The full text on this page is automatically extracted from the file linked above and may contain errors and inconsistencies.
Federal Reserve Bank of Chicago
On the Fiscal Implications of Twin Crises
By: Craig Burnside, Martin Eichenbaum
and Sergio Rebelo
WP 2001-02
Rq wkh Ilvfdo Lpsolfdwlrqv ri Wzlq Fulvhv
Fudlj Exuqvlgh| Pduwlq Hlfkhqedxp}dqg Vhujlr Uhehor{
/
Dsulo 45/ 5334
Devwudfw
Wklv sdshu h{soruhv wkh lpsolfdwlrqv ri gl huhqw vwudwhjlhv iru qdqflqj wkh vfdo
frvwv ri wzlq fulvhv iru lq dwlrq dqg ghsuhfldwlrq udwhv1 Zh xvh d uvw0jhqhudwlrq w|sh
prgho ri vshfxodwlyh dwwdfnv zklfk kdv irxu nh| ihdwxuhv= +l, wkh fulvlv lv wuljjhuhg e|
survshfwlyh gh flwv> +ll, wkhuh h{lvwv rxwvwdqglqj qrq0lqgh{hg jryhuqphqw ghew lvvxhg
sulru wr wkh fulvhv> +lll, d sruwlrq ri wkh jryhuqphqw*v oldelolwlhv duh qrw lqgh{hg wr
lq dwlrq> dqg +ly, wkhuh duh qrqwudgdeoh jrrgv dqg frvwv ri glvwulexwlqj wudgdeoh jrrgv/
vr wkdw sxufkdvlqj srzhu sdulw| grhv qrw krog1 Zh vkrz wkdw wkh prgho fdq dffrxqw iru
wkh kljk udwhv ri ghydoxdwlrq dqg prghudwh udwhv ri lq dwlrq riwhq revhuyhg lq wkh zdnh
ri fxuuhqf| fulvhv1 Zh xvh rxu prgho dqg wkh gdwd wr lqwhusuhw wkh uhfhqw fxuuhqf|
fulvhv lq Ph{lfr dqg Nruhd1 Rxu dqdo|vlv vxjjhvwv wkdw wkh Ph{lfdq jryhuqphqw lv
olnho| wr sd| iru wkh exon ri wkh vfdo frvwv ri lwv fulvlv wkurxjk vhljqrudjh uhyhqxhv1
Lq frqwudvw/ wkh Nruhdq jryhuqphqw lv olnho| wr uho| pruh rq d frpelqdwlrq ri lpsolflw
dqg h{solflw vfdo uhirupv1
M1H1O1 Fodvvl fdwlrq= I64
Nh|zrugv= Fxuuhqf| fulvlv/ edqnlqj fulvlv/ vshfxodwlyh dwwdfnv/ vhljqrudjh/ vfdo uh0
irup/ edlorxwv1
ÆZh
wkdqn Dulho Exuvwhlq/ Nhqqhwk Nohw}hu dqg Ure Yljixvvrq iru wkhlu frpphqwv1 Zh dfnqrzohgjh
wkh vxssruw ri wkh Zruog Edqn Uhvhdufk Frpplwwhh1 Wkh rslqlrqv h{suhvvhg lq wklv sdshu duh wkrvh ri wkh
dxwkruv dqg qrw qhfhvvdulo| wkrvh ri wkh Ihghudo Uhvhuyh Edqn ri Fklfdjr ru wkh Zruog Edqn1
|Wkh Zruog Edqn
}Qruwkzhvwhuq Xqlyhuvlw|/ QEHU dqg Ihghudo Uhvhuyh ri Fklfdjr1
{Qruwkzhvwhuq Xqlyhuvlw|/ QEHU dqg FHSU1
41 Lqwurgxfwlrq
Wkh fodvvlfdo ylhz ri fxuuhqf| fulvhv lv wkdw wkh| dulvh ehfdxvh jryhuqphqwv sulqw prqh| wr 0
qdqfh rqjrlqj ru survshfwlyh gh flwv1 Wklv ylhz/ hpehgghg lq vr0fdoohg uvw jhqhudwlrq prg0
hov dqg wkhlu prghuq yduldqwv/ lv hvshfldoo| dsshdolqj iru h{sodlqlqj wzlq edqnlqj0fxuuhqf|
fulvhv14 Wkhvh fulvhv hqwdlo odujh vfdo frvwv/ dvvrfldwhg zlwk uhvwuxfwxulqj dqg uhfdslwdol}0
lqj idlolqj edqnlqj v|vwhpv/ wkdw duh qrw w|slfdoo| qdqfhg e| odujh h{solflw vfdo uhirupv1
Ghvslwh wkh dsshdo ri wkhvh prghov/ wkh| vx hu iurp dq lpsruwdqw hpslulfdo vkruwfrplqj=
wkh| jhqhudoo| suhglfw wkdw lq dwlrq udwhv vkrxog eh kljk diwhu d fxuuhqf| fulvlv1 Lq uhdolw|/
pdq| odujh ghydoxdwlrqv duh iroorzhg e| prghudwh udwhv ri prqh| jurzwk dqg lq dwlrq1 Wklv
udlvhv wkuhh txhvwlrqv1 Iluvw/ krz gr jryhuqphqwv dfwxdoo| sd| iru wkh vfdo frvwv ri wzlq
edqnlqj0fxuuhqf| fulvhvB Vhfrqg/ zkdw duh wkh lpsolfdwlrqv ri gl huhqw qdqflqj phwkrgv
iru srvw0fulvlv lq dwlrq udwhvB Ilqdoo|/ fdq wkh lq dwlrq suhglfwlrqv ri uvw jhqhudwlrq w|sh
prghov eh uhfrqflohg zlwk wkh gdwdB
Wr sd| iru wkh vfdo frvwv ri wzlq fulvhv/ d jryhuqphqw pxvw xvh d frpelqdwlrq ri wkh
iroorzlqj vwudwhjlhv= +l, lpsohphqw dq h{solflw vfdo uhirup e| udlvlqj wd{hv ru uhgxflqj
vshqglqj> +ll, h{solflwo| ghidxow rq rxwvwdqglqj ghew> +lll, sulqw prqh| wr jhqhudwh vhljqrudjh
uhyhqxhv> +ly, gh dwh wkh uhdo ydoxh ri rxwvwdqglqj qrqlqgh{hg qrplqdo ghew> ru +y, hqjdjh
lq dq lpsolflw vfdo uhirup e| gh dwlqj wkh uhdo ydoxh ri jryhuqphqw rxwod|v wkdw duh {hg/ dw
ohdvw whpsrudulo|/ lq qrplqdo whupv +h1j1 flylo vhuydqw zdjhv ru vrfldo vhfxulw| sd|phqwv,15 Lq
d zruog ri iruzdug orrnlqj hfrqrplf djhqwv/ gl huhqw pl{hv ri wkhvh vwudwhjlhv kdyh gl huhqw
lpsolfdwlrqv iru erwk wkh vhyhulw| ri d fxuuhqf| fulvlv dqg iru srvw0fulvlv lq dwlrq udwhv1
Zh dqdo|}h wkhvh lpsolfdwlrqv xvlqj d yhuvlrq ri wkh prgho lq Exuqvlgh/ Hlfkhqedxp dqg
Uhehor +5334, lq zklfk d fxuuhqf| fulvlv lv wuljjhuhg e| survshfwlyh jryhuqphqw gh flwv1 Wr
vlpsoli| rxu h{srvlwlrq zh uhgxfh wkh prgho wr lwv hvvhqwldo hohphqwv= d prqh| ghpdqg vshf0
l fdwlrq/ d jryhuqphqw exgjhw frqvwudlqw/ d uxoh iru h{lwlqj wkh {hg h{fkdqjh udwh uhjlph/
dqg dq dvvxpswlrq derxw wkh qdwxuh ri prqhwdu| srolf| diwhu wkh ghydoxdwlrq1 Zh vkrz wkdw
d jryhuqphqw zklfk sxuvxhv vwudwhjlhv +lll,0+y, fdq sd| iru odujh vfdo frvwv dvvrfldwhg zlwk
4
Vhh/ iru h{dpsoh/ Nuxjpdq +4<:<,/ Iorrg dqg Jduehu +4<;7,/ Revwihog +4<;9,/ Fdoyr +4<;:,/ Gud}hq
dqg Khospdq +4<;:,/ Zlmqehujhq +4<<4,/ Fruvhwwl/ Shvhqwl dqg Urxelql +4<<<,/ Grroh| +5333,/ Odklul dqg
Yìjk +5333,/ dqg Exuqvlgh/ Hlfkhqedxp/ dqg Uhehor +5334,1
5
Wkh vfdo frvwv frxog dovr eh sdlg iru zlwk lqwhuqdwlrqdo dlg/ qdpho| wkurxjk vxevlgl}hg ordqv judqwhg e|
lqvwlwxwlrqv vxfk dv wkh Lqwhuqdwlrqdo Prqhwdu| Ixqg +LPI,1 Mhdqqh dqg ]hwwhoph|hu +5333, dujxh wkdw wkh
vxevlg| hohphqw ri LPI ohqglqj lv vpdoo1 Iru Nruhd dqg Ph{lfr wkh| hvwlpdwh wkdw wklv vxevlw| dprxqwhg
wr ohvv wkdq 4 shufhqw ri JGS1
4
odujh ghydoxdwlrqv zkloh jhqhudwlqj yhu| prghudwh ghjuhhv ri srvw0fulvlv lq dwlrq1 Vr prghov
lq zklfk survshfwlyh gh flwv duh wkh urrw fdxvh ri odujh fxuuhqf| fulvhv fdq eh uhfrqflohg
zlwk revhuyhg srvw fxuuhqf| fulvlv lq dwlrq udwhv1
Zh ehjlq rxu wkhruhwlfdo dqdo|vlv zlwk d yhuvlrq ri wkh prgho zkhuh sxufkdvlqj srzhu
sdulw| +SSS, krogv dqg doo jryhuqphqw oldelolwlhv duh shuihfwo| lqgh{hg wr lq dwlrq1 Wklv
prgho suhglfwv pxfk orzhu ghydoxdwlrq udwhv dqg pxfk kljkhu lq dwlrq udwhv wkdq wkrvh
revhuyhg gxulqj fxuuhqf| fulvlv hslvrghv1
Zh wkhq frqvlghu wzr h{whqvlrqv wr wkh edvlf prgho1 Iluvw/ zh lqwurgxfh wzr w|shv ri
qrqlqgh{hg jryhuqphqw oldelolwlhv= +l, grphvwlf erqgv lvvxhg ehiruh djhqwv ohduqhg derxw
survshfwlyh gh flwv> dqg +ll, sxeolf vshqglqj zkrvh ydoxh lv suhvhw lq xqlwv ri grphvwlf
fxuuhqf|1 Zlwk wkhvh hohphqwv/ wkh prgho fdq jhqhudwh pruh sodxvleoh lpsolfdwlrqv iru wkh
ehkdylru ri lq dwlrq exw fdq rqo| surgxfh prghudwh udwhv ri ghydoxdwlrq1
Vhfrqg/ zh holplqdwh wkh dvvxpswlrq ri SSS1 Wklv euhdnv wkh olqn ehwzhhq grphvwlf
lq dwlrq dqg h{fkdqjh udwh ghsuhfldwlrq1 Zh lqwurgxfh wkuhh ghsduwxuhv iurp SSS= +l, qrq0
wudgdeoh jrrgv +h1j1 krxvlqj/ hgxfdwlrq/ dqg khdowk,> +ll, frvwv dvvrfldwhg zlwk glvwulexwlqj
wudgdeoh jrrgv +h1j1 wudqvsruwdwlrq/ zkrohvdolqj dqg uhwdlolqj,> dqg +lll, qrplqdo uljlglwlhv
lq wkh sulfhv ri qrqwudgdeoh jrrgv1 Wkhvh hohphqwv doorz wkh prgho wr dffrxqw pruh forvho|
iru wkh kljk udwhv ri ghydoxdwlrq dqg orz udwhv ri lq dwlrq wkdw duh riwhq revhuyhg lq wkh
zdnh ri fxuuhqf| fulvlv hslvrghv1
Zh xvh rxu prgho wr lqwhusuhw wzr uhfhqw fxuuhqf| fulvhv= Ph{lfr lq 4<<7 dqg Nruhd lq
4<<:1 Rxu dqdo|vlv vxjjhvwv wkdw wkh Ph{lfdq jryhuqphqw zloo olnho| sd| iru prvw ri wkh
vfdo frvw ri lwv fulvlv e| sulqwlqj prqh|1 Lq frqwudvw/ wkh Nruhdq jryhuqphqw lv olnho| wr gr
vr yld d pl{wxuh ri ixwxuh lpsolflw dqg h{solflw vfdo uhirupv1
Hvwlpdwhv ri wkh frvw ri wkh Ph{lfdq fulvlv ydu| zlgho|/ exw/ dv d ehqfkpdun/ zh sxw lw
dw urxjko| 48 shufhqw ri Ph{lfr*v 4<<7 JGS1 Zh hvwlpdwh wkdw wkh jryhuqphqw kdv vr idu
sdlg iru derxw 63 shufhqw ri wkh vfdo frvw ri wkh fulvlv yld d pl{ ri ghew gh dwlrq/ vfdo
uhirupv/ dqg vhljqrudjh1 Zh vkrz wkdw wkh uhvw ri wkh vfdo frvw fdq eh sdlg iru e| vhljqrudjh
uhyhqxhv li wkh jryhuqphqw sulqwv prqh| dw klvwrulfdoo| w|slfdo udwhv1 Frqvlvwhqw zlwk zkdw
rxu prgho suhglfwv iru d fulvlv qdqfhg sulpdulo| e| sulqwlqj prqh|/ Ph{lfr*v wzlq fulvhv
zdv dvvrfldwhg zlwk d uhodwlyho| odujh ulvh lq wkh udwh ri lq dwlrq1
Wkh vfdo frvw ri wkh Nruhdq fulvlv lv wkrxjkw wr eh urxjko| 57 shufhqw ri 4<<: JGS16
6
Wklv hvwlpdwh lv iurp Vwdqgdug dqg Srru*v Vryhuhljq Udwlqjv Vhuylfhv1 Vhh Jrogvwhlq +4<<;, iru d
glvfxvvlrq ri ydulrxv hvwlpdwhv ri qrqshuiruplqj edqn ordqv wkdw xqghuolh wkh edqnlqj fulvlv lq Nruhd1
5
Rxu fdofxodwlrqv lqglfdwh wkdw wkh jryhuqphqw kdv vr idu sdlg iru urxjko| 58 shufhqw ri
wklv frvw yld d pl{ ri ghew gh dwlrq/ vfdo uhirupv/ dqg vhljqrudjh uhyhqxh1 Frqvlvwhqw
zlwk wklv hvwlpdwh/ wkh Nruhdq jryhuqphqw kdv dffxpxodwhg d juhdw ghdo ri qhz ghew4:16
shufhqw ri JGSwr qdqfh lwv fulvlv lq wkh vkruw uxq1 Rxu prgho fdq dffrxqw iru wkh odujh
ghydoxdwlrq dqg prghvw srvw0fulvlv lq dwlrq udwhv lq Nruhd xqghu wkh dvvxpswlrq wkdw pxfk
ri wkh uhpdlqlqj vfdo frvw ri wkh fulvlv zloo eh qdqfhg wkurxjk ixwxuh h{solflw dqg lpsolflw
vfdo uhirupv1
Wkh uhpdlqghu ri wkh sdshu lv rujdql}hg dv iroorzv1 Vhfwlrq 5 xvhv wkh jryhuqphqw*v
lqwhuwhpsrudo exgjhw frqvwudlqw wr glvfxvv wkh gl huhqw qdqflqj vwudwhjlhv dydlodeoh wr wkh
jryhuqphqw1 Vhfwlrq 6 suhvhqwv rxu edvlf prgho1 Vhfwlrq 7 glvfxvvhv wzr h{whqvlrqv= lqfru0
srudwlqj qrqlqgh{hg jryhuqphqw oldelolwlhv dqg holplqdwlqj wkh SSS dvvxpswlrq1 Vhfwlrq
8 frqwdlqv rxu glvfxvvlrq ri wkh Ph{lfr 4<<7 dqg Nruhd 4<<: fulvhv1 Vhfwlrq 9 frqwdlqv
frqfoxglqj uhpdunv1
51 Wkh Jryhuqphqw Exgjhw Frqvwudlqw
H{solflw ghidxow dvlgh/ d jryhuqphqw pxvw vdwlvi| lwv lqwhuwhpsrudo exgjhw frqvwudlqw1 Lq
wklv vhfwlrq zh glvsod| d yhuvlrq ri wklv frqvwudlqw wkdw lv xvhixo iru glvfxvvlqj wkh gl huhqw
vwudwhjlhv wkdw d jryhuqphqw fdq xvh wr sd| iru wkh vfdo frvwv ri d wzlq fulvlv1 Odwhu zh
dgrsw d sduwlfxodu prgho ri vshfxodwlyh dwwdfnv wr vwxg| krz wkhvh vwudwhjlhv lpsdfw rq wkh
vhyhulw| ri d fxuuhqf| fulvlv dqg srvw0fulvlv lq dwlrq udwhv1
Zh frqvlghu d frqwlqxrxv wlph/ shuihfw iruhvljkw hfrqrp| srsxodwhg e| dq lq qlwho| olyhg
uhsuhvhqwdwlyh djhqw dqg d jryhuqphqw1 Doo djhqwv/ lqfoxglqj wkh jryhuqphqw/ fdq eruurz
dqg ohqg lq lqwhuqdwlrqdo fdslwdo pdunhwv dw d frqvwdqw uhdo lqwhuhvw udwh o1
Iru qrz zh dvvxph wkdw wkhuh lv d vlqjoh frqvxpswlrq jrrg lq wkh hfrqrp| dqg qr
eduulhuv wr wudgh/ vr wkdw SSS krogv=
| ' 7| | 1
W
+514,
Khuh | dqg | ghqrwh wkh grphvwlf dqg iruhljq sulfh ohyho uhvshfwlyho|/ zkloh 7| ghqrwhv
W
wkh h{fkdqjh udwh +gh qhg dv xqlwv ri grphvwlf fxuuhqf| shu xqlw ri iruhljq fxuuhqf|,1 Iru
frqyhqlhqfh zh dvvxph wkdw | ' 1
Lq hdfk shulrg wkh jryhuqphqw sxufkdvhv jrrgv/ ohylhv oxps vxp wd{hv/ dqg pdnhv wudqv0
W
ihuv wr wkh uhsuhvhqwdwlyh djhqw1 Lq dgglwlrq/ wkh jryhuqphqw fdq sulqw prqh| dqg lvvxh ghew1
6
Jryhuqphqw vshqglqj/ wd{hv dqg wudqvihuv kdyh dq lqgh{hg frpsrqhqw/ zlwk uhdo ydoxhv }| / |
dqg | / uhvshfwlyho|1 Wkhvh yduldeohv dovr kdyh qrqlqgh{hg frpsrqhqwv zlwk qrplqdo ydoxhv
C| / A| / dqg T| / uhvshfwlyho|1 Lw lv frqyhqlhqw wr gh qh wkh yduldeoh/ f| =
f| ' A|
C|
T| 1
Wkh jryhuqphqw lvvxhv wzr w|shv ri ghew1 Wkh uvw w|sh lv groodu0ghqrplqdwhg vr wkdw
lwv uhdo ydoxh lv lqyduldqw wr wkh grphvwlf udwh ri lq dwlrq1 Zh ghqrwh wkh groodu ghew dw
wkh ehjlqqlqj ri wlph | e| K| 1 Wkh vhfrqg w|sh ri ghew lv ghqrplqdwhg lq orfdo fxuuhqf|
dqg lv qrw lqgh{hg wr wkh grphvwlf udwh ri lq dwlrq1 Wr vlpsoli| pdwwhuv zh dvvxph wkdw
wklv ghew wdnhv wkh irup ri frqvrov/ lvvxhg ehiruh wlph }hur1 Hdfk frqvro kdv d frqvwdqw
frxsrq ghqrplqdwhg lq orfdo fxuuhqf|1 Vlqfh h{shfwhg lq dwlrq zdv }hur zkhq wkh erqgv
zhuh lvvxhg/ wkh frxsrq udwh ru qrplqdo lqwhuhvw rq wkh erqgv htxdov wr wkh uhdo lqwhuhvw
udwh/ o1 Zh ghqrwh wkh qrplqdo ydoxh ri wkh frqvrov e| 1 Wr vlpsoli| qrwdwlrq zh dvvxph
wkdw wkh vwrfn ri qrplqdo ghew uhpdlqv frqvwdqw dqg doo qhz ghew lv groodu ghqrplqdwhg1
Zh frqvlghu dq hfrqrp| wkdw lv lqlwldoo| rshudwlqj xqghu d {hg h{fkdqjh udwh vr wkdw
7| ' 71 Dw wlph }hur/ qhzv duulyhv wkdw wkh jryhuqphqw*v ixwxuh oldelolwlhv zloo eh kljkhu
