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1.
Cross-country panel data are used to assess the effect of free-tradeagreements on flows of foreign direct investment (FDI). Free-tradeagreements are found to have a significant positive effect onFDI flows, and free-trade agreements are found to matter morefor the smaller members of the agreement. For example, the NorthAmerican Free-Trade Agreements (NAFTA) effect on FDIflows into Mexico is much larger than its effect on flows intothe United States. These cross-country results are used to assessNAFTAs effect on FDI flows into Mexico. After controllingfor a set of other factorssuch as an increase in worldwideFDI flowsthe trade agreement is found to generate FDIflows nearly 60 percent higher than they would have been withoutthe agreement. 相似文献
2.
Preferential trade arrangements should be evaluated by theireffect on prices rather than by their effect on the total valueof trade. This point is emphasized in the theoretical literaturebut rarely implemented empirically. This article analyzes theU.S. Caribbean Basin Initiatives (CBIs) impacton the prices received by eligible apparel exporters. The CBIsapparel preferences are the most important and heavily usedunilateral preferences because of high trade barriers imposedon exports from the rest of the world. A fixed-effects generalizedleast squares (GLS) estimation is used to isolate the effectsof other factors (such as quality, exchange rates, and transactioncosts) and to identify the effects of tariff preferences. CBIexporters capture only about two-thirds of their preferencemargin despite the high degree of competition among importers.This translates into a 9 percent increase in the relative pricesthey receive, with some variance across countries and years.Countries specializing in higher value items capture more ofthe preference margin, and the implementation of the North AmericanFree Trade Agreement (NAFTA) has a negative effect. RemovingMultifibre Arrangement quotas significantly lowers the benefitsof CBI preferences. 相似文献
3.
Cadot Olivier; Carrere Celine; de Melo Jaime; Portugal-Perez Alberto 《World Bank Economic Review》2005,19(3):379-405
The effective market access granted to textiles and apparelunder the North American Free Trade Agreement (NAFTA) is estimated,taking into account the presence of rules of origin. First,estimates are provided of the effect of tariff preferences combinedwith rules of origin on the border prices of Mexican final goodsexported to the United States and of U.S. intermediate goodsexported to Mexico, based on eight-digit Harmonized System tariff-linedata. A third of the estimated rise in the border price of Mexicanapparel products is found to compensate for the cost of complyingwith NAFTAs rules of origin, and NAFTA is found to haveraised the price of U.S. intermediate goods exported to Mexicoby around 12 percent, with downstream rules of origin accountingfor a third of that increase. Second, simulations are used toestimate welfare gains for Mexican exporters from preferentialmarket access under NAFTA. The presence of rules of origin isfound to approximately halve these gains. 相似文献
4.
Unannounced visits were made to health clinics in Bangladeshto determine what proportion of medical professionals were attheir assigned post. Averaged over all job categories and typesof facility, the absentee rate was 35 percent. The absenteerate for physicians was 40 percent at the larger clinics and74 percent at the smaller subcenters with a single physician.Whether the medical provider lives near the health facility,the opportunity cost of the providers time, road access,and rural electrification are highly correlated with the rateand pattern of absenteeism. 相似文献
5.
Jinho Bae 《Annals of Finance》2011,7(1):83-94
Mayfield (J Financ Econ 73:465–496, 2004) has devised a method for estimating the market risk premium, based on a variant
of Merton’s ICAPM wherein volatility is specified as a two-state Markov process. In this study, we assess Mayfield’s key assumption
that investors know the current volatility state with certainty, via empirical testing of the assumption of exogenous Markov-switching
in Mayfield’s model. We detect strong evidence of endogenous switching. This indicates that investors infer the current volatility
state, as opposed to simply observing it. We also find that the risk premium estimates are affected by the switching type. 相似文献
6.
This paper estimates the private and government sector employment effects of American Recovery and Reinvestment Act (ARRA) spending via an instrumental variables strategy. We argue that this aid was effectively fungible and states used it to offset declines in revenue. This enables us to use exogenous variation in states’ budget positions to identify the Act's employment effects. We also exploit exogenous variation across states in ARRA highway funding. According to our benchmark estimates, average state and local government employment, during the 24 months following the program's inception, was between 156,000 and 563,000 persons greater as a result of ARRA spending (90% confidence interval). The corresponding estimate for the private sector ranges from a loss of 182,000 to a gain of 1.1 million jobs. Our point estimate for the implied cost of creating a job lasting one year is $202,000, which is substantially larger than the corresponding estimate from the President's Council of Economic Advisors. 相似文献
7.
