This study examines the relationship between inflation rate and reserve requirement ratio in Chin... more This study examines the relationship between inflation rate and reserve requirement ratio in China. Our findings show that there is a long-term relationship between reserve requirement ratio and inflation rate. In the short-run, the central bank adjusts the reserve requirement ratio upwards faster than they adjust them downwards. The asymmetric adjustment reflects the fact the Chinese economy was overheating over the past few years as a result of the stimulus package implemented after the onset of the global financial crisis and inflation was threatening the stability of the society.
Liquidity commonality exists and empirical evidence (e.g. Lin et al., 2011) indicates that exposu... more Liquidity commonality exists and empirical evidence (e.g. Lin et al., 2011) indicates that exposure to this common liquidity factor is priced in the cross-section of corporate bonds. The existence of commonality implies that part of a bond’s illiquidity is left as idiosyncratic. In this paper, we study how illiquidity components explain the cross-section of bond yields and how this relationship varies over time and across bond categories. We use a factor decomposition to break down total illiquidity into a common and an idiosyncratic component and analyze how yields relate differentially to each of these two components. We find that a bond’s idiosyncratic illiquidity is important, which might reflect informational asymmetries compounded by the lack of diversification in the institutional investors’ portfolios. Moreover, the relation between illiquidity and yield spreads appears to be negative during the recent crisis period
The paper begins with a brief review of the major problems facing the economy in 1984 and discuss... more The paper begins with a brief review of the major problems facing the economy in 1984 and discusses how the financial regulatory framework had contributed to the development of those problems. A presentation of the sequencing of reforms follows. The main financial and other economic reforms are outlined and their consequences are discussed. Particular attention is paid to issues concerning volatility in financial and foreign exchange markets under deregulation as well as the relationship between monetary aggregates and nominal income or inflation in the formulation of monetary policy in the new environment. Also discussed are the effects of liquidity constraints in the monetary policy transmission mechanism and the impact of nominal shocks on the performance of the real sector under a policy of disinflation. Issues arising from new Zealand’s experience of deregulation and disinflation are presented in the concluding section of the paper. An important finding, especially for governments interested in embarking on financial reforms, is that the authorities were able to maintain monetary control despite financial reform, though volatility of interest rates and exchange rates may have been exacerbated in the process. Also, the slower implementation of trade and labor market reforms may have increased the costs of reducing inflation during the adjustment process.
Data Envelopment Analysis (DEA) models give each decision making unit freedom to assign values to... more Data Envelopment Analysis (DEA) models give each decision making unit freedom to assign values to the input-output weights maximising its efficiency score. However, there is no guarantee that the optimal weights obtained from a DEA model are always positive which poses a problem, in both theory and practice. This paper offers new linear programming models to deal with the zero weights problem without restricting the weights or placing prior value judgments on them while maintaining the original DEA frontier. These models generate a profile of weights with the maximum number of positive weights applicable to both envelopment and multiplier DEA settings. These linear programs still allow weight flexibility and are independent of the solver. We show how these models can be modified to provide unit-specific positive weights. We illustrate the relevance of our approach using artificial and real world data.
In addition to providing direct patient care, some hospitals also are used as training grounds fo... more In addition to providing direct patient care, some hospitals also are used as training grounds for medical students and physicians-in-training (medical residents). Because of these additional responsibilities, total costs are higher in teaching hospitals than their non-teaching counterparts. In this paper, we use the data envelopment analysis methodology to assess the relative productive efficiency of teaching hospitals in our sample. Outputs will be defined as an array of inpatient and outpatient services and inputs will be characterized as number of physicians, labor, beds, and medical residents. In order to evaluate relative productivity, a reference technology of 'best practice frontier' will be derived from all the observations in our sample under assumptions of both strong and weak disposability of inputs. By analyzing medical residents as weakly disposable inputs, we can estimate how much they detract from the hospital's productive capability.
