Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004

The purpose of this paper is to analyze the impact of the Bank of Japan's official interventions on the JPY/USD parity during the period 1992–2004. The novelty of our approach is to combine two recent advances of the empirical literature on foreign exchange interventions: (i) drawing on over-the-counter option prices to characterize more precisely the distribution of market expectations; (ii) redefining interventions in terms of events as they tend to come in clusters. Moreover, in order to deal with the features of the data (small sample size, non-standard distribution), we use bootstrap tests.We show that interventions have a significant impact on the mean expectation (the forward rate). The results are more ambiguous for variance. Additionally, we find that the effect of interventions on skewness is significant, robust to different definitions of skewness, and consistent with the direction of interventions. On the contrary, our results clearly show that kurtosis is not affected by interventions. We finally show that: (i) coordination increases effectiveness of interventions; (ii) results are not altered when controlling for other economic and political news.     

Evolution of harvesting strategies: replicator and resource dynamics

Abstract. Economic theories of managing renewable resources, such as fisheries and forestry, traditionally assume that individual harvesters are perfectly rational and thus able to compute the harvesting strategy that maximizes their discounted profits. The current paper presents an alternative approach based on bounded rationality and evolutionary mechanisms. It is assumed that individual harvesters face a choice between two harvesting strategies. The evolution of the distribution of strategies in the population is modeled through a replicator dynamics equation. The latter captures the idea that strategies yielding above average profits are demanded more than strategies yielding below average profits, so that the first type ends up accounting for a larger part in the population. From a mathematical perspective, the combination of resource and evolutionary processes leads to complex dynamics. The paper presents the existence and stability conditions for each steady-state of the system and analyzes dynamic paths to the equilibrium. In addition, effects of changes in prices are analyzed. A main result of the paper is that under certain conditions both strategies can survive in the long-run. Correspondence to: J. Noailly     

Analysing enterprise architecture maturity models: a learning perspective

In order to aid organisations in the adoption of enterprise architecture (EA) best practices, maturity models have been proposed in the literature. These models offer organisational roadmaps and assessment frameworks for increasing EA maturity. However, key questions concerning the implied meaning of the term maturity in the context of these models have been left unexplored by previous research. This research, aided by the field of organisational learning, offers new insights into the implied assumptions of current EA maturity models and offers initial concepts and constructs to guide the conceptualisation, construction and refinement of enterprise maturity models.     

Surplus distribution and characteristics of social enterprises: Evidence from microfinance

The issue of surplus distribution has hardly been analyzed in the context of the social economy. This paper highlights the main drivers of distribution between various stakeholders of microfinance institutions (MFIs), which are an example of social enterprises. We focus on three major variables: size, governance structure and subsidies. Our results show that the size of the institution is the main indicator of the surplus that the organization keeps as a self-financial margin. Moreover, MFIs with a cooperative ownership structure allocate a larger part of their surplus to their employees, whereas non-profit organizations and shareholder-firm MFIs do not allocate their surplus in a significantly different way among their main stakeholders. Finally, we do not find any clear-cut effect of subsidies on the surplus allocation process.     

Disaggregating the Demand for Pesticides: Does it Matter?

This paper analyzes the demand of French farmers for pesticides by disaggregating among the three main categories of pesticides. We estimate the demand elasticities of herbicides, insecticides, and fungicides with respect to pesticide expenditure, and also consider crop differentiation. We retain a Linear Approximated Almost Ideal Demand System specification. A Full‐Information Maximum Likelihood estimation procedure is used to deal with corner solution problems and censored data. The estimation is based on two cross‐sections covering pesticide use of three major crops cultivated in France in 2001 and 2006. Our results show that farmers' response to price variation is very low, especially for 2001. Furthermore, elasticities of pesticide expenditure are significantly different across categories: the highest levels are obtained for fungicides and the lowest ones for insecticides. Finally, we find higher own‐price elasticities for herbicides and fungicides than for insecticides, which are less frequently used.     

International business research output and rankings of Asia-Pacific universities: A 40-year time-series analysis

This study measures and ranks the performance of countries and academic institutions based on a 40-year analysis of publications appearing in 14 leading business and management journals. The focus is on the evolution of Asia-Pacific institutions in international business research output during this period. In addition, an examination is performed to identify factors associated with Asia-Pacific institutions that have achieved the highest rankings. This research shows that the Journal of International Business Studies and the Journal of World Business were central in spreading international business research, as well as in supporting research by authors from the Asia-Pacific region. Further, schools such as Harvard, Wharton, and University of South Carolina have maintained the highest ranks in research output throughout the 40-year period, but recent years have witnessed the emergence of the Chinese University of Hong Kong and University of Hong Kong, among others, in those top ranks.     

A STRUCTURAL RISK‐NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES

We develop a structural risk‐neutral model for energy market modifying along several directions the approach introduced in Aïd et al. In particular, a scarcity function is introduced to allow important deviations of the spot price from the marginal fuel price, producing price spikes. We focus on pricing and hedging electricity derivatives. The hedging instruments are forward contracts on fuels and electricity. The presence of production capacities and electricity demand makes such a market incomplete. We follow a local risk minimization approach to price and hedge energy derivatives. Despite the richness of information included in the spot model, we obtain closed‐form formulae for futures prices and semiexplicit formulae for spread options and European options on electricity forward contracts. An analysis of the electricity price risk premium is provided showing the contribution of demand and capacity to the futures prices. We show that when far from delivery, electricity futures behave like a basket of futures on fuels.     

Job Loss and Entrepreneurship

We examine the impact of job loss on entrepreneurship behaviour. Our identification strategy relies on the use of mass layoffs caused by bankruptcies as indicators of exogenous displacement. Building on Norwegian register data, we find that working in a company which is going to close down due to bankruptcy in the near future raises the subsequent entrepreneur propensity by 155% for men and 180% for women, compared to working in a stable firm. These estimates are much larger than previously reported in the literature. Taking into account that many workers lose their jobs in the comparison group of stable firms also, we suggest that the full effects of displacement are even larger.     

THE DYNAMIC PROPERTIES OF ALTERNATIVE ASSUMPTIONS ON PRICE ADJUSTMENT IN NEW KEYNESIAN MODELS

This paper presents a classification of the different new Phillips curves existing in the literature as a set of choices based on three assumptions: the choice of the structure of price adjustments (Calvo or Taylor), the presence of backward indexation and the type of price contracts (fixed prices or predetermined prices). The paper suggests study of the dynamic properties of each specification, following different monetary shocks on the growth rate of the money stock. We develop the analytical form of the price dynamics, and we display graphics for the responses of prices, output and inflation. We show that the choice made for each of the three assumptions has a strong influence on the dynamic properties. Notably, the choice of the price structure, while often considered as unimportant, is indeed the most influential choice concerning the dynamic responses of output and inflation.