Participation in WTO Dispute Settlement: Complainants, Interested Parties, and Free Riders 总被引:4,自引:0,他引:4
What affects a countrys decision of whether to formallyengage in a trade dispute directly related to its exportinginterests? This article empirically examines determinants ofaffected country participation decisions in formal trade litigationarising under the World Trade Organization (wto) between 1995and 2000. It investigates determinants of nonparticipation andexamines whether the incentives generated by the systemsrules and procedures discourage active engagement in disputesettlement by developing country members in particular. Thoughthe size of exports at stake is found to be an important economicdeterminant affecting the decision to participate in challengesto a wto-inconsistent policy, the evidence also shows that measuresof a countrys retaliatory and legal capacity as wellas its international political economy relationships matter.These results are consistent with the hypothesis of an implicit"institutional bias" generated by the systems rules andincentives that particularly affects developing economy participationin dispute settlement. 相似文献
8.
Recent research suggests that management of the public sectorsdebt can have important effects on a countrys macroeconomicperformance. This article provides an overview of the factorsthat the recent literature has identified as important in determiningthe optimal composition of the public debt. Based on this analysis,it attempts to establish general guidelines for public debtmanagement in emerging economies. To retain market access andpromote domestic financial market development, governments shouldgenerally finance themselves at market rates using a wide varietyof securities. Beyond this general principle, the optimal compositionof the public debt involves a tradeoff between enhancing thegovernments antiinflationary credibility and reducingthe vulnerability of its budget to macroeconomic shocks. Consequently,the optimal composition of the debt depends on a countryscircumstances. Debt should be heavily weighted toward long-termnominal securities for governments that have antiinflationarycredibility and toward long-term indexed debt for those thatdo not. 相似文献
9.
We investigate the interaction between banks use of informationacquisition as a strategic tool and their role in promotingthe efficiency of credit markets when a banks abilityto gather information varies with its distance to the borrower.We show that banks acquire proprietary information both to softenlending competition and to extend their market share. As competitionincreases, investments in information acquisition fall, leadingto lower interest rates but also to less efficient lending decisions.Consistent with the recent wave of bank acquisitions, we alsofind that merging for informational reasons with a competitoris an optimal response to industry consolidation. 相似文献
10.
Making Conditional Cash Transfer Programs More Efficient: Designing for Maximum Effect of the Conditionality 总被引:2,自引:0,他引:2
Conditional cash transfer programs are now used extensivelyto encourage poor parents to increase investments in their childrenshuman capital. These programs can be large and expensive, motivatinga quest for greater efficiency through increased impact of theprograms imposed conditions on human capital formation.This requires designing the programs targeting and calibrationrules specifically to achieve this result. Using data from theProgresa randomized experiment in Mexico, this article showsthat large efficiency gains can be achieved by taking into accounthow much the probability of a childs enrollment is affectedby a conditional transfer. Rules for targeting and calibrationcan be made easy to implement by selecting indicators that aresimple, observable, and verifiable and that cannot be manipulatedby beneficiaries. The Mexico case shows that these efficiencygains can be achieved without increasing inequality among poorhouseholds. 相似文献
11.
Investment banks imitate other banks innovative corporatesecurities and compete with the innovator to underwrite newissues. This article uses data of all the corporate offeringsof equity-linked and derivative securities in the SecuritiesData Company (SDC) to estimate the issuers demand ofunderwriting services provided by investment banks across differentvarieties of securities. It finds that the demand for the innovatorsvariety is larger than the imitators. This demand advantagedecreases with time and faster for securities that appear laterin a sequence of innovations. Imitation becomes less attractivelater in the sequence as information from earlier deals spills-overto all banks. 相似文献
12.
Maximum Likelihood Estimation of Latent Affine Processes 总被引:4,自引:0,他引:4
This article develops a direct filtration-based maximum likelihoodmethodology for estimating the parameters and realizations oflatent affine processes. Filtration is conducted in the transformspace of characteristic functions, using a version of Bayesrule for recursively updating the joint characteristic functionof latent variables and the data conditional upon past data.An application to daily stock market returns over 19531996reveals substantial divergences from estimates based on theEfficient Methods of Moments (EMM) methodology; in particular,more substantial and time-varying jump risk. The implicationsfor pricing stock index options are examined. 相似文献
13.
Labor Income and Predictable Stock Returns 总被引:4,自引:0,他引:4
We propose a novel economic mechanism that generates stock returnpredictability in both the time series and the cross-section.Investors income has two sources, wages and dividendsthat grow stochastically over time. As a consequence the fractionof total income produced by wages fluctuates depending on economicconditions. We show that the risk premium that investors requireto hold stocks varies with these fluctuations. A regressionof stock returns on lagged values of the labor income to consumptionratio produces statistically significant coefficients and largeadjusted R2s. Tests of the models cross-sectional predictionson the set of 25 FamaFrench portfolios sorted on sizeand book-to-market are also met with considerable support. 相似文献
14.