International Series in Operations Research & Management Science, 2011
ABSTRACT In this chapter, we provide an overview of our recent work on data envelopment analysis ... more ABSTRACT In this chapter, we provide an overview of our recent work on data envelopment analysis (DEA) and Malmquist productivity indexes. First, we review the construction of static and dynamic DEA technologies. Based on these technologies we show how DEA can be used to estimate the Malmquist productivity index introduced by Caves et al. (Econometrica 50(6):1393–14, 1982) in the static case as well as its extension into the dynamic case.
Ten years of inflation targeting in New Zealand is used to test whether monetary policy conforms ... more Ten years of inflation targeting in New Zealand is used to test whether monetary policy conforms to the simple rules that have been recommended in the literature. While a Taylor rule with the standard parameters used in the US describes New Zealand monetary policy quite well, the Reserve Bank has focused more strongly on price stability, as required by its Policy Targets Agreements. Monetary policy is better described by targeting the future inflation rate as forecast by the Bank than by current inflation as in the Taylor rule. However, restricting the description of policy to the information available at the time of setting policy does not result in a much-improved explanation. There is a ‘smoothing ’ element to the Bank’s policy rather than an immediate response to every small fluctuation. There is also insufficient evidence to suggest that monetary policy has been asymmetric in treating upside inflationary pressures differently from those towards deflation (JEL E52). Keywords: ce...
... Rolf Fare and Shawna Grosskopf, Professors ... The group we have chosen consists (in addition... more ... Rolf Fare and Shawna Grosskopf, Professors ... The group we have chosen consists (in addition to New Zealand) of Australia, Canada, Finland, Ireland and Switzerland.2 Australia is a near neighbour with close economic ties with New Zealand and like New Zealand boasts an ...
In this paper we analyse the hospital market for nursing services. We address two issues: (1) whe... more In this paper we analyse the hospital market for nursing services. We address two issues: (1) whether the hospital market for nursing services is monopsonistic, and (2) whether registered nurses are "overemployed" relative to licensed practical nurses. Our empirical technique ...
This study examines the relationship between inflation rate and reserve requirement ratio in Chin... more This study examines the relationship between inflation rate and reserve requirement ratio in China. Our findings show that there is a long-term relationship between reserve requirement ratio and inflation rate. In the short-run, the central bank adjusts the reserve requirement ratio upwards faster than they adjust them downwards. The asymmetric adjustment reflects the fact the Chinese economy was overheating over the past few years as a result of the stimulus package implemented after the onset of the global financial crisis and inflation was threatening the stability of the society.
Liquidity commonality exists and empirical evidence (e.g. Lin et al., 2011) indicates that exposu... more Liquidity commonality exists and empirical evidence (e.g. Lin et al., 2011) indicates that exposure to this common liquidity factor is priced in the cross-section of corporate bonds. The existence of commonality implies that part of a bond’s illiquidity is left as idiosyncratic. In this paper, we study how illiquidity components explain the cross-section of bond yields and how this relationship varies over time and across bond categories. We use a factor decomposition to break down total illiquidity into a common and an idiosyncratic component and analyze how yields relate differentially to each of these two components. We find that a bond’s idiosyncratic illiquidity is important, which might reflect informational asymmetries compounded by the lack of diversification in the institutional investors’ portfolios. Moreover, the relation between illiquidity and yield spreads appears to be negative during the recent crisis period
The paper begins with a brief review of the major problems facing the economy in 1984 and discuss... more The paper begins with a brief review of the major problems facing the economy in 1984 and discusses how the financial regulatory framework had contributed to the development of those problems. A presentation of the sequencing of reforms follows. The main financial and other economic reforms are outlined and their consequences are discussed. Particular attention is paid to issues concerning volatility in financial and foreign exchange markets under deregulation as well as the relationship between monetary aggregates and nominal income or inflation in the formulation of monetary policy in the new environment. Also discussed are the effects of liquidity constraints in the monetary policy transmission mechanism and the impact of nominal shocks on the performance of the real sector under a policy of disinflation. Issues arising from new Zealand’s experience of deregulation and disinflation are presented in the concluding section of the paper. An important finding, especially for governments interested in embarking on financial reforms, is that the authorities were able to maintain monetary control despite financial reform, though volatility of interest rates and exchange rates may have been exacerbated in the process. Also, the slower implementation of trade and labor market reforms may have increased the costs of reducing inflation during the adjustment process.
