An elasticity approach to the analysis of Romanian foreign trade policy during the years of transition

This paper focuses on the effect of exchange rate variations on the economic evolution of a country in transition, facing inflation, output decrease and negative external shocks; the particular case of Romania is considered. The theoretical part is linked to the Fleming-Mundell model for an open economy, but additional assumptions of price mobility and capital immobility are introduced. The usual interest rate versus output graphic framework is switched from one to another, which plots the exchange rate (or real exchange rate) versus output; the author considers that such a representation fits the behavior of an economy in transition towards a market-based system better. A main role, according to this interpretation, is played by the exchange rate elasticities of imports and exports, which influence the images of the equilibria on the goods market and the balance of payment (the IS and BOP curves' slopes). Finally, an empirical analysis is made, as an example, on the Romanian energy imports data series; the attempts to calculate the exchange rate elasticity may be considered as reliable only in the short term. In order to estimate the global exchange rate elasticities of imports and exports, some aggregations of partial sectorial results might be a possible solution. In the Romanian case, the resulting elasticities seem to be lower than for other countries; this poses the question as to the effectiveness of exchange rate policies in managing the Romanian economy.     

Pricing-to-market in U.S. imports and exports: A time series and cross-sessional study

This paper provides a comparative study of how U.S. imports and exports prices react to exchange rate changes. It finds, through time series analyses, that while both U.S. and foreign exporters price to market, foreign exporters in general absorb a large portion of exchange rate changes by themselves while U.S. exporters pass through most of the exchange rate change to foreign currency prices. Pricing behavior of U.S. imports and, to a lesser extent, of U.S. exports varies across industries and such variation relates to industry characteristics such as market shares, product d differentiation, and capital-to-labor ratio.     

The economics of urban yard space: An “implicit-market” model for housing attributes

A theoretical housing model is developed embodying the approach of the recent hedonic price literature. Instead of focusing on a scalar “housing service” consumption measure, the model portrays housing as a commodity with two attributes: floor space and yard space. Developers react to a consumer bid-rent function, which relates dwelling rent to floor space, yard space, and location, in choosing the profit-maximizing characteristics of their housing complexes. The spatial behavior of the developer's choice variables is investigated (an interesting question is whether yards are larger farther from the urban center), and a comparative static analysis of the housing market equilibrium is presented.     

Rent sharing to control noncartel supply in the German cement market

A challenge for many cartels is avoiding a destabilizing increase in noncartel supply in response to having raised price. In the case of the German cement cartel that operated over 1991–2002, the primary source of noncartel supply was imports from Eastern European cement manufacturers. Testimonies in a private enforcement case have claimed that the cartel sought to control imports by sharing rents with intermediaries in order to discourage them from sourcing foreign supply. Specifically, cartel members would allow an intermediary to issue the invoice for a transaction and charge a fee even though the output went directly from the cartel member's plant to the customer. We investigate this claim by first developing a theory of collusive pricing that takes account of the option of bribing intermediaries. The theory predicts that the cement cartel members are more likely to share rents with an intermediary when the nearest Eastern European plant is closer and there is more Eastern European capacity outside of the control of the cartel. Estimating a logit model that predicts when a cartel member sells through an intermediary, the empirical analysis supports both predictions.     

Capacity Investment under Demand Uncertainty: The Role of Imports in the U.S. Cement Industry

Demand uncertainty is thought to influence irreversible capacity decisions. Suppose that local demand can be sourced from domestic (rigid) production or from (flexible) imports. This paper shows that the optimal domestic capacity is either increasing or decreasing with demand uncertainty, depending on the relative level of the costs of domestic production and imports. We test this relationship with data from the U.S. cement industry, in which the difference in marginal cost between domestic production and imports varies across local U.S. markets because cement is costly to transport over land. Industry data for 1999 to 2010 are consistent with the predictions of the model. The introduction of two technologies to the production set—one rigid and one flexible—is crucial to understanding the relationship between capacity choice and uncertainty in this industry because there is no relationship between these two variables in aggregated U.S. data. Our analysis reveals that the relationship is negative in coastal districts, and significantly more positive in landlocked districts.     

我国上市公司房地产与公司绩效关系的实证研究

房地产能否增加公司的股票市场价值、提高其收益率和公司的整体赢利能力是公司房地产领域一个很重要的问题。文章采取深圳股票市场非房地产上市公司的股票以及其公司房地产信息,结合三因素模型,对该问题做了实证分析。实证结果表明,公司房地产比率对所有行业整体的平均股票收益率影响并不显著,却对信息技术行业影响显著;同时公司房地产的规模对公司的赢利能力有比较显著的影响。     

Modeling regional electric power markets and market power

This paper develops a nonlinear, mathematical programming model for estimating production decisions in an open access, regional power market. Our approach allows one to estimate competitive power market equilibrium prices, which in turn offers empirical conclusions about marginal generation facilities, transmission interconnection congestion, and most importantly, load pockets and market power. Sensitivity analyses are conducted by subjecting the model to changes in production costs, peak hour demand, power imports, and transmission interconnection price assumptions. We then consider the issue of a firm's ability to exercise market power and the implications it may have on regional equilibrium power prices. The Louisiana power market is used as a case study for our work. Copyright © 2001 John Wiley & Sons, Ltd.     

