Price dynamics in the Belarusian black market for foreign exchange

Using unique data from an internet-based foreign-exchange trading platform, we show that the black market efficiently incorporated public information on the state of the Belarusian economy during the Balance of Payments crisis of 2011. Between May and October 2011, the government repeatedly devalued the Belarusian ruble and eventually abandoned its fixed exchange rate regime. Measures derived from black market transaction data have significant predictive power for these devaluations. The significance of these black market measures survives even when we include standard macroeconomic indicators in our forecasting model. In line with standard economic theory, activity in the black market has dried up subsequently.     

Choice of Distribution System in the New Zealand Life Insurance Industry

Using 1988–93 panel data drawn from the New Zealand life insurance industry, this paper examines empirically the notion that the choice of distribution system is an efficient contracting solution to incentive conflicts between owners, managers and sales agents in life insurance firms. Consistent with what was hypothesised, the empirical results suggest that choice of distribution system is distinguished by organisational form, firm size, and sales commission. However, contrary to expectations, the variables representing product diversity and asset specificity were found not to be statistically significant. The empirical results thus lend mixed support for prior predictions.     

Vertical Relationships in the Automotive Industry: Do They Matter?

In this note we examine how vertical relationships are related to the efficiency of the operations in the automotive production chain. We first provide an overview of the nature of supplier arrangements by comparing current practices in the countries Japan, US, and Germany. Current best practices show that vertical linkages in the automotive industry have shifted away from simple market transactions and now involve closer long-term interactions coupled however with subtle incentive elements. We outline the economic issues which are present in vertical relationships and include a brief account of differing theoretical perspectives. Then, we use a refined methodology to measure productivity at the industry level for the supplier industries automotive parts and metalworking and for the final assembly industry. It turns out that Japanese industries achieve the highest productivity level at the supplier and at the assembly level. We interpret the empirical results and relate the differences in vertical arrangemen s with the efficiency of both parts in the relation.     

Generic Existence and Robust Nonexistence of Numéraires in Finite Dimensional Securities Markets

A numéraire is a portfolio that, if prices and dividends are denominated in its units, admits an equivalent martingale measure that transforms all gains processes into martingales. We first supply a necessary and sufficient condition for the generic existence of numéraires in a finite dimensional setting. We then characterize the arbitrage‐free prices and dividends for which the absence of numéraires survives any small perturbation preserving no arbitrage. Finally, we identify the cases when any small, but otherwise arbitrary, perturbation of prices and dividends preserves either the existence of numéraires, or their nonexistence under no arbitrage.     

The critical role of trust in obtaining retailer support for a supplier’s strategic organizational change

It is well established in the marketing literature that the bond of trust is a cornerstone of interorganizational relationships. However, trust is considered to be context-specific, as it is difficult to endow on new relationships. We argue that the existing trust between organizations not only survives tough and shifting times, but also helps steer those organizations through such trying periods. We investigated a context where a major change was instituted in a cooperative marketing channel. Here, the supplier (the focal channel member) had to convince the other channel members (the retailers) about the impending merger, which may or may not bring benefits to all. We empirically show the existing trust in the supplier was a major determinant of the support for the merger and inducing the post-merger trust in and commitment to the changed supplier.     

浅析保险公司资金运用

保险资金运用是我国现代保险业得以生存和发展的重要支柱。如何加强保险资金运用已成为一个重要课题。本文分析了保险资金运用的方式、原则,并提出了完善保险资金运用的建议。     

Openness and income: The roles of trade and migration

This paper explores the relationship between openness to trade, immigration, and income per person across countries. To address endogeneity concerns we extend the instrumental-variables strategy introduced by Frankel and Romer (1999). We build predictors of openness to immigration and to trade for each country by using information on bilateral geographical and cultural distance (while controlling for country size). Since geography may affect income through other channels, we also control for climate, disease environment, natural resources, and colonial origins. Most importantly, we also account for the roles of institutions and early development. Our instrumental-variables estimates provide evidence of a robust, positive effect of openness to immigration on long-run income per capita. In contrast, we are unable to establish an effect of trade openness on income. We also show that the effect of migration operates through an increase in total factor productivity, which appears to reflect increased diversity in productive skills and, to some extent, a higher rate of innovation.     

R&D policies, trade and process innovation

We set up a simple trade model with two countries hosting one firm each. The firms invest in cost-reducing R&D, and each government may grant R&D subsidies to the domestic firm. We show that it is optimal for a government to provide higher R&D subsidies the lower the level of trade costs, even if the firms are independent monopolies. If firms produce imperfect substitutes, policy competition may become so fierce that only one of the firms survives. International policy harmonization eliminates policy competition and ensures a symmetric outcome. However, it is shown that harmonization is not necessarily welfare maximizing. The optimal coordinated policies may imply an asymmetric outcome with R&D subsidies to only one of the firms.     

