Positive and Negative Earnings Surprises,Regulatory Climate,and Stock Returns*

This study focuses on electric utilities in the United States to consider two related issues. First, the study tests for asymmetric price reactions to positive and negative earnings surprises (ES). Second, the study associates policy differences across jurisdictions with variations in the cash flow effects of positive and negative ES and then uses the framework to consider variations in price responses across regulatory climates. In the same context, the study investigates the effects of a utility's abnormal profits on the asymmetry of price reactions to positve and negative ES. The empirical predictions are motivated by the disparity between the principles and practices that underlie cost recovery for the utilities and the uneven effects of the cost‐recovery practies on the cash flows associated with positve and negative ES. The results show that the sign of ES and the climate in which a utility operates are related to the size of price reactions to ES. Furthermore, a utility's abnormal profit status has significant effects on the size of price reactions to ES. Only a modest price response asymmetry is indicated for manufacturing firms.     

Asymmetric Inventory Management and the Direction of Sales Changes*

We study manufacturing firms' asymmetric inventory investment in response to sales changes. Focusing on the costs of resource adjustment and stockout that likely differ in sales‐increasing and sales‐decreasing periods, we predict and find that inventory investment declines less during periods with sales decreases than it rises during periods with sales increases. We validate this claim by showing that managers' expectations of future demand and desire to avoid inventory stockouts are important determinants of this asymmetry. In addition, we find that asymmetric inventory investment provides useful information for predicting future sales growth, and that both managers' and analysts' sales forecasts are positively associated with the asymmetry. Lastly, we document that forecasts of future sales growth that incorporate asymmetric inventory investment are associated with lower absolute forecast errors than benchmark forecasts. Overall, we highlight the importance of inventory information in understanding managers' resource adjustment and utilization decisions that have implications for forecasting future demand. Our findings on asymmetric inventory management provide new insights to fundamental analysis based on inventory signals.     

ASYMMETRIC PRICE TRANSMISSION AND MARKET CONCENTRATION: AN INVESTIGATION INTO FOUR SOUTH AFRICAN AGRO-FOOD INDUSTRIES

相似文献   

价格非平衡变化的机理：一个新凯恩斯主义的解释

本文构建了一个具有粘性价格的一般均衡模型，分析不同商品价格非平衡变化的现象。分析表明，当经济中不同商品的价格调整具有异质性时，货币冲击将导致灵活价格产品的价格水平变化超过货币增长率，表现为不同的商品价格调节快慢不同。货币冲击将拉动粘性价格产品的产出增加，表现为货币非中性。相对价格的变化使得消费支出发生结构性转移，导致灵活价格产品的需求下降。财政冲击也具有类似的效应，它将拉动价格不平衡上涨，并带动产出上升，同时会挤出消费。这种价格非平衡变化的机制很好的解释了我国2007—08年发生的所谓的“结构性通货膨胀”现象。     

中国货币政策非对称效应形成机理研究——基于价格传导机制的视角

中国货币政策具有显著的非对称效应,紧缩性货币政策对产出的影响力度强于扩张性货币政策。本文以价格粘性为核心构建菜单成本模型,从货币政策价格传导渠道分析货币政策非对称效应的形成机理。研究表明,货币政策非对称效应的主要成因是非对称的价格传导渠道。企业面临货币政策冲击时,遵循菜单成本和扭曲成本孰低原则决定调整价格还是产量。降价的菜单成本低于涨价成本以及扭曲成本随通货膨胀趋势呈非线性变化共同导致了非对称的价格粘性,由此产生的非对称货币政策传导机制是货币政策非对称效应的形成机理。因此,货币政策效果随通货膨胀率而变,货币政策效应非对称程度在不同的通货膨胀率区间存在差异,随通货膨胀率的上升呈现出先减后增再减的驼峰形趋势。本文进一步通过构造状态空间模型实证检验了理论模型在中国的适用性。为了实现经济稳定增长,中央银行制定货币政策时不仅要决定政策实施方向和力度,还应考虑经济所处的通货膨胀率区间。     

Asymmetric effects of the exchange rate on domestic corporate goods prices

This paper empirically examines whether there are asymmetric effects of the exchange rate on domestic corporate goods prices when the exchange rate is more volatile. To identify different volatilities in the exchange rate, we employ a threshold regression model. In other words, we define exchange rate volatility as a threshold variable. By using monthly data from Japan, we estimate a threshold parameter and calculate its confidence interval by following Hansen (2000). The results substantiate that the degree of exchange rate pass-through to the aggregated corporate goods price index is higher and more gradually adjusted in a higher exchange rate volatility regime. Furthermore, such asymmetric relationships are clearly found in three disaggregated corporate goods prices: petroleum and coal products, nonferrous metals, and chemicals and related products.     

Adjustment to devaluation in a small country

Summary This paper presents a simple model of adjustment to devaluation in the context of a small, open economy consisting of traded goods, non-traded goods, and money. The analysis stresses the purely transitional importance of substitution and liquidity effects following devaluation, and at the same time, derives the time path of adjustment of the trade balance and the price of non-traded goods.The major result of interest is that during the process of adjustment, the substitution and liquidity effects both act so as to improve the trade balance, but work in opposite directions on the excess demand for non-traded goods.     

