic Trends and Macroeconomic Policies in Post-revolutionary Iran***by*Pesaran, M. H.**9817 Recasting Safety Nets: Reforming Social Assistance in Germany, Ireland and the United Kingdom***by*Donoghue, C. & Evans, M.**9816 Towards a Two-rate VAT in Italy: Distributional and Welfare Effects***by*Gastaldi, F. & Liberati, P.**9815 Microsimulation and Policy Debate: A Case Study of the Minimum Pension Guarantee in Britain***by*Atkinson, A. B. & Sutherland, H.**9814 Effective Exchange Rates, 1879-1913***by*Solomou, S. & Catao, L.**9813 Weather Impacts on the Construction Sector, 1855-1913***by*Solomou, S. & Wu, W.**9812 A Long-run Structural Macro-econometric Model of the UK***by*Garratt, A. & Lee, K. & Pesaran, M. H. & Shin, Y.**9811 Structural Analysis of Cointegrating VARs***by*Pesaran, M. H. & Smith, Ron P.**9810 Financial Integration and Monetary Competition***by*Cardarelli, R. & Vidal, J.-P.**9809 Economic Integration and Growth under Intergenerational Financing of Human Capital Formation***by*Michel, P. & Vidal., J.-P.**9808 Analytical and Numerical Solution of Finite-horizon Nonlinear Rational Expectations Models***by*Binder, M. & Pesaran, M. H. & Samiei, S. H.**9807 Global Equity Styles and Industry Effects: Portfolio Construction via Dummy Variables***by*Kuo, G. W. & Satchell, S. E.**9806 Modelling Emerging Market Risk Premia using Higher Moments***by*Hwang, S. & Satchell, S. E.**9805 Optimal Consumption Decisions under Social Interactions***by*Binder, M. & Pesaran, M. H.**9804 Bayes Estimation of Short-run Coefficients in Dynamic Panel Data Models***by*Hsiao, C. & Pesaran, M. H. & Tahmiscioglu, A. K.**9803 Cross-sectional Aggregation of Non-linear Models***by*Van Garderen, K. J. & Lee, K. & Pesaran M.**9802 Bias Reduction in Estimating Long-run Relationships from Dynamic Heterogenous Panels***by*Pesaran, M. H. & Zhao, Z.**9801 Death and Gender in Victorian England and Wales: Comparisons with Contemporary Developing Countries***by*McNay, K. & Humphries, J. & Klasen, S.

### 1997

**9735 Risk, Utility an Switching between Gambles***by*Pedersen, C. S. & Satchell, S. E.**9734 Pool Reform and Competition in Electricity, forthcoming in M. Beesley (ed.), Lectures on Regulation Series VII, London, Institute of Economic Affairs***by*Newbery, D. M.**9733 Multiperson Bargaining and Strategic Complexity***by*Chatterjee, K. & Sabourian, H.**9732 A Neglected Controversy in the Modelling of Consumers' Expenditure***by*Cook, Steven**9731 Dividends, Safety and Liquidation when Liabilities are Long-term and Stochastic***by*Mason, Robin**9730 Equity Price Dynamics in Thin Emerging Markets of Central and Eastern Europe***by*Sokalska, M.**9729 The Effect of Emigration on Human Capital Formation***by*Vidal, J.-P.**9728 Cross-vintage Encompassing***by*Cook, Steven**9727 Forecasting the Growth in Consumers' Expenditure: The Treasury Model***by*Cook, Steven**9726 Income Inequality in Hungary, 1987-1993***by*Kattuman, Paul & Redmond, Gerry**9725 The EUROMOD Preparatory Study: A Summary Report***by*Sutherland, H. (ed.)**9724 Computing Strategy for a European Tax-Benefit Model***by*Hancock, Ruth**9723 Eur3: A Prototype European Tax-Benefit Model***by*Bourguignon, F. & O'Donoghue, C. & Sastre-Descals, J. & Spadara, A. & Utili, F.**9722 The Impact of Weather on the Construction Sector Output Variations, 1955-1989***by*Solomou, S. & Wu, W.**9721 Pooled Estimation of Long-run Relationships in Dynamic Heterogeneous Panels***by*Pesaran, M. H. & Shin, Y. & Smith, R. P.**9720 Modelling Behavioural Response in EUROMOD***by*Klevmarken, N. A.**9719 Production Smoothing, Inventory Investment and Asymmetric Adjustment***by*Arden, R. & Holly, S. & Turner, P.**9718 Capital Mobility in a Dynastic Framework***by*Vidal, J.-P.**9717 Asymmetric Adjustment Costs, Asymmetric Pricing and Employment: Evidence from the UK***by*Arden, R. & Holly, S. & Turner, P.