The Chinese Enigma: Impacts of WTO Accession Upon Canadian and U.S. Exports and Imports

China's accession to the World Trade Organization (WTO) is an important milestone in the integration of this nation into the world economy. Substantial reduction in trade barriers by China, one of the world's largest and most rapidly growing economies, is expected to have a significant impact, both on China itself and on the global economy. In assessing likely impacts on trade between China and North America of China joining the WTO, a priori one might expect new opportunities for China in labor intensive activities/products, while for the United States and for Canada one might expect added export market opportunities, as China grows, in activities/products that require land, resources and capital. However, the extent to which China and its trading partners will benefit from China's increasing integration into the global economy will largely depend on the internal changes in policy and infrastructure that may be adopted by China. China has embarked on a process of economic reform, but the speed and extent to which this continues to be pursued will affect this nation's ability to capitalize on its comparative advantages and to meet new challenges that are associated with the opportunities of access to a larger market. The difficulty of forecasting such internal changes means that China continues to be a major source of uncertainty in projecting world markets and trade flows. This uncertainty is particularly evident for trade in agricultural products     

Matching and Inverse Propensity Weighting Estimates of the Union Wage Premium: Evidence from Canada, 1997–2014

I estimate the union wage premium for private‐sector workers using Canadian data from Statistics Canada's Labour Force Survey from 1997 to 2014, examining the trend and gender differences in the premium. I obtain my estimates using matching and inverse propensity weighting estimators, which form counterfactuals for union workers. These estimators create better covariate balance and can also be used to address the bias that arises from the log transformation of wages.     

Interest Arbitration and the Narcotic Effect: Evidence from Three Decades of Collective Bargaining in Ontario

We study whether there is increased reliance on interest arbitration, that is, a narcotic or addictive effect or, alternatively, positive state dependence, in public sector contract settlements. We use contract data from three sectors (police, firefighters and hospitals) in the Canadian province of Ontario, which covers 1981 to 2012. The length of our study period yields much longer bargaining histories than previously used, which should provide more compelling evidence on whether there is increased reliance on interest arbitration to settle bargaining impasses over time. We obtain our estimates using a dynamic probit model with random effects that models the initial conditions. Our estimates indicate — across all the sectors we consider and some robustness checks — that there is a narcotic effect in interest arbitration usage despite very different average propensities to use arbitration across sectors.     

The role of ownership structure in integrated reporting policies

Integrated reporting (IR) is used to demonstrate a firm's capacity to create value in the short, medium, and long term. It can better represent existing relationships between the company and its stakeholders, with a particular focus on investors. Attention to IR has grown considerably in recent years. However, studies on the determinants of IR quality are still limited. This study aims to bridge this literature gap by being the first study to analyse the role of ownership structure in IR context. To this end, it uses agency theory and is based on a sample of 152 international companies that have adopted IR. The results indicate a positive effect of institutional ownership and a negative effect of ownership concentration, managerial ownership and state ownership on the quality of integrated reports. These results are also consistent with the level of alignment of integrated reports with the <IR> framework. To our knowledge, this is the first study that analyses the role of ownership structure in the IR policies.     

Francesco Paolo Cantelli

Francesco Paolo Cantelli made fundamental contributions to the foundations of probability theory and to the clarification of different types of probabilistic convergence. He is remembered through the Borel–Cantelli Lemma, the Glivenko–Cantelli Theorem, and Cantelli's Inequality. He also made seminal contributions to actuarial science.     

Financial market models with Lévy processes and time-varying volatility

Asset management and pricing models require the proper modeling of the return distribution of financial assets. While the return distribution used in the traditional theories of asset pricing and portfolio selection is the normal distribution, numerous studies that have investigated the empirical behavior of asset returns in financial markets throughout the world reject the hypothesis that asset return distributions are normally distribution. Alternative models for describing return distributions have been proposed since the 1960s, with the strongest empirical and theoretical support being provided for the family of stable distributions (with the normal distribution being a special case of this distribution). Since the turn of the century, specific forms of the stable distribution have been proposed and tested that better fit the observed behavior of historical return distributions. More specifically, subclasses of the tempered stable distribution have been proposed. In this paper, we propose one such subclass of the tempered stable distribution which we refer to as the “KR distribution”. We empirically test this distribution as well as two other recently proposed subclasses of the tempered stable distribution: the Carr–Geman–Madan–Yor (CGMY) distribution and the modified tempered stable (MTS) distribution. The advantage of the KR distribution over the other two distributions is that it has more flexible tail parameters. For these three subclasses of the tempered stable distribution, which are infinitely divisible and have exponential moments for some neighborhood of zero, we generate the exponential Lévy market models induced from them. We then construct a new GARCH model with the infinitely divisible distributed innovation and three subclasses of that GARCH model that incorporates three observed properties of asset returns: volatility clustering, fat tails, and skewness. We formulate the algorithm to find the risk-neutral return processes for those GARCH models using the “change of measure” for the tempered stable distributions. To compare the performance of those exponential Lévy models and the GARCH models, we report the results of the parameters estimated for the S&P 500 index and investigate the out-of-sample forecasting performance for those GARCH models for the S&P 500 option prices.     

Joint accounting choices: an examination of firms’ adoption strategies for SFAS No. 106 AND SFAS No. 109

We provide insight into an argument that firms minimize the costs imposed by new accounting standards through their adoption choices. Focusing on two standards with potentially large impacts on both balance sheet and income statement accounts for many firms, we present evidence that firms chose their strategies for SFAS No. 106 (OPEB) and 109 (DTAX) jointly rather than separately. We also provide insight into how firms view recurring versus non-recurring charges, and how they weigh the tradeoff between a large one-time (income decreasing) charge against the smaller, but longer lasting effects of amortization.

Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case

The Journal of Real Estate Finance and Economics - We investigate the relationship between building energy efficiency and the probability of mortgage default. To this end, we construct a novel...     

What is in a Name? Group Coordination or Consolidation Plan—What is Allowed Under the EIR Recast?

The European Insolvency Regulation Recast allows for group coordination proceedings if insolvency proceedings have been opened against different companies belonging to a single group. Group coordination proceedings imply the drafting of a group coordination plan in order to define an integrated solution to the group's problems. This plan shall not include recommendations as to any consolidation of proceedings or insolvency estates. Against the backdrop of the evolving notion of ‘procedural consolidation’ and the fact the insolvency practitioners and courts concerned have to cooperate and communicate with each other, this prohibition is misplaced and should be interpreted to mean only that main or secondary proceedings opened in a member state cannot be transferred to another jurisdiction. The effective administration of insolvency proceedings of related group companies often demands an integrated solution to the group's problems, which will inevitably lead to some form of consolidation. Copyright © 2016 INSOL International and John Wiley & Sons, Ltd.     

Real Exchange Rate Forecasting and PPP: This Time the Random Walk Loses

This paper brings four new insights into the Purchasing Power Parity (PPP) debate. First, we show that a half-life PPP (HL) model is able to forecast real exchange rates better than the random walk (RW) model at both short and long-term horizons. Second, we find that this result holds if the speed of adjustment to the sample mean is calibrated at reasonable values rather than estimated. Third, we find that it is preferable to calibrate, rather than to elicit as a prior, the parameter determining the speed of adjustment to PPP. Fourth, for most currencies in our sample, the HL model outperforms the RW also in terms of nominal exchange rate forecasting.