The Cartagena Declaration,the Baker Plan,and U.S. bank security returns: An empirical investigation

This paper examines the impact of the Cartagena Declaration by 11 Latin American countries and the Baker Plan for resolving the LDC debt problem on the security returns of major U.S. banks. An event parameter approach is employed to investigate two hypotheses, the new-information and the rational-pricing hypotheses, using daily stock market data. Sample banks are grouped into three portfolios depending on their LDC exposure. The results indicate that bank stock returns adjust quickly to new information. Also, there is rational investor reaction to observed events that were neither borrower- nor lender-induced. Those banks displaying greater exposure to LDC loans were affected in a direct and proportionately greater manner.     

An empirical investigation of going private decisions of U.S. firms

According to many managers, the Sarbanes-Oxley Act of 2002 caused the costs of being public to increase. Subsequently, following the Act, many firms went private rather than incur the costs. We investigate the differences in the financial characteristics of firms that went private between 1998 and 2003 and a control sample of firms which went public and did not go private Our results indicate that there are differences in the two groups, as well as differences in firms that went private prior to and following Sarbanes-Oxley. Taken together, our results are indicative of going private to avoid the higher costs of being public post Sarbanes-Oxley.     

Understanding the accumulation of bank and thrift reserves during the U.S. financial crisis

The level of aggregate excess reserves held by U.S. depository institutions increased significantly at the peak of the 2007–2009 financial crisis. Although the amount of aggregate reserves is determined almost entirely by the policy initiatives of the central bank that act on the asset side of its balance sheet, the motivations of individual banks in accumulating reserves differ and respond to the impact of changes in the economic environment on individual institutions. We undertake a systematic analysis of this massive accumulation of excess reserves using bank-level data for more than 7000 commercial banks and almost 1000 savings institutions during the U.S. financial crisis. We propose a testable stochastic model of reserves determination when interest is paid on reserves, which we estimate using bank-level data and censored regression methods. We find evidence primarily of a precautionary motive for reserves accumulation with some notable heterogeneity in the response of reserves accumulation to external and internal factors of the largest banks compared with smaller banks. We combine propensity score matching and a difference-in-differences approach to determine whether the beneficiaries of the Capital Purchase Program of the Troubled Asset Relief Program accumulated less cash, including reserves, than non-beneficiaries. Contrary to anecdotal evidence, we find that banks that participated in the program accumulated less cash, including reserves, than nonparticipants in the initial quarters after the capital injection.     

An empirical study of depositor sensitivity to bank risk

Using a cross-sectional data set on U.S. commercial banks, the argument that during the mid 1980s to early 1990s depositors were insensitive to bank risk is empirically examined. Bank risk is measured by the predicted probability of bank failure as a function of contributing factors. The natural log of bank deposits is then regressed on bank risk and other control variables. The coefficient on bank risk in this equation measures the sensitivity of deposits to bank risk. A close examination of the estimated coefficient on bank risk offers little support for the argument that depositors were insensitive to bank risk.     

An empirical analysis of the relation between bank charter value and risk taking

This paper examines the relation between bank charter value and risk taking. Using a sample of U.S. banks over the period 1990–2006, we find that the relation is U-shaped: as charter value increases, risk taking first decreases and then increases. This finding is robust across alternative measures of risk taking and an estimation method that accounts for the joint determination of charter value and risk taking.     

Measuring crisis risk using conditional copulas: An empirical analysis of the 2008 shipping crisis

The shipping crisis starting in 2008 was characterized by sharply decreasing freight rates and sharply increasing financing costs. We analyze the dependence structure of these two risk factors employing a conditional copula model. As conditioning factors we use the supply and demand of seaborne transportation. We find that crisis risk strongly increased already about 1 year before the actual crisis outburst and that the shipping crisis was predominantly driven by an oversupply of transport capacity. Therefore, market participants could have prevented or alleviated the consequences of the crisis by reducing the ordering and financing of new vessels.     

