An empirical note about estimation and forecasting Latin American Forex returns volatility: the role of long memory and random level shifts components

Portuguese Economic Journal - A set of RLS-type models with ARMA and ARFIMA dynamics is estimated and compared in a forecasting exercise with ARFIMA, GARCH and FIGARCH models. It is an extension of...     

Hayek on the essential dispersion of market knowledge

The Review of Austrian Economics - A key insight in Hayek’s thought is the importance of so-called “local knowledge” in economic activity. In The Fatal Conceit, he states that...     

Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements

We propose a new framework exploiting realized measures of volatility to estimate and forecast extreme quantiles. Our realized extreme quantile (REQ) combines quantile regression with extreme value theory and uses a measurement equation that relates the realized measure to the latent conditional quantile. Model estimation is performed by quasi maximum likelihood, and a simulation experiment validates this estimator in finite samples. An extensive empirical analysis shows that high‐frequency measures are particularly informative of the dynamic quantiles. Finally, an out‐of‐sample forecast analysis of quantile‐based risk measures confirms the merit of the REQ.     

Capital gains lock-in and governance choices

Differences in accrued gains and investors’ tax-sensitivity induce variation in a capital gains lock-in effect across mutual funds even for the same stock at the same time. Exploiting this variation, we show this effect influences funds’ governance decisions: higher capital gains decrease the likelihood a fund exits prior to contentious votes and increase the likelihood a fund votes against management. Consistent with tax motivation, these findings are concentrated among funds with tax-sensitive investors. Further, high aggregate capital gains across funds holding a stock predict a higher likelihood management loses a vote and a lower likelihood a contentious vote is proposed.     

The scope and scale of the informal food economy of South African urban residential townships: Results of a small-area micro-enterprise census

Growing urbanisation in South Africa is reflected in burgeoning Working class and informal township settlements on the fringes of its major towns and cities. Paired with this is an increasing reliance on cash as the primary means of economic transaction, which has in turn stimulated the growth of micro-enterprise business activities within the township context. This article discusses the findings of an eight-township small-area census which occurred between 2010 and 2013 in Cape Town, Johannesburg, Ekurhuleni and Durban townships representing 250 000 residents. The researchers were able to establish the scope and scale of informal food and drink retailing in these localities. Of the 10 049 micro-enterprises located in the study, some 3966 (or 39% of the total) trade in food. These include enterprises in primary production, fresh produce retailing, grocery retailing from house and spaza shops, and informal foodservice enterprises. Food is the basis for much township informal business and plays an important role in making food increasingly affordable and locally accessible, and in creating cash employment. The article builds on the knowledge base of the township informal economy role in bolstering food security needs for the marginalised.     

Analyse der Marktaussichten von Biogasanlagen

Without guaranteed compensation, granted by the German Renewable Energy Sources Act (Erneuerbare Energien Gesetz/EEG), biogas plants compete with all other plant types on the market for electrical energy. However, exchange-based electricity products do not currently permit an economically viable operation of biogas plants owing to their cost situation.     

Factor Heterogeneity,Factor Market Imperfection and Trade

This paper develops a tractable model of examining how factor heterogeneity and imperfect factor market interact for determining a pattern of trade. Institution plays a crucial role for the interaction. In my work, firm productivity is defined as a composition of factor productivity and technology. Thus, input selection should affect the pattern of Melitz’s intra-industry allocation due to the incurring transaction cost. For a simple model, I assume two factors (labor and capital) and two sectors, which are relatively less institution-dependent and relatively more institution-dependent. When the economy is open, effect of the transaction cost on income distribution is more drastic for an institutionally underdeveloped country. Depending on institutional quality, the economic openness reallocates resource across countries through job creation or job destruction. The job turnovers redistribute income between heterogeneous labors within countries. The income redistribution is catalyzed by international mobility of capital. As a result, income disparity is widened between the institutionally developed country and the institutionally underdeveloped country. This paper can contribute to the literature of institution and international trade.     

Corrigendum to “Characterization of the asymptotic distribution of semiparametric M-estimators” [J. Econometrics 159 (2) (2010) 252–266]

This note provides correction to Ichimura and Lee (2010).     

The US financial crisis and corporate dividend reactions: for better or for worse?

Review of Quantitative Finance and Accounting - We examine how changes in dividend policy in 2008 as the financial crisis was unfolding influenced firm risk-adjusted returns in the following years....