**9716 Asymmetries in Private Sector Investment: An Empirical Investigation***by*Arden, R. & Holly, S. & Turner, P**9715 The Asymmetric Adjustment of Prices: Theory and Evidence from UK Manufacturing***by*Arden, R. & Holly, S. & Turner, P.**9714 An Integrated Risk Measure with Application to UK Asset Allocation***by*Damant, C. & Hwang, S. & Satchell, S. E.**9713 Small Firms in the UK***by*Pratten, C.**9712 Measurement of Trends in Poverty and the Income Distribution***by*Atkinson, A. B.**9711 A Study of the Factors Affecting Participation in Post-compulsory, Full-time Education and Government Supported Training by 16-18 year-olds in England and Wales***by*Pratten, C. F. & Robertson, D. & Tatch, J. R.**9710 Generalised Impulse Response Analysis in Linear Multivariate Models***by*Pesaran, M. H. & Shin, Y.**9709 Diagnostics for IV Regressions***by*Pesaran, M. H. & Taylor, L.W.**9708 Solution of Multivariate Linear Rational Expectations Models and Large Sparse Linear Systems***by*Pesaran, M. H. & Binder, M.**9707 Competition, Contracts and Entry in the Electricity Spot Market***by*Newbery, D. M.**9706 Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables***by*Pesaran, M. H. & Shin, Y. & Smith, R. J.**9705 The 1996 Reform of the Electricity Supply Industry in the Netherlands***by*Brunekreeft, G.**9704 Costly Coasian Contracts***by*Anderlini, L. & Felli, L.**9703 Poverty in the UK and Hungary: Evidence from the Household Budget Survey***by*Collins, G. & Redmond, G.**9701 The Restructuring and Privatisation of the Electricity Supply Industry in Northern Ireland: Will it be Worth it?***by*Pollitt, M. G.

### 1996

**9702 The Chinese Army's Firm in Business: The Sanjiu Group***by*Nolan, P. & Wang X.**9625 A Recursive Modelling Approach to Predicting UK Stock Returns'***by*Pesaran, M. H. & Timmermann, A.**9624 Child Poverty, Economic Transition and Welfare State Regimes in the UK and Hungary'***by*Jarvis, S. & Redmond, G.**9622 Testing for the 'Existence of a Long-run Relationship'***by*Pesaran, M. H. & Shin, Y. & Smith, R. J.**9621 Big Business with Chinese Characteristics: Two Paths to Growth of the Firm in China under Reform (Economic Transition)***by*Nolan, P.**9620 Privatisation and Liberalisation of Network Utilities***by*Newbery, D.**9619 Multivariate Linear Rational Expectations Models: Characterisation of the Nature of the Solutions and Their Fully Recursive Computation***by*Binder, M. & Pesaran, H.**9618 A Decision_Theoretic Approach to Forecast Evaluation***by*Granger, C.W.J. & Pesaran, H.**9617 Climate and Fluctuations in Agricultural Output, 1867-1913***by*Khatri, Y. & Solomou, S.**9616 The Electricity Contract Market***by*Green, R.**9615 Stochastic Growth***by*Binder, M. & Pesaran, M.H.**9614 Households, Individuals and the Re-Distribution of Income***by*Sutherland, H.**9613 From State Factory, to Modern Corporation? China's Shougang Iron and Steel Corporation Under Economic Reform***by*Nolan, P.**9612 The Role of Economic Theory in Modelling the Long Run***by*Pesaran, M.H.**9611 Construction of Panel Data Through Record Linkage: Application to Hungarian Budget Surveys: 1987, 89, 91***by*Jarvis, S. & Kattuman, P.A.**9610 Learning Standards of Social Behaviour in a Stationary Society***by*Gilli, M.**9609 The Distributional Impact of Taxing Family Allowance***by*Jarvis, S.**9608 Compensating Differentials: Some Canadian Self-Report Evidence***by*Vahey, S.P.**9607 The Restructuring and Privatisation of the CEGB: Was It Worth It?***by*Newbery, D.M. & Pollitt, M.G.**9606 The Timing of Arbitrage: An Option Approach***by*Lambrecht, B.**9605 Long-Run Neutrality in an Arima Framework: Some Further Evidence***by*Coe, P.**9604 Econometric Interpretations of the Normal Cost Pricing Hypothesis***by*Peterson, W.**9603 Least Square Approach to Non-Normal Disturbances***by*Im, K.S.**9602 Transcending the Logic of Private Ownership: Chinese Enterprise Reform VS. Privatisation***by*Xiaoqiang, W.**9601 Renegotiation in Repeated Games with Transfers***by*Baliga, S. & Evans, R.