wkdq suhylrxvo| dqwlflsdwhg1 Zh lqwhusuhw wkh ulvh lq oldelolwlhv dv uh hfwlqj wudqvihu sd|phqwv
dvvrfldwhg zlwk edqn edlorxwv ru zlwk rwkhu vfdo oldelolwlhv ri wkh jryhuqphqw1
Wr eh frqfuhwh/ ehiruh wlph }hur/ sulydwh djhqwv dvvxphg wkdw | ' iru doo |1 Dw wlph
}hur wkh| ohduq wkdw wudqvihuv zloo lqfuhdvh shupdqhqwo| diwhu gdwh A =
| ' iru f | A /
| iru | A /
zkhuh A lv d srvlwlyh vfdodu1 Wkh suhflvh ydoxh ri A lv luuhohydqw iru rxu uhvxowv1 Zh xvh
wr ghqrwh wkh suhvhqw ydoxh ri wkh lqfuhdvh lq wudqvihuv=
]
e o| E| _|1
'
"
+515,
3
e
Wkh jryhuqphqw*v rz exgjhw frqvwudlqw lv=
{K| ' {6|
K| ' oK| n o*7|
| n }| n |
f| *7|
6|
li | 5 U/
*
Z| 6| li | 5 U1
+516,
Wkurxjkrxw wkh sdshu %| ghqrwhv _%*_|1 Khuh Z| lv wkh lq dwlrq udwh/ | *| 1 Wkh yduldeoh
6| uhsuhvhqwv wkh groodu ydoxh ri prqh| edodqfhv/ gh qhg dv 6| ' | *7| / zkhuh | ghqrwhv
qrplqdo prqh| kroglqjv1 Qrwh wkdw 6| n Z | 6| lv htxdo wr wkh groodu ydoxh ri vhljqrudjh/
7
| *7| Dv lq Gud}hq dqg Khospdq +4<;:,/ htxdwlrq +516, wdnhv lqwr dffrxqw wkh srvvlelolw|
ri glvfuhwh fkdqjhv lq 6| dqg K| dw d qlwh vhw ri srlqwv lq wlph/ U1 Ehorz zh glvfxvv wkh
srlqwv dw zklfk wkhvh glvfuhwh fkdqjhv rffxu1
Dffruglqj wr +516,/ wkh fkdqjh lq K| lv htxdo wr wkh sulpdu| gh flw/ }| n |
|
f| *7| /
soxv wkh lqwhuhvw frvw ri vhuylflqj wkh lqgh{hg jryhuqphqw ghew +oK| , soxv wkh uhdo frvw ri
sd|lqj lqwhuhvw rq wkh qrqlqgh{hg frqvrov/ o*7| / plqxv vhljqrudjh uhyhqxh/ 6| n Z| 6| 1
Wkh rz exgjhw frqvwudlqw/ wrjhwkhu zlwk wkh frqglwlrq *4|
e o| K| ' f/ lpsolhv wkh
3
<"
lqwhuwhpsrudo exgjhw frqvwudlqw=
]
]
f| o|
o| _| n
E | }| | e
e _|
Kf '
7|
f
f
]
[
E6| n Z| 6| e o| _| n
e o {6
n
"
"
3
+517,
3
"
3
3
f
]
M
"
o o|
e _|1
7|
3
f
Dffruglqj wr +517,/ wkh lqlwldo vwrfn ri uhdo lqgh{hg jryhuqphqw ghew lv htxdo wr wkh uhdo
suhvhqw ydoxh ri fxuuhqw dqg ixwxuh vxusoxvhv dqg vhljqrudjh uhyhqxh plqxv wkh uhdo suhvhqw
ydoxh ri wkh frqvro sd|phqwv1
Lw lv xvhixo wr ghulyh wkh frqglwlrqv xqghu zklfk d {hg h{fkdqjh udwh lv vxvwdlqdeoh/
vr wkdw 7| ' 7 iru doo |1 Iru qrz zh dvvxph wkdw wkhuh lv qr rxwsxw jurzwk dqg iruhljq
lq dwlrq lv }hur +zh uhod{ wkhvh dvvxpswlrqv lq vhfwlrq 8,1 Frqvhtxhqwo|/ wkh jryhuqphqw
grhv qrw froohfw vhljqrudjh xqghu d {hg h{fkdqjh udwh uhjlph dqg lwv lqwhuwhpsrudo exgjhw
frqvwudlqw lv jlyhq e|=
]
E |
Kf '
"
f
}|
| e o| _| n
]
3
"
f| o|
e _|
7
]
3
f
"
o o|
e _|1
7
3
f
+518,
Zh dvvxph wkdw wklv vxvwdlqdelolw| frqglwlrq krogv ehiruh djhqwv uhfhlyh lqirupdwlrq dw | ' f
derxw wkh qhz/ kljkhu/ ohyho ri ixwxuh gh flwv1
Wr vhh krz survshfwlyh gh flwv fdq jhqhudwh d fxuuhqf| fulvlv/ uhfdoo rxu dvvxpswlrq wkdw
dw | ' f sulydwh djhqwv ohduq wkdw wkh suhvhqw ydoxh ri wkh gh flw kdv lqfuhdvhg e| 1 Dovr
vxssrvh wkdw sulydwh djhqwv fruuhfwo| eholhyh wkdw wkh jryhuqphqw zloo qrw xqghuwdnh dq
U
h{solflw vfdo uhirup wkdw ixoo| sd|v iru 1 Wr vlpsoli|/ vxssrvh wkdw f E | }| | e o| _|
"
8
3
uhpdlqv frqvwdqw17 Wkhq zh fdq xvh +515, dqg +518, wr uh0zulwh +517, dv=
]
[
E6| n Z | 6| e o| _| n
e o {6
'
"
3
f
n
7
]
]
M
"
o o|
e _|
7|
"
3
f
+519,
3
f
f|
7
f|
7|
e o| _| 1
3
Dffruglqj wr +519,/ wkh suhvhqw ydoxh ri wkh survshfwlyh gh flwv/ / pxvw eh qdqfhg e|
U
S
d frpelqdwlrq ri= +l, vhljqrudjh uhyhqxhv + f E6| n Z| 6| e o| _| n
e o {6 ,> +ll, d
U
uhgxfwlrq lq wkh uhdo ydoxh ri qrqlqgh{hg ghew +*7 f Eo*7| e o| _|,> dqg +lll, dq lpsolflw
"
3
3
M
"
3
vfdo uhirup wkdw lqfuhdvhv wkh uhdo ydoxh ri wkh qrqlqgh{hg frpsrqhqw ri wkh vfdo vxusoxv
U
+ f Ef| *7 f| *7| e o| _|,1 Lw iroorzv wkdw wkh rqo| zd| wkdw wkh jryhuqphqw fdq vdwlvi|
"
3
lwv lqwhuwhpsrudo exgjhw frqvwudlqw lv wr xvh prqhwdu| srolf| wr jhqhudwh d suhvhqw ydoxh ri
vhljqrudjh uhyhqxhv dqg lpsolflw vfdo uhirup htxdo wr 1
Wr vhh wklv/ vxssrvh iru d prphqw wkdw wkh {hg h{fkdqjh udwh frxog eh vxvwdlqhg rqfh
qhz lqirupdwlrq derxw kljkhu gh flwv duulyhg1 Wkhq wkh prqh| vxsso| zrxog qhyhu fkdqjh
dqg wkh jryhuqphqw frxog qrw froohfw dq| vhljqrudjh uhyhqxhv1 Wklv lq frqmxqfwlrq zlwk wkh
idfw wkdw wkh sulfh ohyho zrxog eh {hg lpsolhv wkdw doo ri wkh whupv rq wkh uljkw kdqg vlgh ri
+519, zrxog htxdo }hur1 Exw wkhq wkh jryhuqphqw*v exgjhw frqvwudlqw zrxog qrw krog1 Wklv
zrxog frqwudglfw wkh dvvxpswlrq wkdw wkh {hg h{fkdqjh udwh uhjlph zdv vxvwdlqdeoh1 Zh
frqfoxgh wkdw wkh jryhuqphqw pxvw dw vrph srlqw pryh wr d rdwlqj h{fkdqjh udwh v|vwhp1
Wkh sduwlfxodu fkdudfwhulvwlfv ri d fulvlv ghshqg rq wkh qdqflqj pl{ fkrvhq e| wkh
jryhuqphqw1 Iru h{dpsoh/ wkh jryhuqphqw frxog sd| iru prvw ri wkh edqn edlorxw e| uhgxflqj
wkh uhdo ydoxh ri rxwvwdqglqj qrplqdo ghew zlwk d ghydoxdwlrq dw wlph }hur1 Xqghu wkhvh
flufxpvwdqfhv/ wkh fxuuhqf| fulvlv zrxog eh dvvrfldwhg zlwk olwwoh ixwxuh prqh| jurzwk ru
lq dwlrq1 Wklv vfhqdulr lv forvho| uhodwhg wr wkh zrun ri Frfkudqh +5334,/ Vlpv +4<<7, dqg
Zrrgirug +4<<8, rq wkh vfdo wkhru| ri wkh sulfh ohyho18 Lq frqwudvw/ li wkh jryhuqphqw grhv
qrw kdyh dq| qrqlqgh{hg oldelolwlhv/ wkhq wkh edqn edlorxw zrxog kdyh wr eh qdqfhg hqwluho|
yld vhljqrudjh uhyhqxhv1 Wklv zrxog kdyh srwhqwldoo| yhu| gl huhqw lpsolfdwlrqv iru prqh|
jurzwk dqg lq dwlrq1 Wr dqdo|}h wkh lpsolfdwlrqv ri gl huhqw qdqflqj vwudwhjlhv zh pxvw
pdnh dgglwlrqdo dvvxpswlrqv derxw jryhuqphqw srolf| dqg wkh ehkdylru ri sulydwh djhqwv1
Zh glvfxvv wkhvh dvvxpswlrqv lq wkh iroorzlqj vhfwlrq1
7
Rxu edvlf uhvxow zrxog qrw eh d hfwhg e| d vfdo uhirup dv orqj dv wkh suhvhqw ydoxh ri wkh fkdqjh lq
wkh sulpdu| vxusoxv lqgxfhg e| wkh uhirup zdv ohvv wkdq !1
8
Vhh Fruvhwwl dqg Pdfnrzldn +4<<<,/ Gdqlho +5333,/ dqg Gxsru +5333, iru dssolfdwlrqv ri wkh vfdo wkhru|
wr rshq hfrqrplhv1
9
61 Wkh Edvlf Prgho
Lq wklv vhfwlrq zh dqdo|}h d vlpsoh ehqfkpdun prgho lq zklfk SSS krogv dqg wkh jryhuqphqw
grhv qrw kdyh dq| qrqlqgh{hg oldelolwlhv1
Lq dgglwlrq wr eruurzlqj dqg ohqglqj lq lqwhuqdwlrqdo fdslwdo pdunhwv/ sulydwh djhqwv fdq
dovr eruurz dqg ohqg grphvwlf fxuuhqf| dw wkh qrplqdo lqwhuhvw udwh/ -| 1 Xqghu shuihfw
iruhvljkw=
-| ' o n Z|
+614,
zkhuh o dqg Z ghqrwh wkh uhdo udwh ri lqwhuhvw dqg lq dwlrq1
Wkh ghpdqg iru grphvwlf prqh| kdv wkh irup vxjjhvwhg e| Fdjdq +4<89,=
*?E
|
' *?Ew n *?Et
|
#-| 1
+615,
Khuh | ghqrwhv wkh ehjlqqlqj ri shulrg | grphvwlf prqh| vxsso|/ dqg w lv d srvlwlyh
frqvwdqw1 Wkh sdudphwhu # uhsuhvhqwv wkh vhpl0hodvwlflw| ri prqh| ghpdqg zlwk uhvshfw wr
wkh lqwhuhvw udwh1 Wr vlpsoli| zh dvvxph wkdw grphvwlf djhqwv* shu shulrg uhdo lqfrph/ t / lv
frqvwdqw ryhu wlph19
Wkh Il{hg H{fkdqjh Udwh Uhjlph
Vxssrvh wkdw wkh krph frxqwu| lv lqlwldoo| lq d {hg h{fkdqjh udwh uhjlph vr wkdw 7| ' 71
Htxdwlrq +514, lpsolhv wkdw wkh grphvwlf udwh ri lq dwlrq Z | / lv htxdo wr wkh iruhljq udwh ri
lq dwlrq/ zklfk zh dvvxphg wr eh }hur1 Lw iroorzv iurp +614, wkdw wkh qrplqdo udwh ri lqwhuhvw
lv htxdo wr wkh frqvwdqw uhdo lqwhuhvw udwh= -| ' o iru doo | f1 Xqghu d {hg h{fkdqjh udwh/
wkh prqh| vxsso| pxvw htxdo prqh| ghpdqg=
' 7wt i TE #o 1
+616,
Vlqfh wkh prqh| vxsso| lv frqvwdqw wkh jryhuqphqw fdqqrw jhqhudwh vhljqrudjh uhyhqxhv1
Ri frxuvh li wkhuh zhuh jurzwk lq hlwkhu wkh iruhljq sulfh ohyho ru grphvwlf uhdo lqfrph/
wkh jryhuqphqw zrxog froohfw vrph vhljqrudjh uhyhqxh lq d {hg h{fkdqjh udwh uhjlph1 Wklv
srvvlelolw| grhv qrw d hfw rxu edvlf dujxphqw1 Wkh suhvhqw ydoxh ri vxfk vhljqrudjh uhyhqxhv
zrxog kdyh douhdg| ehhq lqfrusrudwhg lqwr wkh jryhuqphqw*v suh0fulvlv lqwhuwhpsrudo exgjhw
frqvwudlqw1
9
Vhh Odklul dqg Yìjk +5333, iru d glvfxvvlrq ri wkh rxwsxw h hfwv ri fxuuhqf| fulvhv1
:
D Fxuuhqf| Fulvlv
Lq wkh suhvhqfh ri survshfwlyh gh flwv wkh jryhuqphqw pxvw dw vrph srlqw pryh wr d
rdwlqj h{fkdqjh udwh v|vwhp1 Wkh suhflvh wlph dw zklfk wklv rffxuv ghshqgv rq +l, wkh jry0
huqphqw*v uxoh iru dedqgrqlqj {hg h{fkdqjh udwhv dqg +ll, wkh jryhuqphqw*v qhz prqhwdu|
srolf|1
Zlwk uhvshfw wr +l, zh iroorz d vwdqgdug dvvxpswlrq lq wkh olwhudwxuh wkdw wkh jryhuqphqw
dedqgrqv wkh {hg h{fkdqjh udwh uhjlph dffruglqj wr d wkuhvkrog uxoh rq jryhuqphqw ghew1:
Vshfl fdoo|/ zh dvvxph wkdw wkh jryhuqphqw rdwv wkh fxuuhqf| dw wkh uvw srlqw ri wlph/
| / zkhq lwv qhw ghew klwv vrph qlwh xsshu erxqg1 Wklv lv htxlydohqw wr dedqgrqlqj wkh
W
{hg h{fkdqjh udwh zkhq wkh dprxqw ri grphvwlf prqh| vrog e| sulydwh djhqwv lq h{fkdqjh
iru iruhljq uhvhuyhv h{fhhgv shufhqw ri wkh lqlwldo prqh| vxsso|1 Lq dgglwlrq wr ehlqj d
jrrg ghvfulswlrq ri zkdw kdsshqv lq dfwxdo fulvhv/ wkh wkuhvkrog uxoh fdq eh lqwhusuhwhg
dv d vkruw0uxq eruurzlqj frqvwudlqw rq wkh jryhuqphqw= lw olplwv krz pdq| uhvhuyhv wkh
jryhuqphqw fdq eruurz wr ghihqg wkh {hg h{fkdqjh udwh1; Uhehor dqg Yìjk +5334, glvfxvv
wkh flufxpvwdqfhv lq zklfk lw lv rswlpdo iru d vrfldo sodqqhu wr iroorz d wkuhvkrog uxoh1<
Zkloh wkh| xvh d jhqhudo htxloleulxp prgho/ wkhlu iudphzrun lv vlplodu lq vslulw wr wkh prgho
xvhg khuh1
Zlwk uhvshfw wr srvw0fulvlv prqhwdu| srolf|/ zh dvvxph wkdw dw vrph srlqw lq wkh ixwxuh/
+| ' A , wkh jryhuqphqw zloo hqjlqhhu d glvfuhwh lqfuhdvh lq wkh prqh| vxsso| htxdo wr
shufhqw ri / gh qhg lq +616,1 Wkhuhdiwhu/ wkh prqh| vxsso| zloo jurz dw udwh >1 Wkhvh
dvvxpswlrqv lpso| wkdw wkh prqh| vxsso| hyroyhv dffruglqj wr=43
e ) /
iru | | A
| '
nbE| e /
iru | A 1
e
3
W
3
+617,
Wklv vshfl fdwlrq ghfrxsohv wkh hqgrjhqrxv wlplqj ri wkh vshfxodwlyh dwwdfn iurp wkh wlph
dw zklfk wkh jryhuqphqw xqghuwdnhv lwv qhz prqhwdu| srolf|1 Lq htxloleulxp wkh sdudphwhuv
> dqg pxvw eh vxfk wkdw wkh jryhuqphqw*v lqwhuwhpsrudo exgjhw frqvwudlqw/ +519,/ krogv1
:
Vhh/ iru h{dpsoh/ Nuxjpdq +4<:<, dqg Iorrg dqg Jduehu +4<;7,1
Gud}hq dqg Khospdq +4<;:,/ dv zhoo dv rwkhuv/ kdyh sursrvhg d gl huhqw uxoh iru wkh jryhuqphqw*v
ehkdylru= { ixwxuh prqhwdu| srolf| dqg doorz wkh fhqwudo edqn wr eruurz dv pxfk dv srvvleoh surylghg wkh
suhvhqw ydoxh exgjhw frqvwudlqw ri wkh jryhuqphqw lv qrw ylrodwhg1 Wklv uxoh hqgv xs ehlqj htxlydohqw wr d
wkuhvkrog uxoh1 Vhh Zlmqehujhq +4<<4, dqg Exuqvlgh/ Hlfkhqedxp dqg Uhehor +5334, iru d glvfxvvlrq1
<
Wklv uhvxow hphujhv zkhq wkhuh duh vljql fdqw uhdo frvwv dvvrfldwhg zlwk d ghydoxdwlrq/ vxfk dv orvv ri
rxwsxw1
43
Lpsolflw lq wklv ghvfulswlrq lv wkh dvvxpswlrq wkdw d vroxwlrq iru wÆ vxfk wkdw wÆ ? W h{lvwv1 Zh zloo vhh
wkdw wklv dvvxpswlrq krogv lq rxu dqdo|vlv1
;
;
Qrwh wkdw wkh udwh ri lq dwlrq/ wkh prqh| vxsso| dqg wkh ohyho ri jryhuqphqw ghew fdq eh
glvfrqwlqxrxv1 Krzhyhu/ wkh h{fkdqjh udwh sdwk pxvw eh frqwlqxrxv1 Wr vhh zk|/ vxssrvh
wr wkh frqwudu| wkdw wkhuh zdv d glvfrqwlqxrxv lqfuhdvh lq wkh h{fkdqjh udwh dw wlph | 1
W
Vlqfh SSS lpsolhv wkdw | ' 7| / lq dwlrq zrxog eh lq qlw| dw | 1 Wklv zrxog lpso| wkdw wkh
W
qrplqdo lqwhuhvw udwh zrxog dovr eh lq qlw| dw | dqg wkdw prqh| ghpdqg zrxog idoo wr }hur1
W
Vlqfh wkh jryhuqphqw lv rqo| zloolqj wr ex| shufhqw ri wkh prqh| vxsso| wklv fdqqrw eh
dq htxloleulxp1 Zh xwlol}h wkh frqwlqxlw| ri 7| h{whqvlyho| lq wkh ghulydwlrqv ehorz1
Vroylqj iru wkh Wlph ri wkh Vshfxodwlyh Dwwdfn + | ,
W
Wkh nh| htxdwlrq lq ghwhuplqlqj wkh wlph ri wkh vshfxodwlyh dwwdfn lv wkh prqh| ghpdqg
ixqfwlrq/ +615, zklfk lpsolhv=44
]
*? | ' #o *?Ewt n
e Er | B5 *?Er _r1
+618,
# |
Vlqfh wkh h{fkdqjh udwh pxvw eh d frqwlqxrxv ixqfwlrq ri wlph/ SSS lpsolhv wkdw wkh sulfh
"
3
3
ohyho wrr pxvw eh frqwlqxrxv1 Zh qrz h{sorlw wklv frqwlqxlw| uhtxluhphqw wr vroyh iru | 1
W
E| gh qlwlrq/ wkh {hg h{fkdqjh udwh uhjlph hqgv dw wlph | 1 Wkh sulfh ohyho dq lqvwdqw
W
diwhu | lv jlyhq e|=
W
]
*? | ' #o *?Ewt n
*?Er e Er | B5 _r1
# |
Dq lqvwdqw ehiruh wkh ghydoxdwlrq prqh| ghpdqg lpsolhv wkdw=
+619,
*?
