A volatility smile-based uncertainty index

Annals of Finance - We propose a new uncertainty index based on the discrepancy of the smile of FX options. We show that our index spikes near turbulent periods, forecasts economic activity and its...     

Tourist attitudes towards an accommodation tax earmarked for environmental protection: A survey in the Algarve

Tourist taxes have become increasingly popular worldwide in addressing environmental problems associated with tourism. This paper studies tourist attitudes towards an accommodation tax earmarked for environmental protection in the Algarve, the most important Portuguese tourism destination. A Chi-squared Automatic Interaction Detecting Algorithm (CHAID) is used to segment tourists according to their willingness to pay. This method allowed us to divide respondents into six segments. The dominant one, labelled “typical sun and beach tourists”, shows a low willingness to pay the earmarked accommodation tax. In contrast, the receptivity to this measure is above average in three segments, termed according to their main characteristics as “environmental steward tourists”, “nature oriented tourists” and “frugal tourists”.     

Resources and market definition: Rethinking the “hypothetical monopolist” from a resource‐based perspective

We reassess the concept of the hypothetical monopolist as a device for relevant market definition. The hypothetical monopolist test (also known as the Small but Significant Non‐transitory Increase in Price test) is a clever, intuitive way of thinking the relevant market in antitrust, and is gaining ground in strategic management. The test, however, implicitly disregards resource characteristics in relevant market delineation, focusing exclusively on demand side substitutability. In reassessing the hypothetical monopolist, we make 2 general contributions to the strategy literature. First, using cooperative game theory, we advance a precise resource‐based definition of the hypothetical monopolist. Second, we demonstrate how this definition broadens our conventional understanding on 2 important topics: resource complementarities and disruptive innovations. In doing so, we complement and strengthen the hypothetical monopolist test as a device for management (strategic) and public policy (antitrust) analysis.     

Testing the Taylor Model Predictability for Exchange Rates in Latin America

Exchange rates forecasting performance is tested by a model which incorporates endogenous monetary policy through a Taylor rule reaction function. Other usual monetary and equilibrium empirical exchange rate models are also evaluated for comparison purposes. Predictability is tested by comparing the models to a benchmark random walk specification. We contribute to the recent literature in many ways. First, we include models of forward-looking endogenous monetary policy to the exchange rate forecasting exercise, the Taylor model. Second, our data, set across countries, is uniform in terms of economies adopting both inflation targeting and a flexible exchange rate. Third, our study sheds light on exchange rate determinants for emerging economies: Brazil, Chile, Colombia, Peru and Mexico. Our results show strong predictability evidence for the Taylor model and indicate that assuming models of endogenous monetary policy and the present value of expected fundamentals is a rewarding strategy to model exchange rate determination.     

准则国际趋同及其对中小企业的适用性——促进高质量准则所面临的挑战

一、对准则国际趋同的看法在我看来,在实现准则趋同目标已经面临的诸多困难中,如今又新增了一种新的、更大的威胁,那就是:放弃趋同目标的诱惑。1.迄今为止,阻碍我们在趋同进程中取得进展的首要因素到底有哪些呢?几乎所有的人都在理论上支持准则趋同,但并非所有人都愿意改变用以达到该理想境界的做事方式。因此,此种障碍并非技术性障碍。虽然尚不明确,但是文化问题、思维模式与政治因素都对准则趋同进程产生着很大影响。近年来,国际会计准则委员会(IASB)已经编制了集全面性、连续性与高质量于一身的国际财务报告准则(IFRS)。那么,这套准…     

The relationship marketing orientation of Hong Kong financial services industry managers and its links to business performance

The importance of a relationship marketing orientation (RMO) in the Hong Kong financial services industry is examined and a RMO construct tested for its impact on business performance. Following an earlier study of RMO that found a significant positive association with business performance in a sample dominated by a Hong Kong wholesaling, retailing, and associated activities, our study of RMO in the financial services sector found a similar association but of greater strength. RMO factors, however, vary in their effect on particular business performance indicators, complicating the picture of how RMO works to improve business performance. For example, communication is the only factor with a significant association with customer retention but is unimportant for market share. Although the elements of RMO are interdependent, differences in contribution to achieving particular business performance outcomes suggest the need for a fine-grained approach to building a RMO strategy, one crafted to the service context and particular business performance goals.     

A remark on the measurability of large games

A game with a continuum of players is described by a function assigning payoff functions to players and satisfying some measurability properties. In this note we establish the equivalence between several measurability assumptions that have been made in the literature. I thank an anonymous referee for very helpful comments and John Huffstot for editorial assistance. Financial support from a Nova Fórum grant is gratefully acknowledged.     

Macroeconomic Forecasting using Low‐frequency Filters

We consider univariate low‐frequency filters applicable in real‐time as a macroeconomic forecasting method. This amounts to targeting only low frequency fluctuations of the time series of interest. We show through simulations that such approach is warranted and, using US data, we confirm empirically that consistent gains in forecast accuracy can be obtained in comparison with a variety of other methods. There is an inherent arbitrariness in the choice of the cut‐off defining low and high frequencies, which calls for a careful characterization of the implied optimal (for forecasting) degree of smoothing of the key macroeconomic indicators we analyse. We document interesting patterns that emerge: for most variables the optimal choice amounts to disregarding fluctuations well below the standard business cycle cut‐off of 32 quarters while generally increasing with the forecast horizon; for inflation and variables related to housing this cut‐off lies around 32 quarters for all horizons, which is below the optimal level for federal government spending.     

Territorial dynamics and social differentiation among peasants in the northern highlands of Ecuador

This article addresses the process of social differentiation among peasants who were beneficiaries of the 1960s agrarian reform in the northern highlands of Ecuador. Although peasants obtained access to land that was previously in the hands of the haciendas, the incipient process of social differentiation that arose at that time was not halted. Today, peasants are incorporated into a commercial dynamic through milk production for agribusiness that has deepened the process of social differentiation between communities and within them. The supremacy of economic capital in the social field leads to a crisis in the traditional practices of reciprocity and to the incorporation of productive strategies and new “habitus” of consumption that have generated profound transformations in the territory.     

The Cognitive-Affective-Conative Model of Destination Image: A Confirmatory Analysis

ABSTRACT

Destination image influences tourist behavior before, during, and after travel, as it is an important instrument which contributes to tourists’ loyalty. Although Gartner (1993 Gartner, W. 1993. “Image formation process”. In Communication and channel systems in tourism marketing, Edited by: Uysal, M. and Fesenmaier, D. 191–215. New York, NY: The Haworth Press.  [Google Scholar]) advocates that the cognitive, affective, and conative dimensions of destination image are hierarchically interrelated, there is no empirical evidence to support the complete model. This study aims to test the hierarchical nature of the relationship between the dimensions of destination image. The results of structural equation modeling confirm Gartner's theoretical model, validating the theory that the influence of the cognitive component on the conative dimension is higher when mediated by the affective component, raising managerial implications.