中介性、公共性、外部性与注册会计师行业的监管模式

本文从对注册会计师行业中介性、公共性、外部性的科学分析入手,根据斯蒂芬·P.罗宾斯的组织与环境理论,构建了对注册会计师行业的自律监管模式、政府监管模式和独立监管模式,并对其进行分析与评价,进而提出应根据本国的现实情况,选择合适的注册会计师行业监管模式.     

Calibrating an algorithm for estimating transactions from FXFX exchange rate quotes

In this paper we investigate the efficiency of a class of transaction-generating algorithms, originally suggested in Bollerslev and Domowitz (1993). Our comparison utilizes real transaction data recorded over Reuters D2000-2 electronic broking system for 7 h in June 1993 and transaction data generated from FXFX quotations over an identical period. Results suggest that, at this high-frequency data sampling, the performance of these transaction-generating algorithms is poor, with the most likely explanation of this outcome due to the high-frequency characteristics of FXFX spreads and quotation intensity.     

Central bank intervention and the volatility of foreign exchange rates: evidence from the options market

This paper tests the effects of central bank intervention on the ex ante volatility of $/DM and $/yen exchange rates between 1985 and 1991. In contrast to previous research which employed GARCH estimates of conditional volatility, we estimate ex ante volatility using the implied volatilities of currency option prices. We also control for the effects of other macroeconomic announcements. We find little support for the hypothesis that central bank intervention decreases expected exchange rate volatility. Instead, central bank intervention is generally associated with a positive change in ex ante exchange rate volatility, or with no change.     

Does the cost of capital differ across countries? An agency perspective*

In this keynote speech, I ask the question: Does the cost of capital differ for firms located in different countries? I argue that there are two ways to look at the cost of capital. First, there is the neoclassical perspective, which assumes that there are no agency problems. In integrated markets, the neoclassical cost of capital is the same in every country. Second, there is the agency perspective. Agency costs increase the cost of capital understood as the expected rate of return necessary for an investment to leave the value of the firm unaffected. Adjusting the cost of capital for agency costs, I argue that it differs across countries because of differences in corporate governance. I then provide a comparison of the agency-adjusted cost of capital between Japan and the US.     

Should business groups be dismantled? The equilibrium costs of efficient internal capital markets

We analyze the relationship between conglomerates’ internal capital markets and the efficiency of economy-wide capital allocation, and we identify a novel cost of conglomeration that arises from an equilibrium framework. Because of financial market imperfections engendered by imperfect investor protection, conglomerates that engage in winner-picking (Stein, 1997 [Internal capital markets and the competition for corporate resources. Journal of Finance 52, 111–133]) find it optimal to allocate scarce capital internally to mediocre projects, even when other firms in the economy have higher-productivity projects that are in need of additional capital. This bias for internal capital allocation can decrease allocative efficiency even when conglomerates have efficient internal capital markets, because a substantial presence of conglomerates might make it harder for other firms in the economy to raise capital. We also argue that the negative externality associated with conglomeration is particularly costly for countries that are at intermediary levels of financial development. In such countries, a high degree of conglomeration, generated, for example, by the control of the corporate sector by family business groups, could decrease the efficiency of the capital market. Our theory generates novel empirical predictions that cannot be derived in models that ignore the equilibrium effects of conglomerates. These predictions are consistent with anecdotal evidence that the presence of business groups in developing countries inhibits the growth of new independent firms because of a lack of finance.     

Human capital and earnings distribution dynamics

Earnings heterogeneity plays a crucial role in modern macroeconomics. We document that mean earnings and measures of earnings dispersion and skewness all increase in US data over most of the working life-cycle for a typical cohort as the cohort ages. We show that (i) a human capital model can replicate these properties from the right distribution of initial human capital and learning ability, (ii) differences in learning ability are essential to produce an increase in earnings dispersion over the life cycle and (iii) differences in learning ability account for the bulk of the variation in the present value of earnings across agents. These findings emphasize the need to further understand the role and origins of initial conditions.     

Inflation and output dynamics with state-dependent pricing decisions

This paper studies a state-dependent pricing model in which firms face a fixed cost of changing their pricing plans. A pricing plan specifies an entire sequence of time-varying future prices. Allowing firms to choose a pricing plan rather than a single price generates inflation inertia in the response of the economy to small changes in the growth rate of money. Allowing firms to choose when to change their pricing plan generates a non-linear response of inflation and output to small and large changes in the money growth rate. The non-linear solution method also reveals that the model generates an asymmetric response of output and inflation to monetary expansions and contractions.     

Target zones in theory and history: Credibility, efficiency, and policy autonomy

An experiment with an exchange-rate band in Austria-Hungary in the early 20th century provides a rare opportunity to discuss critical aspects of the theory of target zones. Providing a new derivation of the target zone model as a set of nested hypotheses, the inference is drawn that policy credibility and market efficiency were paramount in the success of the Austro-Hungarian experience.     

Learning and the central bank

It is well known that sunspot equilibria may arise under an interest rate operating procedure in which the central bank varies the nominal rate with movements in future inflation (a forward-looking Taylor rule). This paper demonstrates that these sunspot equilibria may be learnable in the sense of E-stability.     

The impact of monetary policy on the exchange rate: evidence from three small open economies

This paper studies the impact effect of monetary policy shocks on the exchange rate in Australia, Canada, and New Zealand during the 1990s. Shocks are identified by the reaction of three month market interest rates to policy announcements that were not themselves endogenous to economic news on the same day. The main result is that a 100 basis point contractionary shock will appreciate the exchange rate by 2-3 percent on impact. The association of interest rate hikes with depreciations that is sometimes observed during periods of exchange market pressure is mainly attributable to reverse causality.