+61:,
"
3
W
3
W
W
*? ' *?Ewt
#o1
Frqwlqxlw| ri wkh sulfh ohyho dw | uhtxluhv wkdw *? | ' *? 1 Xvlqj htxdwlrqv +619, dqg
W
+61:,/ zh rewdlq=
W
]
*? '
*?Er e Er | B5 _r
+61;,
# |
Xvlqj +617, dqg wkh idfw wkdw wkh fxuuhqf| lv ghydoxhg zkhq wkh prqh| ghpdqg idoov e|
"
3
3
W
W
shufhqw/ zh rewdlq=
]
*? r e Er | B5 _r ' *?
# |
"
3
3
W
e Ee | B5 n E n ># e Ee | B5 1
3
3
W
3
3
W
+61<,
W
Vxevwlwxwlqj +61<, lqwr +61;, zh fdq vroyh iru wkh wlph ri wkh vshfxodwlyh dwwdfn=45
n n >#
| ' A # *?
1
W
44
+6143,
Vhh Vdujhqw dqg Zdoodfh +4<:6, iru d ghulydwlrq1
Lw fdq eh vkrzq wkdw li wkh ydoxh ri wÆ lpsolhg e| +6143, lv ohvv wkdq 3/ wkh dwwdfn kdsshqv lpphgldwho|/
l1h1 wÆ @ 31 Lq wklv fdvh wkh h{fkdqjh udwh lv glvfrqwlqxrxv dw wlph }hur1
45
<
Wklv irupxod lpsolhv wkdw wkh vshfxodwlyh dwwdfn rffxuv ehiruh dq| prqh| lv sulqwhg= |
W
A1
Vr/ rwkhu wklqjv htxdo/ | lv odujhu wkh orqjhu wkh jryhuqphqw ghod|v lpsohphqwlqj lwv
W
qhz prqhwdu| srolf| +wkh odujhu lv A , dqg wkh pruh zloolqj wkh jryhuqphqw lv wr dffxpxodwh
ghew +wkh kljkhu lv ,1 Lq dgglwlrq/ wkh kljkhu lv wkh lqwhuhvw udwh hodvwlflw| ri prqh| ghpdqg
+wkh odujhu lv #, dqg wkh pruh prqh| wkh jryhuqphqw sulqwv lq wkh ixwxuh +wkh kljkhu duh
dqg >,/ wkh vpdoohu lv | 46 Wkh lqwxlwlrq xqghuo|lqj wkhvh uhvxowv lv dv iroorzv1 Rqfh wkh
W
{hg h{fkdqjh udwh uhjlph lv dedqgrqhg/ lq dwlrq ulvhv lq dqwlflsdwlrq ri wkh lqfuhdvh lq
wkh prqh| vxsso| wkdw rffxuv iurp wlph A rq1 D kljkhu hodvwlflw| ri prqh| ghpdqg +#,
pdnhv lw hdvlhu iru wkh prqh| vxsso| wr idoo e| shufhqw1 Wklv phdqv wkdw wkh wkuhvkrog
uxoh lv dfwlydwhg vrrqhu/ wkxv uhgxflqj wkh ydoxh ri | 1 Kljkhu ydoxhv ri > dqg dovr uhgxfh
W
| ehfdxvh wkh| ohdg wr kljkhu udwhv ri lq dwlrq pdnlqj lw srvvleoh iru d gurs ri shufhqw lq
W
wkh prqh| vxsso| wr kdsshq vrrqhu1
Vroylqj iru wkh Htxloleulxp
Jlyhq {hg ydoxhv iru A dqg / wkh ydoxh ri > pxvw eh vxfk wkdw wkh jryhuqphqw*v
lqwhuwhpsrudo uhvrxufh frqvwudlqw/ +519,/ krogv1 Vlqfh zh lqlwldoo| devwudfw iurp qrqlqgh{hg
jryhuqphqw oldelolwlhv + ' f/ f| ' f,/ wklv frqvwudlqw vlpsol hv wr=
]
'
E6| n Z | 6| e o| _| n e o| {6| n e oe {6e 1
"
3
3
W
3
W
e
+6144,
Khuh zh kdyh xvhg wkh idfw wkdw qr vhljqrudjh lv froohfwhg ehwzhhq | dqg A ehfdxvh wkh
W
prqh| vxsso| lv frqvwdqw gxulqj wklv wlph lqwhuydo1 Zh dovr xvhg wkh idfw wkdw wkhuh duh wzr
mxpsv lq uhdo edodqfhv/ wkh uvw dw | c zklfk wuljjhuv wkh ghydoxdwlrq/ dqg wkh vhfrqg dw wlph
W
A / zkhq wkh jryhuqphqw hqjlqhhuv d glvfuhwh mxps lq wkh prqh| vxsso|1
Diwhu wlph A wkh udwh ri lq dwlrq lv frqvwdqw dqg htxdo wr wkh prqh| jurzwk udwh/ >1
Wklv lq wxuq lpsolhv wkdw uhdo edodqfhv duh dovr frqvwdqw dqg htxdo wr= wt i Td #Eo n > o1
Xvlqj wklv uhvxow zh fdq uhzulwh frqvwudlqw +6144, dv=
>
' e oe wt i Td #Eo n > o n e o| {6| n e oe {6e 1
o
3
3
W
W
3
+6145,
Vroylqj iru wkh htxloleulxp ri wkh prgho dprxqwv wr vroylqj +6143, dqg +6145, iru wkh wzr
xqnqrzqv +| c >,1
W
46
Vrph fdxwlrq lv uhtxluhg lq lqwhusuhwlqj wkhvh uhvxowv ehfdxvh zh duh qrw iuhh wr ydu| wkh sdudphwhuv rq
wkh uljkw0kdqg vlgh ri +6143, lqghshqghqwo| ri hdfk rwkhu1 Zkhq rqh sdudphwhu lv ydulhg ru pxvw eh
dgmxvwhg wr hqvxuh wkdw wkh jryhuqphqw uhvrxufh frqvwudlqw lv vdwlv hg1
43
D Qxphulfdo H{dpsoh
Wr glvfxvv wkh surshuwlhv ri wkh prgho lw lv xvhixo wr suhvhqw d qxphulfdo h{dpsoh1 Wkh
sdudphwhu ydoxhv wkdw zh xvh/ vxppdul}hg lq Wdeoh 4/ duh orrvho| edvhg rq Nruhdq gdwd1 Zh
qrupdol}hg uhdo lqfrph/ t / dqg wkh lqlwldo h{fkdqjh udwh/ 7/ wr 1 Zh vhw wkh vhpl0hodvwlflw|
ri prqh| ghpdqg zlwk uhvshfw wr wkh lqwhuhvw udwh/ #/ htxdo wr fD1 Wklv lv frqvlvwhqw zlwk
wkh udqjh ri hvwlpdwhv ri prqh| ghpdqg hodvwlflwlhv lq ghyhorslqj frxqwulhv surylghg e|
Hdvwhuo|/ Pdxur dqg Vfkplgw0Kheeho +4<;8,1 Zh vhw wkh frqvwdqw w ' ffS vr wkdw wkh
prgho lv frqvlvwhqw zlwk wkh udwlr ri wkh prqhwdu| edvh wr JGS lq Nruhd ehiruh wkh fulvlv
+S shufhqw,1 Zh vhw wkh uhdo lqwhuhvw udwh/ o/ wr 7 shufhqw1
Qh{w zh glvfxvv wkh lqlwldo ydoxh ri wkh ghew/ wkh vfdo frvw ri wkh fxuuhqf| fulvlv/ dqg
wkuhvkrog uxoh sdudphwhuv Kf c c dqg 1 Frqvlvwhqw zlwk wkh dvvxpswlrqv ri wkh edvlf prgho
zh devwudfw/ iru qrz/ iurp qrqlqgh{hg ghew dqg irfxv rq wkh uhdo frqvrolgdwhg iruhljq ghew
ri wkh Nruhdq jryhuqphqw dqg wkh fhqwudo edqn1 Wkh Nruhd Lqvwlwxwh iru Lqwhuqdwlrqdo
Hfrqrplf Srolf| hvwlpdwhg wkdw wkh iruhljq ghew ri wkh sxeolf vhfwru lq Mxqh 4<<: zdv htxdo
wr 2f wuloolrq zrq147 Dffruglqj wr wkh LPI*v Lqwhuqdwlrqdo Ilqdqfldo Vwdwlvwlfv/ wkh ydoxh ri
wkh fhqwudo edqn*v qhw iruhljq dvvhwv zdv dssur{lpdwho| 2Hf wuloolrq zrq1 Wklv vxjjhvwv wkdw
wkh qhw iruhljq dvvhwv ri wkh frqvrolgdwhg sxeolf vhfwru zdv htxdo wr urxjko| 2Sf wuloolrq zrq
ru S. shufhqw ri 4<<9 JGS1 Iru qrz zh ljqruh wkh jryhuqphqw*v grphvwlf ghew dqg vhw Kf
wr
ffS. +zh lqfrusrudwh grphvwlf ghew lqwr wkh dqdo|vlv lq vhfwlrq 7,1 Wkh sdudphwhu
zdv vhw wr f2e/ zklfk lv/ lq rxu ylhz/ d frqvhuydwlyh hvwlpdwh ri wkh vfdo frvw ri Nruhd*v
edqnlqj fulvlv uhodwlyh wr lwv JGS148 Wkh ydoxh ri zdv vhw wr f2 wr pdwfk wkh idoo lq wkh
prqhwdu| edvh ehwzhhq Ghfhpehu 4<<9 dqg Ghfhpehu 4<<:1 Zh dovr vhw wkh ydoxh ri wr
f2 wr pdwfk wkh udwlr ri wkh dyhudjh ydoxh ri wkh prqhwdu| edvh lq wkh vhfrqg kdoi ri 4<<<
yhuvxv wkh uvw kdoi ri 4<<:1 Zh vhw A ' 1 Ilqdoo|/ zh vroyhg iru wkh ydoxh ri > wkdw vdwlv hv
wkh jryhuqphqw*v lqwhuwhpsrudo exgjhw frqvwudlqw/ zklfk lv > ' fH1 Zh hpskdvl}h wkdw
wkhuh lv frqvlghudeoh xqfhuwdlqw| derxw wkh wuxh ydoxhv ri doo wkh diruhphqwlrqhg sdudphwhuv1
Exw lq sudfwlfh zh irxqg wkdw wkh txdolwdwlyh fkdudfwhulvwlfv ri wkh uhvxowv wkdw zh vwuhvv duh
urexvw wr uhdvrqdeoh shuwxuedwlrqv ri wkh ehqfkpdun sdudphwhul}dwlrq1
Wkh uvw urz ri Wdeoh 5 vxppdul}hv wkh lpsolfdwlrqv ri wkh ehqfkpdun prgho iru lq dwlrq
dqg wkh udwh ri ghydoxdwlrq1 Iljxuh 4 ghslfwv wkh sdwkv iru wkh h{fkdqjh udwh/ wkh sulfh ohyho/
47
48
Wkh gdwd duh sxeolvkhg rq wkh Zhe dw kwws=22nlhs1jr1nu1
Vhh Exuqvlgh/ Hlfkhqedxp dqg Uhehor +5333, iru d glvfxvvlrq1
44
dqg wkh prqh| vxsso| lq wkh ehqfkpdun prgho1 Vhyhudo ihdwxuhv duh zruwk qrwlqj1 Iluvw/
wkh dwwdfn kdsshqv diwhu djhqwv ohduq derxw survshfwlyh gh flwv +dw | ' f, exw ehiruh qhz
prqhwdu| srolf| lv lpsohphqwhg +dw A ' ,1 Dv lq Exuqvlgh/ Hlfkhqedxp dqg Uhehor
+5334,/ wkh prgho lv frqvlvwhqw zlwk wkh fxuuhqf| fulvlv qrw ehlqj suhglfwdeoh rq wkh edvlv
ri fodvvlfdo ixqgdphqwdov vxfk dv sdvw lq dwlrq/ gh flwv/ dqg prqh| jurzwk1 Dq revhuyhu
ri wklv hfrqrp| pljkw eh whpswhg wr dwwulexwh wkh fulvlv wr vhoi0ixo oolqj h{shfwdwlrqv1 Lq
idfw wkh froodsvh zdv fdxvhg e| ixqgdphqwdovwkh qhhg wr qdqfh survshfwlyh gh flwv zlwk
vhljqrudjh uhyhqxhv1 Vhfrqg/ dv lq doo uvw jhqhudwlrq prghov/ wkhuh lv d glvfuhwh gurs lq qhw
iruhljq dvvhwv dw wkh wlph ri wkh dwwdfn1 Wklug/ wkh prgho uhsurgxfhv wkh idfw wkdw lq dwlrq
lqlwldoo| vxujhv lq wkh zdnh ri wkh h{fkdqjh udwh froodsvh dqg wkhq vwdelol}hv dw d orzhu ohyho1
Zh frqfoxgh wklv vhfwlrq e| glvfxvvlqj vrph reylrxv vkruwfrplqjv ri wkh prgho1 Iluvw/
wkh wlplqj ri wkh ghydoxdwlrq lv ghwhuplqlvwlfhyhu|erg| nqrzv wkh suhflvh wlph dw zklfk wkh
{hg h{fkdqjh udwh uhjlph zloo froodsvh1 Wklv vkruwfrplqj fdq eh uhphglhg e| lqwurgxflqj
vrph hohphqw ri xqfhuwdlqw| lqwr wkh prgho/ vxfk dv prqh| ghpdqg vkrfnv149 Vhfrqg/ wkh
prgho suhglfwv frxqwhuidfwxdoo| odujh udwhv ri lq dwlrq diwhu d fulvlv1 Lq rxu h{dpsoh lq dwlrq
lv 68 shufhqw lq wkh |hdu ri wkh fulvlv dqg 53 shufhqw lq vwhdg| vwdwh1 Wklv lv lqfrqvlvwhqw
zlwk wkh srvw0fulvlv lq dwlrq h{shulhqfh ri frxqwulhv olnh Ph{lfr dqg Nruhd +vhh vhfwlrq 8,1
Ilqdoo|/ wkh prgho lpsolhv wkdw wkh udwh ri lq dwlrq frlqflghv zlwk wkh udwh ri h{fkdqjh udwh
ghsuhfldwlrq1 Wklv wrr lv lqfrqvlvwhqw zlwk wkh hylghqfh1 Diwhu d vshfxodwlyh dwwdfn/ udwhv ri
ghydoxdwlrq duh w|slfdoo| pxfk odujhu wkdq wkh fruuhvsrqglqj udwhv ri lq dwlrq1
71 Prgho H{whqvlrqv
Wklv vhfwlrq lqfrusrudwhv wzr h{whqvlrqv ri rxu iudphzrun ghvljqhg wr dgguhvv wkh vhfrqg
dqg wklug vkruwfrplqjv ri wkh ehqfkpdun prgho1 Iluvw/ zh lqwurgxfh qrqlqgh{hg jryhuqphqw
oldelolwlhv1 Vhfrqg/ zh holplqdwh wkh dvvxpswlrq ri SSS1 Zlwk wkhvh prgl fdwlrqv wkh prgho
fdq dffrxqw iru wzr nh| ihdwxuhv ri wkh gdwd= +l, wkh udwh ri ghydoxdwlrq lq d fxuuhqf| fulvlv lv
w|slfdoo| pxfk odujhu wkdq FSL lq dwlrq> dqg +ll, wkh udwh ri lq dwlrq fdq eh txlwh prghudwh
lq wkh zdnh ri d fxuuhqf| fulvlv1
49
Vhh Iorrg dqg Jduehu +4<;7, dqg Gud}hq dqg Khospdq +4<;;, iru d glvfxvvlrq ri vshfxodwlyh dwwdfn
prghov zlwk xqfhuwdlqw|1
45
7141 QrqLqgh{hg Jryhuqphqw Oldelolwlhv
Zh frqvlghu wzr w|shv ri qrqlqgh{hg jryhuqphqw oldelolwlhv= +l, grphvwlf erqgv E lvvxhg
ehiruh djhqwv ohduqhg derxw survshfwlyh gh flwv> dqg +ll, sxeolf vshqglqj zkrvh ydoxh lv
suhvhw lq xqlwv ri grphvwlf fxuuhqf| Ef| 1 Lq wkh suhvhqfh ri wkhvh oldelolwlhv wkh jryhuqphqw
exgjhw frqvwudlqw/ +6145,/ lv uhsodfhg e|=
>
' e oe wt i Td #Eo n > o n e o| {6| n e oe {6e
+714,
]
o ]
o o|
f| f|
e o| _| 1
e _|
n
7
7|
7
7|
f
f
U
Eo*7| e o| _| lv wkh uhyhqxh rewdlqhg iurp gh dwlqj qrq0
Uhfdoo wkdw wkh whup *7
f
U
lqgh{hg ghew1 Wkh whup f Ef| *7 f| *7| e o| _| lv wkh ydoxh ri wkh lpsolflw vfdo uhirup
3
3
"
W
W
"
3
"
"
3
3
3
3
dffrpsolvkhg e| gh dwlqj wkh qrqlqgh{hg frpsrqhqwv ri wkh vfdo vxusoxv1
Dv lq wkh edvlf prgho/ | lv jlyhq e| +6143, vr wkh htxloleulxp ydoxhv ri | dqg > fdq eh
W
W
frpsxwhg xvlqj htxdwlrqv +6143, dqg +714,1 Ilqdoo|/ htxdwlrq +618, doorzv xv wr frpsxwh wkh
htxloleulxp sdwk iru wkh sulfh ohyho dqg wkh h{fkdqjh udwh1
