ON THE ROBUSTNESS OF RANGE‐BASED VOLATILITY ESTIMATORS

We empirically examine Parkinson's range‐based volatility estimate in the federal funds market, which is unique because institutional regulations create a predictable pattern in interday volatility. We find that range‐based volatility estimates and standard deviations produce the expected volatility pattern. We also find that at trading pressure points where microstructure noise should be greatest, range‐based estimates are less than the standard deviations. Thus, we support the argument that range‐based volatility estimates remove the upward bias created by microstructure noise. We find that the Parkinson method is the most efficient range‐based volatility measure among a set of alternates in this market.     

Relative concerns of rural-to-urban migrants in China

As their environment changes, migrants constitute an interesting group to study the effect of relative income on subjective well-being. This paper focuses on the huge population of rural-to-urban migrants in China. Using a novel dataset, we find that the well-being of migrants depends on several reference groups: it is negatively affected by the income of other migrants and workers of home regions; in contrast, we identify a positive, ‘signal’ effect vis-à-vis urban workers: larger urban incomes indicate higher income prospects for the migrants. These effects are particularly strong for migrants who wish to settle permanently, decline with years since migrations and change with other characteristics including work conditions and community ties.     

Preparing for evil

How can you plan for every crisis that might occur, even for ones you can't imagine? The task seems so daunting and so limitless that many firms don't even start. In fact, as the authors' 20 years of research shows, three out of four Fortune 500 companies are prepared to handle only the types of calamities they've already suffered, and not even all of those. That's unfortunate because the research also shows that crisis-prepared companies fare better financially, have stronger reputations, and ultimately stay in business longer than their crisis prone counterparts. Crisis-prepared companies use a systematic approach to focus their efforts. In addition to planning for natural disasters, they divide man-made calamities into two sorts--accidental or "normal" ones, like the Exxon Valdez oil spill, and deliberate or "abnormal" ones, like product tampering. Then they take steps to broaden their thinking about such potential crises. They consider threats that would be common in other industries, for instance. And they seek input from outsiders such as investigative journalists and even reformed criminals. But if these companies think broadly about possible threats, they think narrowly about implementation. Each year, smart companies focus their resources and attention on a few facilities picked at random, just as airlines conduct detailed security checks on just a few passengers for each flight. That reduces the probability of an attack on the entire organization even as it allows the business to migrate steadily to a higher level of crisis readiness. Crisis-prepared companies know that disasters cannot be managed through cost-benefit analyses. It is precisely because the effects of a disaster cannot be predicted or controlled that smart companies focus their efforts on preventing crises rather than containing them after the fact.     

Temporary open market operation on MBS repos: any foreshadowing of the financial crisis of 2008?

The financial crisis of 2008 was significantly influenced by housing, mortgage markets and mortgage-backed securities (MBS). The Federal Reserve (Fed) conducts temporary open market operations on a daily basis and frequently uses repos on MBS. With this daily interaction with MBS, we examine whether any signal about the impending financial crisis could have been seen in the Fed’s temporary open market operations. We identify four anomalous events in MBS temporary open market operations and examine those events for signals of the financial crisis. We find nothing in the four events that would have provided signals of the financial crisis. Instead, the common feature of the four events is an unusually large supply of MBS made available to the Fed for those day’s temporary open market operations.     

An analysis of regime shifts in the Turkish economy

We use a time-varying dynamic factor model with regime switching to construct and estimate the leading indicators of the currency crises in Turkey. After that, we analyze the business cycles of the Turkish economy, by using a three-state univariate Markov-switching model. Both models capture the observed dynamics of the Turkish economy over the period 1987–2002.     

Finite‐sample comparison of alternative methods for estimating dynamic panel data models

The Wooldridge method is based on a simple and novel strategy to deal with the initial values problem in nonlinear dynamic random‐effects panel data models. The characteristic of the method makes it very attractive in empirical applications. However, its finite sample performance and robustness are not fully known as of yet. In this paper we investigate the performance and robustness of this method in comparison with an ideal case in which the initial values are known constants; the worst scenario is based on an exogenous initial values assumption, and the Heckman's reduced‐form approximation method, which is widely used in the literature. The dynamic random‐effects probit and Tobit (type I) models are used as working examples. Various designs of the Monte Carlo experiments and two further empirical illustrations are provided. The results suggest that the Wooldridge method works very well only for the panels of moderately long duration (longer than 5–8 periods). Heckman's reduced‐form approximation is suggested for short panels (shorter than 5 periods). It is also found that all the methods tend to perform equally well for panels of long duration (longer than 15–20 periods). Copyright © 2011 John Wiley & Sons, Ltd.     

The effect of religiosity and religious festivals on positional concerns – an experimental investigation of Ramadan

This article examines the effect of religion on positional concerns using survey experiments. We focus on two of the dimensions of religion – degree of religiosity and religious festivals. By conducting the experiments during both the most important day of Ramadan (the Night of Power) and a day outside Ramadan, we find that Ramadan overall has a small and negative impact on positional concerns. Detailed analyses based on the sorting of individuals’ degree of religiosity reveal that the decrease in the degree of positional concerns during Ramadan is mainly explained by a decrease in positionality among individuals with a low degree of religiosity.     

Web content analysis of agricultural cooperatives located in Turkey

After the appearance of the globalization process post of 1980＇s, world has becaming a big village, that had been brought many important outcomes related with cooperatives which are aimed to emit the capital to the base. These conditions have been forced the movement to adopt themselves to this process vitally. As of year 2007, there are 26 several types of cooperatives with 90.086 unit cooperatives which have total number of 8,561.618 partners that are all dependent to Turkish cooperative association as well as Ministry of Industry and Commerce. In this study, the web sites of Turkish agricultural cooperatives were examined in terms of their contents. Also, it is tried to find out the sufficiency level of their electronic marketing activities. Within the context of this study, web sites of 5 agricultural cooperatives are examined in terms of their design.