SFAS 133 and income smoothing via discretionary accruals: The role of hedge effectiveness and market volatility

This study investigates whether the Statement of Financial Accounting Standard No. 133 (SFAS 133) influences firms’ income smoothing via discretionary accruals decisions. Moreover, we investigate whether the level of hedge effectiveness and market volatility affects the impact of SFAS 133 on firms’ income smoothing via discretionary accruals decisions. Consistent with our predictions, we find a significant increase in income smoothing via discretionary accruals activity after the adoption of SFAS 133. We also find that income smoothing via discretionary accruals after the adoption of SFAS 133 increases with the level of hedge ineffectiveness. By contrast, we find that perfect hedgers do not engage in more income smoothing via discretionary accruals after the adoption of SFAS 133. Finally, we find that the higher the market volatility is the larger the income smoothing is via discretionary accruals after the adoption of SFAS 133. This implies that higher market volatility makes it more difficult for firms to meet hedge accounting requirements, thereby increasing unmanaged earnings volatility and income smoothing. Prior studies suggest that regulators are expressing concern about the effect of earnings management on the quality of reported earnings and the functioning of capital markets (e.g., Barton, 2001 ). In this regard, our findings imply that accounting standard setters should take into account the trade‐off between transparency and income smoothing.     

The optimal entry fee-prize ratio in Tullock contests

We analyze a three-stage game where an organizer sets an entry fee for a Tullock contest event, and a finite population of homogeneous agents simultaneously decide whether to participate or not. We show that in the unique symmetric subgame perfect Nash equilibrium, the larger the population size, the lower the probability the agents enter the contest, but the organizer’s optimal entry fee-prize ratio could either increase or decrease with the population size. When the population size approaches infinity, the number of contestants converges to a Poisson distributed random variable.     

协整向量、调节参数同为非线性的阈值协整检验

针对经济变量的长期均衡和短期调节关系可能同时存在非线性的事实,本文扩展现有阈值协整模型,提出了协整向量、调节参数都为非线性的阈值协整模型,并着重探讨了该模型的检验方法。研究表明,在协整关系的检验中,Wald统计量有较好的有限样本性质。在协整关系的非线性检验中,LMW和LMG统计量的水平扭曲和检验势都较好。在调节参数的非线性检验中,当调节参数具有显著的非线性时,LMH统计量表现出较好的有限样本性质。     

Commodity prices and the CPI: Cointegration, information, and signal extraction

This paper provides theoretical underpinnings for the commodity price/aggregate price relationship, discusses the conditions under which commodity prices are useful information variables for monetary policy, and provides empirical results which suggest why commodity prices have not been very useful for forecasting.     

能源与经济发展的协整关系检验——陕西省与全国平均水平的比较分析

本文根据1978-2008年的统计数据,实证研究了陕西省和全国能源消费与经济增长的协整关系和Granger因果关系。研究结果表明,陕西能源消费与经济增长之间存在长期均衡关系和双向因果关系。与全国平均水平相比,陕西省经济增长的能源消费依赖程度高于全国平均水平。     

Energy balance climate models and general equilibrium optimal mitigation policies

In a general equilibrium model of the world economy, we develop a two-dimensional energy balance climate model featuring heat diffusion and anthropogenic forcing driven by global fossil fuel use across the sphere of the Earth. This introduces an endogenous location dependent temperature function, driving spatial characteristics, in terms of location dependent damages resulting from local temperature anomalies into the standard climate-economy framework. We solve the social planner's problem and characterize the competitive equilibrium for two polar cases differentiated by the degree of market integration. We define optimal taxes on fossil fuel use and how they may implement the planning solution. Our results suggest that if the implementation of international transfers across latitudes is not possible then optimal taxes are in general spatially non-homogeneous and may be lower at poorer latitudes. The degree of spatial differentiation of optimal taxes depends on heat transportation. By employing the properties of the spatial model, we show by numerical simulations how the impact of thermal transport across latitudes on welfare can be studied.     

Existence of optimal auctions in general environments

We provide a unified approach to the problem of existence of optimal auctions for a wide variety of auction environments. We accomplish this by first establishing a general existence result for a particular Stackelberg revelation game. By systematically specializing our revelation game to cover various types of auctions, we are able to deduce the existence of optimal Bayesian auction mechanisms for single and multiple unit auctions, as well as for contract auctions with moral hazard and adverse selection. In all cases, we allow for risk aversion and multidimensional, stochastically dependent types.     