QrqLqgh{hg Ghew
Wr vhh wkh lpsdfw ri qrqlqgh{hg ghew rq wkh prgho*v lpsolfdwlrqv iru lq dwlrq dqg
ghydoxdwlrq udwhv zh qrz wxuq wr d qxphulfdo h{dpsoh1 Zh dvvxph wkdw qrqlqgh{hg ghew
lv htxdo wr D shufhqw ri JGS + ' ffD,1 Dv zlwk rxu rwkhu sdudphwhu ydoxhv/ wklv qxpehu
lv orrvho| prwlydwhg e| wkh Nruhdq h{shulhqfh1 Uhfdoo wkdw qrplqdo ghew lq wkh prgho lv d
shushwxlw|/ vr lwv gxudwlrq lv gl huhqw iurp wkdw ri Nruhd*v ghew1 Iru wklv uhdvrq lw lv qrw
dssursuldwh wr xvh wkh phdvxuhg vwrfn ri qrqlqgh{hg ghew rq wkh hyh ri wkh fulvlv wr fdoleudwh
1 Zh fkrvh vr wkdw wkh dprxqw ri uhyhqxh iurp ghew gh dwlrq lv urxjko| frqvlvwhqw zlwk
wkh hylghqfh iurp Nruhd suhvhqwhg lq vhfwlrq 81
Wdeoh 5 vkrzv wkdw lqwurgxflqj qrqlqgh{hg ghew orzhuv wkh jurzwk udwh ri prqh| > wkdw
lv qhfhvvdu| wr sd| iru 1 Dv d uhvxow/ vwhdg| vwdwh lq dwlrq ghfolqhv iurp 2ff shufhqw lq
wkh edvh prgho wr S shufhqw1 Reylrxvo| zlwk pruh lqlwldo qrqlqgh{hg ghew/ wkh fulvlv
frxog eh qdqfhg zlwk ohvv uhfrxuvh wr lq dwlrq1 Iru h{dpsoh li htxdohg fD/ wkh udwh
ri lq dwlrq zrxog eh 4818 shufhqw lq wkh uvw |hdu diwhu wkh fxuuhqf| fulvlv dqg 514 shufhqw
wkhuhdiwhu1 Wkh jryhuqphqw zrxog rqo| udlvh 4719 shufhqw ri wkh vfdo frvw ri wkh fulvlv iurp
vhljqrudjh uhyhqxhv1 Wkh edodqfh zrxog frph iurp ghew gh dwlrq1 Vr/ lq sulqflsoh/ doorzlqj
46
iru qrqlqgh{hg ghew fdq uhfrqfloh rxu edvlf prgho zlwk wkh revhuydwlrq wkdw lq dwlrq lv riwhq
txlwh prghudwh diwhu d fxuuhqf| fulvlv1 Exw iru wkh frxqwulhv lqyroyhg lq wkh Dvldq fulvlv ri
4<<: dqg Ph{lfr wkhuh zdv qrw hqrxjk qrqlqgh{hg ghew iru wklv wr eh d frpsohwh uhvroxwlrq
ri wkh sureohp1
Lpsolflw Ilvfdo Uhirup
Zh qrz doorz iru dq lpsolflw vfdo uhirup dv d vrxufh ri uhyhqxh iru wkh jryhuqphqw1
Vshfl fdoo| zh dvvxph wkdw C ' ff2/ l1h1 qrqlqgh{hg jryhuqphqw vshqglqj lv derxw 5
shufhqw ri JGS1 Lq dgglwlrq zh dvvxph wkdw C lv {hg lq qrplqdo whupv iru urxjko| 518
|hduv diwhu wkh fulvlv dqg wkhq vwduwv jurzlqj dw wkh udwh ri lq dwlrq1 Vr lq wklv h{dpsoh
wkh lpsolflw vfdo uhirup dprxqwv wr d shupdqhqw uhgxfwlrq lq wkh uhdo ydoxh ri jryhuqphqw
vshqglqj uhodwlyh wr JGS1 Lq rxu fdvh vwxg| ri Nruhd zh h{dplqh wkh vhqvlwlylw| ri rxu
uhvxowv wr dowhuqdwlyh pl{hv ri lpsolflw dqg h{solflw vfdo uhirupv1
Wdeoh 5 pdnhv fohdu wkdw doorzlqj iru dq lpsolflw vfdo uhirup kdv d vljql fdqw lpsdfw
rq wkh prgho*v suhglfwlrqv1 Uhodwlyh wr wkh vfhqdulr zkhuh wkh rqo| qrqlqgh{hg oldelolw| lv
qrplqdo ghew/ |hdu 4 lq dwlrq idoov iurp 631< shufhqw wr 5315 shufhqw1 Orqj uxq lq dwlrq idoov
iurp 4914 shufhqw wr 914 shufhqw1 Wkh shufhqwdjh ri wrwdo vfdo frvwv udlvhg e| vhljqrudjh
idoov iurp ;617 shufhqw wr 681< shufhqw/ zkloh wkh lpsruwdqfh ri ghew gh dwlrq idoov iurp 4919
shufhqw wr 4614 shufhqw1 Hyhq wkrxjk qrqlqgh{hg jryhuqphqw vshqglqj uhsuhvhqwv rqo| 5
shufhqw ri JGS/ wkh lpsolflw vfdo uhirup sd|v iru ryhu 83 shufhqw ri wkh frvw ri wkh fulvlv14:
Doorzlqj iru ghew gh dwlrq dqg lpsolflw vfdo uhirup fdq uhqghu rxu prgho frqvlvwhqw zlwk
wkh revhuydwlrq wkdw lq dwlrq udwhv duh riwhq prghudwh diwhu d fxuuhqf| fulvlv1 Krzhyhu/ wkhvh
h{whqvlrqv fdqqrw h{sodlq wkh rwkhu vkruwfrplqj ri wkh ehqfkpdun prgho= dfwxdo lq dwlrq
lv riwhq pxfk orzhu wkdq wkh udwh ri ghydoxdwlrq dvvrfldwhg zlwk d fxuuhqf| fulvlv1 Zh wxuq
wr wklv fkdoohqjh qh{w1
7151 Ghyldwlrqv iurp Sxufkdvlqj Srzhu Sdulw|
Xs wr wklv srlqw/ doo ri wkh prghov wkdw zh kdyh frqvlghuhg dvvxph wkdw SSS krogv1 Vr
e| frqvwuxfwlrq wkh udwh ri lq dwlrq frlqflghv zlwk wkh udwh ri ghydoxdwlrq1 Wr euhdn wkh
olqn ehwzhhq grphvwlf lq dwlrq dqg h{fkdqjh udwh ghsuhfldwlrq zh lqwurgxfh wzr ghsduwxuhv
4:
Wr dvvhvv wkh urexvwqhvv ri rxu uhvxowv zh uh0glg rxu fdofxodwlrqv dvvxplqj wkdw J lv {hg lq qrplqdo
whupv iru rqo| 8 prqwkv1 Lq wklv fdvh wkh lpsolflw vfdo uhirup udlvhv 66 shufhqw ri wkh wrwdo vfdo frvw ri
wkh fulvlv1 Lq wklv h{shulphqw wkh ydoxh ri wÆ lv 318:1 Wkh udwh ri lq dwlrq lv 561: shufhqw lq wkh uvw |hdu
dqg <15 shufhqw lq wkh iroorzlqj |hduv1
47
iurp SSS lqwr wkh prgho ghvfulehg lq vhfwlrq 714= +l, qrqwudgdeoh jrrgv> dqg +ll, frvwv ri
glvwulexwlqj wudgdeoh jrrgv +h1j1 wudqvsruwdwlrq/ zkrohvdolqj dqg uhwdlolqj,1
Qrqwudgdeoh Jrrgv
Lq wkh suhvhqfh ri qrqwudgdeoh jrrgv wkh frqvxphu sulfh lqgh{ +FSL,/ | lv jlyhq e|=
| ' E|e G E|Çe G 1
+715,
3
Khuh |Çe ghqrwhv wkh sulfh ri qrqwudgdeoh jrrgv dqg |e wkh sulfh ri wudgdeoh jrrgv1 E|
dvvxpswlrq SSS krogv iru wudgdeoh jrrgv/ vr |e ' 7| iru doo |1 Devhqw dq h{solflw prgho ri
wkh qrqwudgdeoh jrrgv vhfwru zh dvvxph wkdw |Çe uhpdlqv {hg iru wkh uvw 8 prqwkv diwhu
wkh fxuuhqf| fulvlv1 Wkhuhdiwhu |Çe pryhv rqh wr rqh zlwk wkh h{fkdqjh udwh1 Frqvhtxhqwo|
d fxuuhqf| fulvlv lv dvvrfldwhg zlwk d shupdqhqw ghfolqh lq wkh uhodwlyh sulfh ri qrqwudgdeoh
jrrgv1 Wklv dvvxpswlrq lv prwlydwhg e| wkh Nruhdq h{shulhqfh1 Wkh sulfh ri qrqwudgdeohv lq
Nruhd lqfuhdvhg e| rqo| eH shufhqw ehwzhhq Rfwrehu 4<<: dqg Dsulo 4<<; zkloh lw lqfuhdvhg
rqo| e| DS shufhqw ehwzhhq Rfwrehu 4<<: dqg Rfwrehu 4<<;1 Ilqdoo|/ zh vhw / ' fD zklfk
fruuhvsrqgv wr wkh vkduh ri wudgdeohv lq Nruhd*v FSL14;
Vlqfh zh gh qhg 6| dv | *7| / htxdwlrq +714, uhpdlqv xqfkdqjhg1 Htxdwlrq +618, gh0
vfulehv wkh hyroxwlrq ri wkh FSL1 Htxdwlrqv +618, dqg +715,/ wrjhwkhu zlwk wkh sdwk iru |Çe c
ghwhuplqh wkh ehkdylru ri wkh h{fkdqjh udwh1 Wkh htxloleulxp ydoxhv ri | dqg > fdq eh
W
frpsxwhg xvlqj htxdwlrqv +6143, dqg +714,1
Wdeoh 5 lqglfdwhv wkdw wkhvh prgl fdwlrqv ri wkh prgho kdyh wzr h hfwv1 Iluvw/ wkhuh lv
d uhodwlyho| vpdoo ghfolqh lq wkh dprxqw ri lq dwlrq lqgxfhg e| d fxuuhqf| fulvlv1 Lq dwlrq
lv 4:1: shufhqw lq wkh uvw |hdu diwhu wkh fulvlv/ zkloh vwhdg| vwdwh lq dwlrq lv 713 shufhqw1
Vhfrqg/ dqg pruh lpsruwdqwo|/ wkh prgho qrz jhqhudwhv d odujh zhgjh ehwzhhq wkh lqlwldo
udwh ri lq dwlrq dqg wkh udwh ri ghsuhfldwlrq1 Vshfl fdoo|/ wkh fxuuhqf| fulvlv lv qrz dvvrfldwhg
zlwk d 6817 shufhqw udwh ri ghsuhfldwlrq lq wkh uvw |hdu1
Glvwulexwlrq Frvwv
Wr lqgxfh dq hyhq odujhu zhgjh ehwzhhq lq dwlrq dqg ghsuhfldwlrq zh qrz doorz iru
glvwulexwlrq frvwv lq wudgdeoh jrrgv1 Surfhhglqj dv lq Exuvwhlq/ Qhyhv dqg Uhehor +5333,
4;
Wklv lqirupdwlrq zdv rewdlqhg iurp wkh Dqqxdo Uhsruw rq wkh Frqvxphu Sulfh Lqgh{/ Qdwlrqdo Vwdwlvwlfdo
R!fh Uhsxeolf ri Nruhd/ 4<<;1 Irrg/ Ixho/ Oljkw dqg zdwhu/ Ixuqlwxuh dqg Xwhqvlov/ Forwklqj dqg irrwzhdu/
Fljduhwwhv dqg Wrlohw duwlfohv zhuh fodvvl hg dv wudgdeoh jrrgv1 Phglfdo fduh/ Hgxfdwlrq/ Fxowxuh dqg
Uhfuhdwlrq/ Wudqvsruwdwlrq dqg Frppxqlfdwlrq/ dqg Shuvrqdo Fduh vhuylfhv zhuh fodvvl hg dv qrqwudgdeohv1
48
zh dvvxph wkdw B xqlwv ri qrqwudgdeohv +wudqvsruwdwlrq/ zkrohvdoh dqg uhwdlo, duh uhtxluhg
wr glvwulexwh wudgdeoh jrrgv1 Dv lq wkhlu sdshu zh dvvxph wkdw SSS krogv iru wkh lpsruw
sulfhv exw qrw iru wkh uhwdlo sulfhv ri wudgdeoh jrrgv1 Wkh odwwhu duh jlyhq e|= |e n B|Çe
vr wkdw wkh FSL lv=
| ' E7| n B|Çe G E|Çe G 1
3
Wkh odvw olqh ri Wdeoh 5 glvsod|v uhvxowv iru wklv yhuvlrq ri wkh prgho xqghu wkh dvvxpswlrq
wkdw B ' 14< Iljxuh 5 ghslfwv wkh sdwkv iru wkh h{fkdqjh udwh/ wkh sulfh ohyho/ dqg wkh prqh|
vxsso|1 Qrwlfh wkh vwdun gl huhqfh ehwzhhq wklv prgho dqg wkh ehqfkpdun prgho glvfxvvhg
lq vhfwlrq 61 Lq wkh ehqfkpdun prgho lq dwlrq lq wkh uvw |hdu diwhu wkh fulvlv lv htxdo wr
eb shufhqw dqg ghfolqhv wr 2f shufhqw lq vwhdg| vwdwh1 Lq dgglwlrq wkh udwh ri ghydoxdwlrq
frlqflghv zlwk wkh udwh ri lq dwlrq1 Lq frqwudvw/ wkh prgl hg prgho lpsolhv uvw |hdu lq dwlrq
urxjko| htxdo wr e shufhqw zkloh wkh fxuuhqf| ghydoxhv e| ryhu 83 shufhqw1 Pruhryhu/ vwhdg|
vwdwh lq dwlrq lv rqo| shufhqw1 Fohduo| wklv yhuvlrq ri wkh prgho fdq dffrxqw iru odujh
ghydoxdwlrqv zlwkrxw jhqhudwlqj jurvvo| frxqwhuidfwxdo lpsolfdwlrqv iru lq dwlrq1
81 Wzr Fdvh Vwxglhv
Zh qrz h{dplqh lq vrph ghwdlo wzr uhfhqw fulvhv/ Ph{lfr 4<<7 dqg Nruhd 4<<:/ dqg glvfxvv
krz wkh jryhuqphqwv lq wkhvh frxqwulhv duh sd|lqj iru wkh vfdo frvwv dvvrfldwhg zlwk wkh
fulvhv1 Rxu fdofxodwlrqv vxjjhvw wkdw Ph{lfr zloo qdqfh prvw ri wkh vfdo frvwv dvvrfldwhg
zlwk lwv fulvlv wkurxjk vhljqrudjh uhyhqxhv1 Lq frqwudvw rxu ehvw jxhvv lv wkdw Nruhd zloo sd|
iru wkh exon ri wkh vfdo frvw ri lwv fulvlv wkurxjk ixwxuh h{solflw dqg lpsolflw vfdo uhirupv1
8141 Wkh Jryhuqphqw Exgjhw Frqvwudlqw Uhylvlwhg
Xs wr qrz zh kdyh devwudfwhg iurp rxwsxw jurzwk dqg iruhljq lq dwlrq1 Wr lqwhusuhw wkh
gdwd zh pxvw dphqg wkh jryhuqphqw exgjhw frqvwudlqw +519, wr lqfrusrudwh wkhvh hohphqwv1
Wr wklv hqg vxssrvh wkdw grphvwlf rxwsxw dqg wkh XV sulfh ohyho jurz dw frqvwdqw udwhv l
dqg Z / uhvshfwlyho|1 Zh qrupdol}h wkh XV sulfh ohyho dw | ' f wr rqh1 Frqvhtxhqwo| |
W
hyroyhv dffruglqj wr=
W
| ' e | 1
W
W
Wkh suhvhqfh ri rxwsxw jurzwk dqg iruhljq lq dwlrq lpsolhv wkdw/ lq d vxvwdlqdeoh {hg
h{fkdqjh udwh uhjlph/ uhdo edodqfhv jurz dw udwh l dqg grphvwlf lq dwlrq/ Z/ lv htxdo wr Z 1
W
4<
Wklv ydoxh ri lv frqvlvwhqw zlwk wkh hylghqfh suhvhqwhg lq Exuvwhlq/ Qhyhv dqg Uhehor +5333,1
49
Lw dovr lpsolhv wkdw wkh jryhuqphqw fdq froohfw vhljqrudjh xqghu d {hg h{fkdqjh udwh uhjlph1
Wr vhh wklv lw lv frqyhqlhqw wr irfxv rq wkh ehqfkpdun prgho1 Jlyhq SSS wkh ghpdqg iru
uhdo edodqfhv lv jlyhq e|=
|
f l|
'
e c
|
f
f
' wtf i Td #Eo n Z o1
f
W
Khuh f *f dqg tf ghqrwhv uhdo edodqfhv dqg rxwsxw dw wlph }hur/ uhvshfwlyho|1
Iru 7 wr uhpdlq frqvwdqw/ wkh prqh| vxsso| pxvw jurz dw udwh > ' l n Z 1 Xqghu wkhvh
7
W
flufxpvwdqfhv wkh groodu ydoxh ri vhljqrudjh rzv dw wlph | lv=