Identifying the source of dynamics in disaggregated import data

This paper uses Kennan's (1988) model to separately identify supply-side and demand-side dynamics in US import data. Dynamics arise from both autocorrelated shocks to supply- and demand-side fundamentals, and from lagged adjustment to these shocks. The model consists of a pair of partial adjustment models in which consumers and producers each attempt to follow a stochastic target level of imports subject to a quadratic adjustment cost. The model is applied to quarterly data on US imports of seven narrowly defined commodities: Autos, Beer, Cameras, Wine, Cigars, Tea, and Soap. Two main results emerge. First, adjustment costs are important on both sides of the market. Second, supply-side adjustment costs are larger than demand-side adjustment costs. © 1998 John Wiley & Sons, Ltd.     

Import demand behavior in Africa: Some new evidence

Some African economies have experienced increases in the level of their foreign exchange reserves as well as increases in their import volume. Theory suggests that as the level of exchange reserves increases, it may affect the demand for imports since more funds will be available for imports. This paper examines import demand behavior in three African economies, namely Kenya, Nigeria and South Africa. An empirical analysis of import demand behavior is presented, based on the dynamic error-correction model, which allows an explicit parameterized division of effects into long-run influences, short-term adjustment and error-correction term. It uses econometric techniques organized around Johansen and Harris–Inder cointegration analyses; fully modified OLS, dynamic OLS and non-linear OLS to estimate long-run import demand functions.     

REGIONAL WATER FOOTPRINTS OF THE YANGTZE RIVER: AN INTERREGIONAL INPUT–OUTPUT APPROACH

Recently, researchers have applied the multi-regional input–output (MRIO) approach to water footprint (WF) analysis. The concept of interregional input–output (R-MRIO) was developed to analyse regional issues. Researchers have concentrated on the development of global or international input–output (N-MRIO) tables. Using the N-MRIO and the R-MRIO approach allows the study of global and regional issues, respectively. The WF is an indicator influenced by trade among nations and regions. However, the treatment of imports in an R-MRIO approach differs in whether international imports are separated or combined. We evaluate the effects of the difference between these models and discuss policy implications for the Yangtze River, China. The WF calculated using the combined type model is 11% larger than that by the separated type model. This difference can be ascribed to international imports, mainly internal consumption and interregional trade. We find that this difference affects social equity in water-abundant areas.     

The currency denomination of external European Union imports after European Union expansion

Using a multiple market model I examine the impact of euro expansion on the optimal currency denomination of external EU imports. Results suggest euro invoicing will increase more in the EU-expansion country than in the original EU. Exporting firms from dollar bloc countries (the U.S. or countries with fixed exchange rates with the dollar) are more likely to invoice in the euro if price discrimination is already optimal. Firms from outside the dollar bloc are more likely to use the euro when the original EU market is relatively large or transaction costs of exchanging the euro are relatively small.     

The exchange rate and machinery and equipment imports: Identifying the impact of import source and export destination country currency valuation changes

This paper presents estimates of the impact of exchange rate movements on the quantity of machinery and equipment imports. Many countries have become increasingly reliant on imports of these types of products and evidence in a number of studies indicates that investment in machinery and equipment contributes to improved productivity and growth. Unlike previous studies, this study differentiates between exchange rate movements with respect to machinery and equipment import source and final good export destination countries. Data are employed for two machinery and equipment importing countries, Australia and Canada, and two exporting countries, Japan and the U.S. The results indicate that a currency depreciation with respect to an import source country has a significant negative effect on the quantity of machinery and equipment imports, while a depreciation with respect to a domestic final good export destination country has a significant positive effect. These findings imply that the net impact on the quantity of machinery and equipment imports of an exchange rate change with respect to a particular country will depend on the extent to which that country is a supplier of machinery and equipment imports and a market for domestic exports.     