DO AFRICAN COUNTRIES MOVE ASYMMETRICALLY TOWARDS PURCHASING POWER PARITY?

This paper investigates the possibility that the adjustment towards long‐run relative purchasing power parity (PPP) is dependent upon the nature of deviations from PPP that are experienced. While existing studies involving developed and less developed countries often find against PPP having employed linear tests of non‐stationarity or non‐cointegration, we employ a new cointegration test, recently advocated by Enders and Siklos and Enders and Dibooglu, that tests for an asymmetric adjustment towards parity with respect to positive and negative deviations of the real exchange rate from its equilibrium value. Using a sample often African economies with data taken from the post‐Bretton Woods floating exchange rate era, long‐run PPP holds in eight of these cases if an explicit distinction is made between positive and negative deviations. Across the sample, we find variation in the type of asymmetry experienced and the roles played by price and nominal exchange rate adjustment.     

能源价格冲击对中国贸易结构的传递效应——基于投入产出法的实证研究

本文利用与进出口价格相关联的投入产出模型,计算模拟了国际能源价格冲击对中国贸易结构的传递效应。结果表明,能源价格冲击提高了货物出口和进口比重,使货物、服务出口比例更加不合理。具体而言,对初级产品、其他工业品、机电产品、高新技术产品以及各类服务占货物或服务出口和进口的比重具有同方向的作用效果,出口比重提高,进口比重也提高,而反之亦然。虽然能源价格冲击恶化了出口结构,优化了进口结构,但长期而言弊大于利,对我国贸易结构调整起到一定的阻碍作用。     

A nonlinear ARDL model of inflation dynamics in the Philippine economy

This study investigated whether global oil price changes, exchange rate, interest rate, and economic output exert symmetric or asymmetric pass-through effects on inflation in the Philippines. A Nonlinear Autoregressive Distributed Lag (NARDL) model was fitted to the observable data using quarterly observations from 1998 to 2019. Knowledge of these relationships is important in monetary policy setting in achieving targeted inflation; the Philippines adopted inflation targeting in 2002. The finding shows that world oil price shocks are still prominent and the most important determinants of inflation variations in the country. There is prima facie evidence on the short-run asymmetry of oil price changes to inflation. Exchange rate pass-through to inflation was very minimal in the short-run, and there is no long-run effect. Evidence that interest rate and demand shocks have a long-run asymmetric effect on inflation was found. These findings imply that monetary policy setting should account for the asymmetric effects of inflation determinants. Study results provide a deeper understanding of how positive and negative changes of inflation determinants affect actual inflation, which aids policymakers in achieving targeted inflation.     

Bilateral Trade Balances of Malaysia with Her 11 Largest Trading Partners: New Evidence from Asymmetry Cointegration

Research on the effects of exchange rate changes on the trade balance is now moving in a new direction, by investigating whether exchange rate changes have symmetric or asymmetric effects. The approach that relies upon separating depreciations from appreciations introduces nonlinearity into the adjustment process and relies upon the nonlinear ARDL approach of Shin et al. [2014. Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework, in: R. Sickels and W. Horrace (Eds), Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, 281–314 (Springer)]. When we applied this new method to the bilateral trade balances of Malaysia with each of her 11 largest partners, we found adjustment asymmetry in all models, short-run impact asymmetry effects and long-run asymmetry effects in the trade balance models between Malaysia and Asian countries.     

An assessment of three measures of competitiveness

An Assessment of Three Measures of Competitiveness. -This paper discusses three indicators of competitiveness: real exchange rates based on consumer price indices, export unit values of manufacturing goods, and normalized unit labour costs in manufacturing. It discusses how each of these measures is associated with changes in a country's balance of trade in goods and nonfactor services and examines how each one of these indicators is related to each other. It then examines the empirical performance of each in terms of its ability to explain trade flows. The conclusion is that in examining an issue as complex as trade competitiveness, the use of one indicator is suboptimal.     

我国出口汇率传递的非对称性:来自中日贸易的证据

文章扩展了Yang（2007）的厂商定价模型，对汇率传递非对称性、特点和成立条件进行理论分析，发现对称传递需要满足严格的条件，而现实中更常见的是非对称汇率传递。在一定条件下，商品需求弹性越大，越可能呈现出口国货币贬值传递率高而升值传递率低的特点。利用2000年1月至2011年12月我国出口日本的966种商品价格数据，发现汇率波动向价格传递具有非对称性：（1）人民币升值时，日元价格上涨较少；而贬值时，价格下降较多。我国出口商品的需求弹性较大，在日本市场上面对的是一个强竞争结构。（2）若月度升值超过一定幅度（测算约为2.43%），传递率又会有所上升，说明尽管日元价格易跌难涨，但在升值导致成本上涨较多、明显挤压利润时，厂商不得不适当提高日元售价。采用2000年至2018年9月日本从中国进口单位价值指数进行稳健性检验，得出类似结论。现阶段稳定的人民币名义汇率对我国出口企业是更为有利的。     