The political economy of international factor mobility

We model the endogenous determination of policy towards international factor mobility. In a common agency setting, domestic interest groups bid for protection from the government and the incumbent politicians maximize a welfare function that depends both on domestic voters' welfare and contributions collected. We characterize equilibrium policies in the price space and show how the degree of complementarity among inputs determines the outcome. We establish a similar result for quotas, allowing for partial rent capturing. For the strategic environment under consideration, we also establish a general equivalence result between tariffs and quotas if capturing is complete.     

Effects of employees’ opportunities to influence in-store music on sales: Evidence from a field experiment

The effects of in-store music on consumer behavior have attracted much attention in the marketing literature, but surprisingly few studies have investigated in-store music in relation to employees. By conducting a field experiment in eight Filippa K fashion stores in Stockholm, Sweden, we investigate whether it is beneficial for store owners to give employees more opportunities to influence the in-store music. We randomly assigned the stores into a treatment group and a control group, with the employees in the treatment stores having the opportunity to influence the in-store music through an app developed by Soundtrack Your Brand (SYB). The experiment lasted 56 weeks and sales data were also gathered 22 weeks before the experiment, resulting in a total of 4626 observations. Our results show that sales decreased by 6% when the employees had the opportunity to influence the music played in the store, and the effect is driven by a reduction in sales of women's clothing. Interviews with the employees revealed that they had diverse music preferences, frequently changed songs, and preferred to play high-intensity songs. Employees thus seem to make choices regarding the in-store music that reduce sales, implying that store owners might want to limit their opportunities to influence the background music.     

Federal Reserve and private forecasts of growth in investment

This study examines the Federal Reserve and private forecasts of growth in both business and residential investment for 1983-2004 and reaches four main conclusions: First, in support of the asymmetric information hypothesis, the shorter (longer) horizon Federal Reserve forecasts of growth in business (residential) investment contain useful predictive information beyond that included in private forecasts. Second, the Federal Reserve forecasts are all biased. The same is true for the private forecasts of growth in residential (but not entirely for the forecasts of growth in business) investment. Third, the private forecasts overall do better than those of the Federal Reserve in outperforming the univariate forecasts. Fourth, the Federal Reserve and private forecasts of growth in business (residential) investment, while directionally accurate, imply symmetric (asymmetric) loss. We conclude this study by discussing the usefulness of these forecasts.     

FDI as an outcome of the market for corporate control: Theory and evidence

Much foreign direct investment (FDI) takes the form of mergers and acquisitions (M&A). It is commonplace in finance to view acquisitions as manifestations of the market for corporate control. Following on that insight we propose a model of FDI in which headquarters bid to control overseas assets. We derive an equation for bilateral FDI stocks that resembles the recently developed fixed effects approach to modelling bilateral trade flows. We estimate the model and use its parameters to construct benchmarks for evaluating multilateral inward and outward FDI.     

Heterogeneity and Share Contracting in Medical Group Practices

This paper offers an empirical analysis of the relationship between income sharing rules and physician heterogeneity in medical group practices.The economies to group formation associated with risk–sharing, mutual monitoring,and internal referral are served by sharing at least a portion of group income equally. Sharing group income equally is problematic, however, when group members differ in their contribution to group income. Member contributions to group income may differ because of differences in ability, effort, or the price of services across specialty fields. The analysis below is addressed to the question of how income sharing rules in physician groups are affected by variation in member contributions. The analysis finds evidence that heterogeneity in member contributions to group income limits the use of equal income sharing rules in multispecialty groups relative to single specialty groups, and large groups relative to small groups. Nevertheless, 65% of all groups in the survey share at least a pn of group income equally, which broadly suggests that the joint surplus enhancement from risk sharing, mutual monitoring, and internal referral are sufficient to overcome the incentive problems of such rules     

Optimal integration strategies for the multinational firm

We examine integration strategies of multinational firms that face a rich array of choices of international organization. Each firm must provide headquarter services from its home country, but can produce its intermediate inputs and conduct assembly operations in one or more of three locations. We study the equilibrium choices of firms that differ in productivity levels, focusing on the role that industry characteristics such as the fixed costs of foreign subsidiaries, the cost of transporting intermediate and final goods, and the regional composition of the consumer market play in determining the optimal integration strategies.     

How do exporters respond to antidumping investigations?