The exchange value of the dollar and the U.S. trade balance: An empirical investigation based on cointegradon and Granger causality tests

This article performs tests of Granger causality in the relationships between the nominal ad real exchange rates of the dollar and the U.S. trade balance as well as its price and quantity components over the period 1973:IIQ–1989:IIIQ. Our results suggest: (i) weak statistical evidence of unidirectional causality running from the nominal exchange rate to import prices and nominal trade balance (ii) no statistical support for the proposition that the real exchange rate simply “accommodates” changes in the real trade balance, and (iii) strong (no) causal links between the nominal and real exchange rates and export (import) volume. We tentatively conclude that movements in the exchange rate have a rather limited effect on the trade balance and that this effect is more likely to materialize on the export side of the trade balance.     

Agency costs in U.S. manufacturing: An empirical measure using X-efficiency

By adapting the concept of X-inefficiency, the deadweight cost associated with agency problems is estimated for U.S. manufacturing industry. X-inefficiency theory postulates that agent’s opportunistic behavior will lead to second-best outcomes in imperfect markets. When the methodology is applied to the 1986/87 fiscal year, thirty industries are identified as X-inefficient. The total deadweight agency cost generated by these industries amounts to some $76 million. On average, in any given industry, agency costs represent two-tenths of one percent of that industry’s annual sales.     

An empirical analysis of self-employment in the U.K.

The paper formulates a self-employment/paid-employment choice problem that draws upon Knight's notion that the individual responds to the risk-adjusted relative earnings opportunities in each sector. Based on a development of such choice-theoretic considerations, an econometric model is developed with the purpose of empirically examining the determinants of self-employment. The model features simultaneous determination of employment status and earnings, which allows for self-selectivity. The model is estimated using a sample of 4762 individuals from the General Household Survey for 1978. The estimation of the earnings equation enables a calculation of the self-employment/paid-employment earnings differential and the estimated probit equation for self-employment/paid-employment status facilitates the prediction of the probability of self-employment. The paper finds that there is positive selection bias in the observed earnings of employees, that the probability of self-employment depends positively on the earnings difference between the two sectors and that education and age are significant determinants of self-employment.     

U.S. Presidential election impact on Canadian and Mexican stock markets

Recent empirical evidence indicates that the delay in the 2000 presidential election results impacted the stock market performance in the United States. In the present study we examine the impact of the same delay on the performance of the Canadian and Mexican stock markets. We find evidence indicating that both the Canadian and the Mexican stock markets were affected negatively during the period. This study not only shows that the Mexican and Canadian stock markets are closely integrated with their American counterparts but also indicates that the markets of these countries follow the U.S. presidential elections as closely as U.S. markets do. The authors thank the Department of Economics and Finance, Texas A&M University-Commerce, for financial support to purchase some of the data used in the study.     

Factors influencing bank risk in Europe: Evidence from the financial crisis

We use a dynamic panel data model to analyze bank-specific and macroeconomic determinants of bank risk for a large sample of commercial banks operating in the euro area. The selected time span, from 2001 to 2012, considers the impact of the on-going financial and economic crisis on the Eurozone banking system. Our results indicate that capitalization, profitability, efficiency and liquidity are inversely and significantly related to bank risk. However, the recourse to wholesale funding by banks seems to increase their risk. We also find that less-concentrated markets, lower interest rates, higher inflation rates and a context of economic crisis (with a falling GDP) increase bank risk.     

Interest rate and bank stock returns asymmetry: Evidence from U.S. banks

We use the multivariate extension of Exponential Generalized Autoregressive Conditionally Heteroscedastic (EGARCH) of Nelson, Econometrica, 59: 347–370, 1991 to test for spillover effects and examine the extent of asymmetries between short- and long-term interest rates and portfolios of money center, large, and medium-size banks in the U.S. Our results indicate the existence of price and volatility spillovers from short- and long-term interest rates to the three bank portfolios. We also provide evidence of response asymmetries for the portfolios of money center and large banks, suggesting that money center and large banks are more sensitive to negative than positive short- and long-term interest rate changes.