The forced registration of hedge funds in the United States

This article recounts the history of hedge fund regulation in the United States over the last century, including Congressional legislation as well as legal cases mounted both by and against the Securities and Exchange Commission. Traditional arguments for and against hedge fund regulation are discussed. The article argues that neither hedge funds nor their managers should be regulated—whether directly or indirectly. Rather, financial or trusted advisors who recommend these products to investors should bear the regulatory burden.     

Cointegration, causality and the transmission of shocks across wheat market in Pakistan

This paper uses quarterly price data and examines the transmission of shocks across different spatially separated locations besides identifying causality among these locations. Johansen and Juselius’s (Econ. Stat., 52, 160–210, 1990) multivariate cointegration procedure identified two cointegrating vectors among these locations. Following Toda and Yamamoto (J. Econom., 66, 225–250, 1995), causality tests showed only one bi-directional causality and it was between Peshawar and Hyderabad locations. Faisalabad and Sargodha appeared independent (i.e. exogenous) market locations in price discovery process. Peshawar market showed maximum (i.e. 5) number of significant links. The generalized impulse response functions, though, suggested similar (cyclical) pattern of responses across the markets, but their time profile, which provides insight into the system’s speed of convergence to long run equilibrium path, varied with different level of extent and persistency. Responses to shock originating in consumption markets (i.e. Karachi, Peshawar and Lahore) remained short lived; whereas the shocks stemming from surplus wheat producing locations (i.e Multan, Sargodha and Faisalabad) produced long and more persistent responses.      

基于PVECM的综列协整检验临界值的计算

Groen和Kleibergen(2003)基于综列数据的误差纠正模型(PVECM)和极大似然估计方法,提出了与时间序列中Johanson(1991)协整检验类似的综列协整检验。其似然比检验统计量的极限分布是维纳过程的泛函,所以其临界值需要通过仿真试验来计算,但Groen和Kleibergen(2003)既没有给出具体的临界值也没有给出具体的程序。本文通过对维纳过程的随机积分进行仿真,估计基于PVECM的综列协整检验的临界值。与现有的部分临界值的比较结果显示,我们的计算程序是正确的,计算结果是可靠的。     

协整设定和约束检验及其对我国货币收入速率的实证

本文基于严格的检验，对我国货币M2的长期稳定以及它的收入速率的功能等问题进行协整和弱外生检验，结论表明，我国货币收入速率对于货币需求的长期稳定具有显著作用，而这种长期稳定对货币收入速率又具有显著的调节效应。这一结论隐含了我国货币政策效应可以辅之以货币收入速率予以考察并可以用货币收入速率辅助调节货币需求，而我国利率则是关注参数的弱外生变量，这一结论支持有关扩大利率的浮动范围的利率政策。     

基于结构突变和截面相关的面板协整检验

本文基于Westerlund和Edgerton（2008）,考虑了无时间趋势和有时间趋势的面板协整检验。在检验协整时,本文不仅允许误差项存在异方差、序列相关以及截面相关,而且还允许各截面在截距和协整斜率上存在未知时点的多个突变点。蒙特卡洛模拟结果表明,（1）该检验的具有较小的水平扭曲和较高的检验势,（2）将模型拓展到不含有趋势项的情形是必要的。在此基础上,使用基于动态最小二乘估计量的新统计量对国际CO2排放和经济增长关系进行检验,发现在考虑了突变和截面相关的情形下,两者间的长期均衡关系确实存在。     

Futures minimum variance hedge ratio determination: An ex-ante analysis

Traditionally, futures Minimum Variance Hedge Ratios (MVHRs) are determined ex post. In this paper, we derive 3 increasingly realistic ex ante MVHRs, based on the carry cost and the Vasicek model. The hedging performance of the most realistic ex ante MVHR determination method is compared to, and found to be superior to, that of the traditional MVHR for the S&P 500 index, gold, and the EUR/USD exchange rate.     