Implied risk aversion estimates reported in the literature arestrongly U-shaped. This article explores different potentialexplanations for these "smile" patterns: (i) preference aggregation,both with and without stochastic volatility and jumps in returns,(ii) misestimation of investors beliefs caused by stochasticvolatility, jumps, or a Peso problem, and (iii) heterogeneousbeliefs. The results reveal that preference aggregation andmisestimation of investors beliefs caused by stochasticvolatility and jumps are unlikely to be the explanation forthe smile. Although a Peso problem can account for the smile,the required probability of a market crash is unrealisticallylarge. Heterogeneous beliefs cause sizable distortions in impliedrisk aversion, but the degree of heterogeneity required to explainthe smile is implausibly large. (JEL: G12, G13) 相似文献
15.
Real Estate Valuation and Cross-Boundary Air Pollution Externalities: Evidence from Chinese Cities 总被引:1,自引:0,他引:1
Siqi Zheng Jing Cao Matthew E. Kahn Cong Sun 《The Journal of Real Estate Finance and Economics》2014,48(3):398-414
Within an open system of cities, compensating differentials theory predicts that local real estate prices will be higher in cities with higher quality non-market local public goods. In this case, more polluted cities will feature lower home prices. A city’s air pollution levels depend on economic activity within the city and on cross-border pollution externalities. In this paper, we demonstrate that air pollution in Chinese cities is degraded by cross-boundary externalities. We use this exogenous source of variation in a city’s air pollution to present new robust estimates of the real estate impact of local air pollution. We find that reductions in cross-boundary pollution flows have significant effects on local home prices. On average, a 10 % decrease in imported neighbor pollution is associated with a 0.76 % increase in local home prices. We also find that the marginal valuation of clean air is larger in richer Chinese cities, and hukou barrier of labor migration has been further phased out. 相似文献
16.
This article shows how the market coskewness model of Rubinstein(1973) and Kraus and Litzenberger (1976) is altered when a nonredundantcall option is optimally traded. Owing to the optionsnonredundancy, the economys stochastic discount factor(SDF) depends not only on the market return and the square ofthe market return but also on the option return, the squareof the option return, and the product of the market and optionreturns. This leads to an asset pricing model in which the expectedreturn on any risky asset depends explicitly on the assetscoskewness with option returns. The empirical results show thatthe option coskewness model outperforms several competing benchmarkmodels. Furthermore, option coskewness captures some of thesame risks as the FamaFrench factors small minus big(SMB) and high minus low (HML). These results suggest that thefactors that drive the pricing of nonredundant options are alsoimportant for pricing risky equities.(JEL G11, G12, D61) 相似文献
17.
How Does Industry Affect Firm Financial Structure? 总被引:11,自引:0,他引:11
We examine the importance of industry to firm-level financialand real decisions. We find that in addition to standard industryfixed effects, financial structure also depends on a firmsposition within its industry. In competitive industries, a firmsfinancial leverage depends on its natural hedge (its proximityto the median industry capitallabor ratio), the actionsof other firms in the industry, and its status as entrant, incumbent,or exiting firm. Financial leverage is higher and less dispersedin concentrated industries, where strategic debt interactionsare also stronger, but a firms natural hedge is not significant.Our results show that financial structure, technology, and riskare jointly determined within industries. These findings areconsistent with recent industry equilibrium models of financialstructure. 相似文献
18.
We analyze the role of knowhow acquisition in the formationand duration of joint ventures. Two parties become partnersin a joint venture to benefit from each others knowhow.Joint operations provide each party with the opportunity toacquire part of its partners knowhow. A partysincreased knowhow provides the impetus for the dissolution ofthe joint venture. We characterize the conditions under whichdissolution takes place, identify the party that buys out itspartner, determine the time to dissolution, establish its comparativestatics, and examine the implications of knowledge acquisitionfor the desirability of joint venture formation. (JEL code:G34) 相似文献
19.
We propose a new VAR identification scheme that distinguishes shifts of and movements along the labor demand schedule to identify labor-supply shocks. According to our VAR analysis of post-war US data, labor-supply shifts account for about 30 percent of the variation in hours and about 15 percent of the output fluctuations at business cycle frequencies. To assess the role of labor-supply shifts in a more structural framework, estimates from a dynamic general equilibrium model with stochastic variation in home production technology are compared to those from the VAR. 相似文献
20.
The purpose of this study is to extend the bid-ask spread decomposition literature into the order-driven environment. The use of electronic limit order books, combined with order-driven market making, has been increasing rapidly in recent years because of improvements in information technology and financial market deregulation. To date, reported bid-ask spread decompositions rely almost exclusively on quote-driven or hybrid systems. This study provides bid-ask spread component estimates from one of the world's largest order-driven markets, the Stock Exchange of Hong Kong. Based on a sample of over six million observations, we estimate a median adverse selection component of 33 percent and a median order processing component of 45 percent of the spread. Dollar-volume-based decile portfolios show significant cross-sectional variation for adverse selection costs but insignificant variation for order processing costs. Finally, order persistence is consistently positive for all deciles and displays a direct relation with the level of trading activity. 相似文献