Using monthly transaction data covering all Chinese exporters over the 2000–2006 period, we investigate how Chinese exporters respond to U.S. antidumping investigations. We find that antidumping investigations cause a substantial decrease in the total export volume at the HS-6 digit product level, and that this trade-dampening effect is due to a significant decrease in the number of exporters, yet a modest decrease in the export volume per surviving exporter. We also find that the bulk of the decrease in the number of exporters is exerted by less productive exporters, by direct exporters as opposed to trade intermediaries, and by single-product direct exporters as opposed to their multi-product counterparts. Combined with the existing studies on the effects that antidumping investigations have on protected firms, our study helps piece together a complete picture of the effects of antidumping investigations.     

Consumers and the brain drain: Product and process design and the gains from emigration

We consider the welfare effects of skilled worker emigration in a context where skilled labor plays a role in product or process design. We show such emigration can benefit the residents left behind, even when consumers' tastes exhibit a form of home bias. This is because emigration improves the design of goods designed by skilled emigrants but consumed in the sending country. In contrast to existing models of beneficial brain drain, our results do not require agglomeration economies, education-related externalities, remittances, return migration, or an emigration “lottery”. Instead, they are driven purely by differences in market size that induce skilled emigrants to design better products or production processes abroad than at home.     

The spatial selection of heterogeneous firms

We show that heterogeneous firms choose different locations in response to market integration. Specifically, decreasing trade costs lead to the gradual agglomeration of efficient firms in the larger country where they have access to a bigger pool of consumers. In contrast, high-cost firms seek protection against competition from efficient firms by locating in the smaller country. However, when the spatial separation of markets ceases to be a sufficient protection against foreign competition, high-cost firms choose to set up in the larger market. Hence, the relationship between economic integration and international productivity gap first increases and then decreases with market integration.     

Realized Volatility Forecast: Structural Breaks,Long Memory,Asymmetry, and Day‐of‐the‐Week Effect

We investigate the properties of the realized volatility in Chinese stock markets by employing the high‐frequency data of Shanghai Stock Exchange Composite Index and four individual stocks from Shanghai Stock Exchange and Shenzhen Stock Exchange, and find that the volatility exhibits the properties of long‐term memory, structural breaks, asymmetry, and day‐of‐the‐week effect. In addition, the structural breaks only partially explain the long memory. To capture these properties simultaneously, we derive an adaptive asymmetry heterogeneous autoregressive model with day‐of‐the‐week effect and fractionally integrated generalized autoregressive conditional heteroskedasticity errors (HAR‐D‐FIGARCH) and use it to conduct a forecast of realized volatility. Compared with other heterogeneous autoregressive realized volatility models, the proposed model improves the in‐sample fit significantly. The proposed model is the best model for the day‐ahead realized volatility forecasts among the six models based on various loss functions by utilizing the superior predictive ability test.     

Outside directors, board interlocks and firm performance: Empirical evidence from Colombian business groups

We investigate the relation of board structure through the appointments of outside directors and the role of busy directors on firm return on assets within an environment of no regulation for privately held firms and voluntary adoption of corporate best practices for security issuers with family controlling blockholders. This study relies on a sample of an average of 335 firms per year for the 1996-2006 period, where 244 are private firms and 285 are affiliated to one of the seven largest non-financial business groups in the country. Five of these groups were, in 2006, still family-controlled. We find a positive relation between both the ratio of outside directors, and the degree of board interlocks, with firm return-on-assets. Outside busy directors turned out to be key drivers of improved firm performance. Appointments of outsiders are endogenous to firm ownership structure. Blockholder activism as well as contestability becomes an internal mechanism that improves director monitoring and ex-post firm valuation.     

Firm Size and Cooperation: The Determinants of Cooperative Agreements in Information Technology Industries

This paper aims to shed light on factors that lead firms to resort to collaborative ventures. Specific attention is devoted to the role of firm size. The study relies on an extensive econometric analysis of a representative sample of firms in three Information Technology industries (semiconductor, data processing, and telecommunications). Data relating to the number and type of agreements concluded by firms, provided by the ARPA database developed at Politecnico di Milano, are correlated with firm–, industry– and country–specific variables. The findings of the econometric estimates point to the importance of firm size, scope of activity within the industries considered, diversification in related industries, and, to a less extent, degree of internationalization in explaining use of agreements. Moreover, the study provides preliminary evidence in support of a complementary relation between interfirm linkages and R&D expenditures. A positive correlation with growth rates also seems to emerge. In contrast, the s regarding the relation between internal capital expenditures and recourse to agreements are mixed.