f El n |
|
' El n Z
e
1
7|
f
W
W
Wkh suhvhqw ydoxh lq grooduv dw wlph }hur ri vhljqrudjh uhyhqxhv froohfwhg xqghu d vxvwdlqdeoh
{hg h{fkdqjh udwh uhjlph lv jlyhq e|=
]
| Eon |
f
1
e
_| ' El n Z
7|
f o l
f
"
W
3
W
Ilqdoo|/ wkh qhz yhuvlrq ri wkh jryhuqphqw exgjhw frqvwudlqw +519, lv=
]
[ {
| Eon |
f
'
e
_| n
e Eon El n Z
7|
f o l
f
7
]
]
Eo n Z Eon |
f| f|
Eo n |
n
e
e
_|
_| 1
7
7|
7
7|
f
f
"
W
3
W
3
W
+814,
M
"
W
3
"
W
3
W
Wkh nh| lpsolfdwlrq ri +814, lv wkdw qrw doo ri wkh vhljqrudjh froohfwhg lq wkh srvw0fulvlv
U
S
shulrg + f E| *7| e Eon | _| n
E{ *7 e Eon , frqwulexwhv wr qdqflqj wkh fulvlv1
"
3
W
3
W
M
Sduw ri wkrvh uhyhqxhv +El n Z ff *Eo
'
W
l , zrxog kdyh ehhq froohfwhg xqghu wkh {hg
h{fkdqjh udwh uhjlph1 Wkhvh uhyhqxhv zhuh uhtxluhg wr ixo oo wkh jryhuqphqw*v suh0fulvlv
exgjhw frqvwudlqw1 Rqo| wkh gl huhqfh ehwzhhq wkh vhljqrudjh froohfwhg lq wkh suhvhqfh ri
wkh fulvlv dqg wkh k|srwkhwlfdo vhljqrudjh wkdw zrxog kdyh ehhq froohfwhg lq wkh devhqfh ri
wkh fulvlv fdq eh xvhg wr qdqfh wkh qhz vshqglqj/ 1 Lqhylwdeo|/ vrph dvvxpswlrqv duh
uhtxluhg wr frpsxwh wklv k|srwkhwlfdo vhljqrudjh1
8151 Ph{lfr/ 4<<7
Iljxuh 6 glvsod|v irxu txduwhuo| vhulhv iru wkh shulrg 4<<6 wr 5333= wkh shvr2groodu h{fkdqjh
udwh/ wkh FSL/ dqg wkh h{sruw dqg lpsruw sulfh gh dwruv1 Ehwzhhq Ghfhpehu 53wk dqg
4:
Ghfhpehu 64vw 4<<7 wkh shvr2groodu h{fkdqjh udwh lqfuhdvhg e| 77 shufhqw1 E| Mdqxdu|
5qg/ 4<<9 wkh fxpxodwlyh lqfuhdvh lq wkh shvr2groodu h{fkdqjh udwh uhdfkhg 454 shufhqw1
Zkloh wkh h{sruw dqg lpsruw sulfh lqglfhv pryhg forvho| zlwk wkh h{fkdqjh udwh/ wkh udwh ri
FSL lq dwlrq zdv pxfk orzhu wkdq wkh udwh ri ghsuhfldwlrq1
Wkh fxuuhqf| fulvlv h{dfhuedwhg dq rqjrlqj edqnlqj fulvlv153 Wkh qhw uhvxow zdv d odujh
ulvh lq wkh Ph{lfdq jryhuqphqw*v survshfwlyh gh flwv dvvrfldwhg zlwk dq lpshqglqj edqn
edlorxw1 Olqgjuhq hw1 do1 +4<<9, hvwlpdwh wkh vfdo frvw ri wkh fulvlv wr eh 918 shufhqw ri
JGS/ zklfk dprxqwv wr 5: eloolrq grooduv1 Rq wkh rwkhu kdqg/ Fdsulr dqg Nolqjhelho +4<<9,
hvwlpdwh wkh frvw wr eh ehwzhhq 45 dqg 48 shufhqw ri JGS/ zlwk wkh xsshu erxqg wudqvodwlqj
lqwr 96 eloolrq grooduv1 Pruh uhfhqwo| Fdsulr dqg Nolqjhelho kdyh uhylvhg wkhlu hvwlpdwh wr
53 shufhqw ri JGS1 Wklv fruuhvsrqgv wr ;716 eloolrq grooduv154
Lq zkdw iroorzv zh surylgh d urxjk hvwlpdwh ri zkdw wkh Ph{lfdq jryhuqphqw kdv grqh
wr gdwh wr qdqfh lwv vfdo frvwv1 Lq dgglwlrq zh glvfxvv zkdw wkh ixwxuh jurzwk udwh ri
prqh| zrxog kdyh wr eh wr qdqfh wkh uhpdlqghu ri wkh frvwv1
Vhljqrudjh Uhyhqxhv
Zh ehjlq e| glvfxvvlqj wkh vhljqrudjh uhyhqxhv udlvhg e| wkh Ph{lfdq jryhuqphqw lq
wkh srvw0fulvlv shulrg1 Xvlqj prqwko| gdwd rq wkh prqhwdu| edvh zh frpsxwhg wkh suhvhqw
ydoxh ri wkh vhljqrudjh froohfwhg ehwzhhq Qryhpehu 4<<7 dqg Ghfhpehu 5333155 Wkh rzv ri
vhljqrudjh zhuh glvfrxqwhg zlwk d groodu lqwhuhvw udwh - ' ffSD156 Xqghu rxu dvvxpswlrqv
W
wkh suhvhqw ydoxh lq 4<<7 ri wkh vhljqrudjh uhyhqxh froohfwhg ehwzhhq Qryhpehu 4<<7 dqg
Ghfhpehu 5333 zdv 5315 eloolrq grooduv1
Wr fdofxodwh wkh sduw ri wklv vhljqrudjh wkdw fdq eh xvhg wr fryhu wkh vfdo frvwv ri wkh
fulvlv/ zh pxvw frpsxwh wkh k|srwkhwlfdo vhljqrudjh wkdw Ph{lfr zrxog kdyh froohfwhg gxulqj
wklv shulrg kdg wkh fulvlv qrw rffxuuhg1 Zh frpsxwh wkh suhvhqw ydoxh lq 4<<7/ phdvxuhg
53
Gl!fxowlhv dvvrfldwhg zlwk uroolqj ryhu vkruw0uxq groodu ghqrplqdwhg ghew qr grxew sod|hg vrph uroh
lq wkh h{dfw wlplqj ri wkh fulvlv1 Khuh zh duh pruh frqfhuqhg zlwk xqghuvwdqglqj krz wkh vfdo frvwv ri
wkh fulvlv zhuh qdqfhg1 Vhh Nuxhjhu dqg Wruqhoo +4<<<,/ dqg Vdfkv/ Wruqhoo dqg Yhodvfr +4<<9, iru ghwdlohg
glvfxvvlrqv ri wkh Ph{lfr 4<<7 fulvlv1
54
Zh xvh 4<<7 JGS wr frpsxwh wkh groodu dprxqwv1
55
Zh xvhg wkh LPI*v Lqwhuqdwlrqdo Ilqdqfldo Vwdwlvwlfv gdwdedvh1 Wkh vhulhv zh xvhg iru wkh prqhwdu| edvh
lv 47111]I/ Uhvhuyh Prqh|1 Wklv gl huv voljkwo| iurp wkh Edqfr gh Ph{lfr*v vhulhv iru gh qlwlrqdo uhdvrqv1
56
Wkh dyhudjh groodu uhwxuq rq 5;0gd| Ph{lfdq wuhdvxu| shvr0ghqrplqdwhg vhfxulwlhv zdv 918 shufhqw iurp
Ghfhpehu 4<<7 wr Ghfhpehu 53331 Wklv udwh ri uhwxuq lv vlplodu wr XV udwhv ri lqwhuhvw1 Wkh dyhudjh 40|hdu
XV Wuhdvxu| eloo |lhog iurp Ghfhpehu 4<<7 wr Mdqxdu| 5333 zdv urxjko| 818 shufhqw1 Vr zdv wkh 63 |hdu }hur
frxsrq |lhog hvwlpdwhg e| M1 Kxvwrq PfFxoorfk iru Iheuxdu| 5334 dqg uhsruwhg lq kwws=22zzz1hfrq1rklr0
vwdwh1hgx2mkp2wv2wv1kwpo1
4;
lq grooduv/ ri wklv k|srwkhwlfdo vhljqrudjh rz e| pdnlqj wzr dvvxpswlrqv1 Iluvw/ lq wkh
devhqfh ri wkh fulvlv/ wkh jurzwk udwh ri prqh| iurp 4<<7 rq zrxog kdyh ehhq frqvwdqw dqg
htxdo wr wkh dyhudjh |hdu0rq0|hdu jurzwk udwh ri wkh prqhwdu| edvh lq wkh shulrg Mdqxdu|
4<;< wr Qryhpehu 4<<71 Wklv htxdov 4; shufhqw shu dqqxp157 Vhfrqg wkh ghpdqg iru uhdo
edodqfhv phdvxuhg lq grooduv/ | *7| / zrxog kdyh jurzq dw wkh dyhudjh jurzwk udwh ri rxwsxw
iurp 4<;3 wr 5333 +urxjko| l ' ff2.,1 Wklv lpsolhv wkdw wkh suhvhqw ydoxh ri k|srwkhwlfdo
vhljqrudjh wkdw zrxog kdyh ehhq froohfwhg ehwzhhq Qryhpehu 4<<7 +wlph 3, dqg Ghfhpehu
5333 lv 461< eloolrq grooduv158 Vr wkh qhw lqfuhdvh lq vhljqrudjh uhyhqxhv froohfwhg xs wr
Ghfhpehu 5333 wkdw fdq eh xvhg wr qdqfh wkh vfdo frvw ri wkh fulvlv lv 916 eloolrq grooduv1
Ghew Ghydoxdwlrq
Dw wkh hqg ri Vhswhpehu 4<<7 wkh jryhuqphqw rzhg 46;1: eloolrq shvrv zruwk ri vhfxulwl}hg
ghew dqg 4314 eloolrq shvrv ri qrq0vhfxulwl}hg ghew1 Vlqfh zh kdyh qr lqirupdwlrq rq wkh
lqgh{dwlrq surylvlrqv ri qrq0vhfxulwl}hg ghew zh dgrswhg wkh frqvhuydwlyh dvvxpswlrq wkdw
doo ri lw zdv lqgh{hg1 Wkh vhfxulwl}hg ghew fdq eh eurnhq grzq lqwr wkh iroorzlqj fdwhjrulhv1
Fhwhv/ zklfk duh }hur0frxsrq Ph{lfdq Wuhdvxu| Eloov/ uhsuhvhqwhg 67 shufhqw ri vhfxulwl}hg
ghew1 Whvrerqrv/ zklfk duh groodu0ghqrplqdwhg }hur0frxsrq erqgv/ uhsuhvhqwhg 66 shufhqw1
Dmxvwderqrv/ zklfk duh lq dwlrq0lqgh{hg frxsrq erqgv/ uhsuhvhqwhg 54 shufhqw1 Erqghv/
zklfk duh dgmxvwdeoh frxsrq erqgv/ uhsuhvhqw 45 shufhqw1 Wr vlpsoli| zh wuhdwhg erwk
Erqghv dqg Whvrerqrv dv li wkh| zhuh shuihfwo| lqgh{hg wr wkh groodu1 Wr frpsxwh wkh
uhyhqxh lq grooduv jhqhudwhg e| wkh ghew gh dwlrq zh frqvlghuhg rqo| Fhwhv/ zklfk duh qrw
lqgh{hg/ dqg Dmxvwderqrv/ zklfk duh lqgh{hg wr wkh FSL/ qrw wr wkh groodu1
Zh frqvrolgdwhg wkh vhfxulwl}hg ghew ri wkh jryhuqphqw dqg wkh fhqwudo edqn1 Zh rqo|
kdyh lqirupdwlrq rq wkh frpsrvlwlrq ri vhfxulwlhv khog e| wkh fhqwudo edqn iru wkh hqg ri
4<<71 Dw wklv wlph wkh Edqfr gh Ph{lfr khog 518 eloolrq shvrv ri Fhwhv dqg khog d qhjdwlyh
srvlwlrq ri 318 eloolrq shvrv lq Dmxvwderqrv1
Wr frpsxwh wkh uhgxfwlrq lq wkh groodu ydoxh ri wkh rxwvwdqglqj Fhwhv lq wkh diwhupdwk ri
wkh fulvlv zh dvvxphg wkdw wkh wkhvh erqgv zhuh glvwulexwhg htxdoo| dfurvv 7 pdwxulwlhv= 4/ 6/
9 dqg 45 prqwkv1 Zlwklq hdfk pdwxulw| zh dvvxphg wkdw wkh erqgv zhuh glvwulexwhg htxdoo|
57
Wklv fruuhvsrqgv wr d frqwlqxrxvo| frpsrxqghg udwh @ 3=4991
Æ
Wklv zdv frpsxwhg xvlqj wkh irupxod +P3 @V3 ,^4 hÃ+U Ã ,k `@+UÆ ,/ zkhuh P3 dqg V3 duh wkh Qry1
4<<7 ydoxhv ri wkh prqhwdu| edvh dqg h{fkdqjh udwh dqg k @ 9=3;6 +wkh qxpehu ri |hduv ehwzhhq Qryhpehu
4<<7 dqg Ghfhpehu 5333, 1
58
4<
dfurvv doo srvvleoh h{sludwlrq gdwhv159 Frqvlghu d Fhwhv ri d jlyhq pdwxulw| dqg h{sludwlrq
gdwh wkdw zdv rxwvwdqglqj dw gdwh |1 Zh frpsxwh lwv orvv lq groodu ydoxh ehwzhhq gdwhv | dqg
| n dv 8*7|
8*7|n zkhuh 8 lv wkh idfh ydoxh lq shvrv dqg 7| lv wkh shvr0groodu h{fkdqjh
udwh dw wlph |1 Zh pdnh vlplodu dvvxpswlrqv zlwk uhjdug wr Dmxvwderqrv zklfk frph lq
pdwxulwlhv ri 6 dqg 8 |hduv1 Vshfl fdoo| zh frpsxwh wkh orvv lq groodu ydoxh ehwzhhq gdwhv |
dqg | n dv 8| *7|
8|n *7|n zkhuh 8| ' 8| | *|
3
3
dqg | lv wkh FSL dw gdwh |1
Wkhvh dvvxpswlrqv lpso| wkdw wkh wrwdo uhyhqxh jhqhudwhg e| ghew gh dwlrq zdv ;17
eloolrq grooduv1 Prvw ri wklv uhyhqxh +<3 shufhqw, zdv jhqhudwhg lq wkh uvw prqwk diwhu
wkh ghydoxdwlrq1 Wklv phdqv wkdw rxu fdofxodwlrqv duh qrw yhu| vhqvlwlyh wr rxu wlplqj
dvvxpswlrqv derxw pdwxulwlhv dqg h{sludwlrq gdwhv1
Lpsolflw dqg H{solflw Ilvfdo Uhirup
Ghvslwh vhyhudo fkdqjhv lq wkh wd{ frgh lw lv gl!fxow wr qg hylghqfh ri odujh h{solflw
ru lpsolflw vfdo uhirupv15: Dffruglqj wr Exuqvlgh +5333, wkh dyhudjh f|folfdoo| dgmxvwhg
sulpdu| vxusoxv zdv 618 shufhqw ri JGS lq wkh suh0fulvlv shulrg 4<<40<715; Lq wkh shulrg
4<<8T40<;T5 wkh dyhudjh f|folfdoo| dgmxvwhg sulpdu| vxusoxv zdv 715 shufhqw ri JGS1 Wkhvh
hvwlpdwhv vxjjhvw wkdw ryhudoo wkh qhw h hfw ri dq| vfdo uhirup zdv vpdoo15<
Khuh/ xvlqj d vlpsoh phwkrgrorj| ghvfulehg lq wkh dsshqgl{/ zh ghfrpsrvh wkh sulpdu|
exgjhw vxusoxv/ {| / lqwr wkuhh frpsrqhqwv
7
{| ' {| n E{|
7
{| n E{|
{| c
+815,
7
zkhuh {| lv wkh sulpdu| vfdo vxusoxv wkdw zrxog kdyh rffxuuhg lq wkh devhqfh ri dq| fulvlv/
dqg {| lv wkh f|folfdoo|0dgmxvwhg sulpdu| vxusoxv1 Zh ghvfuleh wkh vhfrqg whup rq wkh uljkw0
kdqg vlgh ri +815, dv wkh vfdo uhirup frpsrqhqw/ zkloh wkh wklug whup lv wkh frvw0ri0uhfhvvlrq
frpsrqhqw1
7
Zh hvwlpdwh wkdw vfdo uhirupv +{| {| , jhqhudwhg urxjko| 81; eloolrq grooduv lq dgglwlrqdo
ixqgv iru wkh jryhuqphqw1 Vlqfh wkh qrplqdo ydoxh ri wkh Ph{lfdq jryhuqphqw*v qrqlqgh{hg
59
Lq rwkhu zrugv iru wkh 6 prqwk pdwxulw| zh dvvxphg wkdw rqh wklug ri wkh Fhwhv zrxog h{sluh zlwklq 4/
5 dqg 6 prqwkv/ uhvshfwlyho|1
5:
Ilvfdo uhirupv lqfoxghg dq lqfuhdvh lq wkh jhqhudo ydoxh0dgghg wd{ udwh iurp 43 wr 48 shufhqw/ dv zhoo dv
lqfuhdvhv lq wkh sulfhv ri sxeolf jrrgv dqg vhuylfhv lq 4<<81
5;
