TESTING WAGE AND PRICE PHILLIPS CURVES FOR THE UNITED STATES

This paper demonstrates how the labour and product markets interact in determining as outcome a generalized reduced‐form price Phillips curve. For the labour market we consider a wage Phillips curve and for the product market a price Phillips curve. We estimate separately the wage and price Phillips curves for the USA, using ordinary least squares, non‐parametric estimation and three‐stage least squares techniques. The finding is that wages are always more flexible than prices with respect to their respective demand pressure and that price inflation responds somewhat more to a medium‐run cost pressure than does wage inflation. The implications for macroeconomic stability are demonstrated. We also show—as a link between product and labour markets—that employment is related to output as Okun's law states. In comparing linear and non‐linear estimates of the wage and price Phillips curves we find furthermore that for some relationships non‐linearities are important while not for others. Although overall the non‐linear estimates tend to confirm our linear estimates, non‐linearities in some relationships of the Phillips curve are important as well.     

Price Discovery in Interrelated Markets

In this study, we generalize the information share (IS) proposed by Hasbrouck (1995) and extended by Lien and Shrestha (2009). The new generalized information share (GIS) can be used to analyze the price discovery process in interrelated securities markets, whereas the previous two measures can only be applied to almost identical markets. Thus, using the GIS, we can analyze broader markets thereby improving our understanding of the price discovery process as well as the efficiency of securities markets. As an empirical demonstration of the proposed method, we apply the GIS to credit default swap (CDS) and bond markets, and find that for the majority of cases price discovery mostly takes place in the CDS markets. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:203–219, 2014     

从消费者的搜寻成本看Internet的市场效率

本文从商品价格和商品属性两个方面分析了Internet市场中消费者的信息搜寻成本,并说明由搜寻成本所造成的Internet市场中价格水平和价格离散程度的现状,以及由这两个指标所测度的市场效率。     

Exchange rate determination: The role of factor price rigidities and nontradeables

This paper introduces factor (labor) markets into the intertemporal monetary model of Obstfeld and Rogoff and combines this richer market structure with a new utility-independent representation of nontradeables. This allows us to explore the international monetary transmission mechanism for factor price (wage) rigidities under different degrees of macroeconomic openness. Factor price rigidities imply similar properties for the international transmission mechanism as domestic producer price rigidities. Nontradeables give raise to interesting new effects under asymmetric monetary shocks: They create short-run PPP deviations, increase exchange rate volatility relative to price level volatility and reduce (positive) consumption and (negative) output comovements.     

Price discovery in commodity derivatives: Speculation or hedging?

We investigate whether commodity futures or options markets play a more important role in the price discovery process in the six most actively traded markets: crude oil, natural gas, gold, silver, corn, and soybeans. Using new information leadership techniques, we report new evidence and report that both markets make a meaningful contribution to price discovery in recent times; however, on average, options lead futures in reflecting new information for a majority of these commodities. We find that increased speculation, rather than hedging activity, in commodity derivatives is a key determinant of price discovery in the options markets.     

Quantile information share

This paper presents a new method to estimate Hasbrouck-type market information share in price discovery. The prevailing market information share is calculated on the basis of conditional mean. We propose a conditional quantile regression approach to obtain a new market information share measure, quantile information share, which varies across the combinations of different price quantiles. The method is illustrated with two data sets, one on the spot and futures markets in pricing S&P 500 equity index, and the other on price discovery for a cross-listed stock.     

Trade liberalization and the allocation of labor between households and markets in a poor country

We consider the relationship between relative price changes and the allocation of labor between households and the formal wage labor market in the context of Vietnam's liberalization of its rice trade in the 1990s. Many individuals in poor economies work within their own household rather than in formal labor markets. We find that larger rice price increases in a community are associated with declines in hours adults devote to work within the household and increases in time spent in the wage labor market. We also observe increased specialization in household economic activities accompanying these shifts in hours towards wage work. Our results are consistent with the idea that a growth in the extent of the market shifts production and labor from households to markets during development, thereby inducing gains from specialization. Thus, the reallocation of labor between households and markets in response to a trade liberalization might be an important component in understanding the link between trade and growth in very poor economies, currently the focus of the Doha WTO negotiation round.     

Large trades and intraday futures price behavior

This study examines the effects of large trades executed by outside customer on the prices of futures contracts traded on the Chicago Mercantile Exchange. We find that, on average, large buyer-initiated trades have a larger permanent price impact (information effect) than large seller-initiated trades, whereas the opposite is found for the temporary price impact (liquidity effects) of large trades. These results are consistent with previous findings for block and institutional trades in equity markets. However, we also find that the information effects of large sells are larger than large buys in bearish markets, whereas the results are the reverse in bullish markets. The liquidity price effects of buys are larger than the liquidity price effects of sells in bearish markets whereas the reverse results hold in bullish markets. Our results are consistent with the hypothesis that the current economic condition is a key determinant of asymmetric price effects between large buys and large sells. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1147–1181, 2008     

