Now showing items 1-18 of 18

  • Booms, Recessions and Financial Turmoil: A Fresh Look at Investment Decisions under Cyclical Uncertainty 

    Chen, Yu-Fu; Funke, Michael (University of DundeeHamburg University, 2009)
    The paper studies the interaction between cyclical uncertainty and investment in a stochastic real option framework where demand shifts stochastically between three different states, each with different rates of drift and ...
  • China´s new labour contract law: no harm to employment? 

    Chen, Yu-Fu; Funke, Michael (University of DundeeHamburg University, 2008)
    In January 2008, China imposed a new labour contract law. This new law is the most significant reform to the law of employment relations in mainland China in more than a decade. The paper provides a theoretical framework ...
  • Dark Clouds or Silver Linings? Knightian Uncertainty and Climate Change 

    Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole (University of Dundee, 2011)
    This paper examines the impact of Knightian uncertainty upon optimal climate policy through the prism of a continuous-time real option modelling framework. We analytically determine optimal intertemporal climate policies ...
  • Environmental Degradation and the Limits to LOV 

    Chen, Yu-Fu; Molana, Hassan; Montagna, Catia (University of Dundee, 2010)
    We show how consumers’ environmental concerns may limit ‘love of variety’ (LOV) and be reflected in consumers decisions. We investigate how the impact of environmental degradation on LOV influences demand and optimal product ...
  • Global Warming And Extreme Events: Rethinking The Timing And Intensity Of Environmental Policy 

    Chen, Yu-Fu; Funke, Michael (University of DundeeHamburg University, 2010)
    The possibility of low-probability extreme events has reignited the debate over the optimal intensity and timing of climate policy. In this paper we therefore contribute to the literature by assessing the implications of ...
  • Global Warming and Fat Tailed-uncertainty: Rethinking the Timing and Intensity of Climate Policy 

    Chen, Yu-Fu; Funke, Michael (University of Dundee, 2012-06)
    The possibility of low-probability extreme natural events has reignited the debate over the optimal intensity and timing of climate policy. In this paper, we contribute to the literature by assessing the implications of ...
  • Life-Cycle, Effort and Academic Inactivity 

    Chen, Yu-Fu; Zoeg, Gylfi (University of DundeeUniversity of Iceland, 2011)
    It has been observed that university professors sometimes become less research active in their later years. This paper models the decision to become inactive as a utility maximising problem under conditions of uncertainty ...
  • Off-the-Record Target Zones: Theory with an Application to Hong Kongs Currency Board 

    Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole (University of DundeeHamburg University, 2010)
    This paper provides a modelling framework for evaluating the exchange rate dynamics of a target zone regime with undisclosed bands. We generalize the literature to allow for asymmetric one-sided regimes. Market participants' ...
  • Political Risk, Economic Integration, and the Foreign Direct Investment Decision 

    Chen, Yu-Fu; Funke, Michael (University of DundeeHamburg University, 2008)
    In this paper we analyse the impact of policy uncertainty on foreign direct investment strategies. We also consider the impact of economic integration upon FDI decisions. The paper follows the real options approach, which ...
  • The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate 

    Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole (University of Dundee, 2011)
    This paper presents a theoretical framework analysing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the ...
  • The Signalling Channel of Central Bank Interventions: Modelling the Yen/US Dollar Exchange Rate 

    Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole (University of DundeeHamburg University, 2012)
    This paper presents a theoretical framework analysing the signalling channel of exchange rate interventions as an informational trigger. We develop an implicit target zone framework with learning in order to model the ...
  • Slowing Down 

    Chen, Yu-Fu; Zoega, Gylfi (University of Dundee, 2012-04)
    We extend the efficiency wage model of Shapiro and Stiglitz to account for the observation that workers’ effort has a tendency to fall when they approach the end of their employment contract. In particular, we find that ...
  • A Soft Edge Target Zone Model: Theory And Application To Hong Kong 

    Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole (University of DundeeHamburg University, 2009)
    Hong Kong’s currency is pegged to the US dollar in a currency board arrangement. In autumn 2003, the Hong Kong dollar appreciated from close to 7.80 per US dollar to 7.70, as investors feared that the currency board would ...
  • Strong Hysteresis due to Age Effects 

    Chen, Yu-Fu; Zoeg, Gylfi (University of DundeeUniversity of Iceland, 2010)
    Strong hysteresis in the labour market (see Cross, 1995) requires workers to be heterogeneous in terms of the cost of hiring and firing. We show how such heterogeneity arises naturally in labour markets due to differences ...
  • Threshold Effects of Dismissal Protection Regulation and the Emergence of Temporary Work Agencies 

    Chen, Yu-Fu; Funke, Michael (University of DundeeHamburg University, 2008)
    Labour market regulations aimed at enhancing job-security are dominant in several OECD countries. These regulations seek to reduce dismissals of workers and fluctuations in employment. The main theoretical contribution ...
  • Time is Running Out: The 2°C Target and Optimal Climate Policies 

    Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole (University of DundeeHamburg University, 2012)
    The quintessence of recent natural science studies is that the 2 degrees C target can only be achieved with massive emission reductions in the next few years. The central twist of this paper is the addition of this limited ...
  • What drives urban consumption in mainland china? The role of property price dynamics 

    Chen, Yu-Fu; Funke, Michael; Mehrotra, Aaron (University of DundeeHamburg UniversityBank for International Settlements, 2011)
    This paper adds to the literature on wealth effects on consumption by disentangling house price effects on consumption for mainland China. In a stochastic modelling framework, the riskiness, rate of increase and persistence ...
  • When to Quit Under Uncertainty? A real options approach to smoking cessation 

    Chen, Yu-Fu; Petrie, Dennis (University of Dundee, 2012)
    This paper models the decision to quit smoking like an investment decision where the quitter incurs a sunk withdrawal cost today and forgoes their consumer surplus from cigarettes (invests) and hopes to reap an uncertain ...

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