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...     

The education pillar of the Europe 2020 strategy: a convergence analysis

Empirica - In March 2010, the European Commission launched the Europe 2020 strategy ‘for smart, sustainable and inclusive growth’ in the EU. Education is a major pillar of the Europe...     

Mapping global sustainability report scoring: a detailed analysis of Europe and Asia

This study maps the General Reporting Initiative (GRI) relations for a set of global enterprises. Enterprise interrelationships are built using the Mutual Information (MI) of the data reported by enterprises. From the MI topology, we describe interrelationships among the enterprises using chord diagrams to represent the inter- and intra-connectivity between geographical regions and economic sectors globally, by continent and country. Detailed maps are presented for European and Asian regions/sectors, including the relationship between Europe and Asia’s top reporting countries. Our findings reinforce previous research regarding the role of Europe as a driver of sustainability and its influence worldwide. We also determined that Spain is a major player in Europe and that Northern Europe does not have the assumed leading role mentioned in related studies. Eastern Asia is, by far, the leader of the region, and the GRI maps demonstrate the preponderant role of China in the region and the minimal role of India. MI topology maps outline the behavior of the economic sectors, for all the studied regions. Furthermore, a measure that relates the inter- to intra-connections is presented to describe the internal an external relationships among regions/sectors.     

Are you really doing good things in your boss's eyes? Interactive effects of employee innovative work behavior and leader–member exchange on supervisory performance ratings

Organizations increasingly depend on employee efforts to innovate. However, the quality of relationships between leaders and employees may affect the recognition that employees receive for their innovative work behaviors. Drawing from a social cognition perspective, we tested a model in which leader–member exchange (LMX) moderates the impact of employee innovative work behavior on supervisory ratings of employee performance. Results from two multisource studies combining self, colleague, and supervisor ratings consistently showed that employees receive more favorable performance ratings by engaging in innovative work behavior when they have high‐quality LMX relationships. Moreover, we found that this interactive relationship was mediated by leader perceptions of innovative employee efforts, providing support for a moderated mediation model. Implications for the literatures on performance appraisal, LMX, and innovation are discussed.     

Assessing information integration processes: a comparison of findings obtained with between-subjects designs versus within-subjects designs

Quality & Quantity - Within-subject designs (WSDs) remain unpopular in psychology. Social psychologists have argued that they create “demand” and “order” effects....     

The cross‐cultural study of LMX and individual employee voice: The moderating role of conflict avoidance

This article examines the role of national culture, measured by conflict avoidance, on the relationship between leader–member exchange (LMX) and individual employee voice. Using data collected from automotive industry employees in the United States and Korea, the findings show that conflict avoidance is negatively related to employee voice and also moderates the relationship between LMX and employee voice in the Korean sample. In particular, the relationship between LMX and voice becomes less positive when conflict avoidance is high. On the other hand, conflict avoidance does not have a direct effect on employee voice as well as an interactive effect with LMX on employee voice in the U.S. sample. This study, therefore, highlights the importance of the national culture in the comparative study of employee voice.     

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.     

Environmental Policy,Sustainable Development,Governance Mechanisms and Environmental Performance

We investigate the effects of environmental policy (Climate Change Act – CCA), sustainable development frameworks (Global Reporting Initiative – GRI; UN Global Compact – UNGC) and corporate governance (CG) mechanisms on environmental performance (carbon reduction initiatives – CRIs; actual carbon performance – GHG emissions) of UK listed firms. We use the generalized method of moments (GMM) estimation technique to analyse data consisting of 2245 UK firm‐year observations over the 2002–2014 period. First, we find that the CCA has a positive effect on CRIs, and this effect is stronger in better‐governed firms. Second, we find that the GRI‐based framework is positively associated with CRIs. Third, we find that firms with poor CG structures have lower actual carbon performance compared with their better‐governed counterparts. Overall, our evidence suggests that firms can symbolically conform to environmental policy (CCA) and sustainable development frameworks (GRI, UNGC) by engaging in CRIs without necessarily improving actual environmental performance (GHG emissions) substantively. Copyright © 2017 John Wiley & Sons, Ltd and ERP Environment     

Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison

We use several U.S. and euro‐area surveys of professional forecasters to estimate a dynamic factor model of inflation featuring time‐varying uncertainty. We obtain survey‐consistent distributions of future inflation at any horizon, both in the U.S. and the euro area. Equipped with this model, we propose a novel measure of the anchoring of inflation expectations that accounts for inflation uncertainty. Our results suggest that following the Great Recession, inflation anchoring improved in the United States, while mild de‐anchoring occurred in the euro area. As of our sample end, both areas appear to be almost equally anchored.     

Investor behaviour and reaching for yield: Evidence from the sterling corporate bond market

We provide evidence on how corporate bond investors react to a change in yields, and how this behaviour differs in times of market‐wide stress. We also investigate ‘reaching for yield’ across investor types, as well as providing insights into the structure of the corporate bond market. Using proprietary sterling corporate bond transaction data, we show that insurance companies, hedge funds and asset managers are typically net buyers when corporate bond yields rise. Dealer banks clear the market by being net sellers. However, we find evidence for this behaviour reversing in times of stress for some investors. During the 2013 ‘taper tantrum’, asset managers were net sellers of corporate bonds in response to a sharp rise in yields, potentially amplifying price changes. At the same time, dealer banks were net buyers. Finally, we provide evidence that insurers, hedge funds and asset managers tilt their portfolios towards higher risk bonds, consistent with ‘reaching for yield’ behaviour.