Wkhvh hvwlpdwhv lqfrusrudwh wkh lpsdfw ri fkdqjhv lq wkh sulfh ri rlo rq Ph{lfr*v vfdo vlwxdwlrq1 Vhh
Nohw}hu +4<<:, iru d glvfxvvlrq ri wkh vfdo lpsolfdwlrqv ri h{whuqdo vkrfnv1
5<
Wkhvh fdofxodwlrqv wdnh lqwr dffrxqw wkh ghfolqh lq wkh uhdo ydoxh ri wd{hv gxh wr lq dwlrq/ nqrzq dv wkh
Wdq}l h hfw1
53
oldelolwlhv txlfno| ehjdq wr ulvh diwhu wkh fulvhv/ prvw ri wkhvh uhirupv zhuh h{solflw udwkhu
wkdq lpsolflw1 Zh hvwlpdwh wkh uhfhvvlrq frvwv +{|
{| , wr kdyh ehhq derxw 515 eloolrq
grooduv1
Vxppdu| ri zkdw kdv ehhq grqh wr gdwh
Dgglqj xs dgglwlrqdo vhljqrudjh +916 eloolrq grooduv,/ wkh uhyhqxh iurp ghew ghydoxdwlrq
+;17 eloolrq grooduv,/ dqg wkh uhyhqxh iurp wkh vfdo uhirupv/ qhw ri uhfhvvlrq frvwv +618 eloolrq
grooduv,/ zh hvwlpdwh wkdw/ wr gdwh/ wkh Ph{lfdq jryhuqphqw kdv udlvhg 4;15 eloolrq grooduv1
Wklv fruuhvsrqgv wr 716 shufhqw ri 4<<7 Ph{lfdq JGS/ zklfk lv forvh wr Olqgjuhq/ hw1 do1*v
+4<<9, hvwlpdwh ri wkh vl}h ri wkh fulvlv1 Li rqh dffhswv wklv hvwlpdwh/ wkh Ph{lfdq jryhuqphqw
kdv doprvw qlvkhg sd|lqj iru wkh vfdo frvwv ri wkh fulvlv1 Krzhyhu/ li rqh dffhswv Fdsulr
dqg Nolqjhelho*v +4<<9, hvwlpdwhv pxfk lv ohiw wr eh grqh1
Ilqdqflqj wkh Uhpdlqlqj Frvwv
Devhqw dq| lqglfdwlrq ri odujh lpshqglqj vfdo uhirupv/ lw vhhpv uhdvrqdeoh wr vxssrvh
wkdw wkh uhpdlqghu ri wkh vfdo frvwv zloo eh sdlg iru zlwk vhljqrudjh uhyhqxhv1 Zh hvwlpdwh
wkdw wkh prqhwdu| edvh zrxog kdyh wr jurz dw dq dqqxdo udwh ri 5415 shufhqw/ iurp 5334 rq/
wr udlvh wkh dgglwlrqdo 4319 shufhqw ri JGS uhtxluhg wr qdqfh d fulvlv ri wkh vl}h hvwlpdwhg
e| Fdsulr dqg Nolqjhelho +4<<9,1
Zh duulyhg dw wklv qxpehu dv iroorzv1 Iluvw/ zh hvwlpdwhg wkh vhljqrudjh wkdw zrxog kdyh
ehhq froohfwhg devhqw d fulvlv iurp Mdqxdu| 5334 rqzdugv1 Zh xvhg wkh vdph dvvxpswlrqv
wkdw zh hpsor|hg wr hvwlpdwh k|srwkhwlfdo vhljqrudjh iru wkh shulrg Qry1 4<<7Ghf1 53331
Wkhvh dvvxpswlrqv lpso| wkdw wkh Ph{lfdq jryhuqphqw zrxog kdyh udlvhg vhljqrudjh zlwk
d suhvhqw ydoxh lq 4<<7 htxdo wr 881< eloolrq grooduv1 Vhfrqg/ zh hvwlpdwhg wkh suhvhqw ydoxh
+dv ri 4<<7, ri wkh vhljqrudjh uhyhqxhv uhvxowlqj iurp d frqvwdqw jurzwk udwh ri wkh prqhwdu|
edvh iurp Mdqxdu| 5334 rqzdugv1 Khuh zh dvvxphg wkdw wkh jurzwk udwh ri uhdo edodqfhv
phdvxuhg lq grooduv zrxog eh htxdo wr wkh klvwrulfdo dyhudjh jurzwk udwh ri uhdo JGS iurp
4<;3 wr 5333 +51: shufhqw, dqg wkdw wkh groodu lqwhuhvw udwh zrxog eh 918(1 Jlyhq wkhvh
dvvxpswlrqv/ d jurzwk udwh ri wkh qrplqdo edvh htxdo wr 5415 shufhqw |lhogv d suhvhqw ydoxh
ri k|srwkhwlfdo vhljqrudjh htxdo wr 4331< eloolrq grooduv1 Vr wkh h{wud vhljqrudjh wkdw fdq eh
xvhg wr sd| iru wkh fulvlv zrxog htxdo 7813 eloolrq grooduv +4331<881<,1 Wklv lv htxlydohqw wr
4319 shufhqw ri 4<<7 JGS1
54
Zh hpskdvl}h wkdw rxu hvwlpdwh ri wkh uhtxluhg jurzwk udwh ri prqh| lv vhqvlwlyh wr wkh
dvvxpswlrqv xqghuo|lqj rxu fdofxodwlrqv1 Iru h{dpsoh/ li Ph{lfr jurzv pruh txlfno| ru wkh
groodu lqwhuhvw udwh lv orzhu wkdq zh dvvxphg/ wkhq wkh jryhuqphqw zloo eh deoh wr fryhu wkh
vfdo frvwv ri wkh fulvlv zlwk orzhu ixwxuh prqh| jurzwk udwhv1
Wkh nh| srlqw lv wkdw devhqw dq| vljq ri vfdo uhirupv/ lw vhhpv txlwh olnho| wkdw wkh exon
ri wkh frvwv zloo eh fryhuhg yld h{solflw vhljqrudjh uhyhqxhv1 Wklv lpsolhv wkdw wkh udwh ri
lq dwlrq lq Ph{lfr lv kljkhu wkdq lw zrxog kdyh ehhq kdg wkh lpsolflw vfdo uhirup ru wkh
lqlwldo grphvwlf ghew ehhq odujhu1 Zh xvh rxu prgho wr looxvwudwh wklv srlqw pruh frqfuhwho|
lq wkh fdvh ri Nruhd/ zklfk zh wxuq wr qh{w1
8161 Nruhd/ 4<<:
Iljxuh 7 glvsod|v irxu txduwhuo| vhulhv iru wkh shulrg 4<<9 wr 5333= wkh zrq2groodu h{fkdqjh
udwh/ wkh FSL/ dqg wkh h{sruw dqg lpsruw sulfh lqglfhv1 Ehwzhhq Vhswhpehu 4<<: dqg
Vhswhpehu 4<<; wkh zrq2groodu h{fkdqjh udwh lqfuhdvhg e| 8514 shufhqw1 Iljxuh 7 vkrzv
wkdw zkloh wkh h{sruw dqg lpsruw sulfh lqgh{hv pryhg forvho| zlwk wkh h{fkdqjh udwh/ FSL
lq dwlrq zdv vljql fdqwo| orzhu wkdq wkh udwh ri ghsuhfldwlrq1 Ehwzhhq Vhswhpehu 4<<: dqg
Vhswhpehu 4<<; wkh FSL lqfuhdvhg e| mxvw 91< shufhqw1
Dv lq Ph{lfr/ wkh fxuuhqf| fulvlv lq Nruhd h{dfhuedwhg h{lvwlqj sureohpv lq wkh edqnlqj
v|vwhp1 Dv ri Ghfhpehu 4<<</ Vwdqgdug dqg Srru*v Udwlqjv Vhuylfh*v hvwlpdwhg wkdw wkh
vfdo frvw ri wkh edqnlqj fulvlv zrxog eh urxjko| 2e shufhqw ri JGS1 Lq whupv ri 4<<: JGS/
wklv fruuhvsrqgv wr 44717 eloolrq grooduv1
Lq zkdw iroorzv zh surylgh urxjk hvwlpdwhv ri zkdw wkh Nruhdq jryhuqphqw kdv grqh wr
gdwh wr qdqfh wkh vfdo frvwv ri wkh fulvlv1 Zh wkhq glvfxvv wkh lpsolfdwlrqv ri dowhuqdwlyh
vwudwhjlhv iru qdqflqj wkh uhpdlqghu ri wkh frvwv1
Vhljqrudjh Uhyhqxhv
Xvlqj prqwko| gdwd rq wkh prqhwdu| edvh dqg d groodu lqwhuhvw udwh ri DD shufhqw/ zh
hvwlpdwh wkdw wkh suhvhqw ydoxh ri wkh vhljqrudjh udlvhg ehwzhhq Rfwrehu 4<<: dqg Rfwrehu
5333 lv htxdo wr 819 eloolrq grooduv1
Wr frpsxwh wkh k|srwkhwlfdo vhljqrudjh wkdw wkh jryhuqphqw zrxog kdyh udlvhg devhqw
d fulvlv zh pdnh vhyhudo dvvxpswlrqv1 Iluvw/ lq wkh devhqfh ri wkh fulvlv/ wkh jurzwk udwh ri
prqh| iurp odwh 4<<: rq zrxog kdyh ehhq frqvwdqw dqg htxdo wr wkh dyhudjh |hdu0rq0|hdu
jurzwk udwh ri wkh prqhwdu| edvh lq wkh shulrg Rfwrehu 4<<6Rfwrehu 4<<:1 Wklv htxdov 319
55
shufhqw shu dqqxp +> ' fffS,1 Vhfrqg/ wkh ghpdqg iru uhdo edodqfhv lq groodu whupv zrxog
kdyh jurzq dw wkh dyhudjh jurzwk udwh ri rxwsxw iurp 4<;3 wr 4<<<1 Wklv htxdov :16 shufhqw
+l ' ff.,1 Wkhvh dvvxpswlrqv lpso| wkdw wkh suhvhqw ydoxh ri k|srwkhwlfdo vhljqrudjh wkdw
zrxog kdyh ehhq froohfwhg ehwzhhq Rfwrehu 4<<: dqg Rfwrehu 5333 lv 317 eloolrq grooduv1 Vr
wkh qhw lqfuhdvh lq vhljqrudjh uhyhqxhv froohfwhg xs wr Rfwrehu 5333 wkdw fdq eh xvhg wr
qdqfh wkh vfdo frvw ri wkh fulvlv lv 815 eloolrq grooduv1
Ghew Ghydoxdwlrq
Lq Nruhd/ dv lq Ph{lfr/ qrw doo grphvwlf sxeolf vhfwru ghew lv vhfxulwl}hg1 Vlqfh zh
nqrz yhu| olwwoh derxw wkh lqgh{dwlrq ri qrq0vhfxulwl}hg ghew zh dgrswhg wkh frqvhuydwlyh
dvvxpswlrq wkdw doo ri lw zdv lqgh{hg1 Zh irfxv qduurzo| rq wkh iroorzlqj vhfxulwlhv= jryhuq0
phqw erqgv dqg prqhwdu| vwdelol}dwlrq erqgv lvvxhg e| wkh fhqwudo edqn1 Wkh rxwvwdqglqj
dprxqwv ri wkhvh wzr w|shv ri erqgv dw wkh hqg ri Ghfhpehu 4<<9 zhuh/ uhvshfwlyho|/ 581:
dqg 5813 wuloolrq zrq163 Lq dgglwlrq wkh fhqwudo edqn khog jryhuqphqw erqgv zruwk 514 wulo0
olrq zrq1 Frqvhtxhqwo|/ zh dvvxph wkdw wkh vhfxulwl}hg ghew zdv htxdo wr 7;19 wuloolrq zrq
+581:.5813514,1 Zh xvh wklv Ghfhpehu 4<<9 phdvxuh ri wkh vwrfn ri ghew wr ehqfkpdun wkh
vwrfn ri ghew lq Rfwrehu 4<<:1
Zh nqrz pxfk ohvv derxw wkh pdwxulw| vwuxfwxuh ri Nruhdq ghew wkdq zh gr derxw
Ph{lfdq ghew1 Nruhdq wuhdvxu| erqgv duh lvvxhg lq pdwxulwlhv ri 4/ 6 ru 8 |hduv164 Prqhwdu|
vwdelol}dwlrq erqgv duh lvvxhg zlwk pdwxulwlhv ehwzhhq 47 gd|v dqg 4; prqwkv1 Li zh dvvxph
dyhudjh h{sludwlrq gdwhv ehwzhhq 9 prqwkv dqg 4; prqwkv dfurvv doo w|shv ri erqgv zh rewdlq
hvwlpdwhv ri wkh dprxqw ri ghew ghydoxdwlrq udqjlqj iurp 461: wr 4917 eloolrq grooduv1 Ryhu
wklv udqjh/ wkh hvwlpdwh lv dfwxdoo| ghfuhdvlqj lq wkh dyhudjh pdwxulw| ri wkh erqgv gxh wr
wkh uherxqg lq wkh ydoxh ri wkh zrq diwhu Mdqxdu| 4<<;1
Lpsolflw dqg H{solflw Ilvfdo Uhirup
Wkh Nruhdq jryhuqphqw dsshduv wr kdyh lpsohphqwhg d frpelqdwlrq ri h{solflw dqg
lpsolflw vfdo uhirupv1 Rq wkh h{solflw vlgh/ wd{ uhyhqxh kdv uhfhqwo| ulvhq vkduso| uhodwlyh
wr JGS1 Wklv vxjjhvwv wkdw hlwkhu wd{ udwhv kdyh ehhq udlvhg/ wkh wd{ edvh kdv h{sdqghg/ ru
wkdw hqirufhphqw kdv ehhq lpsuryhg1 Rq wkh lpsolflw vlgh/ wkh zrq ydoxh ri h{shqglwxuhv
63
Iru wkh jxuhv rq jryhuqphqw erqgv vhh LPI +5333,1 Iru fhqwudo edqn ghew dqg kroglqjv ri wuhdvxu|
vhfxulwlhv vhh wkh Edqn ri Nruhd zhevlwh1
64
Wkh jryhuqphqw kdv hvwdeolvkhg wkh 60|hdu erqg dv d ehqfkpdun lq wkh srvw0fulvlv shulrg1
56
kdv ulvhq yhu| vorzo| vlqfh wkh fulvlv1 Iru h{dpsoh/ wkh sxeolf vhfwru zdjh eloo dfwxdoo|
ghfolqhg voljkwo| ehwzhhq 4<<: dqg 4<<< lq zrq whupv/ uhsuhvhqwlqj d 9 eloolrq groodu vdylqj
wr wkh jryhuqphqw ryhu 5 |hduv1 Ri frxuvh/ zh fdqqrw eh fhuwdlq zkhwkhu vxfk vdylqjv zhuh
lpsolflwwkh uhvxow ri frqwudfwv vhw lq qrplqdo whupvru h{solflwyld mre orvvhv ru h{0srvw
zdjh iuhh}hv1
Xvlqj wkh vdph phwkrgrorj| dv iru Ph{lfr/ zh sxw wkh suhvhqw ydoxh ri lpsolflw dqg
h{solflw vfdo uhirupv dw urxjko| 6717 eloolrq grooduv1 Vhw djdlqvw wkhvh jdlqv duh orvvhv ri
571: eloolrq grooduv lq wd{ uhyhqxh gxh wr wkh uhfhvvlrq1
Vxppdu| ri zkdw kdv ehhq grqh wr gdwh
Dgglqj xs dgglwlrqdo vhljqrudjh +815 eloolrq grooduv,/ wkh uhyhqxh iurp ghew ghydoxdwlrq
+461: eloolrq grooduv,/ dqg wkh uhyhqxh iurp vfdo uhirupv +6717 eloolrq grooduv, qhw ri uhfhvvlrq
frvwv +571: eloolrq grooduv, zh rewdlq d wrwdo ri 5;19 eloolrq grooduv1 Wklv fruuhvsrqgv wr 9
shufhqw ri Nruhd*v 4<<: JGS1 Vlqfh rxu hvwlpdwh ri wkh vfdo frvw ri wkh fulvlv lv 57 shufhqw
ri 4<<: JGS/ ru 44717 eloolrq grooduv/ wklv ohdyhv d vkruwidoo ri ;81; eloolrq grooduv wkdw pxvw
eh udlvhg lq wkh ixwxuh1 Wklv jxuh lv forvh wr wkh dprxqw ri qhz ghew lvvxhg e| wkh Nruhdq
jryhuqphqw yld wkh Nruhd Dvvhw Pdqdjhphqw Frusrudwlrq dqg wkh Nruhd Ghsrvlw Lqvxudqfh
Frusrudwlrq dqg lq rwkhu irupv vlqfh 4<<:1 Lq suhvhqw ydoxh whupv wklv qhz ghew lv zruwk
derxw ;5 eloolrq grooduv1
Ilqdqflqj wkh Uhpdlqghu ri wkh Ilvfdo Frvw
Wr qdqfh wkh uhpdlqghu ri wkh vfdo frvw Nruhd frxog xvh d frpelqdwlrq ri ixuwkhu vfdo
uhirupv dqg lqfuhdvhg vhljqrudjh1 Vxssrvh wkdw wkh jryhuqphqw udlvhg doo ri wkh uhtxluhg
uhyhqxh yld vhljqrudjh1 Zkdw nlqg ri prqhwdu| srolf| zrxog wkh| kdyh wr sxuvxh lq wkh
