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Graduation date: 1982

Habilitationsschrift--Cologne. / Bibliography: [243]-267.

Thesis (Ph. D.)--University of Wisconsin--Madison, 1967. / Typescript. Vita. eContent provider-neutral record in process. Description based on print version record. Includes bibliographical references.

Issued also as inaugural dissertation, Leyden. / Summaries in English, Dutch, French and German. References: p. [148]-150.

A linear model to determine the optimal policy for investment in social infrastructure is formulated and its solution is obtained using the Maximum Principle. The unique solution is characterized by a-bang-bang control, with only one interval of investment in social capital, and the endpoints of this interval can be numerically determined, given values for the parameters of the model. A generalization of the model which allows instantaneous jumps in the level of social capital is also analyzed, and the solution to the modified problem is shown to be a uniquely determined impulse control. The final extension of the model allows us to determine an upper bound for the optimal time horizon. / Science, Faculty of / Mathematics, Department of / Graduate

The purpose of this research is to develop and test a model of the demand for money within a general optimising model of household behaviour. The framework adopted is the direct utility approach. The services of money and money substitutes, along with the services of consumption goods (durable and non durable) and leisure are assumed to enter as arguments in the representative household's utility function. The theoretical part of the thesis consists of applying the tools of modern utility theory to the particular problem of the demand for money. The development and solution of the model provides a clear basis for interpreting the demand equations used in estimation, and also makes explicit various assumptions implicit in previous empirical models in this area. In particular, derivation of the rental price of money and money substitutes serves to clarify the role of expectations and the relationship between the rental prices of money and goods within the direct utility model. The major part of the thesis consists of applying the model to annual Canadian data for the period 1947-1974. A substantial portion of the empirical contribution is the construction of data series consistent with the theoretical framework of the model. We differ from other researchers in this area in using the ARIMA model to take expected capital gains into account when constructing rental price series for durable goods. Three different groups of models are examined empirically. The first group contains only consumption goods and leisure. The second group includes aggregate 'money' and aggregate 'near money' along with consumption goods and leisure, while the third group contains only 'liquid assets', i.e., disaggregated components of 'money' and 'near money.' The demand equations for each model are derived from a Gorman polar form representation of the indirect utility function, and are evaluated using a constrained estimation technique. The presence of autocorrelation is explored, and the model tested for parametric stability over time. Tests of the restrictions implied by the theory of utility maximising behaviour and of homotheticity are performed. The estimated models were found generally to be consistent with the underlying theory, and also provided some useful information. Money has an expenditure elasticity less than one, while near money is a luxury good. There is no evidence of substitutability between aggregate money and aggregate near money; however, some substitutability is reported between chartered bank personal savings deposits, and trust and loan company savings deposits. / Arts, Faculty of / Vancouver School of Economics / Graduate

There have been several recent advances in the theory of choice under uncertainty that have extended the restrictive mean-variance framework. Working within the context of a model of expected utility maximization, Rothschild and Stiglitz (1970) and Diamond and Stiglitz (1974) present intuitively appealing and theoretically sound definitions of "greater risk or uncertainty". Moreover, they show that their definitions are useful as well as consistent, in that they may be used to derive comparative statics results in which economists are interested. In the first part of the thesis we argue that the above analyses and most related ones are restricted to models where both the decision variable and the exogenous random variable that defines the stochastic environment, are scalars. Then we extend many of the definitions and results to the context of a general multivariate decision problem. In particular, a generalized notion of risk independence is shown to be relevant to behaviour under uncertainty. This general analysis is then applied to two specific decision problems: first, the standard two-period consumer choice problem where current consumption must be decided upon subject to uncertainty about future income and prices; and second, the corresponding problem in the theory of the firm, where a competitive firm must make some production decisions subject to uncertainty about the prices that will prevail for some products and factors of production. We extend earlier studies of these problems by considering disaggregated models, by adopting theoretically consistent definitions of increased uncertainty and by investigating the role of production flexibility in determining firm behaviour under uncertainty. In both the consumer and producer models the crucial properties of preferences and technology are pointed out and flexible functional forms are hypothesized that are amenable to empirical estimation. The theory of duality plays an important part throughout the formulation and analysis of both models. Finally the basic theory of producer behaviour analysed above is applied to aggregate U.S. manufacturing data for the 1947-71 period. We assume that the capital stock decision must be made one period before the capital comes into operation, subject to expectations about uncertain future prices, while all other factors and outputs may be adjusted fully to current prices. An added important ingredient of the model is the distinction between the capital stock and utilization (depreciation) decisions, the latter being made in each period after that period's prices are known. The consistency of the model with the data is investigated and the empirical significance of our formulation of the capital utilization decision is tested. / Arts, Faculty of / Vancouver School of Economics / Graduate

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