The effect of time-varying covariances on asset risk premia

In this article we examine an intertemporal capital asset pricing model (CAPM) that allows for time-varying conditional covariances that are assumed to follow a multivariate integrated generalized autoregressive conditional heteroscedastic (IGARCH) process. The resulting pricing equation includes idiosyncratic risk premia in addition to the usual market beta. Empirical analysis based on ten size and ten industry portfolios reveals significant idiosyncratic premia for most portfolios. Overall, we reject the static CAPM in favor of the intertemporal CAPM.     

Resurrecting the weak credibility hypothesis in models of exchange-rate-based stabilization

We analyze how weak credibility affects the volatility of consumption spending in a model of exchange-rate-based stabilization that allows for both durable and nondurable goods. The inclusion of durables greatly improves the explanatory power of the weak credibility hypothesis. The hypothesis can account for the main qualitative properties of the boom–bust cycle provided the elasticity of durables expenditure with respect to Tobin's q is greater than the intertemporal elasticity of substitution. Moreover, the quantitative effects are very large. In numerical simulations based on conservative assumptions about the expenditure share of durables (20%) and wealth effects (none), aggregate consumption increases 17–22% and the real exchange rate appreciates 24–26% when the crawl decreases from 100% to zero for 3 years. In variants of the model that incorporate supply effects, the consumption boom is equally strong but appreciation of the real exchange rate rises to 30–40%.     

BORROWING RELATIONSHIPS,MONITORING, AND THE INFLUENCE ON LOAN RATES

While monitoring borrowers, a bank obtains private information about its customers, giving the bank an informational advantage in the production of subsequent services. Competing theories exist on the way banks use this advantage in the pricing of subsequent services to the customer. If moral hazard limits the transfer of private information, the borrowing relationship transforms into an informational monopoly and can be characterized as a “wasting asset.” Alternately, if the banks' competitive environment necessitates that cost economies are shared, the relationship has “value.” Ordering pairs of successive loans made to a particular borrower as prior loans and subsequent loans, and controlling for environmental, borrower, and loan characteristics, we show that the subsequent loan is priced significantly lower than the prior loan.     

第二代量化宽松政策将推动经济回升

【摩根士丹利3月5日】量化宽松是指央行放任、甚至有意推动基础货币迅速扩张的举措。2O01—20O6年间,日本首次实施了量化宽松政策,成功地令经济恢复增长、并抑制了通缩压力。2008年9月,美联储、欧洲央行、日本银行和英格兰银行开始实施第二次量化宽松政策（简称为QE2）,     

全球债市泡沫破灭，收益率仍有上升空间

政府债券市场大跌提出多方面问题 近期政府债券市场的大幅下跌是欧美央行面临的关键问题其原因何在？这是否意味着量化宽松政策根本无效？收益率的攀升是否会令市场预期的下半年的经济复苏化为泡影？面对这种局面,央行应加大还是缩小买进债券的力度？针对这些问题,本文分析了国债收益率高涨的原因,及其对经济和央行政策的可能影响。     

How Did Workers Benefit from Bolivia's Emergency Social Fund?

Bolivia's Emergency Social Fund (ESF) was established to cushionthe adverse effects on the poor of the economic crisis and subsequentstabilization program in the 1980s and to facilitate transitionthrough the phases of structural adjustment. The ESF providedtemporary employment opportunities by funding small-scale, labor-intensiveprojects that were proposed by local governmental and nongovernmentalorganizations. This article measures the impact of the ESF programon employment and income of workers in the ESF projects. Forthe average ESF worker, hourly wages were 12.8 percent higher,the work week was 9.5 hours longer, and weekly earnings were32 percent higher than what they would have been without theESF. Taking into account the probability that the individualmay not have worked without the ESF leads to larger gains. Thegreatest benefits from participating in the program were receivedby those who would have been least well-off without it.     

Assessing Organizational Adoption of Information Systems Outsourcing

The information systems outsourcing (ISO) field continues to grow, as organizations consistently seek improvements in IT activities. The global scope of outsourcing participation and growth leads to gaps of knowledge related to the contextual factors that influence ISO adoption. Using the technology-organization-environment (TOE) framework, this study identifies and contextualizes the determinants of ISO adoption. Data collected from 261 firms suggest that relative advantage, firm size, top management support, and competitive pressure are the main determinants of ISO. This study highlights the importance of assessing ISO using the TOE theoretical lens, and offers replication of prior results, the lack of which is a growing concern in social science research.     

Influencer marketing: When and why gen Z consumers avoid influencers and endorsed brands

Consumer avoidance of brands and influencers is a widespread phenomenon, especially among Generation Z (Gen Z); however, influencer marketing literature lacks clarity about when and why Gen Z engages in such avoidance. Our experimental investigation, across four studies, reveals that Gen Z considers brands' control over influencers to be morally irresponsible and, thus, avoids both. We introduce a novel construct, influencer avoidance, and examine its drivers. Study 1 indicates that perceived brand control engenders avoidance; moderation evidence shows that macro (vs. micro) influencers accentuate (attenuate) the influence of brand control on avoidance. Study 2 shows that Gen Z enjoying a strong versus weak relationship with influencers results in lower (higher) avoidance towards influencers and endorsed brands. Study 3 demonstrates that negative moral emotions mediate the relationship between perceived brand control and avoidance behavior. Study 4 generalizes the findings by analyzing a different influencer and endorsed brand and including a prominent advertisement disclosure. By investigating the drivers and mechanisms of Gen Z's avoidance behavior, our research contributes to research on the theory of moral responsibility, Gen Z's influencer avoidance behavior, and anti-consumption literature. This offers key insights into how to prevent acts of consumer retribution towards influencers and brands.