Risk premiums and predictive ability of BAX futures

This study provides an in‐depth analysis of risk premiums in the Canadian Bankers' Acceptances futures (BAX) market. The predictive regressions for excess and holding‐period returns on BAX futures lend empirical support to the presence of time‐varying risk premiums especially at longer horizons. Despite the evidence of time variation in the risk premium, however, the unbiasedness of the basis as a predictor of spot returns in forecast efficiency regressions cannot be rejected. The out‐of‐sample forecasts of spot returns demonstrate the excellent predictive ability of models that exploit the restrictions implied by the unbiasedness hypothesis. Overall, our findings support the presence of a slowly moving risk premium and entail important practical implications for measuring monetary policy expectations and portfolio allocation. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark     

An Exploratory Study of the Impact of Degree of Religiousness Upon an Individual's Corporate Social Responsiveness Orientation

The recent failures and scandals involving many large businesses have highlighted the importance of corporate social responsibility as a fundamental factor in the soundness of the free market system. The corporate social responsiveness orientation of business executives plays an important role in corporate decision making since managers make important decisions on behalf of their corporations. This paper explores whether there is a relationship between an individual's degree of religiousness and his or her corporate social responsiveness (CSR) orientation. The results of a survey of 473 business students found a significant relationship between degree of religiousness and attitudes toward the economic and ethical components of CSR. Some explanations as well as limited generalizations and implications are developed.     

Practical Implications of Educational Background on Future Corporate Exceutives' Social Responsibility Orientation

Differences between business students atsecular and non-secular universities withregard to their corporate social responsibilityorientation (CSRO) are examined. The resultsshow that the two groups' attitudes toward thefour components of CSRO are significantlydifferent. Specifically, compared to businessstudents in non-secular institutions, thestudents of secular universities exhibitgreater concern about the legal component ofcorporate responsibility and a weakerorientation toward discretionary activities. Nosignificant differences between the two groupswere observed with respect to economicperformance and the ethical dimension.Explanations as well as limited generalizationsand implications are developed.     

Currency crisis transmission through international trade

The Eurozone recent crisis has shown how balance of payments problems in less developed European Monetary Union (EMU) member countries can affect EMU trading partners, spreading the crisis to a larger group of countries. This paper introduces a three-country dynamic general equilibrium model to analyze whether and how terms of trade effects can generate a spillover effect or a currency crisis transmission between countries. Specifically, using a two period model, it incorporates world market clearing conditions for tradables into a new theoretic model, analyzes net capital flow movements between countries, and establishes cross-border macroeconomic linkages. This paper shows how a currency crisis can transmit through the real (trade) sector channel of the economy.     

On the Causes and Effects of Exchange Rate Volatility on Economic Growth: Evidence from Ghana

What drives exchange rate volatility, and what are the effects of fluctuations in the exchange rate on economic growth in Ghana? These questions are the subject matter of this study. The results showed that while shocks to the exchange rate are mean reverting, misalignments tend to correct very sluggishly, with painful consequences in the short run as economic agents recalibrate their consumption and investment choices. About three quarters of shocks to the real exchange rate are self-driven, and the remaining one quarter or so is attributed to factors such as government expenditure and money supply growth, terms of trade and output shocks. Excessive volatility is found to be detrimental to economic growth; however, this is only up to a point as growth-enhancing effect can also emanate from innovation, and more efficient resource allocation.     

Managers’ Attitudes Toward Codes of Ethics: Are There Gender Differences?

As the need for more diversity in business ethics is becoming more pressing in our global world, we provide an historical study of a Fair Trade (FT) movement, born in rural Mexico. We first focus on the basic assumptions of its founders, which include a worker–priest, Frans van der Hoff, a group of native Indians and local farmers who formed a cooperative, and an NGO, Max Havelaar. We then review both the originalities and challenges of the FT movement and its potential contributions to the current theories and practices in business ethics.     

The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium

In this paper, we examine the effects of expected and surprise components in Federal funds target rate changes on realized and implied volatility. We find that surprise changes in the target rate significantly increase volatility. Consistent with the efficient market hypothesis, our analysis suggests that the expected component of a target rate change as well as the target rate change itself, do not significantly affect volatility. We also show that larger than expected decreases in the Federal funds target rate tend to lower the volatility risk premium.     

Unification of Dual Foreign Exchange Markets

In this paper I investigate the impact of overnight floating of the official rate and easing foreign exchange restrictions on post-unification domestic inflation rate. After analysing the behaviour of an economy under dual foreign exchange markets, an official market with a crawling foreign exchange rate and a free illegal parallel market. The paper also shows that maintaining a unified free exchange rate depends on the degree of foreign exchange restrictions under dual foreign exchange system and on the level of the official reserve that prompts foreign exchange liberalisation policy. This revised version was published online in July 2006 with corrections to the Cover Date.