Does time have value? An empirical examination of the put option embedded in refundable U.S. air fares

The unprofitable history of the airline industry raises questions about how effectively airlines price their product. In this study, we use option pricing theory to examine the value of the put option embedded in refundable airline tickets. Specifically, we examine whether the time to expiration of the embedded put option is properly priced. Compiling daily real-time ticket price data for Delta and Southwest over 3.5 months, we find little evidence to suggest that airlines price the value of time in the embedded put option. However, we do find evidence suggesting that options are priced higher on business-dominated routes than on vacation-dominated routes.     

Productivity and efficiency at bank holding companies in the U.S.: a time-varying heterogeneity approach

This paper investigates the productivity and efficiency of large bank holding companies (BHCs) in the United States over the period 2004–2013, by estimating a translog stochastic distance frontier (SDF) model with time-varying heterogeneity. The main feature of this model is that a multi-factor structure is used to disentangle time-varying unobserved heterogeneity from inefficiency. Our empirical results strongly suggest that unobserved heterogeneity is not only present in the U.S. banking industry, but also varies over time. Our results from the translog SDF model with time-varying heterogeneity show that the majority of large BHCs in the U.S. exhibit increasing returns to scale, a small percentage exhibit constant returns to scale, and an even smaller percentage exhibit decreasing returns to scale. Our results also show that on average the BHCs have experienced small positive or even negative technical change and productivity growth.     

An empirical investigation of intraurban wage gradients

Intraurban wage gradients have received little attention in the urban literature but have been shown theoretically to be important indicators of the spatial characteristics of urban economic activity. This study examines the spatial distribution of wages of five groups of municipal public employees in the Chicago SMSA. Negative wage gradients, significant at the 0.05 level, are found for four of the five labor groups. Results show that monthly wages decrease on average as much as $24 per additional mile from the city center.     

An empirical investigation of scheduling performance criteria

Planning and scheduling significantly influence organizational performance, but literature that pays attention to how organizations could or should organize and assess their planning processes is limited. We extend planning and scheduling theory with a categorization of scheduling performance criteria, based on a three-stage survey research design. Particularly, the results show that, next to schedule quality, the planning process factors timeliness, flexibility, communication, and negotiation are important performance criteria, and especially so in organizations that are faced with high levels of uncertainty. The results suggest that organizational and behavioral aspects of planning and scheduling cannot be mitigated with advanced models and software that solely focus on good schedules. Rather, high quality schedules and high quality scheduling processes need to be facilitated simultaneously to attain high planning and scheduling performance.     

Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis

This paper examines the changing nature of volatility spillovers among the U.S. and eight East Asian stock markets between two financial crises: the Asian currency crisis and the U.S. subprime credit crisis. Our empirical results suggest that volatility is not always spilled over from the directly affected markets to surrounding markets in crisis periods. The East Asian markets who directly suffered from the Asian currency crisis are the ones to which volatility is spilled over from other markets during the Asian currency crisis period, whereas uni-directional volatility spillovers from the U.S. market to other markets are observed during both crisis periods. This difference can be explained by a pre-determined hierarchy in which volatility spillovers tend to start from the U.S. market regardless of the geographical origin of the crisis. Furthermore, our results reveal that the markets in three major Asian financial hubs, i.e., Japan, Hong Kong and Singapore, are the markets to which volatility is spilled over uni-directionally from several other countries during the subprime credit crisis period, but not during the Asian currency crisis period. We attribute this difference to crisis-specific (currency or credit crisis), market-specific (credit derivatives market participation and foreign currency reserves), and time-specific (more integrated global market) factors.     

浅谈应对美国337调查的策略

文章从美国337调查的起源入手,通过对美国337调查涉华案件数量和涉及行业进行分析,揭示出高效应对337调查的必要性,通过对美国337调查涉华案件诉讼理由和诉讼结果进行分析,揭示出我国在应对美国337调查中存在的问题和不足。在此基础上,文章从企业、行业协会以及政府三个层面提出应对337调查的合理策略,以期对相关企业或部门有所助益。     

A non-parametric investigation of supply side factors and healthcare efficiency in the U.S

Journal of Productivity Analysis - In this study, the supply-side factors affecting healthcare efficiency in the U.S are studied using data between 2010 and 2017. The recently developed...