Sustainable Project Finance,the Adoption of the Equator Principles and Shareholder Value Effects

Recent trends in the project finance industry include an increasing volume and a growing awareness of sustainable development. This has raised the question of whether and a how voluntary code of conduct such as the Equator Principles (EP) could enhance its impact on the project finance industry. We apply an event study methodology, and also consider the market model and conditional variance. We find positive abnormal returns for financial institutions adopting the EP, which supports the reputational risk hypothesis. Furthermore, we document that adopters outperform the global project finance market, especially in terms of market share. However, we do not find evidence that non‐adopters are excluded from lending syndicates. Results include practical recommendations for environmental policy. Copyright © 2013 John Wiley & Sons, Ltd and ERP Environment     

贸易自由化与中国企业进口中间品质量升级

进口高质量中间品是发展中国家实现技术追赶的重要途径;贸易自由化会降低进口高质量中间产品的贸易成本和相对价格,促进企业进口中间品质量升级。基于此,本文利用细分关税数据、海关数据和工业企业数据,将加工贸易作为控制组、一般贸易作为处理组,采用倍差法经验分析贸易自由化对中国企业进口中间品质量的影响。结论发现：伴随关税下降,中国企业进口中间品质量整体增长,且一般贸易组增长速度远快于加工贸易组。同加工贸易相比,关税下降1%一般贸易进口中间品质量增长高出0.06%~3.74%。这一作用在持续进口企业中,在基础设施完善、市场化水平高、经济集聚程度高的地区更明显。上述结论通过了同趋势假设、内生性等一系列稳健性检验。     

Can a stochastic cusp catastrophe model explain housing market crashes?

Like stock market prices, housing prices often exhibit temporary booms and busts. A possible explanation for the observed abrupt changes is offered by the stochastic catastrophe model. This paper addresses the question whether the catastrophe model can describe and predict the dynamics of housing markets. We fit a stochastic cusp catastrophe model to empirical housing market data for six OECD countries, US, JP, UK, NL, SE and BE. Two different estimation approaches are considered – Cobb׳s method and Euler discretization. The analysis shows that while Cobb׳s approach describes the long-run stationary density better, Euler discretization is more tailored for time series, as it provides better one-step-ahead predictions. Proceeding using the Euler discretization method we discuss the dynamics of housing markets in terms of the multiple equilibria cusp catastrophe model. By considering the long-term interest rate as an exogenous variable we obtain new insights into the policy implications of interest rate levels, in particular concerning the stability of housing markets.     

Commercial versus open source software: the role of product heterogeneity in competition

The emergence and market success of Linux in recent years has been impressive. The paper investigates the question of why some producers of a proprietary software support the development of open source software (OSS) while others refuse any support. As an analytical framework, a simple Launhardt–Hotelling model is used to show that the emerging price pressure on the former monopolists depends on the extent of the current heterogeneity between OSS and the proprietary software of the incumbents. The paper argues that the product heterogeneity can explain the differing real-world behavior of commercial software producers.     

Aggregate stock market behavior and investors’ low risk aversion

This paper studies whether investors’ high risk aversion can be avoided in a representative-agent model that is able to explain aggregate stock market behavior in the US financial market. We present a consumption-based asset pricing model with a representative agent who has a ‘catching up with the Joneses’ preference to show that high risk aversion can be avoided in a representative-agent model that can help explain many of the empirically observed properties of the aggregate stock market return, including the equity premium and risk-free rate puzzles, the predictability of long-horizon stock returns, and the ‘leverage effect’ in return volatility.     

Herding behavior in the cryptocurrency market during COVID-19 pandemic: The role of media coverage

This paper examines herding behavior in the cryptocurrency market during the COVID-19 pandemic using daily data and based on static and regime-switching models. Furthermore, we investigate whether herding behavior is affected by the coronavirus media coverage. Based on a sample of the top-43 cryptocurrencies in terms of market capitalization between 2013 and 2020, we find significant evidence of herding for the entire sample period only during high volatility state. Moreover, during the COVID-19 crisis, results suggest that investors in the cryptocurrency market follow the consensus. Finally, the impact of coronavirus media coverage is significant on herding among investors, explaining such behavior in the cryptocurrency market during the COVID-19 crisis. Our findings explain herding determinants that may help investors avoid such comportment, mainly during the crisis.     

Testing the efficiency of the Norwegian housing market

The question of whether or not the housing market is efficient is posed by an increasing number of economists, policymakers, homebuyers, and homesellers. This article tests the efficiency hypothesis on data from the housing market in Oslo over the period 1991–2002, employing the Case–Shiller time-structure test on a repeat-sales house price index and returns to housing. We demonstrate that both the repeat-sales house price index and returns contain time structure and that the housing market is characterized by inefficiencies. We also find, surprisingly, that the housing market consistently yields higher appreciation at lower volatility than the stock market over the period.     

CVA-企业价值管理新理念

面对激烈的竞争,企业必须具有改革思想,要确立股东利益最大化为其经营管理目标,即价值管理。为了实现股东价值增值,管理者必须结合资本市场对公司的管理活动进行模仿、预期和分析,建立以价值为基础的管理的模型,对上市公司进行正确评估。本文从上市公司投资分析中存在矛盾入手,提出企业解决这个矛盾的方式只有使用价值管理理念进行投资评估和分析,在此基础上构造新的价值评价模型CVA-现金附加价值。