Data Envelopment Analysis (DEA) models give each decision making unit freedom to assign values to... more Data Envelopment Analysis (DEA) models give each decision making unit freedom to assign values to the input-output weights maximising its efficiency score. However, there is no guarantee that the optimal weights obtained from a DEA model are always positive which poses a problem, in both theory and practice. This paper offers new linear programming models to deal with the zero weights problem without restricting the weights or placing prior value judgments on them while maintaining the original DEA frontier. These models generate a profile of weights with the maximum number of positive weights applicable to both envelopment and multiplier DEA settings. These linear programs still allow weight flexibility and are independent of the solver. We show how these models can be modified to provide unit-specific positive weights. We illustrate the relevance of our approach using artificial and real world data.
In addition to providing direct patient care, some hospitals also are used as training grounds fo... more In addition to providing direct patient care, some hospitals also are used as training grounds for medical students and physicians-in-training (medical residents). Because of these additional responsibilities, total costs are higher in teaching hospitals than their non-teaching counterparts. In this paper, we use the data envelopment analysis methodology to assess the relative productive efficiency of teaching hospitals in our sample. Outputs will be defined as an array of inpatient and outpatient services and inputs will be characterized as number of physicians, labor, beds, and medical residents. In order to evaluate relative productivity, a reference technology of 'best practice frontier' will be derived from all the observations in our sample under assumptions of both strong and weak disposability of inputs. By analyzing medical residents as weakly disposable inputs, we can estimate how much they detract from the hospital's productive capability.
International Series in Operations Research & Management Science, 2011
ABSTRACT In this chapter, we provide an overview of our recent work on data envelopment analysis ... more ABSTRACT In this chapter, we provide an overview of our recent work on data envelopment analysis (DEA) and Malmquist productivity indexes. First, we review the construction of static and dynamic DEA technologies. Based on these technologies we show how DEA can be used to estimate the Malmquist productivity index introduced by Caves et al. (Econometrica 50(6):1393–14, 1982) in the static case as well as its extension into the dynamic case.
Ten years of inflation targeting in New Zealand is used to test whether monetary policy conforms ... more Ten years of inflation targeting in New Zealand is used to test whether monetary policy conforms to the simple rules that have been recommended in the literature. While a Taylor rule with the standard parameters used in the US describes New Zealand monetary policy quite well, the Reserve Bank has focused more strongly on price stability, as required by its Policy Targets Agreements. Monetary policy is better described by targeting the future inflation rate as forecast by the Bank than by current inflation as in the Taylor rule. However, restricting the description of policy to the information available at the time of setting policy does not result in a much-improved explanation. There is a ‘smoothing ’ element to the Bank’s policy rather than an immediate response to every small fluctuation. There is also insufficient evidence to suggest that monetary policy has been asymmetric in treating upside inflationary pressures differently from those towards deflation (JEL E52). Keywords: ce...
... Rolf Fare and Shawna Grosskopf, Professors ... The group we have chosen consists (in addition... more ... Rolf Fare and Shawna Grosskopf, Professors ... The group we have chosen consists (in addition to New Zealand) of Australia, Canada, Finland, Ireland and Switzerland.2 Australia is a near neighbour with close economic ties with New Zealand and like New Zealand boasts an ...
In this paper we analyse the hospital market for nursing services. We address two issues: (1) whe... more In this paper we analyse the hospital market for nursing services. We address two issues: (1) whether the hospital market for nursing services is monopsonistic, and (2) whether registered nurses are "overemployed" relative to licensed practical nurses. Our empirical technique ...
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Papers by Dimitri Margaritis