An empirical analysis of the unit labor cost-product price relation in the U.S. economy

This article tests for cointegration between unit labor costs and the level of product prices in four sectors of the U.S. economy: the aggregate business sector, the nonfinancial corporate sector, durable manufacturing, and nondurable manufacturing. A finding of cointegration for most specifications supports the existence of long-run labor market equilibrium for producers and suggests estimation of error-correction models to examine the dynamic relationships. In every sector except nondurable manufacturing, error-correction model estimates indicate there is a mutual feedback relationship between unit labor costs and prices. Controlling for deviations from full employment, oil price shocks, and the Nixon wage and price controls, the results also provide evidence of significant nominal wage indexation in U.S. labor markets. Throughout the economy there appears to exist both effective neoclassical wage and price adjustment mechanisms to maintain labor market equilibrium and short-run rigidities which may contribute to deviations from full employment outcomes.     

Oil price shocks and producer prices in Taiwan: an application of non-linear error-correction models

This study estimated the short-term and long-term pass-through effects of oil prices on inflation in Taiwan from 1981M1-2011M5, employing the producer price general index and various basic sub-indices for evaluation. The empirical results show that oil prices have long-term and short-term pass-through effects on Taiwan’s producer price indices. Moreover, producer prices have significant non-linear error-correction relationships with the oil price, output and wages, suggesting asymmetric and time-variant properties of error correction. When the deviation of price in the equilibrium is greater, the error-correction adjustment will be faster. Our findings could therefore enable the monetary authorities and manufacturers to formulate a more effective policy from the oil price shocks.     

Accounting Quality,Stock Price Delay,and Future Stock Returns*

In frictionless capital markets with complete information and rational investors, stock prices adjust to new information instantaneously and completely. However, a substantial body of research studies information imperfections such as asymmetric information and incomplete information. Information imperfections potentially hinder timely price discovery and are likely associated with delayed stock price adjustment to information. Our first research question therefore is whether the quality of accounting information (or “accounting quality”) is one such information imperfection that is associated with cross‐sectional variation in stock price delay. We define accounting quality as the precision with which financial reports convey information to equity investors about the firm’s expected cash flows. Poor accounting quality is likely associated with higher expected returns through uncertainty about stock valuation parameters and incomplete information. Our second research question therefore is whether the accounting quality component of price delay is associated with higher future stock returns. Consistent with our hypotheses, the results show that poor accounting quality is associated with delayed price adjustment and higher future stock returns. Thus, accounting quality plays a role in timely stock price discovery.     

Keynesian and Austrian Perspectives on Crisis, Shock Adjustment, Exchange Rate Regime and (Long-Term) Growth

The 2010/11 European debt crisis has revived the discussion concerning the optimal adjustment strategy in the face of asymmetric shocks. This paper approaches the question from a theoretical perspective by confronting exchange rate based adjustment with crisis adjustment via price and wage cuts. Econometric estimations yield a negative impact of exchange rate flexibility/volatility on growth, which is found to be particularly strong for countries with asymmetric business cycles and during recessions. Price flexibility is found to have a positive impact on growth. Based on these findings we support a further enlargement of the European Monetary Union and recommend more exchange rate stability for the rest of the world.     

Price‐Match Announcements in a Consumer Search Duopoly

Using a model of sequential search, we show that announcements to price‐match raise prices by altering consumer search behavior. First, price‐matching diminishes firms’ incentives to lower prices to attract consumers who have no search costs. Second, for consumers with positive search costs, price‐matching lowers the marginal benefit of search, inducing them to accept higher prices. Finally, price‐matching can lead to asymmetric equilibria where one firm runs fewer sales and both firms tend to offer smaller discounts than in a symmetric equilibrium. Price increases grow in the proportion of consumers who invoke price‐matching guarantees and in the level of equilibrium asymmetry.     

农产品和工业品产业链价格传递动态路径与我国物价水平波动研究

论文在对价格传递的特征进行了新的刻画基础上,利用我国近15年的月度数据,采用VAR模型和脉冲响应函数的计量方法,对比研究了农产品和工业品价格传递的动态路径特征及其对我国物价水平波动的影响。研究结论表明:从对价格冲击调整的方向、大小和快慢上来看,农产品产业链价格传递的波动性更大、影响时滞更短,呈现出更明显的非对称性特征,更容易影响我国物价波动;而工业品产业链价格传递不那么顺畅,特别是中游价格PPI与物价波动常呈现脱节现象。为此,在制定稳定物价的政策时,应针对两者价格传递的不同特征进行区别对待。     

The development of manufacturing: Unintended consequence

Structural change has taken divergent paths in India and Bangladesh. Using a dual economy perspective it is hypothesized that structural change is related to the intersectoral terms of trade. That is, the share of manufacturing in the economy falls as the price of agricultural goods rises relative to that for manufacturing and vice versa. This hypothesis is tested using data from the two countries and is found to be valid. Further, the differing movement in the intersectoral terms of trade in the two countries is found to be related to the type of policy followed (especially with respect to agriculture).