Market integration and market efficiency: The case of 19th century Italy

This paper examines market integration in Italy in the 19th century, focusing on wheat. Wheat prices converged well before political Unification (1859-1861) but the process halted during the 1860s only to resume in the 1870s and 1880s. The first wave of integration was caused mainly by improvements in market efficiency while the second wave owed much to a reduction in transport costs.     

National and international market integration in the 19th century: Evidence from comovement

This paper analyzes relative wheat price fluctuations to investigate market integration among 72 European and US cities. Applying a Dynamic Factor Model, which has seldom been used in market integration analysis, prices are decomposed into international, national and local components. Thus, national and international market integration are identified by a statistical restriction, and results for each single market are obtained. The first result is that globalization has accelerated faster in the first than in the second half of the 19th century, putting the post-1850 transport revolution into perspective. The USA integrated only later into the European market, discounting the role of the “grain invasion” for trade history. I also show that the European nations that turned protectionist after 1880 reduced the impact of foreign shocks, while free traders fully integrated into the international economy.     

The state of the market and the contrarian strategy: evidence from China's stock market

Using the most comprehensive weekly dataset of ‘A’ shares listed on the Chinese stock market, this paper examines short-term contrarian strategies under different market states from 1995–2010. We find statistically significant profits from contrarian strategies, especially during the period after 2007, when China (along with other countries) experienced an economic downturn following the worldwide financial crisis. Our empirical evidence suggests that: (1) no significant profit is generated from either momentum or contrarian strategies in the intermediate horizon; (2) after microstructure effects are adjusted for, contrarian strategies with only four to eight weeks holding periods based on the stocks’ previous four to eight week's performance generate statistically significant profits of around 0.2% per week; (3) the contrarian strategy following a ‘down’ market generates higher profit than those following an ‘up’ market, suggesting that a contrarian strategy could be used as a shelter when the market is in decline. The profits following a ‘down’ market are robust after risk adjustment.     

Japanese industrial finance at the close of the 19th century: Trade credit and financial intermediation

In a series of recent studies, several economic historians (most prominently Richard Sylla) argue that successful economies experience “financial revolutions” before undergoing rapid growth. In the U.S., they suggest Hamilton masterminded the financial revolution by putting the public finance in order and facilitating private banks. Might Matsukata, they continue, have done the same in Japan? Japan did indeed experience a financial revolution in the late 19th century. Matsukata, however, did not mastermind the revolution in advance of private-sector demand. Instead, private investors created much of the financial infrastructure in response to demand from industrial firms. What is more, most firms (at least in the pivotal silk industry) raised the funds they needed through trade credit rather than securities markets or banks.     

Voting rules and the success of connected lending in 19th century New England banks

How well do decision-making processes within firms serve as control mechanisms? The voting rules governing loan approval in early 19th century New England banks are analyzed to find out. These banks exhibited high levels of lending to directors and their associates. Some theories of corporate governance argue that this could lead to increased managerial opportunism. However, a model shows that banks that require more votes to be won in the loan approval process prevent projects with private gains and social costs. The historical data are consistent with the idea that higher levels of consensus raised the profitability of banks.     

Rise of the gold market in China: liberalisation and market development

The Chinese gold market is rapidly rising to global prominence in the recent decades. The paper reviews the history of the gold market in China and its liberalisation process amid the country’s opening to the outside world. Details of the current market structure and its main business are presented. Global impacts of the rise of the Chinese gold market are discussed.     

Rich and poor before the Industrial Revolution: a comparison between Java and the Netherlands at the beginning of the 19th century

This paper examines disparities in the level of economic development at the beginning of the 19th century, comparing between the Netherlands and Java. A detailed reconstruction of GDP and purchasing power parities shows that before the Industrial Revolution Java’s GDP per capita was about a third of the level of the Netherlands, confirming Angus Maddison’s estimates. Disparities in real wages were much smaller, however, for skilled laborers real wages on Java were higher than in the Netherlands. This paradox arises because the structure of the economy and the distribution of income of both countries was very different.     

Modeling the age and age composition of late 19th century U.S. immigrants from Europe

Using panel data on 12 European source countries that are followed for 26 years (1873-1898), this paper studies age-specific emigration rates and the age composition of U.S. immigration. Two age groups are the focus of attention, 15-40 and over 40. Emigration-rate models and compositional models that satisfy adding-up conditions are estimated by the Hausman-Taylor Instrumental Variable approach. Younger migrants responded more strongly to job opportunities than to wage differentials, whereas older migrants responded more strongly to wage differentials. Both age groups tended to follow recent past migrants to the U.S. Relatively many younger (and relatively fewer older) migrants came from countries with higher percentages of their work forces in agriculture. Higher source-country birthrates discouraged younger migrants, presumably by raising the cost of family migration.     

Categories and causes of bank distress during the great depression, 1929–1933: The illiquidity versus insolvency debate revisited

During the contraction from 1929 to 1933, the Federal Reserve System tracked changes in the status of all banks operating in the United States and determined the cause of each bank suspension. This essay analyzes chronological patterns in aggregate series constructed from that data. The analysis demonstrates both illiquidity and insolvency were substantial sources of bank distress. Periods of heightened distress were correlated with periods of increased illiquidity. Contagion via correspondent networks and bank runs propagated the initial banking panics. As the depression deepened and asset values declined, insolvency loomed as the principal threat to depository institutions.     