ixwxuhB Wr dqvzhu wklv txhvwlrqv zh pdnh wzr dvvxpswlrqv1 Iluvw/ wkh jurzwk udwh ri prqh|
iurp Rfwrehu 5333 htxdov 491; shufhqw shu dqqxp1 Wklv lv wkh dyhudjh prqh| jurzwk udwh
ehwzhhq Rfwrehu 4<<; dqg Rfwrehu 5333165 Vhfrqg/ iurp Rfwrehu 5333 rq/ uhdo edodqfhv jurz
dw :16 shufhqw shu dqqxp1 Wklv lv wkh dyhudjh dqqxdo jurzwk udwh ri uhdo JGS ehwzhhq 4<;3
dqg Rfwrehu 53331 Xqghu wkhvh dvvxpswlrqv Nruhd frxog udlvh wkh dgglwlrqdo vhljqrudjh lw
uhtxluhv lq urxjko| 55 |hduv1 Iurp wkh vwdqgsrlqw ri rxu prgho/ wklv vfhqdulr vhhpv xqolnho|
vlqfh lq dwlrq zrxog kdyh ehhq pxfk kljkhu wkdq lw dfwxdoo| lv1 Rxu prgho vxjjhvwv wkdw d
65
Dw wkh hqg ri Rfwrehu 5333/ wkh ydoxh ri Nruhd*v vwrfn ri edvh prqh| zdv derxw 5716 eloolrq grooduv1
57
pruh sodxvleoh vfhqdulr lv wkh jryhuqphqw zloo udlvh wkh uhpdlqghu ri wkh uhyhqxh lw qhhgv
wkurxjk d frpelqdwlrq ri ixwxuh lpsolflw dqg h{solflw uhirupv dqg d yhu| prghudwh dprxqw
ri vhljqrudjh1
Wr vkrz wklv zh dvn wkh txhvwlrq= krz elj grhv wkh ixwxuh h{solflw uhirup kdyh wr eh
wr udwlrqdol}h Nruhd*v srvw0fulvlv lq dwlrq h{shulhqfhB Ydulrxv h{shulphqwv zlwk rxu prgho
vxjjhvw wkdw wkh dqvzhu lv urxjko| 49 shufhqw ri JGS ru 991: shufhqw ri wkh vfdo frvw ri wkh
fulvlv166 Wdeoh 6 vxppdul}hv wkh nh| ihdwxuhv ri wkh htxloleulxp sdwk ri wkh prgho hfrqrp|
xqghu wklv dvvxpswlrq1 Wklv h{dpsoh kdv d qxpehu ri vwulnlqj ihdwxuhv1 Lw lv frqvlvwhqw
zlwk wkh revhuydwlrq wkdw/ d |hdu diwhu wkh fulvlv/ lq dwlrq lq Nruhd ehfdph h{wuhpho| orz1
Lq wkh prgho wkh vwhdg| vwdwh udwh ri lq dwlrq +dwwdlqhg diwhu wkh uvw |hdu, lv 419 shufhqw1
Ryhudoo vhljqrudjh rqo| dffrxqwv iru 4319 shufhqw ri wkh frvw ri wkh fulvlv1 Qhyhuwkhohvv wkh
prgho jhqhudwhv d uhdolvwlfdoo| odujh ghsuhfldwlrq ri wkh zrq lq wkh uvw |hdu ri wkh fulvlv
+8<1< shufhqw,1
Xqghuvwdqglqj wkh Surshuwlhv ri wkh H{whqghg Prgho
Wkh delolw| ri rxu prgho wr udwlrqdol}h odujh udwhv ri ghydoxdwlrq dorqj zlwk prghudwh
lq dwlrq lv gxh wr wkuhh ihdwxuhv1 Iluvw/ hyhq wkrxjk vhljqrudjh sod|v d vpdoo uroh lq jry0
huqphqw qdqfh/ lq dwlrq0uhodwhg uhyhqxh lqfoxghv wkh ydoxh ri wkh lpsolflw vfdo uhirup/
ghew ghydoxdwlrq dv zhoo dv vhljqrudjh1 Wrjhwkhu wkhvh wkuhh vrxufhv ri uhyhqxh dffrxqw iru
urxjko| rqh wklug ri wkh vfdo frvw ri wkh fulvlv1 Holplqdwlqj wkh uvw wzr uhyhqxh vrxufhv
dqg uho|lqj h{foxvlyho| rq vhljqrudjh zrxog uhvxow lq vxevwdqwldoo| odujhu udwhv ri lq dwlrq1
Lq sduwlfxodu/ lq dwlrq lq wkh uvw |hdu zrxog mxps wr 53 shufhqw dqg vwhdg| vwdwh lq dwlrq
zrxog h{fhhg 9 shufhqw1 Vhfrqg/ glvwulexwlrq frvwv sod| d nh| uroh lq pdjqli|lqj wkh udwh
ri ghsuhfldwlrq1 Wr vhh wklv vxssrvh wkdw zh holplqdwh glvwulexwlrq frvwv +B ' f,1 Wkhq wkh
ghsuhfldwlrq lq wkh uvw |hdu zrxog rqo| htxdo 65 shufhqw lqvwhdg ri 8<1< shufhqw1 Lq d0
wlrq lq wkh uvw |hdu zrxog ulvh wr ryhu 48 shufhqw dqg vwhdg| vwdwh lq dwlrq zrxog folpe
wr 419 shufhqw1 Li zh dovr holplqdwh qrqwudgdeohv +/ ' B ' f, wkh prgho lpsolhv wkdw wkh
udwh ri ghsuhfldwlrq lq wkh uvw |hdu lv urxjko| 49 shufhqw1 Vlqfh SSS krogv lq wklv yhuvlrq
ri wkh prgho wkh udwh ri lq dwlrq frlqflghv zlwk wkh ghsuhfldwlrq udwh1 Ilqdoo|/ wkh prgho
dvvxphv wkdw wkhuh lv d shulrg ri yhu| udslg prqh| jurzwk dw vrph srlqw diwhu wkh fulvlv1
Wklv lv fdswxuhg e| wkh dvvxpswlrq wkdw wkhuh lv d glvfuhwh lqfuhdvh lq wkh prqh| vxsso| dw
66
Lq wkhvh h{shulphqwv zh vhw J @ 3=336 vr wkdw wkh iudfwlrq ri wkh vfdo frvw qdqfhg e| wkh lpsolflw
uhirup lv urxjko| 45 shufhqw1
58
A ' 167 Li wklv prqh| lqmhfwlrq glg qrw rffxu wkhq wkh udwh ri ghsuhfldwlrq lq wkh uvw |hdu
zrxog eh rqo| ;16 shufhqw/ d qxpehu idu orzhu wkdq revhuyhg lq wkh gdwd1 Zh frqfoxgh wkdw
qrq0vhljqrudjh lq dwlrq uhodwhg uhyhqxh/ glvwulexwlrq frvwv/ qrqwudgdeoh jrrgv/ dqg vkruw
uxq prqhwl}dwlrq doo sod| lpsruwdqw urohv lq doorzlqj wkh prgho wr jhqhudwh odujh udwhv ri
ghsuhfldwlrq dorqj zlwk prghudwh lq dwlrq1
Zh frqfoxgh wklv vhfwlrq zlwk d eulhi glvfxvvlrq ri vrph ri wkh prgho*v hpslulfdo vkruw0
frplqjv1 Wkh prvw reylrxv lv wkdw lw vljql fdqwo| ryhuvwdwhv lq dwlrq lq wkh uvw |hdu diwhu
wkh fulvlv1 Wkh prgho suhglfwv lq dwlrq rq wkh rughu ri 48 shufhqw zkloh dfwxdo lq dwlrq lq
Nruhd zdv urxjko| : shufhqw1 Wklv sureohp pd| uh hfw= +l, wkh idfw wkdw zh devwudfwhg iurp
wkh vhyhuh uhfhvvlrq wkdw rffxuuhg lq Nruhd diwhu wkh fulvlv> +ll, wkh suhvhqfh ri phdvxuh0
phqw sureohpv lq wkh Nruhdq FSL>68 dqg +lll, wkh idfw wkdw wkh sulfhv ri pdq| qrqwudgdeoh
vhuylfhv olnh phglfdo fduh dqg hgxfdwlrq duh frqwuroohg e| wkh jryhuqphqw169 Lq rqjrlqj
zrun Exuvwhlq/ Hlfkhqedxp dqg Uhehor +5334, xvh glvdjjuhjdwhg FSL gdwd wr h{soruh wkh
txdqwlwdwlyh lpsruwdqfh ri wkhvh idfwruv1
D qdo vkruwfrplqj ri wkh prgho lv wkdw lw grhv qrw dffrxqw iru wkh gl huhqw sdwwhuqv ri
ghsuhfldwlrq lq Nruhd dqg Ph{lfr1 Dv lv hylghqw iurp Iljxuhv 6 dqg 7 wkh Nruhdq h{fkdqjh
udwh glvsod|v d vwurqj ryhuvkrrwlqj sdwwhuq wkdw lv frpsohwho| devhqw lq wkh Ph{lfdq fdvh16:
Xqghuvwdqglqj wklv gl huhqfh vwulnhv xv dv dq lpsruwdqw duhd iru ixwxuh uhvhdufk1
91 Frqfoxvlrq
Wklv sdshu h{soruhg wkh lpsolfdwlrqv ri gl huhqw vwudwhjlhv iru qdqflqj wkh vfdo frvwv ri
wzlq fulvhv iru lq dwlrq dqg ghsuhfldwlrq udwhv1 Zh gr wklv xvlqj d uvw jhqhudwlrq w|sh prgho
ri vshfxodwlyh dwwdfnv zklfk kdv irxu nh| ihdwxuhv1 Iluvw/ wkh fxuuhqf| fulvhv lv wuljjhuhg e|
survshfwlyh gh flwv1 Vhfrqg/ wkhuh h{lvw rxwvwdqglqj qrqlqgh{hg jryhuqphqw ghew zkrvh uhdo
67
Uhfdoo wkdw wkh ydoxh ri xvhg lq rxu h{dpsoh zdv prwlydwhg e| Nruhdq gdwd1 Exuqvlgh/ Hlfkhqedxp
dqg Uhehor +5334, glvfxvv wkh sdwwhuqv ri prqh| jurzwk dfurvv gl huhqw frxqwulhv lq wkh diwhupdwk ri wkh
Dvldq fxuuhqf| fulvlv1
68
Ghydoxdwlrqv pd| ohdg wr d ljkw iurp txdolw| dv djhqwv vxevwlwxwh dzd| iurp lpsruwhg lwhpv wr orzhu
txdolw|/ orfdoo| surgxfhg/ vxevwlwxwhv1 Wkh phwkrgv xvhg lq Nruhd wr fkrrvh wkh eudqgv lqfoxghg lq wkh
FSL dqg wkh wuhdwphqw ri lwhpv wkdw duh qr orqjhu dydlodeoh pd| ohdg phdvxuhg lq dwlrq wr vljql fdqwo|
xqghuvwdwh dfwxdo lq dwlrq1
69
Dffruglqj wr wkh Dqqxdo Uhsruw rq wkh Frqvxphu Sulfh Lqgh{ +Qdwlrqdo Vwdwlvwlfdo R!fh Uhsxeolf ri
Nruhd/ 4<<;, wkh zhljkw ri jryhuqphqw frqwurohg sulfhv lq wkh Nruhdq FSL lv 531; shufhqw1 Wklv lqfoxghv
jrrgv dqg vhuylfhv lq wkh iroorzlqj fdwhjrulhv= Phglfdo fduh +814 shufhqw,/ Hgxfdwlrq +<15 shufhqw,/ Fxowxuh
dqg uhfuhdwlrq vhuylfhv +617 shufhqw,/ dqg Sxeolf Wudqvsruwdwlrq +614 shufhqw,1
6:
Wkh Wkdl edkw h{klelwhg dq ryhuvkrrwlqj sdwhuq vlplodu wr wkdw ri wkh Nruhdq zrq1
59
ydoxh fdq eh uhgxfhg wkurxjk d ghydoxdwlrq1 Wklug/ vrph jryhuqphqw*v oldelolwlhv duh qrw
lqgh{hg wr lq dwlrq dqg wkhlu uhdo ydoxh ghfolqhv diwhu d fxuuhqf| fulvhv1 Irxuwk/ wkhuh duh
qrqwudgdeoh jrrgv dqg frvwv ri glvwulexwlqj wudgdeoh jrrgv/ vr wkdw sxufkdvlqj srzhu sdulw|
grhv qrw krog1
Zh xvh rxu prgho dqg wkh gdwd wr lqwhusuhw wkh uhfhqw fxuuhqf| fulvhv lq Ph{lfr dqg
Nruhd1 Rxu dqdo|vlv vxjjhvwv wkdw wkh Ph{lfdq jryhuqphqw lv olnho| wr sd| iru wkh exon ri
wkh vfdo frvwv ri lwv fulvlv wkurxjk vhljqrudjh uhyhqxhv1 Dv d frqvhtxhqfh udwhv ri lq dwlrq
kdyh ehhq uhodwlyho| kljk1 Zh dqwlflsdwh wkdw lq dwlrq zloo frqwlqxh wr eh kljk lq wkh ixwxuh1
Lq frqwudvw/ wkh Nruhdq jryhuqphqw lv olnho| wr uho| pruh rq d frpelqdwlrq ri lpsolflw dqg
h{solflw vfdo uhirupv1 Xqghu wklv dvvxpswlrq rxu prgho fdq dffrxqw erwk iru wkh odujh
ghydoxdwlrq ri wkh Nruhdq zrq lq 4<<: dqg wkh idfw wkdw fxuuhqw udwhv ri lq dwlrq lq Nruhd
duh h{wuhpho| orz1
5:
Exuqvlgh/ Fudlj Ilvfdo Srolf|/ Exvlqhvv F|fohv dqg Jurzwk lq Ph{lfr/ pdqxvfulsw/ Zruog
Edqn/ 53331
Exuqvlgh/ Fudlj/ Pduwlq Hlfkhqedxp/ dqg Vhujlr Uhehor Xqghuvwdqglqj wkh Nruhdq dqg
Wkdl Fxuuhqf| Fulvhv / Hfrqrplf Shuvshfwlyhv/ Ihghudo Uhvhuyh Edqn ri Fklfdjr/
Vhswhpehu/ 78 0 93/ 5333
Exuqvlgh/ Fudlj/ Pduwlq Hlfkhqedxp/ dqg Vhujlr Uhehor Survshfwlyh Gh flwv dqg wkh
Dvldq Fxuuhqf| Fulvlv/ iruwkfrplqj Mrxuqdo ri Srolwlfdo Hfrqrp|/ 53341
Exuvwhlq/ Dulho/ Mrdr Qhyhv/ dqg Vhujlr Uhehor Glvwulexwlrq Frvwv dqg Uhdo H{fkdqjh Udwh
G|qdplfv Gxulqj H{fkdqjh0Udwh0Edvhg Vwdelol}dwlrqv/ Qdwlrqdo Exuhdx ri Hfrqrplf
Uhvhdufk Zrunlqj Sdshu Z:;95/ 53331
Exuvwhlq/ Dulho/ Pduwlq Hlfkhqedxp/ dqg Vhujlr Uhehor Zk| Duh Udwhv ri Lq dwlrq Vr
Orz Diwhu Odujh GhydoxdwlrqvB/ pdqxvfulsw lq suhsdudwlrq/ Qruwkzhvwhuq Xqlyhuvlw|/
53341
Fdjdq/ Sklools Prqhwdu| G|qdplfv ri K|shulq dwlrq/ lq Plowrq Iulhgpdq/ hg1 Vwxglhv
lq wkh Txdqwlw| Wkhru| ri Prqh|1 Fklfdjr= Xqlyhuvlw| ri Fklfdjr Suhvv/ 4<891
Fdoyr/ Jxloohupr Edodqfh ri Sd|phqwv Fulvhv lq d Fdvk0lq0Dgydqfh Hfrqrp|/ Mrxuqdo
ri Prqh| Fuhglw dqg Edqnlqj/ 4<= 4<65/ 4<;:1
Fdsulr/ Mu1 Jhudug dqg Gdqlhod Nolqjhelho Edqn Lqvroyhqflhv= Furvv Frxqwu| H{shulhqfh/
Srolf| Uhvhdufk Zrunlqj Sdshu 4953/ Zruog Edqn/ 4<<91
Frfkudqh/ Mrkq Orqj0whup Ghew dqg Rswlpdo Srolf| lq wkh Ilvfdo Wkhru| ri wkh Sulfh
Ohyho/ Hfrqrphwulfd/ 9<= 9<0449/ 53341
Fruvhwwl/ Jldqfduor dqg Eduwrv} Pdfnrzldn Qrplqdo Ghew dqg wkh G|qdplfv ri Fxuuhqf|
Fulvhv/ Jurzwk Fhqwhu Glvfxvvlrq Sdshu qr1 ;53/ \doh Xqlyhuvlw|/ 53331
Fruvhwwl/ Jldqfduor/ Sdror Shvhqwl dqg Qrxulho Urxelql Sdshu WljhuvB D Prgho ri wkh
Dvldq Fulvlv Hxurshdq Hfrqrplf Uhylhz 76= 454469/ 4<<<1
Gdqlho/ Ehww| D Ilvfdo Wkhru| ri Fxuuhqf| Fulvhv/ iruwkfrplqj Lqwhuqdwlrqdo Hfrqrplf
Uhylhz/ 53331
5;
Grroh|/ Plfkdho D Prgho ri Fulvhv lq Hphujlqj Pdunhwv/ Wkh Hfrqrplf Mrxuqdo/ 443=
589 05:5/ 53331
Gud}hq/ Doodq/ dqg Hokdqdq Khospdq Vwdelol}dwlrq zlwk H{fkdqjh Udwh Pdqdjhphqw1
Txduwhuo| Mrxuqdo ri Hfrqrplfv 435= ;6888/ 4<;:1