### 1995

**9541 How Has Tax and Social security Policy Changed Since 1978? A Distributional Analysis***by*Redmond, G. & Sutherland, H.**9540 Was there a Regional Dimension to Changes in Income Inequality in the UK over 1982-92? An Analysis Based on a Joint Decomposition of Income Inequality by Region and by Employment Status***by*Borooah, V.K. & Collins, G.**9539 Coalition Bargaining with Competition to Make Offers***by*Evans,R.**9538 Reputation and Punishment in Repeated Games With Two Long-Run Players***by*Evans,R. & Thomas,J.**9537 Decision-Making in the Presence of Heterogeneous Information and Social Interactions***by*Binder,M. & Pesaran,M.H.**9536 Parametric and semiparametric Modelling of the Nonlinear Relation Between Weather and Agricultural Production,1953-1990***by*Khatri,Y. & Solomou,S.**9535 Income Distribution in European Countries***by*Atkinson,A.B. & Rainwater,L. & Smeeding,T.**9534 Earnings Distributions from the Family Expenditure Survey and the New Earnings Survey Compared***by*Wilson,M.**9533 The Norwegian Microsimulation Model Lotte:Applications to Personal and Corporate Taxes and Social Security Benefits***by*Aasness,J. & Fjaerli,E. & Gravningsmyhr,H.A. & Kleive Holmoy,A.M. & Lian,B.**9532 The Impact of Weather on UK Agricultural Production, 1953-1990***by*Khatri, Y. & Solomou, S.**9531 Growth and Convergence: A Multi-Country Empirical Analysis of the Solow Growth Model***by*Lee, K. & Psaran, M.H. & Smith, R.**9530 The Effects of Employment Action***by*Pratten, C. & Ryan, P.**9529 Additional Critical Values and Asymptotic Representations for Seasonal Unit Roots Tests***by*Smith, R.J. & Taylor, R.**9528 An Empirical Analysis of the UK Government's Environmental Policy for the Domestic Sector***by*Johnstone, N.**9527 Modelling Passenger Demand, Energy Consumption and Pollution Emissions in the Transport Sector***by*Johnstone, N.**9526 Testing for Unit Roots in Heterogeneous Panels***by*Pasaran, M.H. & Im, K.S. & Shin, Y.**9525 New Directions in Applied Macroeconomic Modelling***by*Pasaran, M.H. & Smith, R.**9524 Expectations Fromation and Business Cycle Fluctuations : An Empirical Analysis of Actual and Expected Output in UK Manufacturing, 1975-1993***by*Lee, K.**9523 Static Microsimulation Models in Europe: A Survey***by*Sutherland, H.**9522 Measurement Error with Accounting Constraints: Point and Interval Estimation for Latent Data with an Application to UK Gross Domestic Product***by*Smith, R.J. & Satchell, S.E.**9521 Tests of Rank***by*Robin, J.M. & Smith, R.J.**9520 Personal Income tax Modelling in the UK Inland Revenue***by*Keenay, G.**9519 The Development of Tax-Benefit Models: A View from the UK***by*Sutherland, H.**9518 Ownership and Efficiency in Nuclear Power Production***by*Pollitt, M.G.**9517 How to Combine Pareto Optimality and Individual Liberty Using Welfare Interpersonal Comparisons***by*Palomba, G.**9516 Large Firms and Industrial Reform in Former Planned Economies: The Case of China***by*Nolan, P.