Informed trade in spot foreign exchange markets: an empirical investigation

This paper presents new evidence on information asymmetries in inter-dealer FX markets. We employ a new USD/DEM data set covering the activities of multiple dealers over one trading week. We utilise and extend the VAR structure introduced in Hasbrouck [J. Finance 46(1) (1991) 179] to quantify the permanent effects of trades on quotes and show that asymmetric information accounts for around 60% of average bid-ask spreads. Further, 40% of all permanent price variation is shown to be due to transaction-related information. Finally, we uncover strong time-of-day effects in the information carried by trades that are related to the supply of liquidity to D2000-2; at times when liquidity supply is high, individual trades have small permanent effects on quotes but the proportion of permanent quote variation explained by overall trading activity is relatively high. In periods of low liquidity supply the converse is true—individual trades have large permanent price effects but aggregate trading activity contributes little to permanent quote evolution.     

Globalization and firm level adjustment with imperfect labor markets

In a model with search generated unemployment and heterogeneity on both sides of the labor market, exporting firms are bigger and pay higher wages than other firms. Moreover, there is imperfect persistence in the decision to export and liberalization increases the wage gap between high- and low-skill workers. Openness can increase aggregate productivity in export-oriented markets while generating within-firm productivity losses for the weakest firms. In contrast, openness can lead to within-firm productivity gains for the weakest firms in import-competing industries.     

NO‐ARBITRAGE IN A NUMÉRAIRE‐INDEPENDENT MODELING FRAMEWORK

The classic approach to modeling financial markets consists of four steps. First, one fixes a currency unit. Second, one describes in that unit the evolution of financial assets by a stochastic process. Third, one chooses in that unit a numéraire, usually the price process of a positive asset. Fourth, one divides the original price process by the numéraire and considers the class of admissible strategies for trading. This approach has one fundamental drawback: Almost all concepts, definitions, and results, including no‐arbitrage conditions like NA, NFLVR, and NUPBR depend by their very definition, at least formally, on initial choices of a currency unit and a numéraire. In this paper, we develop a new framework for modeling financial markets, which is not based on ex‐ante choices of a currency unit and a numéraire. In particular, we introduce a “numéraire‐independent” notion of no‐arbitrage and derive its dual characterization. This yields a numéraire‐independent version of the fundamental theorem of asset pricing (FTAP). We also explain how the classic approach and other recent approaches to modeling financial markets and studying no‐arbitrage can be embedded in our framework.     

Spatial Economics: Implications for Food Market Response to Retail Price Reporting

Recent research has used the information theory approach to consider the effects of retail food price reporting systems (RFPRS) on price levels and interstore dispersions within metropolitan retail food markets. The information theory paradigm suggests that consumers may lack sufficient information to match preferences (price, product, service) with store offering. Although researchers have concluded that empirical findings generally support the information theory approach, a number of unanswered questions and inconsistent findings remain. This paper contributes to the debate by utilizing spatial microeconomic theory to provide answers to five questions posed by McCracken, Boynton, and Blake [22] in a recent Journal article. It is argued that price effects typically observed in RFPRS studies result primarily from alterations in the information to retailers, rather than consumers. Furthermore, inclusion of costly distance in the theoretical model leads to conclusions that are quite different from those derived by “spaceless” models.     

Innovation, Ethics, and Entrepreneurship

This paper is a response to Ray's (2004) recent proposal that the intellectual property rights (IPR) attached to potentially life saving/life sustaining innovations should become public goods in cases where markets are either unable or unwilling to pay for the creation of the intellectual property. Using a free market approach to innovation based on Western moral philosophy, we suggest that treating intellectually protected life saving/life sustaining innovations as public goods will likely reduce social welfare over the long term.     

Managers' mobility,trade performance,and wages

Knowledge is key to the competitiveness and success of an organization and in particular of a firm. Firms and their managers acquire knowledge via a variety of different channels which are often difficult to track down and quantify. By matching employer–employee data with trade data at the firm level we show that the export experience acquired by managers in previous firms leads their current firm toward higher export performance, and commands a sizeable wage premium for the manager. Moreover, export knowledge is decisive when it is market-specific: managers with experience related to markets served by their current firm receive an even higher wage premium; firms are more likely to enter markets where their managers have experience; exporters are more likely to stay in those markets, and their sales are on average higher. Our findings are robust to controlling for unobserved heterogeneity and, more broadly, endogeneity and indicate that managers' export experience is a first-order feature in the data with an impact on a firm's export performance that is, for example, at least as strong as that of firm productivity.     

A Stakeholder Perspective on Relationship Marketing

Abstract

This paper proposes a broad framework of relationship marketing using the stakeholder approach. Drawing from Peck et al. (1999) framework and proposing several modifications, the authors identify the following relational groups-supplier markets, customer markets (channels), customer markets (end users), competitor markets, external influence markets, and internal markets. The growing importance of strategic alliances is reflected in all constituent groups as well as in a proposed modification of the Berry and Parasuraman (1991) levels of relationships. This paper also re-examines the strategic role of the traditional marketing mix strategies (namely, product, price, place, and promotion) in the new relationship paradigm. Finally, implementation strategies for the stakeholder markets, in general, and customer markets, in particular, are proposed. Several propositions are derived throughout the paper, many of which can be fertile areas for future research investigations.     