Gud}hq/ Doodq dqg Hokdqdq Khospdq Vwdelol}dwlrq zlwk H{fkdqjh Udwh Pdqdjhphqw Xq0
ghu Xqfhuwdlqw|/ lq Hokdqdq Khospdq/ Dvvdi Ud}lq dqg Hiudlp Vdgnd/ hgv1 Hfrqrplf
H hfwv ri wkh Jryhuqphqw Exgjhw1 Fdpeulgjh/ PD= PLW Suhvv/ 4<;;1
Gxsru/ Zlooldp H{fkdqjh Udwhv dqg wkh Ilvfdo Wkhru| ri wkh Sulfh Ohyho/ Mrxuqdo ri
Prqhwdu| Hfrqrplfv 78= 94663/ 53331
Hdvwhuo|/ Zlooldp/ Sdror Pdxur dqg Nodxv Vfkplgw0Kheeho Prqh| Ghpdqg dqg Vhljqrudjh0
Pd{lpl}lqj Lq dwlrq/ Mrxuqdo ri Prqh| Fuhglw dqg Edqnlqj/ 5:= 8;60936/ 4<<8
Iorrg/ Urehuw dqg Shwhu Jduehu Froodsvlqj H{fkdqjh Udwh Uhjlphv= Vrph Olqhdu H{dp0
sohv/ Mrxuqdo ri Lqwhuqdwlrqdo Hfrqrplfv/ 4:= 446/ 4<;71
Jrogvwhlq/ Pruulv Wkh Dvldq Ilqdqfldo Fulvlv= Fdxvhv/ Fxuhv/ dqg V|vwhplf Lpsolfdwlrqv1
Zdvklqjwrq/ GF= Lqvwlwxwh iru Lqwhuqdwlrqdo Hfrqrplfv/ 4<<;1
Lqwhuqdwlrqdo Prqhwdu| Ixqg/ Uhsxeolf ri Nruhd= Vwdwlvwlfdo Dsshqgl{/ LPI Vwd Frxq0
wu| Uhsruw Qr1 33243/ 53331
Mhdqqh/ Rolylhu dqg Mhurplq ]hwwhoph|hu Lqwhuqdwlrqdo Edlorxwv/ Ilqdqfldo Wudqvsduhqf|
dqg Prudo Kd}dug/ plphr/ Lqwhuqdwlrqdo Prqhwdu| Ixqg/ 53331
Nohw}hu/ Nhqqhwk P1 Yrodwlolw|/ H{whuqdo Ghew dqg Ilvfdo Ulvn= Vlpxodwlrqv ri wkh Lpsdfw
ri Vkrfnv rq Ilvfdo Dgmxvwphqw iru Wkluwhhq Odwlq Dphulfdq Frxqwulhv/ pdqxvfulsw/
Xqlyhuvlw| ri Fdoliruqld dw Vdqwd Fux}/ Vhswhpehu 4<<:1
Nuxhjhu/ Dqqh dqg Ddurq Wruqhoo Wkh Uroh ri Edqn Uhvwuxfwxulqj lq Uhfryhulqj iurp
Fulvhv= Ph{lfr 4<<80<;/ QEHU Zrunlqj Sdshu :375/ 4<<<1
Nuxjpdq/ Sdxo D Prgho ri Edodqfh ri Sd|phqwv Fulvhv/ Mrxuqdo ri Prqh|/ Fuhglw dqg
Edqnlqj/ 44= 64458/ 4<:<1
5<
Odklul/ Dpduw|d dqg Fduorv Yìjk Rxwsxw Frvwv/ ERS Fulvhv/ dqg Rswlpdo Lqwhuhvw Udwh
Srolf|/ plphr/ XFOD/ 53331
Olqgjuhq/ F1M1/ J1 Jdufld dqg P1 L1 Vddo/ 4<<9/ Edqn Vrxqgqhvv dqg Pdfurhfrqrplf Srolf|/
Lqwhuqdwlrqdo Prqhwdu| Ixqg1
Revwihog/ Pdxulfh Vshfxodwlyh Dwwdfn dqg wkh H{whuqdo Frqvwudlqw lq d Pd{lpl}lqj Prgho
ri wkh Edodqfh ri Sd|phqwv/ Fdqdgldq Mrxuqdo ri Hfrqrplfv/ 5<= 453/ 4<;91
Uhehor/ Vhujlr dqg Fduorv Yìjk Wkh Udwlrqdo Srolf|pdnhu*v Jxlgh wr Iluvw0Jhqhudwlrq
Vshfxodwlyh Dwwdfnv/ plphr/ Qruwkzhvwhuq Xqlyhuvlw|/ Pdufk 53341
Vdfkv/ Mh uh|/ Ddurq Wruqhoo dqg Dqguhv Yhodvfr Wkh Froodsvh ri wkh Ph{lfdq Shvr= Zkdw
Kdyh Zh OhduqhgB/ Hfrqrplf Srolf|/ 55= 46089/ 4<<91
Vdujhqw/ Wkrpdv M1 dqg Qhlo Zdoodfh Wkh Vwdelolw| ri Prghov ri Prqh| dqg Jurzwk zlwk
Shuihfw Iruhvljkw/ Hfrqrphwulfd/ 74= 43760437;/ 4<:61
Vlpv/ Fkulvwrskhu D Vlpsoh Prgho iru wkh Ghwhuplqdwlrq ri wkh Sulfh Ohyho dqg wkh
Lqwhudfwlrq ri Prqhwdu| dqg Ilvfdo Srolf|/ Hfrqrplf Wkhru|/ 7= 6;4<</ 4<<71
Zlmqehujhq/ Vzhghu Ydq Ilvfdo Gh flwv/ H{fkdqjh Udwh Fulvhv dqg Lq dwlrq/ Uhylhz ri
Hfrqrplf Vwxglhv/ 8;= ;4<5/ 4<<41
Zrrgirug/ Plfkdho Sulfh Ohyho Ghwhuplqdf| Zlwkrxw Frqwuro ri d Prqhwdu| Djjuhjdwh/
Fduqhjlh0Urfkhvwhu Frqihuhqfh Vhulhv rq Sxeolf Srolf|/ 76= 4079/ 4<<81
63
:1 Dsshqgl{= Hvwlpdwlqj wkh Vl}h ri Ilvfdo Uhirupv
Rxu surfhgxuh iru frpsxwlqj wkh vl}h ri wkh vfdo dgmxvwphqw diwhu d fulvlv frqvlvwv ri 5 pdlq
lqjuhglhqwv1
41 Hvwlpdwlqj wkh f|folfdoo| dgmxvwhg sulpdu| exgjhw vxusoxv1
51 Hvwlpdwlqj zkdw wkh exgjhw vxusoxv zrxog kdyh ehhq lq wkh devhqfh ri wkh fulvlv1
Hvwlpdwlqj wkh F|folfdoo| Dgmxvwhg Exgjhw Vxusoxv
Gh qh wkh vwdqgdug phdvxuh ri wkh sulpdu| exgjhw vxusoxv dv {| -|
.| / zkhuh -| lv
uhyhqxh dqg .| lv sulpdu| h{shqglwxuh1 D f|folfdoo|0dgmxvwhg phdvxuh ri wkh sulpdu| vxusoxv
lv {| -|
.| / zkhuh -| dqg .| duh f|folfdoo|0dgmxvwhg phdvxuhv ri -| dqg .| 1
Vwdqgdug surfhgxuhv iru frpsxwlqj f|folfdoo|0dgmxvwhg uhyhqxh dqg h{shqglwxuh glfwdwh
wkdw wkhuh duh vshfl f uhyhqxh dqg h{shqglwxuh frpsrqhqwv wkdw dgmxvw dxwrpdwlfdoo| wr
wkh exvlqhvv f|foh/ zkloh wkhuh duh rwkhuv wkdw rqo| pryh dffruglqj wr wkh jryhuqphqw*v
glvfuhwlrq1 Wr looxvwudwh vxssrvh wkhuh duh g uhyhqxh fdwhjrulhv/ ri zklfk g dgmxvw dffruglqj
wr wkh exvlqhvv f|foh dqg g
g zklfk gr qrw1 Wkhq uhyhqxh lv jlyhq e|
-| '
g
[
'
-| n
g
[
'gn
-|
F|folfdoo|0dgmxvwhg uhyhqxh lv jlyhq e|
-| '
g
[
'
-| n
g
[
'gn
-| c
zkhuh -| lv wkh wk f|folfdoo|0dgmxvwhg uhyhqxh frpsrqhqw1 Qrwh wkdw vrph uhyhqxh fdwh0
jrulhv duh qrw dgmxvwhg dv wkh| duh ghhphg wr eh sxuho| glvfuhwlrqdu| ru dw ohdvw lqyduldqw
wr wkh exvlqhvv f|foh1 W|slfdoo| wd{ uhyhqxhv dqg wudqvihuv wr krxvhkrogv duh wkh w|shv ri
fdwhjrulhv wkdw duh f|folfdoo| dgmxvwhg1 Dq dgmxvwhg uhyhqxh fdwhjru| zrxog w|slfdoo| eh
hvwlpdwhg dv
-| ' -| i Td k E*? t|
7
*? t| o
7
zkhuh *? t| lv vrph phdvxuh ri wuhqg uhdo JGS/ dqg k lv d phdvxuh ri wkh hodvwlflw| ri wklv
7
fdwhjru| ri uhyhqxh zlwk uhvshfw wr wkh rxwsxw jds/ *? t| *? t| 1
Lq ghyhorslqj frxqwulhv lw lv w|slfdo iru wd{ uhyhqxh wr pryh forvho| lq sursruwlrq wr JGS/
zkloh ihz li dq| ri wkh h{shqglwxuh fdwhjrulhv h{klelw d vwurqj hodvwlflw| zlwk uhvshfw wr JGS1
64
Prwlydwhg e| wklv idfw/ dqg wr vlpsoli| rxu dqdo|vlv/ zh xvh d yhu| vlpsoh surfhgxuh dqg
7
frpsxwh {| ' -| .| / zkhuh -| ' d-| *E| t| o| t| / zkhuh | uhsuhvhqwv wkh JGS gh dwru1
Lq rwkhu zrugv/ zh dvvxph wkdw doo fkdqjhv lq wkh udwlr ri uhyhqxh wr JGS duh glvfuhwlrqdu|1
7
Wkxv zh kdyh {| ' -| Et| *t| .| 1 Wr rewdlq wuhqg JGS zh w d olqhdu wuhqg wr gdwd rq
wkh orjdulwkp ri uhdo JGS iurp 4<;3 wr 53331
Wkh sduw ri wkh exgjhw vxusoxv gxh wr wkh exvlqhvv f|foh lv {|
{| 1
Wkh Exgjhw Vxusoxv lq wkh Devhqfh ri wkh Fulvlv
7
7
7
Zh ghqrwh wkh exgjhw vxusoxv lq wkh devhqfh ri wkh fulvlv e| {| 1 Zh ohw {| ' _| t| /
zkhuh _ lv wkh dyhudjh sulpdu| vxusoxv +dv d iudfwlrq ri JGS, lq dq
wr wkh fulvlv1 Zh vhw
0|hdu zlqgrz sulru
' e vr wkdw iru Ph{lfr wkh zlqgrz lv 4<<4<7/ zkloh iru Nruhd lw lv
4<<7<:1
Wkh Vl}h ri wkh Ilvfdo Uhirup
Vxssrvh zh kdyh revhuyhg jryhuqphqw qdqfh gdwd iru M |hduv diwhu wkh fulvlv1 Zh
frpsxwh wkh vl}h ri wkh vfdo uhirup/ lq grooduv/ dv
w
[
{|
8- '
E n - |
3
|'
7|
7
{|
zkhuh 7| lv wkh orfdo fxuuhqf|0groodu h{fkdqjh udwh dqg - lv wkh dvvxphg groodu lqwhuhvw udwh1
Uhfhvvlrq Frvwv
Zh hvwlpdwh uhfhvvlrq frvwv dv
- '
w
[
|'
{|
E n - |
3
7|
{|
Ghfrpsrvlwlrq ri wkh Exgjhw Vxusoxv
Rxu ghfrpsrvlwlrq ri wkh exgjhw gdwd phdqv wkdw
7
{| ' {| n E{|
7
{| n E{|
{|
zkhuh wkh uvw frpsrqhqw lv wkh wuhqg/ wkh vhfrqg lv wkh vfdo uhirup/ dqg wkh odvw lv wkh
f|folfdo1
65
WDEOH 4
Sdudphwhuv iru wkh Qxphulfdo H{dpsohv
# ' fD
' f2
7'
w ' ffS
o ' ffe
t '
' f2e
Kf ' ffS.
A '
' f2
B'f
/'
~'f
'f
Vdph dv +d, h{fhsw
' ffD
+d, Ehqfkpdun Fdvh
lqwhuhvw hodvwlflw| ri prqh| ghpdqg
wkuhvkrog uxoh sdudphwhu
lqlwldo h{fkdqjh udwh
frqvwdqw lq wkh prqh| ghpdqg ixqfwlrq
uhdo lqwhuhvw udwh
frqvwdqw ohyho ri rxwsxw
suhvhqw ydoxh ri qhz wudqvihuv
lqlwldo ghew ohyho
wlph ri vzlwfk wr qhz prqhwdu| srolf|
( lqfuhdvh lq dw A uhodwlyh wr | ' f
glvwulexwlrq frvw ri wudgdeohv
vkduh ri wudgdeohv lq FSL
qrplqdo wudqvihuv
qrplqdo ghew
+e, Qrplqdo Ghew
qrplqdo ghew
+f, Lpsolflw Ilvfdo Uhirup
Vdph dv +e, h{fhsw
~ ' ff22
qrplqdo wudqvihuv
gdwh xqwlo zklfk wudqvihuv vwd| frqvwdqw
A2 ' A n 2
+g, Vwlfn| Qrqwudgdeohv Sulfhv
Vdph dv +f, h{fhsw
/ ' fD
vkduh ri wudgdeohv lq FSL
gdwh xqwlo zklfk qrqwudgdeohv sulfhv duh vwlfn|
A ' A
+h, Glvwulexwlrq Frvwv iru Wudgdeohv
Vdph dv +g, h{fhsw
B'
glvwulexwlrq frvw ri wudgdeohv
66
Wdeoh 5
Uhvxowv iru Qxphulfdo H{dpsohv/ Qr H{solflw Ilvfdo Uhirup
Lq dwlrq
Ghydoxdwlrq
\u 4 \u 5 Orqj0uxq \u 4 \u 5
d, Ehqfkpdun
e, Qrplqdo Ghew
f, Lpsolflw Ilvfdo Uhirup
g, Çe Vwlfn|
h, Glvwulexwlrq
671<
631<
5315
4:1:
4713
5313
4914
914
713
413
5313
4914
914
713
413
671<
631<
5315
6817
8:1;
5313
4914
914
713
413
|
W
317<
3185
3193
3194
3197
Ilqdqflqj +( ri Wrwdo,
Vhljqrudjh Qrplqdo Lpsolflw
Ghew
Ilvfdo
Gh dwlrq Uhirup
433
3
3
;617
4919
3
681<
4614
8413
5417
4517
9915
:15
<1;
;613
Wdeoh 6
Uhvxowv iru Qxphulfdo H{dpsoh/ H{solflw Ilvfdo Uhirup +49 shufhqw ri JGS,
Lq dwlrq
Ghydoxdwlrq
\u 4 \u 5 Orqj0uxq \u 4 \u 5
471;
419
419
8<1<
419
|
Ilqdqflqj +(
Vhljqrudjh Qrplqdo
Ghew
Gh dwlrq
3197
4319
4413
W
ri Wrwdo,
Lpsolflw H{solflw
Ilvfdo
Ilvfdo
Uhirup Uhirup
441:
991:
FIGURE 1
SOLUTIONS FROM THE BENCHMARK MODEL
CPI and Exchange Rate
Money Balances
2.5
2
2
1.5
1.5
1
1
0
1
2
3
4
5
0
time
1
2
3
4
time
Notes: Time in measured in years. Initial money balances are normalized to equal 1.
35
5
FIGURE 2
SOLUTIONS FROM THE MODEL WITH STICKY NONTRADABLES PRICES,
DISTRIBUTION COSTS AND AN IMPLICIT FISCAL REFORM
CPI and Exchange Rate
Money Balances
1.8
1.2
Exchange Rate
1.6
1.1
1.4
1
CPI
1.2
1
0.9
0
1
2
3
4
0.8
5
time
0
1
2
3
4
time
Notes: Time in measured in years. Initial money balances are normalized to equal 1.
36
5
FIGURE 3
PRICE INDICES IN MEXICO 1993–2000
(1994Q3 = 100)
330
280
230
180
130
80
93
94
Peso/$ Spot Rate
95
96
CPI
97
98
Export Deflator
99
00
Import Deflator
Notes and Sources: All series are normalized so that their value in 1994Q3 = 100 by
creating a new series Qt = 100Pt /P1994Q3. The peso/$ spot rate is the IFS period-average
market rate (AF...ZF). The consumer price index is from Hacienda. The import and
export deflators are from the Mexican national accounts (Hacienda).
37
FIGURE 4
PRICE INDICES IN KOREA 1996–2000
(1997Q3 = 100)
200
180
160
140
120
100
80
96
97
98
Won/$ Spot Rate
99
CPI
EPI
00
IPI
Notes and Sources: All series are normalized so that their value in 1997Q3 = 100 by
creating a new series Qt = 100Pt /P1997Q3. The won/$ spot rate is the IFS period-average
market rate (AF...ZF). The consumer price index (CPI), export price index (EPI) and
import price index (IPI) are all from the Bank of Korea website.
38
@FedFRASER