**9515 Forecasting the Bond Market***by*Wright, S.**9514 An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis***by*Pesaran, M.H. & Shin, Y.**9513 A Discrete-Time Version of Target Zone Models with Jumps***by*Pesaran, H.M. & Ruge-Murcia, F.J.**9512 The Theory of Implemetation when the Planner is a PLayer***by*Baliga, S. & Corchon, L.C. & Sjostrom, T.**9511 Universal Collusion and Renegotiation, Dictators and Contracts***by*Baliga, S.**9510 Negotiations with Side-Deals***by*Baliga, S. & Serrano, R.**9509 Imperfect Competition and Chemical Accumulation in the Environment***by*Mason, R.**9508 Planning and Macroeconomic Stabilization in Iran***by*Pesaran, H.**9506 Budgetary Aspects of Stabilization and Structural Adjustment in India***by*Buiter, W.H. & Patel, U.R.**9505 European Pension Systems: A Simulation Analysis***by*Kenc, T. & Perraudin, W.**9504 Risk-Averse Traders with Inside Information***by*Vitale, P.**9503 Dynamic Linear Models for Heterogeneous Panels***by*Pesaran, H. & Smith, R. & Im, K.S.**9502 Reserve Cycles***by*Flood, R. & Perraudin, W. & Vitale, P.**9501 Sequential Reorganisation of Corporate Debt Contracts***by*Mella-Barral, P.**9422 Technical Effiency in Electrical Power Plants***by*Pollitt, M.G.**9421 Regulatory Policies and Reform in the Electricity Supply Industry***by*Newbery,D.M.**9420 Testing a Time-Series for Difference Stationarity***by*McCabe,B.P.M. & Tremayne,A.R.**9419 Long-Run Structural Modelling***by*Pesaran,H.M. & Shin,Y.**9418 Iranian Economy During the Pahlavi Era***by*Pesaran, H.M.**9417 Optimal Bank Reorganisation and the Fair Pricing of Deposit Garantees***by*Fries,S. & Mella-Barral,P. & Perraudin,W.R.M.**9416 New Methods for Estimating Nonlinear Continuous Time Interest Rate Processes***by*Mella-Barral,P. & Perraudin,W.R.M.**9415 Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results***by*Binder,M. & Pesaran,H.M.**9414 Option Games***by*Lambrecht, B. & Perraudin, W.**9413 Replacing the U.K. Income Tax with a Progressive Consumption Tax***by*Phutton, J. & Kenc, T.**9412 Information Flows in the Foreign Exchange Markets***by*Perraudin,W. & Vitale,P.**9411 Estimation of Stationary Stochastic Processes via the Empirical Characteristic Function***by*Knight,J.L. & Satchell,S.E.**9410 Continuous Time International Arbitrage Pricing: Theory And Estimation***by*Perraudin,W.R.M. & Sorensen,B.E.**9409 Options. Economic Fluctuations in a Model of Output Growth in the G7 Economies, 1960-1991***by*Lee, K.C.**9408 Modelling U.K. Mortgage Defaults Using a Hazard Approach Based on American Options***by*Ncube, M. & Satchell, S.E.**9407 A Floor and Ceiling Model of U.S. Output***by*Pesaran, H.M. & Potter, S.M.**9406 The Use of Recursive Model Selection Strategies in Forecasting Stock Returns***by*Pesaran, H. & Timmermann, A.**9405 Specific Investment, Hold-Up, and Commitment Through Dual-Class Common Stock***by*Doyle, C. & Maher, M.**9404 Real Effective Exchange Rates 1870-1913: The Core Industrial Countries***by*Solomou, S. & Catao, L.