Consumer Reactions to Corporate Tax Strategies: Effects on Corporate Reputation and Purchasing Behavior

On the basis of an interdisciplinary approach linking taxation, marketing, and corporate social responsibility, the present research investigates the effects of media reports on aggressive and responsible corporate tax strategies (CTSs) on corporate success with consumers. By means of two laboratory experiments (N = 150, 360), we analyze the effects of the CTSs on corporate reputation, consumer purchase intention, and the consumer’s willingness to pay. Our results suggest that aggressive CTSs diminish corporate success with consumers, whereas responsible CTSs enhance it. Nevertheless, consumers are not willing to pay a price premium for products sold by responsible tax-planning companies, but rather punish aggressive tax-planning companies through a slightly lower willingness to pay. Finally, consumers’ tax morale and their attitude toward tax avoidance are important moderating variables. Given the growing level of media interest in taxation, our findings are crucial for assessing consumer-related non-tax costs and the benefits of different CTSs.     

Price impact asymmetry of futures trades: Trade direction and trade size

By analyzing the high-quality intraday transaction dataset of KOSPI200 index futures contracts, one of the most actively traded index futures products in the world, this study examines price impact asymmetry between buyer- and seller-initiated trades and the difference in information content across the size of trades. To measure the permanent price impact incurred by each futures trade, which can be translated into the quality of information content of each trade, we use a modified version of the MRR model (Madhavan et al., 1997), which is appropriate for gauging the price impact and information content as well as analyzing the intraday price discovery issues that arise in purely order-driven markets.Consistent with the empirical results of previous studies on market microstructure issues in Korea's index derivatives market (i.e., KOSPI200 index futures and options market), we find that large trades generally incur greater permanent price impacts than small trades. This indicates that large trades generally have greater information content than the smaller ones. However, in contrast to the majority of empirical studies in this area, which have reported that buy trades are more informative than sell trades in global financial markets, we find that the permanent price impact of seller-initiated trades is clearly and substantially larger than that of buyer-initiated trades in the KOSPI200 futures market. This indicates that sell trades are more informed than buy trades in the index futures market, where informed investors can freely submit sell orders without any restrictions. The greater information content of sell trades is also apparent when trades are classified by their size. These results are quite remarkable considering that the sample period of this study (2003–2006) corresponds to a recovery period, during which the underlying stock index price and the futures price continued to increase.     

我国证券市场监管存在的问题及对策探析

证券市场的健康发展离不开对其有效的监管。当前,我国证券市场还处于发展初期,存在着监管法规不够健全,监管体制不完善,信息披露制度不规范等问题,使得内幕信息提前泄露,信息披露不充分,某些机构操纵股价的现象时有发生,中小投资者面临着很大的风险。我国应建立健全对证券市场监管的相关法律法规,进一步完善证券市场监管体制,进一步健全证券市场的信息披露制度,努力改善交易信息失灵状况,从而促进我国证券市场健康发展。     

Good jobs, bad jobs, and trade liberalization

How do labor markets adjust to trade liberalization? Leading models of intraindustry trade (Krugman (1981), Melitz (2003)) assume homogeneous workers and full employment, and thus predict that all workers win from trade liberalization, a conclusion at odds with the public debate. Our paper develops a new model that merges Melitz (2003) with Shapiro and Stiglitz (1984), so also links product market churning to labor market churning. Workers care about their jobs because the model features aggregate unemployment and jobs that pay different wages to identical workers. Simulations show that, for reasonable parameter values, as many as one-fourth of existing “good jobs” (those with above average wage) may be destroyed in a liberalization. This is true even as the model shows minimal impact on aggregate unemployment and quite substantial aggregate gains from trade.     

New firms and labor market entrants: Is there a wage penalty for employment in new firms?

In this paper, we explore the role of new firms as an entry point to the labor market. Because the vast majority of new firms are short-lived, it is a risky decision to accept employment in a new venture. It can be argued that individuals with little (or no) labor market experience are more willing to accept the high risks associated with employment in new firms. Hence, new firms may work as an entry point to the labor market. Nevertheless, some research concludes that one disadvantage of employment in a new firm is that new firms pay less (Shane in Small Bus Econ 33:141–149, 2009). However, this empirical conclusion is primarily based on literature on the wage penalty of small firms. In this paper, we study whether the wage penalty of employment in a new firm persists if we focus solely on labor market entrants. In the empirical analysis, we employ an employer-employee matched dataset that covers the Swedish population during the period from 1998 to 2008. We use the propensity score matching method to study the wage differences between labor market entrants employed in new and incumbent firms. We find an average wage penalty of 2.9 % for labor market entrants employed in new firms over the studied period.