Partial‐ and General‐Equilibrium Measures of Trade Restrictiveness

New partial‐equilibrium forms of the Trade Restrictiveness Index and the Mercantilist Trade Restrictiveness Index have recently been used by the World Bank and others. In this paper we examine the bias in the partial‐equilibrium forms due to the neglect of general‐equilibrium effects. We propose “semi‐general‐equilibrium” measures that capture those general‐equilibrium effects due to vertical input–output relations without the need for a computable general‐equilibrium model. These measures also incorporate nontariff measures. Australian data are used to compute the semi‐general‐equilibrium measures. These estimates indicate that the partial‐equilibrium forms generally underestimate the true value of the indices, and by a large margin in some cases.     

The Trade and Welfare Effects of State Trading in China with Reference to COFCO

The use of state trading to manage imports and exports has been a long‐standing feature of China’s agricultural trade regime. While the use of state trading was modified by China’s accession to the WTO, state trading still dominates for some commodities, even though there have been recent attempts to diminish its importance. In this paper, we analyse the potential trade distorting effect of COFCO on market access and export competition by drawing on some recent research on the impact of STEs on agricultural trade. By using a calibrated model of China’s imports of wheat and exports of maize, we are able to quantify the size of the trade distortions.     

The effects of skewness on optimal production and hedging decisions: An application of the skew‐normal distribution

Assume that the spot price has a skew‐normal distribution. This study investigates the effect of skewness on optimal production and hedging decisions. It is shown that skewness has no effect on the optimal production level but induces the firm to become more active in futures trading. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:278–289, 2010     

The effects of structural breaks and long memory on currency hedging

Empirical evidence suggests that unconditional variance of exchange rate return series is subject to occasional structural breaks that may induce spurious phenomenon of high persistence and long memory of volatility processes. In this study, we investigate the effects of such breaks on estimated risk-minimizing hedge strategies (ratios) and their performance in currency markets. Using bivariate GARCH (BGARCH) and fractionally integrated GARCH models, we estimate the hedge ratios for six foreign currencies in the full sample with and without controlling for breaks and each subsample of different unconditional variance regimes identified by a modified version of the Inclan C, and Tiao GC (1994) algorithm. Our findings suggest that daily currency risk can be better hedged with currency futures when controlling for unconditional variance breaks in the BGARCH model. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:607–632, 2010     

Clarence Ayres’s Critique of Orthodox Economic Theory

Mainstream economists and liberal politicians are criticizing the Third Way as it is being applied in the Netherlands. They argue that mutual consultation precludes an efficient adaptation to disturbances. The present study analyzes changes in wage and income policy in the Netherlands until 2005. It finds that wage and income policy has proven to be flexible enough to address “new” challenges in the Netherlands. The flexibility is rooted in a culture of tolerance that allows for some breaking of working rules. The latter arises from bounded socialization, that is, the imperfect transmission of information with respect to social working rules that result in similar but not identical copies of institutions.     

Local property tax differences and business real estate values

This article posits a model of the effect of differences in changes in local property tax rates on changes in the business real estate tax base. It is also hypothesized that changes in the tax base influence changes in the property tax rate. Empirical findings for metropolitan Chicago are that both differences in property tax changes and levels have large effects on the growth of the value of business real estate. Also, changes in the property tax rate are found to depend upon changes in the tax base as well as the property tax level and its previous change.     

Bank risk taking and changes in the financial condition of banks' small and midsized commercial customers, 1978–1988 and 1988–1991

This study examines the pattern of bank risk taking through the 1980s and early 1990s, as reflected in the reported financial condition of banks' small and midsized customer firms. Using industry data published in Robert Morris Associates'Annual Statement Studies, we examine the ten-year period 1978–1988 to ascertain changes in the financial condition of banks' commerical customers during the 1980s, and the following three-year period 1988–1991, to determine financial condition changes in customer firms during the early 1990s. Empirical results suggest banks' small and midsized commercial clientele shifted toward riskier organizations From 1988 to 1988, confirming the popularized notion of banks' increased tolerance for risk during the 1980s. From 1988 to 1991, however, banks' client firms evidenced a pattern of risk reduction, which is consistent with the argument that banks have retrenched in their risk taking in recent years, shifting back toward a more financially sound customer base.     

Multiperiod hedging in the presence of stochastic volatility

In this paper, we characterize the multiperiod minimum-risk hedge strategy within the stochastic volatility (SV) framework and compare it to other hedge strategies on the basis of hedging performance. Using crude oil markets as an example, we demonstrate that the SV model is appropriate in depicting price behaviour. However, ex ante and ex post comparisons indicate that the SV strategy is inferior to conventional hedging strategies. There is also evidence that the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) strategy may be better than the SV strategy, at least in terms of variance reduction.     

Market Power,Efficiency and the Dispersion of Systematic Risk

A number of studies have used the Capital Asset Pricing Model (CAPM) to integrate product market and financial theories of the firm. We reexamine the relationship between product market structure and systematic risk at the firm and industry level. We show that theory yields no testable implications at the firm level. We show, however, that there is a relationship between the intraindustry dispersion of systematic risk and industry concentration which depends on the causes and consequences of concentration. Estimates of the relationship between the intraindustry variance of and concentration for a 1987 cross-section of U.S. industries suggest that concentration allows larger firms to exercise market power.