The dynamic connectedness and hedging opportunities of implied and realized volatility: Evidence from clean energy ETFs

This paper aims to examine dynamic connectedness and hedging opportunities between the realized volatilities of clean energy ETFs and energy implied volatilities through Time-Varying Parameter Vector Autoregression Model (TVP-VAR) and Asymmetric Dynamic Conditional Correlation (ADCC) GARCH models. TVP-VAR analysis results show that dynamic connectedness increases during turbulence periods. We also determine that clean energy ETFs such as PBW, QCLN, SMOG, and TAN are net volatility transmitters. Surprisingly, OVX is a net volatility receiver, especially with the developments after the Paris Agreement in 2016.As a result of the ADCC GARCH analysis, we determine that the conditional correlation between clean energy ETFs and implied volatility ETFs is asymmetric, and negative information shocks increase the conditional correlation. Although OVX is a cheap alternative for hedging long position risks in clean energy ETFs, VXXLE is more effective than OVX in terms of hedging effectiveness. These findings provide insight for individual and institutional investors, and portfolio managers on how negative and positive shocks change the conditional correlation between assets at different levels.     

一个时变系数协整回归模型及应用研究

本文通过扩展现有Johansen协整回归模型,允许协整回归模型的系数具有时变特性,并且利用切比雪夫时间多项式来模型化时变系数,提出一个能够捕捉平滑时间转换的时变误差修正模型,并利用极大似然法进行估计。此外,本文还构建了一个用于检验Johansen非时变协整作为原假设的似然比检验,并推断其渐近服从卡方分布。最后应用本文所提出的时变系数协整回归模型检验了人民币汇率购买力平价,结果表明人民币对美元名义汇率、国内消费者价格指数以及美国消费者价格指数之间存在时变协整关系,但系数的符号与理论预期不一致。     

On the smoothness of optimal paths II: some local turnpike results

We study the local turnpike property for two classes of infinite-horizon discrete-time deterministic maximization problems which have common applications, e.g., optimal growth theory. We follow a functional-analytic approach and rely on an implicit function theorem for the space of the sequences which converge to zero. We shall assume the existence of an optimal path which is not necessarily a steady-state. Relying on material developped in Blot and Crettez (Decis Econo Finance 27:1–34, 2004), “On the smoothness of optimal paths” Decis Econ Finance, 21:1–34, 2004), we provide conditions under which a variation in the initial conditions (i.e., capital stock and discount rate) yields an optimal solution which converges toward a reference solution when time becomes infinite. We also provide new results on bounded solutions of difference equations. We gratefully thank the editor, Silvano Holzer, and two anonymous referees for remarks and advices on a previous version of this paper.     

Quantitative easing and the loan to collateral value ratio

We study optimal monetary policy in a New Keynesian model at the zero bound interest rate where households use cash alongside house equity borrowing to conduct transactions. The amount of borrowing is limited by a collateral constraint. When either the loan to value ratio declines or house prices fall, we observe a decrease in the money multiplier. We argue that the central bank should respond to the fall in the money multiplier and therefore to the reduction in house prices or the loan to collateral value ratio. We also find that optimal monetary policy generates a large and persistent fall in the money multiplier in response to the drop in the loan to collateral value ratio.     

Spatial interdependence in cost efficiency and local government optimal size: The case of Italian municipalities

This study provides an original approach to empirically determine the optimal size of municipalities for efficient social service delivery in Italy, accounting for spatial spillover effects across municipalities as well as endogeneity between the output provided and its cost. A highly disaggregated and up-to-date database of Italian municipalities is used to estimate, through endogenous spatial frontier of Kutlu et al. (2020), the minimum costs. In municipalities with population ranging from 2000 to 3500 economies of scale in social service provision emerge, exhibiting cost-optimality. This outcome is completely ignored in some Regional government where financing criteria are based on historical, non-public, and ex-post repayment criteria.     

陕西省城市化与城市资源压力的协整检验与因果分析

本文从人口、经济、社会、地域景观四个方面,构建陕西省城市化水平综合评价指标体系,时陕西省城市化水平进行综合测度;同时,构建资源压力指数对陕西省城市资源压力进行定量评价,并对其关系进行了协整检验和格兰杰(Granger)因果检验.结果表明:①1990～2009年期间陕西省城市化综合水平持续提高;②城市资源压力指数与城市化...     

On the local stability of the solution to optimal control problems

New conditions for the local stability of optimal control problems are presented. The conditions are an extension of the results of a previous study focusing on the solution to problems solvable using calculus of variations. A comparison is made between the conditions introduced here and those presented in the literature. It is shown that our condition is roughly as powerful as the one presented by Sorger (J. Math. Anal. Appl. 148 (1990) 191) but it is easier to check.