Short selling and stock prices with regime switching in the absence of market makers: The case of Japan

This paper investigates the relation between short selling and stock price at an aggregated market level. In order to study the differential impact of market microstructure on short selling, the data from Japanese stock markets are used. Both traditional regression and Markov switching models are used to compare Japanese results to those of U.S. and to admit non-stationary relation between short selling and stock price, respectively. Particularly, relatively long period (1978–2002) of analysis including bullish and bearish periods gives a good testable bed for studying the effect of short selling on stock price according to market condition. The empirical findings reveal that percentage change of short interests has a statistically significant positive relation with stock returns. It gives regulators policy implication that short selling is not a destabilizing activity, but an acceptable form of trading even in the absence of market makers. And short selling information cannot be used as an indicator for predicting future stock markets.     

The drachma, foreign creditors, and the international monetary system: tales of a currency during the 19th and the early 20th centuries

Fixed exchange rate regimes can be regarded as a “rule with escape clauses,” allowing the monetary authorities to temporarily suspend convertibility and enact a discretionary policy only under well-understood contingencies, such as wartime emergencies and financial panics. Seen from this perspective, adherence to the specie convertibility rule enables peripheral countries to establish credibility of the nation’s economic policy and, thus, to obtain access to the core countries’ capital markets. An example of a peripheral country is Greece during the 19th and early 20th centuries. The evidence assembled in the paper suggests that Greece tried very hard to adhere to “good housekeeping rules.”     

Accounting for the stock of human capital: Selected evidence and potential implications

Accounting for the Stock of Human Capital: Selected Evidence and Potential Implications. — Given the observed distribution of output and labor across countries, most capital flows should be from rich to poor countries. As is shown for a limited sample of countries, accounting for differences in the stock of human capital substantially reduces the implicit cross-country rate of return differentials. Additionally, accounting for human capital externalities based on independent empirical evidence, turns around the predicted rate of return differentials in favor of rich countries. Hence, the world economy may converge to a rather unequal distribution of incomes as long as human capital accumulation is neglected as the key variable limiting economic development.     

跨境贸易人民币结算试点:态势与前瞻

跨境贸易人民币结算对中国进出口企业和金融机构都有着积极的作用,也有利于巩固我国和周边国家的经贸利益和推动我国金融市场进一步开放发展,同时人民币走出国境会给我国带来新的风险和问题。应尽快配套完善政策措施,适度扩大试点范围,建立人民币跨境回流机制,调整人民币出入境管理政策,规范民间外汇兑换市场。     

金融市场准入与农信社信贷支农关联:苏北样本

基于信息比较优势理论建立的农村信用社贷款配置选择模型及对苏北23个县域经验数据的实证研究表明:降低农村金融市场准入限制以后,企业贷款市场和农户贷款市场形成了不同的竞争格局,由此改变了农村信用社在两个市场上的信贷资金配置策略,使其支农意愿增加,对农户的贷款强度和广度均显著提升;同时,竞争使得农村信用社信息成本降低,农户贷款价格下降。但是农村信用社在农户贷款市场的垄断地位使其仍然拥有较强的客户选择权和定价权。因此,构建竞争性、多层次的农村金融体系,不仅需要引入商业性金融机构,还需要着力培育和发展新型农村金融机构,并充分发挥政策性金融的作用。     

The response of long-term interest rates to news about monetary policy actions: Empirical evidence for the U.S. and Germany

The Response of Long-Term Interest Rates to News about Monetary Policy Actions. Empirical Evidence for the U.S. and Germany. — The authors reestimate the expectations theory of the term structure focusing on the question of how monetary policy actions indicated by changes in the very short rate affect long-term interest rates. Their main point is that the expectations hypothesis implies that very long rates should only react to unanticipated changes of the very short rate. In contrast to cointegration tests of expectations theory, this implication only requires rational expectations but not stationary risk premia. Therefore, its empirical test sheds new light on the importance of expectations theory for the determinants of the term structure of interest rates.     

经济开放区域的贸易隐含碳测算及转移分析——以新疆为例

本文首先基于非竞争型区域环境投入产出模型,估算2002-2007年新疆国内外贸易中的隐含碳,分析了贸易隐含碳的行业分布特征及新疆贸易隐含碳的失衡问题。计算结果表明,国内外贸易对新疆均造成碳泄漏,但绝大部分碳泄漏来自国内贸易。运用两地区环境投入产出模型的模拟分析显示,国内贸易有助于显著减少新疆本地的CO2排放量,特别是中间投入品的贸易往来对新疆的环境正效应更大。但由于新疆目前的贸易模式不利于本地区的节能减排,因此不可盲目扩大国内贸易规模,应从降低资源型产业的能耗强度、提高生产技术水平等方面着手,促使产业结构优化升级与贸易结构低碳化调整协调发展。