The Evolution of the Credit‐to‐GDP Ratio: An Empirical Analysis

We assess the persistence of the credit‐to‐GDP ratio over more than 130 years of data for 11 advanced economies, employing an approach based on fractional integration and allowing for nonlinearities. We show how the time series properties of the data changed around World War II (WWII). Moreover, our findings are consistent with the idea that the supply of mortgage loans has been particularly strong since WWII, in the sense that the degree of integration of the leverage ratio obtained with only these loans is larger than that of the ratio obtained with the total loans for almost all the studied countries. Nevertheless, it is generally the case that both types of ratios show a higher degree of integration after WWII than before it, though often insignificantly, and that their time trends are significant only after WWII.     

Calendar effects in Latin American stock markets

One of the most well-documented empirical regularities in international finance is the presence of calendar effects in historical stock returns. The literature focuses mainly on developed countries, and in general, emerging markets have not received much attention on this issue. We aim to bridge this gap by documenting the existence of significant and robust calendar effects for the main stock markets in Latin America. Upon performing an extreme bounds analysis that adjusts our estimations for model uncertainty, we find a significantly negative Monday effect, generally compensated by a significantly positive Friday effect. These effects are robust to model specification and are stable through time. Even though not as widespread, we also find evidence for a robust turn-of-the-month effect.     

Cyclical behavior of crude oil markets and economic recessions in the period 1986–2010

For at least one century, crude oil has been one of the most important commodities for the worldwide economic activity. Important technological innovations, including chemical transformation processes and transportation systems, have been based on the availability or not of crude oil. In this way, a close understanding of the crude oil market dynamics should provide insights in important aspects related to potential directions of technological change for both improving crude oil transformation efficiency and substitution by alternative energy sources. This paper studies the dynamics of the crude oil price for the period from 1986 to 2010. To this end, the entropy time-asymmetry is computed along the price trajectory. Empirical results indicated the presence of a non-regular cyclical behavior with a dominant period of about 4.5 years. Some evidences pointing toward a comovement of entropy time-asymmetry peaks with major US economic recessions are found, suggesting a tight relationship between macroeconomy and crude oil prices. The results are discussed in terms of the major economic events that occurred in the upward and downward cycle periods and potential implications for the design of energy policies.     

Protesting and Justifying: A Latent Class Model for Contingent Valuation with Attitudinal Data

This article develops a latent class model for estimating willingness-to-pay (WTP) for public goods using simultaneously contingent valuation (CV) and attitudinal data to identify individuals with similar characteristics, such as WTP and protest attitudes. We find evidence that the answer to the CV question influences the responses to the attitudinal questions. In our case, this influence reflects rational behavior (budget constraint issues) and justification biases related to protest reasons, such as lack of trust in institutions or fairness issues with respect to the distribution of the burden of preservation. The results from our empirical application confirm the importance of accounting for those biases.     

Uncovering the US term premium: An alternative route

The estimates of the US term premium crucially depend upon the ex-ante decision on whether the short-term rate is either an I(0) or an I(1) process. In this paper we estimate a fractionally integrated (I(d)) model which simultaneously determines both the order of integration of the short-term rate and the associated term premium. We show that the term premium experienced a sharp increase from essentially zero in mid-2007 to almost 3% in 2009. We also show that unemployment and term premium dynamics exhibit a very significant positive co-movement.     

Improving Diversification Opportunities for Socially Responsible Investors

Socially responsible investment (SRI) has grown enormously and has expanded globally in recent years. It allows SRI investors to reduce their portfolio risk assumptions through international diversification. In this context, the aim of this paper is twofold (i) to examine price and volatility linkages among the most representative SRI indexes for North America, Europe, and Asia-Pacific employing a multivariate approach and (ii) to provide the out-of-sample performance of an optimal portfolio constructed on the basis of time-varying return and volatility forecasts from this specification approach. Our overall results show that using this technique, it is possible to reduce risk and out-perform the naïve rule, which is usually employed in this type of investment. These findings are relevant not only for academics but also for practitioners, especially for professional managers of SRI portfolios.     

Can Agile Project Management Be Adopted by Industries Other than Software Development?

This research paper presents evidence from an exploratory survey on the use of agile project management (APM) practices and the presence of APM enablers in 19 medium‐ and large‐sized companies from different industry sectors considering innovative projects. The results show that these companies are possibly struggling to use their current management practices in the face of different project challenges. Additionally, the presence of some APM enablers indicates opportunities to adapt the APM theory for different companies other than those in software development. Future research should explore the correlation between APM practices and enablers in order to develop “hybrid” management models for different industries.